UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22127
Columbia Funds Variable Series Trust II
(Exact name of registrant as specified in charter)
225 Franklin Street, Boston, MA 02110
(Address of principal executive offices) (Zip code)
Ryan Larrenaga
c/o Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 345-6611
Date of fiscal year end: December 31
Date of reporting period: June 30, 2017
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
SemiAnnual Report
June 30, 2017
Variable Portfolio – Loomis Sayles Growth Fund
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 Insured • No bank guarantee • May lose value
Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017
Fund at a Glance
(Unaudited)
Investment objective
Variable Portfolio – Loomis Sayles Growth Fund (the Fund) seeks to provide shareholders with long-term capital growth.
Portfolio management
Loomis, Sayles & Company, L.P.
Aziz Hamzaogullari, CFA
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 1 | 05/07/10 | 17.72 | 21.77 | 15.78 | 14.20 |
| Class 2 | 05/07/10 | 17.59 | 21.53 | 15.51 | 13.93 |
| Russell 1000 Growth Index | | 13.99 | 20.42 | 15.30 | 14.98 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Fund’s performance prior to March 2014 reflects returns achieved by one or more different subadvisers. If the Fund’s current subadviser had been in place for the prior periods, results shown may have been different.
The Russell 1000 Growth Index, an unmanaged index, measures the performance of those Russell 1000 Index companies with higher price-to-book ratios and higher forecasted growth values.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at June 30, 2017) |
| Amazon.com, Inc. | 7.7 |
| Facebook, Inc., Class A | 7.0 |
| Alibaba Group Holding Ltd., ADR | 6.2 |
| Visa, Inc., Class A | 5.1 |
| Oracle Corp. | 4.7 |
| Cisco Systems, Inc. | 4.5 |
| Monster Beverage Corp. | 3.7 |
| Autodesk, Inc. | 3.6 |
| Danone SA, ADR | 3.3 |
| QUALCOMM, Inc. | 3.1 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 98.9 |
| Money Market Funds | 1.1 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 11.0 |
| Consumer Staples | 13.0 |
| Energy | 1.8 |
| Financials | 5.9 |
| Health Care | 16.3 |
| Industrials | 7.9 |
| Information Technology | 44.1 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Class 1 | 1,000.00 | 1,000.00 | 1,177.20 | 1,021.24 | 4.02 | 3.73 | 0.74 |
| Class 2 | 1,000.00 | 1,000.00 | 1,175.90 | 1,020.00 | 5.37 | 4.99 | 0.99 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
| 4 | Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017 |
Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 98.5% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 10.8% |
| Hotels, Restaurants & Leisure 3.2% |
| Yum China Holdings, Inc.(a) | 667,328 | 26,312,743 |
| Yum! Brands, Inc. | 453,956 | 33,483,794 |
| Total | | 59,796,537 |
| Internet & Direct Marketing Retail 7.6% |
| Amazon.com, Inc.(a) | 147,363 | 142,647,384 |
| Total Consumer Discretionary | 202,443,921 |
| Consumer Staples 12.8% |
| Beverages 6.6% |
| Coca-Cola Co. (The) | 1,235,886 | 55,429,487 |
| Monster Beverage Corp.(a) | 1,387,685 | 68,940,191 |
| Total | | 124,369,678 |
| Food Products 3.3% |
| Danone SA, ADR | 4,096,390 | 61,609,706 |
| Household Products 2.9% |
| Procter & Gamble Co. (The) | 620,229 | 54,052,957 |
| Total Consumer Staples | 240,032,341 |
| Energy 1.8% |
| Energy Equipment & Services 1.8% |
| Schlumberger Ltd. | 496,063 | 32,660,788 |
| Total Energy | 32,660,788 |
| Financials 5.8% |
| Capital Markets 4.4% |
| Factset Research Systems, Inc. | 185,446 | 30,817,416 |
| SEI Investments Co. | 965,385 | 51,918,406 |
| Total | | 82,735,822 |
| Consumer Finance 1.4% |
| American Express Co. | 317,951 | 26,784,192 |
| Total Financials | 109,520,014 |
| Health Care 16.0% |
| Biotechnology 5.0% |
| Amgen, Inc. | 213,611 | 36,790,222 |
| Regeneron Pharmaceuticals, Inc.(a) | 117,293 | 57,607,284 |
| Total | | 94,397,506 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Health Care Equipment & Supplies 2.3% |
| Varex Imaging Corp.(a) | 18,868 | 637,739 |
| Varian Medical Systems, Inc.(a) | 421,270 | 43,470,851 |
| Total | | 44,108,590 |
| Health Care Technology 2.4% |
| Cerner Corp.(a) | 663,802 | 44,122,919 |
| Pharmaceuticals 6.3% |
| Merck & Co., Inc. | 366,011 | 23,457,645 |
| Novartis AG, ADR | 453,973 | 37,893,126 |
| Novo Nordisk A/S, ADR | 1,328,729 | 56,989,187 |
| Total | | 118,339,958 |
| Total Health Care | 300,968,973 |
| Industrials 7.8% |
| Air Freight & Logistics 5.2% |
| Expeditors International of Washington, Inc. | 930,812 | 52,572,262 |
| United Parcel Service, Inc., Class B | 397,334 | 43,941,167 |
| Total | | 96,513,429 |
| Machinery 2.6% |
| Deere & Co. | 400,096 | 49,447,864 |
| Total Industrials | 145,961,293 |
| Information Technology 43.5% |
| Communications Equipment 4.4% |
| Cisco Systems, Inc. | 2,661,469 | 83,303,980 |
| Internet Software & Services 18.9% |
| Alibaba Group Holding Ltd., ADR(a) | 817,559 | 115,194,063 |
| Alphabet, Inc., Class A(a) | 59,821 | 55,614,387 |
| Alphabet, Inc., Class C(a) | 59,969 | 54,495,630 |
| Facebook, Inc., Class A(a) | 852,200 | 128,665,156 |
| Total | | 353,969,236 |
| IT Services 5.9% |
| Automatic Data Processing, Inc. | 154,948 | 15,875,972 |
| Visa, Inc., Class A | 1,008,041 | 94,534,085 |
| Total | | 110,410,057 |
| Semiconductors & Semiconductor Equipment 3.5% |
| Analog Devices, Inc. | 104,579 | 8,136,246 |
| QUALCOMM, Inc. | 1,049,221 | 57,937,984 |
| Total | | 66,074,230 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017
| 5 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Software 10.8% |
| Autodesk, Inc.(a) | 663,785 | 66,922,804 |
| Microsoft Corp. | 708,440 | 48,832,769 |
| Oracle Corp. | 1,714,011 | 85,940,511 |
| Total | | 201,696,084 |
| Total Information Technology | 815,453,587 |
Total Common Stocks
(Cost $1,439,323,057) | 1,847,040,917 |
|
| Money Market Funds 1.1% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(b),(c) | 20,975,323 | 20,975,323 |
Total Money Market Funds
(Cost $20,974,236) | 20,975,323 |
Total Investments
(Cost: $1,460,297,293) | 1,868,016,240 |
| Other Assets & Liabilities, Net | | 8,312,503 |
| Net Assets | 1,876,328,743 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 13,899,546 | 225,752,980 | (218,677,203) | 20,975,323 | (1,995) | 89,469 | 20,975,323 |
Abbreviation Legend
| ADR | American Depositary Receipt |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 202,443,921 | — | — | — | 202,443,921 |
| Consumer Staples | 240,032,341 | — | — | — | 240,032,341 |
| Energy | 32,660,788 | — | — | — | 32,660,788 |
| Financials | 109,520,014 | — | — | — | 109,520,014 |
| Health Care | 300,968,973 | — | — | — | 300,968,973 |
| Industrials | 145,961,293 | — | — | — | 145,961,293 |
| Information Technology | 815,453,587 | — | — | — | 815,453,587 |
| Total Common Stocks | 1,847,040,917 | — | — | — | 1,847,040,917 |
| Money Market Funds | — | — | — | 20,975,323 | 20,975,323 |
| Total Investments | 1,847,040,917 | — | — | 20,975,323 | 1,868,016,240 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017
| 7 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $1,439,323,057 |
| Affiliated issuers, at cost | 20,974,236 |
| Total investments, at cost | 1,460,297,293 |
| Investments, at value | |
| Unaffiliated issuers, at value | 1,847,040,917 |
| Affiliated issuers, at value | 20,975,323 |
| Total investments, at value | 1,868,016,240 |
| Receivable for: | |
| Investments sold | 10,444,586 |
| Capital shares sold | 791,363 |
| Dividends | 1,235,206 |
| Total assets | 1,880,487,395 |
| Liabilities | |
| Payable for: | |
| Capital shares purchased | 2,766,907 |
| Management services fees | 1,061,644 |
| Distribution and/or service fees | 8,078 |
| Transfer agent fees | 93,633 |
| Compensation of board members | 181,949 |
| Compensation of chief compliance officer | 286 |
| Other expenses | 46,155 |
| Total liabilities | 4,158,652 |
| Net assets applicable to outstanding capital stock | $1,876,328,743 |
| Represented by | |
| Trust capital | $1,876,328,743 |
| Total - representing net assets applicable to outstanding capital stock | $1,876,328,743 |
| Class 1 | |
| Net assets | $1,837,894,782 |
| Shares outstanding | 71,123,522 |
| Net asset value per share | $25.84 |
| Class 2 | |
| Net assets | $38,433,961 |
| Shares outstanding | 1,513,441 |
| Net asset value per share | $25.40 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $17,667,530 |
| Dividends — affiliated issuers | 89,469 |
| Foreign taxes withheld | (1,514,633) |
| Total income | 16,242,366 |
| Expenses: | |
| Management services fees | 7,511,802 |
| Distribution and/or service fees | |
| Class 2 | 46,354 |
| Transfer agent fees | |
| Class 1 | 669,388 |
| Class 2 | 11,125 |
| Compensation of board members | 33,492 |
| Custodian fees | 10,741 |
| Printing and postage fees | 27,956 |
| Audit fees | 15,279 |
| Legal fees | 11,989 |
| Compensation of chief compliance officer | 254 |
| Other | 53,262 |
| Total expenses | 8,391,642 |
| Net investment income | 7,850,724 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 229,737,846 |
| Investments — affiliated issuers | (1,995) |
| Net realized gain | 229,735,851 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 137,479,327 |
| Investments — affiliated issuers | 1,087 |
| Net change in unrealized appreciation (depreciation) | 137,480,414 |
| Net realized and unrealized gain | 367,216,265 |
| Net increase in net assets resulting from operations | $375,066,989 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017
| 9 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment income | $7,850,724 | $17,601,017 |
| Net realized gain | 229,735,851 | 146,468,309 |
| Net change in unrealized appreciation (depreciation) | 137,480,414 | (12,958,529) |
| Net increase in net assets resulting from operations | 375,066,989 | 151,110,797 |
| Increase (decrease) in net assets from capital stock activity | (931,684,388) | 69,425,019 |
| Total increase (decrease) in net assets | (556,617,399) | 220,535,816 |
| Net assets at beginning of period | 2,432,946,142 | 2,212,410,326 |
| Net assets at end of period | $1,876,328,743 | $2,432,946,142 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 4,914,499 | 116,940,039 | 22,597,855 | 472,003,311 |
| Fund reorganization | — | — | 9,313,007 | 193,737,510 |
| Redemptions | (43,050,275) | (1,046,441,567) | (28,988,978) | (622,842,712) |
| Net increase (decrease) | (38,135,776) | (929,501,528) | 2,921,884 | 42,898,109 |
| Class 2 | | | | |
| Subscriptions | 169,182 | 3,950,223 | 323,515 | 6,962,902 |
| Fund reorganization | — | — | 1,254,057 | 25,716,440 |
| Redemptions | (258,443) | (6,133,083) | (287,689) | (6,152,432) |
| Net increase (decrease) | (89,261) | (2,182,860) | 1,289,883 | 26,526,910 |
| Total net increase (decrease) | (38,225,037) | (931,684,388) | 4,211,767 | 69,425,019 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017
| 11 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain | Total from
investment
operations |
| Class 1 |
| 6/30/2017 (c) | $21.95 | 0.08 | 3.81 | 3.89 |
| 12/31/2016 | $20.75 | 0.15 | 1.05 | 1.20 |
| 12/31/2015 | $18.76 | 0.12 | 1.87 | 1.99 |
| 12/31/2014 | $16.66 | 0.10 | 2.00 | 2.10 |
| 12/31/2013 | $12.85 | 0.10 | 3.71 | 3.81 |
| 12/31/2012 | $11.26 | 0.12 | 1.47 | 1.59 |
| Class 2 |
| 6/30/2017 (c) | $21.60 | 0.05 | 3.75 | 3.80 |
| 12/31/2016 | $20.46 | 0.09 | 1.05 | 1.14 |
| 12/31/2015 | $18.55 | 0.07 | 1.84 | 1.91 |
| 12/31/2014 | $16.51 | 0.06 | 1.98 | 2.04 |
| 12/31/2013 | $12.76 | 0.07 | 3.68 | 3.75 |
| 12/31/2012 | $11.21 | 0.10 | 1.45 | 1.55 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Ratios include line of credit interest expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $25.84 | 17.72% | 0.74% (d) | 0.74% (d) | 0.69% (d) | 2% | $1,837,895 |
| $21.95 | 5.78% | 0.73% | 0.73% | 0.72% | 19% | $2,398,329 |
| $20.75 | 10.61% | 0.75% | 0.75% | 0.60% | 14% | $2,206,011 |
| $18.76 | 12.61% | 0.77% | 0.77% | 0.58% | 103% | $1,285,907 |
| $16.66 | 29.65% | 0.76% | 0.76% | 0.70% | 73% | $1,108,798 |
| $12.85 | 14.12% | 0.75% (e) | 0.73% (e) | 0.94% | 80% | $1,682,857 |
| |
| $25.40 | 17.59% | 0.99% (d) | 0.99% (d) | 0.43% (d) | 2% | $38,434 |
| $21.60 | 5.57% | 0.98% | 0.98% | 0.41% | 19% | $34,617 |
| $20.46 | 10.30% | 1.00% | 1.00% | 0.38% | 14% | $6,399 |
| $18.55 | 12.36% | 1.02% | 1.02% | 0.33% | 103% | $4,499 |
| $16.51 | 29.39% | 1.02% | 1.02% | 0.46% | 73% | $3,085 |
| $12.76 | 13.83% | 1.00% (e) | 0.99% (e) | 0.79% | 80% | $1,452 |
Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017
| 13 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Variable Portfolio – Loomis Sayles Growth Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers Class 1 and Class 2 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Fund directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to the Fund. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are generally determined at 4:00 p.m. Eastern (U.S.) time. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees, including, if available, utilizing a third party pricing service to determine these fair values. The third party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
| 14 | Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds, other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information on the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by the Fund’s management. Management’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities, the proceeds are recorded as realized gains.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund is treated as a partnership for federal income tax purposes, and the Fund does not expect to make regular distributions. The Fund will not be subject to federal income tax, and therefore, there is no provision for federal income taxes. The partners of the Fund are subject to tax on their distributive share of the Fund’s income and loss. The components of the Fund’s net assets are reported at the partner-level for federal income tax purposes, and therefore, are not presented in the Statement of Assets and Liabilities.
Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017
| 15 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The Investment Manager is responsible for the ultimate oversight of investments made by the Fund. The Fund’s subadviser (see Subadvisory agreement below) has the primary responsibility for the day-to-day portfolio management of the Fund. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.71% to 0.53% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2017 was 0.66% of the Fund’s average daily net assets.
Subadvisory Agreement
The Investment Manager has entered into a Subadvisory Agreement with Loomis, Sayles & Company, L.P. (Loomis Sayles) to serve as the subadviser to the Fund. The Investment Manager compensates Loomis Sayles to manage the investment of the Fund’s assets.
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
| 16 | Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of the Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, the Fund no longer pays a transfer agency fee.
Distribution fees
The Fund has an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, the Fund pays a fee at an annual rate of up to 0.25% of the Fund’s average daily net assets attributable to Class 2 shares. The Fund pays no distribution and service fees for Class 1 shares.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | Fee rates contractual
through
April 30, 2018 |
| Class 1 | 0.79 |
| Class 2 | 1.04 |
The Fund had a voluntary expense reimbursement arrangement from May 1, 2017 to June 30, 2017. The annual limitation rates were the same under the voluntary expense reimbursement arrangement, which changed to a contractual arrangement on July 1, 2017 through April 30, 2018.
Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017
| 17 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $46,931,077 and $979,023,168, respectively, for the six months ended June 30, 2017. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 5. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 6. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
Note 7. Fund reorganization
At the close of business on April 29, 2016, the Fund acquired the assets and assumed the identified liabilities of Variable Portfolio — Loomis Sayles Growth Fund II, a series of Columbia Funds Variable Insurance Trust I (the Acquired Fund). The reorganization was completed after shareholders of the Acquired Fund approved a plan of reorganization on April 15, 2016. The purpose of the transaction was to combine two funds managed by the Investment Manager with comparable investment objectives and strategies.
The aggregate net assets of the Fund immediately before the reorganization were $2,279,787,686 and the combined net assets immediately after the reorganization were $2,499,241,636.
The reorganization was accomplished by a tax-free exchange of 14,496,631 shares of the Acquired Fund valued at $219,453,950 (including $15,810,677of unrealized appreciation).
| 18 | Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
In exchange for the Acquired Fund’s shares, the Fund issued the following number of shares:
| | Shares |
| Class 1 | 9,313,007 |
| Class 2 | 1,254,057 |
For financial reporting purposes, net assets received and shares issued by the Fund were recorded at fair value; however, the Acquired Fund’s cost of investments was carried forward.
The Fund’s financial statements reflect both the operations of the Fund for the period prior to the reorganization and the combined Fund for the period subsequent to the reorganization. Because the combined investment portfolios have been managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Fund that have been included in the combined Fund’s Statement of Operations since the reorganization was completed.
Assuming the reorganization had been completed on January 1, 2016, the Fund’s pro-forma net investment income, net gain on investments, net change in unrealized depreciation and net increase in net assets from operations for the year ended December 31, 2016 would have been approximately $18.0 million, $145.9 million, $(13.0) million and $150.9 million, respectively.
Note 8. Significant risks
Shareholder concentration risk
At June 30, 2017, affiliated shareholders of record owned 93.3% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Technology and technology-related investment risk
The Fund may be more susceptible to the particular risks that may affect companies in the information technology sector, as well as other technology-related sectors (collectively, the technology sectors) than if it were invested in a wider variety of companies in unrelated sectors. Companies in the technology sectors are subject to certain risks, including the risk that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete. Performance of such companies may be affected by factors including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for market share and short product cycles due to an accelerated rate of technological developments. Such competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their securities may fall or fail to rise. In addition, many technology sector companies have limited operating histories and prices of these companies’ securities historically have been more volatile than other securities, especially over the short term.
Note 9. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 and below, there were no items requiring adjustment of the financial statements or additional disclosure.
Effective May 1, 2018, Variable Portfolio – Loomis Sayles Growth Fund will be renamed CTIVPSM — Loomis Sayles Growth Fund.
Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017
| 19 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Note 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
| 20 | Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017 |
Approval of Management and Subadvisory
Agreements
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Variable Portfolio – Loomis Sayles Growth Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds). In addition, under a subadvisory agreement (the Subadvisory Agreement) between Columbia Threadneedle and Loomis, Sayles & Company, L.P. (the Subadviser), the Subadviser has provided portfolio management and related services for the Fund.
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement and the Subadvisory Agreement (together, the Advisory Agreements). Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge) and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Advisory Agreements for additional one-year terms. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of advisory and subadvisory agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of each of the Advisory Agreements.
Nature, extent and quality of services provided by Columbia Threadneedle and the Subadviser
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle and the Subadviser, as well as their history, reputation, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, detailed information regarding the process employed for overseeing affiliated and unaffiliated Subadvisers and the enhancements made to the Subadviser investment oversight program. With respect to Columbia Threadneedle, the Board also noted the relatively recent change in the leadership of equity department oversight and the various technological enhancements that have been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Advisory Agreements, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed
Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017
| 21 |
Approval of Management and Subadvisory
Agreements (continued)
the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
In addition, the Board discussed the acceptability of the terms of the Advisory Agreements (including the relatively broad scope of services required to be performed by Columbia Threadneedle and each Subadviser), noting that no material changes are proposed from the form of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Advisory Agreements were of a reasonably high quality.
With respect to the Subadviser, the Board observed that it had previously approved the Subadviser’s code of ethics and compliance program, that the Chief Compliance Officer of the Fund continues to monitor the code and the program, and that no material concerns have been reported. The Board also considered the Subadviser’s organizational strength and resources, portfolio management team depth and capabilities and investment process. The Board also considered the Subadviser’s capability and wherewithal to carry out its responsibilities under the Subadvisory Agreement. In addition, the Board discussed the acceptability of the terms of the Subadvisory Agreement, including the scope of services required to be performed. The Board noted that the terms of the Subadvisory Agreement are generally consistent with the terms of other subadviser agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no material changes were recommended to the Subadvisory Agreement. The Board took into account Columbia Threadneedle’s representation that the Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the recent bolstering of the subadvisory oversight team (under new leadership with added resources) intended to help improve performance.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that the Subadviser is in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Advisory Agreements, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed that the Fund’s investment performance met expectations.
Additionally, the Board reviewed the performance of the Subadviser and Columbia Threadneedle’s process for monitoring the Subadviser and the enhancements implemented to the program. The Board considered, in particular, management’s rationale for recommending the continued retention of the Subadviser and management’s representations that their profitability is not a key factor in their recommendation to select, renew or terminate the Subadviser.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle, its affiliates and the Subadviser from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under each of the Advisory Agreements. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total
| 22 | Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017 |
Approval of Management and Subadvisory
Agreements (continued)
expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports.
Additionally, the Board reviewed the level of subadvisory fees paid to the Subadviser, noting that the fees are paid by the Investment Manager and do not impact the fees paid by the Fund. The Board also reviewed the fees charged by the Subadviser to other mutual funds employing similar investment strategies where the Subadviser serves as investment adviser or subadviser. The Board also reviewed fee rates charged by other comparable mutual funds employing the Subadviser to provide subadvisory services. Based on its reviews, including recommendations from JDL, the Board concluded that the Fund’s investment management and subadvisory fees were fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as the Fund grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that fees payable under the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Advisory Agreements.
Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017
| 23 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
| 24 | Variable Portfolio – Loomis Sayles Growth Fund | Semiannual Report 2017 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
Variable Portfolio – Loomis Sayles Growth Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio - Government Money Market Fund
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 Insured • No bank guarantee • May lose value
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017
Fund at a Glance
(Unaudited)
Investment objective
Columbia Variable Portfolio - Government Money Market Fund (the Fund) seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal.
Portfolio management
Leonard Aplet, CFA
John McColley
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 * | 05/03/10 | 0.11 | 0.12 | 0.03 | 0.49 |
| Class 2 * | 05/03/10 | 0.01 | 0.01 | 0.01 | 0.48 |
| Class 3 | 10/13/81 | 0.05 | 0.06 | 0.02 | 0.48 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit investor.columbiathreadneedleus.com/investment-products/variable-products/appended-performance for more information. |
Prior to May 1, 2016, the Fund operated as a prime money market fund and invested in certain types of securities that the Fund is no longer permitted to hold to any significant extent (i.e., over 0.5% of total assets). Consequently, the performance information may have been different if the current investment limitations had been in effect during the period prior to the Fund’s conversion to a government money market fund.
An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to maintain the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.
| 2 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Repurchase Agreements | 12.5 |
| U.S. Government & Agency Obligations | 81.6 |
| U.S. Treasury Obligations | 5.9 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Class 1 | 1,000.00 | 1,000.00 | 1,001.10 | 1,022.69 | 2.25 | 2.27 | 0.45 |
| Class 2 | 1,000.00 | 1,000.00 | 1,000.10 | 1,021.54 | 3.39 | 3.43 | 0.68 |
| Class 3 | 1,000.00 | 1,000.00 | 1,000.50 | 1,022.04 | 2.89 | 2.92 | 0.58 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
From time to time, the Investment Manager and its affiliates may limit the expenses of the Fund for the purpose of increasing the yield. This expense limitation policy may be revised or terminated at any time without notice. Had the Investment Manager and its affiliates not limited the expenses of the Fund during the six months ended June 30, 2017, the annualized expense ratio would have been 0.70% for Class 2. The actual expenses paid would have been $3.49 for Class 2 and the hypothetical expenses paid would have been $3.53 for Class 2. This expense limitation policy was not applied to Class 1 or Class 3 for the six months ended June 30, 2017.
| 4 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017 |
Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Repurchase Agreements 12.2% |
| Issuer | Effective
Yield | | Principal
Amount ($) | Value ($) |
| Tri-party RBC Capital Markets LLC |
| dated 06/30/2017, matures 07/03/2017, |
repurchase price $15,001,338
(collateralized by U.S. Treasury Securities, total market value $15,300,038) |
| | 1.070% | | 15,000,000 | 15,000,000 |
| Tri-party TD Securities (USA) LLC |
| dated 06/30/2017, matures 07/03/2017, |
repurchase price $25,302,319
(collateralized by U.S. Government Agencies total market value $25,806,077) |
| | 1.100% | | 25,300,000 | 25,300,000 |
Total Repurchase Agreements
(Cost $40,300,000) | 40,300,000 |
|
| U.S. Government & Agency Obligations 79.7% |
| | | | |
| Federal Agricultural Mortgage Corp. Discount Notes |
| 07/06/2017 | 0.760% | | 10,000,000 | 9,998,750 |
| 07/12/2017 | 0.900% | | 6,000,000 | 5,998,240 |
| 07/20/2017 | 0.970% | | 8,000,000 | 7,995,778 |
| 07/27/2017 | 1.010% | | 6,000,000 | 5,995,558 |
| Federal Farm Credit Banks Discount Notes |
| 07/05/2017 | 0.690% | | 5,000,000 | 4,999,528 |
| 07/11/2017 | 0.830% | | 6,000,000 | 5,998,500 |
| 07/12/2017 | 0.740% | | 10,000,000 | 9,997,555 |
| 07/14/2017 | 0.860% | | 10,000,000 | 9,996,714 |
| Federal Home Loan Banks Discount Notes |
| 07/05/2017 | 0.690% | | 9,000,000 | 8,999,155 |
| 07/06/2017 | 0.700% | | 7,000,000 | 6,999,193 |
| 07/18/2017 | 0.930% | | 5,000,000 | 4,997,710 |
| 07/21/2017 | 0.990% | | 5,000,000 | 4,997,167 |
| 08/01/2017 | 1.000% | | 4,000,000 | 3,996,487 |
| 08/02/2017 | 1.010% | | 8,000,000 | 7,992,711 |
| 08/04/2017 | 1.000% | | 15,000,000 | 14,985,592 |
| 08/07/2017 | 1.010% | | 10,000,000 | 9,989,517 |
| 08/08/2017 | 1.010% | | 5,000,000 | 4,994,617 |
| 08/09/2017 | 1.010% | | 11,000,000 | 10,987,780 |
| 08/10/2017 | 1.020% | | 7,000,000 | 6,991,989 |
| 08/14/2017 | 1.010% | | 8,000,000 | 7,990,027 |
| U.S. Government & Agency Obligations (continued) |
| Issuer | Effective
Yield | | Principal
Amount ($) | Value ($) |
| 08/15/2017 | 1.020% | | 3,000,000 | 2,996,156 |
| 08/16/2017 | 1.020% | | 7,000,000 | 6,990,787 |
| 08/18/2017 | 1.010% | | 5,000,000 | 4,993,200 |
| 08/22/2017 | 1.020% | | 8,500,000 | 8,487,415 |
| 09/08/2017 | 1.030% | | 11,000,000 | 10,978,284 |
| 09/15/2017 | 1.040% | | 5,000,000 | 4,989,022 |
| 09/27/2017 | 0.750% | | 4,000,000 | 4,000,000 |
| Federal Home Loan Mortgage Corp. Discount Notes |
| 07/05/2017 | 0.710% | | 7,000,000 | 6,999,323 |
| 07/13/2017 | 0.760% | | 6,000,000 | 5,998,380 |
| 07/20/2017 | 0.820% | | 7,000,000 | 6,996,882 |
| 07/27/2017 | 0.900% | | 8,000,000 | 7,994,667 |
| Federal National Mortgage Association Discount Notes |
| 07/05/2017 | 0.660% | | 5,000,000 | 4,999,545 |
| 07/12/2017 | 0.780% | | 10,200,000 | 10,197,378 |
| 07/19/2017 | 0.870% | | 18,000,000 | 17,991,858 |
| Tennessee Valley Authority Discount Notes |
| 07/05/2017 | 0.810% | | 3,000,000 | 2,999,667 |
Total U.S. Government & Agency Obligations
(Cost $262,515,132) | 262,515,132 |
|
| U.S. Treasury Obligations 5.8% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| U.S. Treasury(a) |
| 07/31/2017 | 1.080% | | 9,000,000 | 8,999,193 |
| 10/31/2017 | 1.171% | | 10,000,000 | 9,998,921 |
Total U.S. Treasury Obligations
(Cost $18,998,114) | 18,998,114 |
Total Investments
(Cost: $321,813,246) | 321,813,246 |
| Other Assets & Liabilities, Net | | 7,468,226 |
| Net Assets | 329,281,472 |
Notes to Portfolio of Investments
| (a) | Variable rate security. |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017
| 5 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Short-term securities are valued using amortized cost, as permitted under Rule 2a-7 of the Investment Company Act of 1940, as amended. Generally, amortized cost approximates the current fair value of these securities, but because the value is not obtained from a quoted price in an active market, such securities are reflected as Level 2.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices in active
markets for identical
assets ($) | Level 2
other significant
observable inputs ($) | Level 3
significant
unobservable inputs ($) | Total ($) |
| Investments | | | | |
| Repurchase Agreements | — | 40,300,000 | — | 40,300,000 |
| U.S. Government & Agency Obligations | — | 262,515,132 | — | 262,515,132 |
| U.S. Treasury Obligations | — | 18,998,114 | — | 18,998,114 |
| Total Investments | — | 321,813,246 | — | 321,813,246 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category represent certain short-term obligations which are valued using amortized cost, an income approach which converts future cash flows to a present value based upon the discount or premium at purchase.
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $281,513,246 |
| Repurchase agreements, at cost | 40,300,000 |
| Total investments, at cost | 321,813,246 |
| Investments, at value | |
| Unaffiliated issuers, at value | 281,513,246 |
| Repurchase agreements, at value | 40,300,000 |
| Total investments, at value | 321,813,246 |
| Cash | 9,069,238 |
| Receivable for: | |
| Capital shares sold | 89,023 |
| Interest | 47,845 |
| Expense reimbursement due from Investment Manager | 6,489 |
| Prepaid expenses | 1 |
| Trustees’ deferred compensation plan | 28,901 |
| Total assets | 331,054,743 |
| Liabilities | |
| Payable for: | |
| Capital shares purchased | 1,460,644 |
| Distributions to shareholders | 3,448 |
| Management services fees | 107,094 |
| Distribution and/or service fees | 33,908 |
| Transfer agent fees | 16,476 |
| Compensation of board members | 67,345 |
| Compensation of chief compliance officer | 37 |
| Other expenses | 55,418 |
| Trustees’ deferred compensation plan | 28,901 |
| Total liabilities | 1,773,271 |
| Net assets applicable to outstanding capital stock | $329,281,472 |
| Represented by | |
| Paid in capital | 331,681,221 |
| Excess of distributions over net investment income | (78,545) |
| Accumulated net realized loss | (2,321,204) |
| Total - representing net assets applicable to outstanding capital stock | $329,281,472 |
| Class 1 | |
| Net assets | $45,873,673 |
| Shares outstanding | 45,819,592 |
| Net asset value per share | $1.00 |
| Class 2 | |
| Net assets | $41,065,077 |
| Shares outstanding | 41,060,884 |
| Net asset value per share | $1.00 |
| Class 3 | |
| Net assets | $242,342,722 |
| Shares outstanding | 242,258,977 |
| Net asset value per share | $1.00 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017
| 7 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Interest | $1,157,557 |
| Total income | 1,157,557 |
| Expenses: | |
| Management services fees | 668,637 |
| Distribution and/or service fees | |
| Class 2 | 51,467 |
| Class 3 | 159,186 |
| Transfer agent fees | |
| Class 1 | 14,107 |
| Class 2 | 12,352 |
| Class 3 | 76,406 |
| Compensation of board members | 12,161 |
| Custodian fees | 5,174 |
| Printing and postage fees | 33,522 |
| Audit fees | 14,864 |
| Legal fees | 4,387 |
| Compensation of chief compliance officer | 38 |
| Other | 5,904 |
| Total expenses | 1,058,205 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (81,248) |
| Total net expenses | 976,957 |
| Net investment income | 180,600 |
| Net increase in net assets resulting from operations | $180,600 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment income | $180,600 | $37,676 |
| Net realized gain | — | 927 |
| Net increase in net assets resulting from operations | 180,600 | 38,603 |
| Distributions to shareholders | | |
| Net investment income | | |
| Class 1 | (51,880) | (6,842) |
| Class 2 | (2,054) | (3,649) |
| Class 3 | (126,666) | (27,337) |
| Total distributions to shareholders | (180,600) | (37,828) |
| Decrease in net assets from capital stock activity | (24,430,106) | (91,734,296) |
| Total decrease in net assets | (24,430,106) | (91,733,521) |
| Net assets at beginning of period | 353,711,578 | 445,445,099 |
| Net assets at end of period | $329,281,472 | $353,711,578 |
| Excess of distributions over net investment income | $(78,545) | $(78,545) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017
| 9 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 6,223,173 | 6,223,173 | 31,451,203 | 31,451,203 |
| Distributions reinvested | 51,181 | 51,181 | 4,117 | 4,117 |
| Redemptions | (8,711,646) | (8,711,646) | (132,894,630) | (132,894,630) |
| Net decrease | (2,437,292) | (2,437,292) | (101,439,310) | (101,439,310) |
| Class 2 | | | | |
| Subscriptions | 17,681,143 | 17,681,143 | 26,174,681 | 26,174,681 |
| Distributions reinvested | 2,052 | 2,052 | 3,647 | 3,647 |
| Redemptions | (12,531,249) | (12,531,249) | (19,541,206) | (19,541,205) |
| Net increase | 5,151,946 | 5,151,946 | 6,637,122 | 6,637,123 |
| Class 3 | | | | |
| Subscriptions | 17,665,733 | 17,665,733 | 66,467,847 | 66,467,847 |
| Distributions reinvested | 123,980 | 123,980 | 27,337 | 27,337 |
| Redemptions | (44,934,473) | (44,934,473) | (63,427,293) | (63,427,293) |
| Net increase (decrease) | (27,144,760) | (27,144,760) | 3,067,891 | 3,067,891 |
| Total net decrease | (24,430,106) | (24,430,106) | (91,734,297) | (91,734,296) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017 |
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Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017
| 11 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return is not annualized for periods of less than one year.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain | Total from
investment
operations | Distributions
from net
investment
income |
| Class 1 |
| 6/30/2017 (b) | $1.00 | 0.00 (c) | 0.00 (c) | 0.00 (c) | (0.00) (c) |
| 12/31/2016 | $1.00 | 0.00 (c) | 0.00 (c) | 0.00 (c) | (0.00) (c) |
| 12/31/2015 | $1.00 | 0.00 (c) | 0.00 (c) | 0.00 (c) | (0.00) (c) |
| 12/31/2014 | $1.00 | 0.00 (c) | 0.00 (c) | 0.00 (c) | (0.00) (c) |
| 12/31/2013 | $1.00 | 0.00 (c) | 0.00 (c) | 0.00 (c) | (0.00) (c) |
| 12/31/2012 | $1.00 | 0.00 (c) | 0.00 (c) | 0.00 (c) | (0.00) (c) |
| Class 2 |
| 6/30/2017 (b) | $1.00 | 0.00 (c) | 0.00 (c) | 0.00 (c) | (0.00) (c) |
| 12/31/2016 | $1.00 | 0.00 (c) | 0.00 (c) | 0.00 (c) | (0.00) (c) |
| 12/31/2015 | $1.00 | 0.00 (c) | 0.00 (c) | 0.00 (c) | (0.00) (c) |
| 12/31/2014 | $1.00 | 0.00 (c) | 0.00 (c) | 0.00 (c) | (0.00) (c) |
| 12/31/2013 | $1.00 | 0.00 (c) | 0.00 (c) | 0.00 (c) | (0.00) (c) |
| 12/31/2012 | $1.00 | 0.00 (c) | 0.00 (c) | 0.00 (c) | (0.00) (c) |
| Class 3 |
| 6/30/2017 (b) | $1.00 | 0.00 (c) | 0.00 (c) | 0.00 (c) | (0.00) (c) |
| 12/31/2016 | $1.00 | 0.00 (c) | 0.00 (c) | 0.00 (c) | (0.00) (c) |
| 12/31/2015 | $1.00 | 0.00 (c) | 0.00 (c) | 0.00 (c) | (0.00) (c) |
| 12/31/2014 | $1.00 | 0.00 (c) | 0.00 (c) | 0.00 (c) | (0.00) (c) |
| 12/31/2013 | $1.00 | 0.00 (c) | 0.00 (c) | 0.00 (c) | (0.00) (c) |
| 12/31/2012 | $1.00 | 0.00 (c) | 0.00 (c) | 0.00 (c) | (0.00) (c) |
| Notes to Financial Highlights |
| (a) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (b) | For the six months ended June 30, 2017 (unaudited). |
| (c) | Rounds to zero. |
| (d) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets | Total net
expense
ratio to
average
net assets(a) | Net investment
income
ratio to
average
net assets | Net
assets,
end of
period
(000’s) |
| |
| (0.00) (c) | $1.00 | 0.11% | 0.49% (d) | 0.45% (d) | 0.23% (d) | $45,874 |
| (0.00) (c) | $1.00 | 0.01% | 0.49% | 0.36% | 0.01% | $48,310 |
| (0.00) (c) | $1.00 | 0.01% | 0.49% | 0.13% | 0.01% | $149,749 |
| (0.00) (c) | $1.00 | 0.01% | 0.48% | 0.09% | 0.01% | $146,143 |
| (0.00) (c) | $1.00 | 0.01% | 0.48% | 0.10% | 0.01% | $303,071 |
| (0.00) (c) | $1.00 | 0.01% | 0.47% | 0.14% | 0.01% | $324,195 |
| |
| (0.00) (c) | $1.00 | 0.01% | 0.75% (d) | 0.68% (d) | 0.01% (d) | $41,065 |
| (0.00) (c) | $1.00 | 0.01% | 0.74% | 0.36% | 0.01% | $35,914 |
| (0.00) (c) | $1.00 | 0.01% | 0.75% | 0.13% | 0.01% | $29,276 |
| (0.00) (c) | $1.00 | 0.01% | 0.73% | 0.09% | 0.01% | $22,843 |
| (0.00) (c) | $1.00 | 0.01% | 0.73% | 0.10% | 0.01% | $20,957 |
| (0.00) (c) | $1.00 | 0.01% | 0.72% | 0.14% | 0.01% | $8,224 |
| |
| (0.00) (c) | $1.00 | 0.05% | 0.62% (d) | 0.58% (d) | 0.10% (d) | $242,343 |
| (0.00) (c) | $1.00 | 0.01% | 0.62% | 0.36% | 0.01% | $269,488 |
| (0.00) (c) | $1.00 | 0.01% | 0.62% | 0.13% | 0.01% | $266,420 |
| (0.00) (c) | $1.00 | 0.01% | 0.60% | 0.09% | 0.01% | $305,878 |
| (0.00) (c) | $1.00 | 0.01% | 0.61% | 0.11% | 0.01% | $378,976 |
| (0.00) (c) | $1.00 | 0.01% | 0.60% | 0.14% | 0.01% | $449,880 |
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017
| 13 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio - Government Money Market Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers Class 1, Class 2 and Class 3 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Fund directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to the Fund. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Securities in the Fund are valued utilizing the amortized cost valuation method permitted in accordance with Rule 2a-7 under the 1940 Act provided certain conditions are met, including that the Board of Trustees continues to believe that the amortized cost valuation method fairly reflects the market-based net asset value per share of the Fund. This method involves valuing a portfolio security initially at its cost and thereafter assuming a constant accretion or amortization to maturity of any discount or premium, respectively. The Board of Trustees has established procedures intended to stabilize the Fund’s net asset value for purposes of purchases and redemptions of Fund shares at $1.00 per share. These procedures include determinations, at such intervals as the Board of Trustees deems appropriate and reasonable in light of current market conditions, of the extent, if any, to which the Fund’s market-based net asset value deviates from $1.00 per share. In the event such deviation exceeds 1/2 of 1%, the Board of Trustees will promptly consider what action, if any, should be initiated.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Repurchase agreements
The Fund may invest in repurchase agreement transactions with institutions that management has determined are creditworthy. The Fund, through the custodian, receives delivery of the underlying securities collateralizing a repurchase agreement. Management is responsible for determining that the collateral is at least equal, at all times, to the value of the repurchase obligation including interest. A repurchase agreement transaction involves certain risks in the event of default or
| 14 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
insolvency of the counterparty. These risks include possible delays in or restrictions on the Fund’s ability to dispose of the underlying securities and a possible decline in the value of the underlying securities during the period while the Fund seeks to assert its rights.
Offsetting of assets and liabilities
The following table presents the Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of June 30, 2017:
| | RBC
Capital
Markets ($) | TD
Securities ($) | Total ($) |
| Assets | | | |
| Repurchase agreements | 15,000,000 | 25,300,000 | 40,300,000 |
| Total financial and derivative net assets | 15,000,000 | 25,300,000 | 40,300,000 |
| Total collateral received (pledged)(a) | 15,000,000 | 25,300,000 | 40,300,000 |
| Net amount(b) | — | — | — |
| (a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (b) | Represents the net amount due from/(to) counterparties in the event of default. |
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Interest income, including amortization of premium and discount, is recognized daily.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its taxable income, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, because the Fund meets the exception under Internal Revenue Code Section 4982(f), the Fund expects not to be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Distributions to subaccounts
Distributions to the subaccounts of Contracts, Qualified Plans and Qualified Investors are recorded at the close of business on the record date and are payable on the first business day following the record date. Dividends from net investment income, if any, are declared daily and distributed quarterly. Capital gains distributions, when available, will be made annually. However, an additional capital gain distribution may be made during the fiscal year to seek to maintain a $1.00 per share, unless offset by any available capital loss carryforward. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. All dividends and distributions are reinvested in additional shares of the applicable share class of the Fund at the net asset value as of the ex-dividend date of the distribution.
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017
| 15 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.39% to 0.18% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2017 was 0.39% of the Fund’s average daily net assets.
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
| 16 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of the Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, the Fund no longer pays a transfer agency fee.
Distribution fees
The Fund has an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, the Fund pays a fee at an annual rate of up to 0.25% of the Fund’s average daily net assets attributable to Class 2 shares and an annual rate of up to 0.125% of the Fund’s average daily net assets attributable to Class 3 shares. The Fund pays no distribution and service fees for Class 1 shares.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | Fee rates contractual
through
April 30, 2018 |
| Class 1 | 0.45% |
| Class 2 | 0.70 |
| Class 3 | 0.575 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. In addition, from time to time, the Investment Manager and its affiliates may waive or absorb expenses of the Fund for the purposes of allowing the Fund to avoid a negative net yield or to increase the Fund’s positive net yield. The Fund’s yield would be negative if Fund expenses exceed Fund income. Any such expense limitation is voluntary and may be revised or terminated at any time without notice. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At June 30, 2017, the cost of investments for federal income tax purposes was approximately $321,813,000.
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017
| 17 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The following capital loss carryforwards, determined at December 31, 2016, may be available to reduce taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. Capital loss carryforwards with no expiration are required to be utilized prior to any capital losses which carry an expiration date. As a result of this ordering rule, capital loss carryforwards which carry an expiration date may be more likely to expire unused.
| 2017 ($) | 2018 ($) | 2019 ($) | No expiration
short-term ($) | No expiration
long-term ($) | Total ($) |
| 2,314,650 | 6,554 | — | — | — | 2,321,204 |
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
Note 6. Significant risks
Credit risk
Credit risk is the risk that the value of debt securities in the Fund’s portfolio may decline because the issuer may default and fail to pay interest or repay principal when due. Rating agencies assign credit ratings to debt securities to indicate their credit risk. Lower rated or unrated debt securities held by the Fund may present increased credit risk as compared to higher-rated debt securities.
Interest rate risk
Interest rate risk is the risk of losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise. Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates.
Money Market Fund Risk
Although government money market funds (such as the Fund) may seek to preserve the value of shareholders’ investment at $1.00 per share, the net asset values of such money market fund shares can fall, and in infrequent cases in the past have fallen, below $1.00 per share, potentially causing shareholders who redeem their shares at such net asset values to lose money from their original investment.
At times of (i) significant redemption activity by shareholders, including, for example, when a single investor or a few large investors make a significant redemption of Fund shares, (ii) insufficient levels of cash in the Fund’s portfolio to satisfy redemption activity, and (iii) disruption in the normal operation of the markets in which the Fund buys and sells portfolio
| 18 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
securities, the Fund could be forced to sell portfolio securities at unfavorable prices in order to generate sufficient cash to pay redeeming shareholders. Sales of portfolio securities at such times could result in losses to the Fund and cause the net asset value of Fund shares to fall below $1.00 per share. Additionally, in some cases, the default of a single portfolio security could cause the net asset value of Fund shares to fall below $1.00 per share. In addition, neither the Investment Manager nor any of its affiliates has a legal obligation to provide financial support to the Fund, and you should not expect that they or any person will provide financial support to the Fund at any time. The Fund may suspend redemptions or the payment of redemption proceeds when permitted by applicable regulations.
It is possible that, during periods of low prevailing interest rates or otherwise, the income from portfolio securities may be less than the amount needed to pay ongoing Fund operating expenses and may prevent payment of any dividends or distributions to Fund shareholders or cause the net asset value of Fund shares to fall below $1.00 per share. In such cases, the Fund may reduce or eliminate the payment of such dividends or distributions or seek to reduce certain of its operating expenses. There is no guarantee that such actions would enable the Fund to maintain a constant net asset value of $1.00 per share.
Shareholder concentration risk
At June 30, 2017, affiliated shareholders of record owned 89.5% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 7. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Note 8. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017
| 19 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio - Government Money Market Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as their history, reputation, expertise, resources and capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, the relatively recent change in the leadership of equity department oversight, and the various technological enhancements that had been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
| 20 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of the Fund, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed that the Fund’s investment performance was understandable in light of the particular management style involved and the particular market environment.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017
| 21 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as the Fund grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
| 22 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2017
| 23 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio - Government Money Market Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio – Select International Equity Fund
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 Insured • No bank guarantee • May lose value
Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017
Fund at a Glance
(Unaudited)
Investment objective
Columbia Variable Portfolio – Select International Equity Fund (the Fund) seeks to provide shareholders with capital appreciation.
Portfolio management
Threadneedle International Limited
Simon Haines, CFA
William Davies
David Dudding, CFA
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 * | 05/03/10 | 14.41 | 17.43 | 7.53 | 1.51 |
| Class 2 * | 05/03/10 | 14.26 | 17.02 | 7.26 | 1.24 |
| Class 3 | 01/13/92 | 14.37 | 17.25 | 7.39 | 1.42 |
| MSCI EAFE Index (Net) | | 13.81 | 20.27 | 8.69 | 1.03 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit investor.columbiathreadneedleus.com/investment-products/variable-products/appended-performance for more information. |
The Fund’s performance prior to May 2015 reflects returns achieved pursuant to different principal investment strategies. If the Fund’s current strategies had been in place for the prior periods, results shown may have been different.
The MSCI EAFE Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The index is compiled from a composite of securities markets of Europe, Australasia and the Far East and is widely recognized by investors in foreign markets as the measurement index for portfolios of non-North American securities.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI EAFE Index (Net), which reflects reinvested dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at June 30, 2017) |
| CRH PLC (Ireland) | 3.4 |
| AIA Group Ltd. (Hong Kong) | 3.4 |
| BNP Paribas SA (France) | 3.2 |
| RELX NV (Netherlands) | 3.2 |
| 3i Group PLC (United Kingdom) | 3.1 |
| L’Oreal SA (France) | 3.1 |
| Deutsche Telekom AG, Registered Shares (Germany) | 2.9 |
| Roche Holding AG, Genusschein Shares (Switzerland) | 2.9 |
| Bank of Ireland (Ireland) | 2.8 |
| Berendsen PLC (United Kingdom) | 2.8 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 11.4 |
| Consumer Staples | 11.1 |
| Energy | 5.3 |
| Financials | 23.2 |
| Health Care | 7.1 |
| Industrials | 23.7 |
| Information Technology | 8.6 |
| Materials | 4.2 |
| Telecommunication Services | 5.4 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| Country breakdown (%) (at June 30, 2017) |
| Australia | 1.3 |
| Belgium | 2.1 |
| Brazil | 0.5 |
| Canada | 2.2 |
| China | 1.2 |
| Denmark | 1.2 |
| France | 11.6 |
| Germany | 4.5 |
| Hong Kong | 4.1 |
| Indonesia | 2.4 |
| Ireland | 6.0 |
| Japan | 25.2 |
| Netherlands | 7.2 |
| Spain | 2.2 |
| Sweden | 1.4 |
| Switzerland | 4.9 |
| United Kingdom | 18.0 |
| United States(a) | 4.0 |
| Total | 100.0 |
| (a) | Includes investments in Money Market Funds. |
Country breakdown is based primarily on issuer’s place of organization/incorporation. Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Class 1 | 1,000.00 | 1,000.00 | 1,144.10 | 1,020.39 | 4.86 | 4.58 | 0.91 |
| Class 2 | 1,000.00 | 1,000.00 | 1,142.60 | 1,019.15 | 6.20 | 5.84 | 1.16 |
| Class 3 | 1,000.00 | 1,000.00 | 1,143.70 | 1,019.75 | 5.56 | 5.24 | 1.04 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
| 4 | Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017 |
Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 95.8% |
| Issuer | Shares | Value ($) |
| Australia 1.3% |
| CSL Ltd. | 123,038 | 13,057,992 |
| Belgium 2.1% |
| Anheuser-Busch InBev SA/NV | 199,719 | 22,060,420 |
| Brazil 0.5% |
| Kroton Educacional SA | 1,219,700 | 5,463,596 |
| Canada 2.2% |
| Suncor Energy, Inc. | 775,900 | 22,670,305 |
| China 1.2% |
| Tencent Holdings Ltd. | 363,100 | 13,026,198 |
| Denmark 1.2% |
| Novo Nordisk A/S, Class B | 286,547 | 12,271,123 |
| France 11.6% |
| Airbus Group SE | 256,802 | 21,118,055 |
| BNP Paribas SA | 449,292 | 32,359,788 |
| Dassault Systemes | 122,560 | 10,987,176 |
| L’Oreal SA | 149,051 | 31,051,512 |
| Schneider Electric SE | 338,435 | 26,002,776 |
| Total | 121,519,307 |
| Germany 4.5% |
| Brenntag AG | 303,163 | 17,548,331 |
| Deutsche Telekom AG, Registered Shares | 1,643,501 | 29,508,391 |
| Total | 47,056,722 |
| Hong Kong 4.1% |
| AIA Group Ltd. | 4,630,000 | 33,874,751 |
| HKT Trust & HKT Ltd. | 6,798,000 | 8,916,038 |
| Total | 42,790,789 |
| Indonesia 2.4% |
| PT Bank Rakyat Indonesia Persero Tbk | 22,086,500 | 25,201,450 |
| Ireland 5.9% |
| Bank of Ireland(a) | 106,488,184 | 27,973,852 |
| CRH PLC | 966,745 | 34,201,588 |
| Total | 62,175,440 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Japan 25.1% |
| Bridgestone Corp. | 525,100 | 22,700,899 |
| Capcom Co., Ltd. | 959,300 | 22,769,115 |
| Daiwa Securities Group, Inc. | 1,510,000 | 8,991,606 |
| Dentsu, Inc. | 335,200 | 16,080,553 |
| Hoya Corp. | 321,000 | 16,711,701 |
| Keyence Corp. | 25,300 | 11,137,765 |
| Koito Manufacturing Co., Ltd. | 305,300 | 15,787,229 |
| Kubota Corp. | 1,396,900 | 23,611,519 |
| Maeda Corp. | 1,118,000 | 12,337,220 |
| Mitsubishi UFJ Financial Group, Inc. | 2,870,600 | 19,362,336 |
| Nidec Corp. | 118,000 | 12,123,321 |
| Persol Holdings Co., Ltd. | 548,500 | 10,305,325 |
| Seiko Epson Corp. | 360,100 | 8,034,696 |
| Sekisui Chemical Co., Ltd. | 906,600 | 16,267,532 |
| Shimano, Inc. | 93,500 | 14,845,798 |
| SoftBank Group Corp. | 196,200 | 15,949,126 |
| Tsuruha Holdings, Inc. | 149,800 | 15,918,302 |
| Total | 262,934,043 |
| Netherlands 7.2% |
| Akzo Nobel NV | 92,833 | 8,067,760 |
| ASML Holding NV | 151,094 | 19,690,461 |
| ING Groep NV | 919,945 | 15,865,794 |
| RELX NV | 1,542,406 | 31,709,853 |
| Total | 75,333,868 |
| Spain 2.2% |
| Industria de Diseno Textil SA | 611,769 | 23,484,374 |
| Sweden 1.4% |
| Volvo AB B Shares | 859,934 | 14,657,676 |
| Switzerland 4.9% |
| Roche Holding AG, Genusschein Shares | 114,582 | 29,180,232 |
| UBS AG | 1,272,697 | 21,554,489 |
| Total | 50,734,721 |
| United Kingdom 18.0% |
| 3i Group PLC | 2,660,767 | 31,276,273 |
| Ashtead Group PLC | 740,159 | 15,318,275 |
| Berendsen PLC | 1,727,123 | 27,668,736 |
| Diageo PLC | 514,837 | 15,211,410 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017
| 5 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Legal & General Group PLC | 4,866,767 | 16,372,911 |
| Royal Dutch Shell PLC, Class A | 740,349 | 19,647,269 |
| TechnipFMC PLC(a) | 380,466 | 10,318,369 |
| Unilever PLC | 494,419 | 26,756,366 |
| Wolseley PLC | 411,528 | 25,261,421 |
| Total | 187,831,030 |
Total Common Stocks
(Cost $901,985,276) | 1,002,269,054 |
|
| Money Market Funds 4.0% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(b),(c) | 41,431,644 | 41,431,644 |
Total Money Market Funds
(Cost $41,430,288) | 41,431,644 |
Total Investments
(Cost $943,415,564) | 1,043,700,698 |
| Other Assets & Liabilities, Net | | 1,976,256 |
| Net Assets | $1,045,676,954 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 9,388,254 | 172,249,901 | (140,206,511) | 41,431,644 | 909 | 96,745 | 41,431,644 |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Foreign equity securities actively traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Australia | — | 13,057,992 | — | — | 13,057,992 |
| Belgium | — | 22,060,420 | — | — | 22,060,420 |
| Brazil | 5,463,596 | — | — | — | 5,463,596 |
| Canada | 22,670,305 | — | — | — | 22,670,305 |
| China | — | 13,026,198 | — | — | 13,026,198 |
| Denmark | — | 12,271,123 | — | — | 12,271,123 |
| France | — | 121,519,307 | — | — | 121,519,307 |
| Germany | — | 47,056,722 | — | — | 47,056,722 |
| Hong Kong | — | 42,790,789 | — | — | 42,790,789 |
| Indonesia | — | 25,201,450 | — | — | 25,201,450 |
| Ireland | — | 62,175,440 | — | — | 62,175,440 |
| Japan | — | 262,934,043 | — | — | 262,934,043 |
| Netherlands | — | 75,333,868 | — | — | 75,333,868 |
| Spain | — | 23,484,374 | — | — | 23,484,374 |
| Sweden | — | 14,657,676 | — | — | 14,657,676 |
| Switzerland | — | 50,734,721 | — | — | 50,734,721 |
| United Kingdom | — | 187,831,030 | — | — | 187,831,030 |
| Total Common Stocks | 28,133,901 | 974,135,153 | — | — | 1,002,269,054 |
| Money Market Funds | — | — | — | 41,431,644 | 41,431,644 |
| Total Investments | 28,133,901 | 974,135,153 | — | 41,431,644 | 1,043,700,698 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets. These assets include certain foreign securities for which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017
| 7 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $901,985,276 |
| Affiliated issuers, at cost | 41,430,288 |
| Total investments, at cost | 943,415,564 |
| Investments, at value | |
| Unaffiliated issuers, at value | 1,002,269,054 |
| Affiliated issuers, at value | 41,431,644 |
| Total investments, at value | 1,043,700,698 |
| Foreign currency (identified cost $815,395) | 812,664 |
| Receivable for: | |
| Investments sold | 484 |
| Dividends | 1,356,211 |
| Foreign tax reclaims | 1,644,545 |
| Prepaid expenses | 1 |
| Trustees’ deferred compensation plan | 7,597 |
| Total assets | 1,047,522,200 |
| Liabilities | |
| Payable for: | |
| Capital shares purchased | 812,274 |
| Management services fees | 724,733 |
| Distribution and/or service fees | 43,650 |
| Transfer agent fees | 51,988 |
| Compensation of board members | 129,548 |
| Compensation of chief compliance officer | 130 |
| Other expenses | 75,326 |
| Trustees’ deferred compensation plan | 7,597 |
| Total liabilities | 1,845,246 |
| Net assets applicable to outstanding capital stock | $1,045,676,954 |
| Represented by | |
| Paid in capital | 1,044,331,382 |
| Excess of distributions over net investment income | (6,088,032) |
| Accumulated net realized loss | (92,866,007) |
| Unrealized appreciation (depreciation) on: | |
| Investments - unaffiliated issuers | 100,283,778 |
| Investments - affiliated issuers | 1,356 |
| Foreign currency translations | 14,477 |
| Total - representing net assets applicable to outstanding capital stock | $1,045,676,954 |
| Class 1 | |
| Net assets | $686,237,625 |
| Shares outstanding | 48,599,323 |
| Net asset value per share | $14.12 |
| Class 2 | |
| Net assets | $60,976,374 |
| Shares outstanding | 4,339,584 |
| Net asset value per share | $14.05 |
| Class 3 | |
| Net assets | $298,462,955 |
| Shares outstanding | 21,167,003 |
| Net asset value per share | $14.10 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $17,394,589 |
| Dividends — affiliated issuers | 96,745 |
| Interest | 2 |
| Foreign taxes withheld | (1,457,524) |
| Total income | 16,033,812 |
| Expenses: | |
| Management services fees | 4,181,876 |
| Distribution and/or service fees | |
| Class 2 | 74,140 |
| Class 3 | 180,908 |
| Transfer agent fees | |
| Class 1 | 194,236 |
| Class 2 | 17,793 |
| Class 3 | 86,833 |
| Compensation of board members | 20,413 |
| Custodian fees | 51,044 |
| Printing and postage fees | 40,953 |
| Audit fees | 26,728 |
| Legal fees | 6,677 |
| Compensation of chief compliance officer | 92 |
| Other | 11,196 |
| Total expenses | 4,892,889 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (102,181) |
| Total net expenses | 4,790,708 |
| Net investment income | 11,243,104 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 15,844,624 |
| Investments — affiliated issuers | 909 |
| Foreign currency translations | 26,132 |
| Net realized gain | 15,871,665 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 106,600,239 |
| Investments — affiliated issuers | 1,403 |
| Foreign currency translations | 113,157 |
| Net change in unrealized appreciation (depreciation) | 106,714,799 |
| Net realized and unrealized gain | 122,586,464 |
| Net increase in net assets resulting from operations | $133,829,568 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017
| 9 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment income | $11,243,104 | $13,433,471 |
| Net realized gain (loss) | 15,871,665 | (32,080,683) |
| Net change in unrealized appreciation (depreciation) | 106,714,799 | (11,855,135) |
| Net increase (decrease) in net assets resulting from operations | 133,829,568 | (30,502,347) |
| Distributions to shareholders | | |
| Net investment income | | |
| Class 1 | (12,599,469) | (7,881,646) |
| Class 2 | (1,070,803) | (1,089,698) |
| Class 3 | (5,396,144) | (4,451,285) |
| Total distributions to shareholders | (19,066,416) | (13,422,629) |
| Increase (decrease) in net assets from capital stock activity | (11,676,818) | 643,646,113 |
| Total increase in net assets | 103,086,334 | 599,721,137 |
| Net assets at beginning of period | 942,590,620 | 342,869,483 |
| Net assets at end of period | $1,045,676,954 | $942,590,620 |
| Undistributed (excess of distributions over) net investment income | $(6,088,032) | $1,735,280 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 47,844 | 676,644 | 46,725,546 | 600,541,890 |
| Distributions reinvested | 926,573 | 12,599,469 | 637,271 | 7,881,646 |
| Redemptions | (463,559) | (6,530,823) | (155,578) | (1,972,022) |
| Net increase | 510,858 | 6,745,290 | 47,207,239 | 606,451,514 |
| Class 2 | | | | |
| Subscriptions | 116,872 | 1,576,778 | 1,160,883 | 14,724,190 |
| Fund reorganization | — | — | 10,033,716 | 129,540,594 |
| Distributions reinvested | 79,186 | 1,070,803 | 89,189 | 1,089,698 |
| Redemptions | (436,398) | (5,863,029) | (7,902,724) | (98,182,313) |
| Net increase (decrease) | (240,340) | (3,215,448) | 3,381,064 | 47,172,169 |
| Class 3 | | | | |
| Subscriptions | 19,549 | 271,870 | 11,520,492 | 149,173,422 |
| Distributions reinvested | 397,468 | 5,396,144 | 358,259 | 4,451,285 |
| Redemptions | (1,560,073) | (20,874,674) | (12,738,248) | (163,602,277) |
| Net decrease | (1,143,056) | (15,206,660) | (859,497) | (9,977,570) |
| Total net increase (decrease) | (872,538) | (11,676,818) | 49,728,806 | 643,646,113 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017
| 11 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income |
| Class 1 |
| 6/30/2017 (c) | $12.58 | 0.16 | 1.64 | 1.80 | (0.26) |
| 12/31/2016 | $13.60 | 0.22 | (1.04) | (0.82) | (0.20) |
| 12/31/2015 | $13.06 | 0.13 | 0.55 | 0.68 | (0.14) |
| 12/31/2014 | $14.53 | 0.21 | (1.43) | (1.22) | (0.25) |
| 12/31/2013 | $12.09 | 0.16 | 2.51 | 2.67 | (0.23) |
| 12/31/2012 | $10.44 | 0.21 | 1.63 | 1.84 | (0.19) |
| Class 2 |
| 6/30/2017 (c) | $12.52 | 0.14 | 1.64 | 1.78 | (0.25) |
| 12/31/2016 | $13.55 | 0.22 | (1.07) | (0.85) | (0.18) |
| 12/31/2015 | $13.02 | 0.08 | 0.56 | 0.64 | (0.11) |
| 12/31/2014 | $14.50 | 0.17 | (1.42) | (1.25) | (0.23) |
| 12/31/2013 | $12.07 | 0.11 | 2.52 | 2.63 | (0.20) |
| 12/31/2012 | $10.43 | 0.19 | 1.62 | 1.81 | (0.17) |
| Class 3 |
| 6/30/2017 (c) | $12.56 | 0.14 | 1.65 | 1.79 | (0.25) |
| 12/31/2016 | $13.58 | 0.21 | (1.04) | (0.83) | (0.19) |
| 12/31/2015 | $13.05 | 0.11 | 0.55 | 0.66 | (0.13) |
| 12/31/2014 | $14.52 | 0.19 | (1.42) | (1.23) | (0.24) |
| 12/31/2013 | $12.09 | 0.15 | 2.50 | 2.65 | (0.22) |
| 12/31/2012 | $10.44 | 0.20 | 1.63 | 1.83 | (0.18) |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Ratios include line of credit interest expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| (0.26) | $14.12 | 14.41% | 0.93% (d) | 0.91% (d) | 2.32% (d) | 28% | $686,238 |
| (0.20) | $12.58 | (6.00%) | 0.93% (e) | 0.89% (e) | 1.76% | 57% | $604,967 |
| (0.14) | $13.60 | 5.20% | 1.01% | 0.93% | 0.91% | 57% | $11,981 |
| (0.25) | $13.06 | (8.47%) | 0.98% | 0.98% | 1.51% | 53% | $13,471 |
| (0.23) | $14.53 | 22.35% | 1.00% | 1.00% | 1.24% | 88% | $16,809 |
| (0.19) | $12.09 | 17.85% | 0.99% | 0.99% | 1.89% | 66% | $16,421 |
| |
| (0.25) | $14.05 | 14.26% | 1.18% (d) | 1.16% (d) | 2.04% (d) | 28% | $60,976 |
| (0.18) | $12.52 | (6.27%) | 1.17% (e) | 1.14% (e) | 1.77% | 57% | $57,342 |
| (0.11) | $13.55 | 4.94% | 1.28% | 1.18% | 0.61% | 57% | $16,240 |
| (0.23) | $13.02 | (8.72%) | 1.24% | 1.23% | 1.23% | 53% | $7,797 |
| (0.20) | $14.50 | 22.09% | 1.26% | 1.25% | 0.84% | 88% | $7,624 |
| (0.17) | $12.07 | 17.49% | 1.24% | 1.24% | 1.66% | 66% | $3,620 |
| |
| (0.25) | $14.10 | 14.37% | 1.06% (d) | 1.04% (d) | 2.16% (d) | 28% | $298,463 |
| (0.19) | $12.56 | (6.10%) | 1.07% (e) | 1.03% (e) | 1.66% | 57% | $280,282 |
| (0.13) | $13.58 | 5.03% | 1.14% | 1.05% | 0.79% | 57% | $314,648 |
| (0.24) | $13.05 | (8.56%) | 1.11% | 1.10% | 1.39% | 53% | $325,451 |
| (0.22) | $14.52 | 22.16% | 1.13% | 1.13% | 1.10% | 88% | $404,795 |
| (0.18) | $12.09 | 17.70% | 1.12% | 1.12% | 1.76% | 66% | $375,844 |
Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017
| 13 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Select International Equity Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers Class 1, Class 2 and Class 3 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Fund directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to the Fund. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are generally determined at 4:00 p.m. Eastern (U.S.) time. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees, including, if available, utilizing a third party pricing service to determine these fair values. The third party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
| 14 | Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Foreign currency transactions and translations
The values of all assets and liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains (losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes, the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds, other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information on the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by the Fund’s management. Management’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities, the proceeds are recorded as realized gains.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017
| 15 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its taxable income, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, because the Fund meets the exception under Internal Revenue Code Section 4982(f), the Fund expects not to be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Distributions to subaccounts
Distributions to the subaccounts of Contracts, Qualified Plans and Qualified Investors are recorded at the close of business on the record date and are payable on the first business day following the record date. Dividends from net investment income, if any, are declared and distributed quarterly. Capital gains distributions, when available, will be made annually. However, an additional capital gain distribution may be made during the fiscal year in order to comply with the Internal Revenue Code, as applicable to registered investment companies. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. All dividends and distributions are reinvested in additional shares of the applicable share class of the Fund at the net asset value as of the ex-dividend date of the distribution.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting
| 16 | Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
services. The Investment Manager is responsible for the ultimate oversight of investments made by the Fund. The Fund’s subadviser (see Subadvisory agreement below) has the primary responsibility for the day-to-day portfolio management of the Fund. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.88% to 0.62% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2017 was 0.84% of the Fund’s average daily net assets.
Subadvisory agreement
The Investment Manager has entered into a Subadvisory Agreement with Threadneedle International Limited (Threadneedle), an affiliate of the Investment Manager and an indirect wholly-owned subsidiary of Ameriprise Financial, to serve as the subadviser to the Fund. The Investment Manager compensates Threadneedle to manage the investment of the Fund’s assets.
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of the Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, the Fund no longer pays a transfer agency fee.
Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017
| 17 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Distribution fees
The Fund has an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, the Fund pays a fee at an annual rate of up to 0.25% of the Fund’s average daily net assets attributable to Class 2 shares and an annual rate of up to 0.125% of the Fund’s average daily net assets attributable to Class 3 shares. The Fund pays no distribution and service fees for Class 1 shares.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | Fee rate(s) contractual
through April 30, 2018 |
| Class 1 | 0.90% |
| Class 2 | 1.15 |
| Class 3 | 1.025 |
The Fund had a voluntary expenses reimbursement arrangement from May 1, 2017 to June 30, 2017. The annual limitation rates were 0.96% for Class 1 shares, 1.21% for Class 2 shares and 1.085% for Class 3 shares under the voluntary expense reimbursement arrangement. The expense caps listed in the above table were effective July 1, 2017.
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At June 30, 2017, the approximate cost of investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($) | Gross unrealized
appreciation ($) | Gross unrealized
(depreciation) ($) | Net unrealized
appreciation ($) |
| 943,416,000 | 114,770,000 | (14,485,000) | 100,285,000 |
The following capital loss carryforwards, determined at December 31, 2016, may be available to reduce taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. Capital loss carryforwards with no expiration are required to be utilized prior to any capital losses which carry an expiration date. As a result of this ordering rule, capital loss carryforwards which carry an expiration date may be more likely to expire unused.
| 2017 ($) | 2018 ($) | 2019 ($) | No expiration
short-term ($) | No expiration
long-term ($) | Total ($) |
| 69,528,803 | — | — | 22,714,033 | 15,499,383 | 107,742,219 |
| 18 | Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $274,475,352 and $327,223,553, respectively, for the six months ended June 30, 2017. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
Note 8. Significant risks
Financial sector risk
The Fund may be more susceptible to the particular risks that may affect companies in the financial services sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the financial services sector are subject to certain risks, including the risk of regulatory change, decreased liquidity in credit markets and unstable interest rates. Such companies may have concentrated portfolios, such as a high level of loans to real estate developers, which makes them vulnerable to economic conditions that affect that industry. Performance of such companies may be affected by competitive pressures and exposure to investments or agreements that, under certain circumstances, may lead to losses (e.g., subprime loans). Companies in the financial services sector are subject to extensive governmental regulation that may limit the amount and types of loans and other financial commitments they can make, and interest rates and fees that they may charge. In addition, profitability of such companies is largely dependent upon the availability and the cost of capital.
Foreign securities and emerging market countries risk
Investing in foreign securities may include certain risks and considerations not typically associated with investing in U.S. securities, such as fluctuating currency values and changing local and regional economic, political and social conditions, which may result in greater market volatility. In addition, certain foreign securities may not be as liquid as U.S. securities. Investing in emerging markets may accentuate these risks. These countries are also more likely to experience high levels of
Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017
| 19 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
inflation, deflation or currency devaluation which could hurt their economies and securities markets. To the extent that the Fund concentrates its investment exposure to any one or a few specific countries, the Fund will be particularly susceptible to the various conditions, events or other factors impacting those countries and may, therefore, have a greater risk than that of a fund which is more geographically diversified.
Industrial sector risk
The Fund may be more susceptible to the particular risks that may affect companies in the industrials sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the industrials sector are subject to certain risks, including changes in supply and demand for their specific product or service and for industrial sector products in general, including decline in demand for such products due to rapid technological developments and frequent new product introduction. Performance of such companies may be affected by factors including government regulation, world events and economic conditions and risks for environmental damage and product liability claims.
Shareholder concentration risk
At June 30, 2017, affiliated shareholders of record owned 95.2% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 9. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Note 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
| 20 | Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017 |
Approval of Management and Subadvisory
Agreements
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio - Select International Equity Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds). In addition, under a subadvisory agreement (the Subadvisory Agreement) between Columbia Threadneedle and Threadneedle International Limited (the Subadviser), an affiliate of Columbia Threadneedle, the Subadviser has provided portfolio management and related services for the Fund.
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement and the Subadvisory Agreement (together, the Advisory Agreements). Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge) and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Advisory Agreements for additional one-year terms. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of advisory and subadvisory agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of each of the Advisory Agreements.
Nature, extent and quality of services provided by Columbia Threadneedle and the Subadviser
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle and the Subadviser, as well as their history, reputation, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, detailed information regarding the process employed for overseeing affiliated and unaffiliated Subadvisers. With respect to Columbia Threadneedle, the Board also noted the relatively recent change in the leadership of equity department oversight and the various technological enhancements that have been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Advisory Agreements, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed
Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017
| 21 |
Approval of Management and Subadvisory
Agreements (continued)
the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
In addition, the Board discussed the acceptability of the terms of the Advisory Agreements (including the relatively broad scope of services required to be performed by Columbia Threadneedle and each Subadviser), noting that no material changes are proposed from the form of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Advisory Agreements were of a reasonably high quality.
With respect to the Subadviser, the Board observed that it had previously approved the Subadviser’s code of ethics and compliance program, that the Chief Compliance Officer of the Fund continues to monitor the code and the program, and that no material concerns have been reported. The Board also considered the Subadviser’s organizational strength and resources, portfolio management team depth and capabilities and investment process. The Board also considered the Subadviser’s capability and wherewithal to carry out its responsibilities under the Subadvisory Agreement. In addition, the Board discussed the acceptability of the terms of the Subadvisory Agreement, including the scope of services required to be performed. The Board noted that the terms of the Subadvisory Agreement are generally consistent with the terms of other subadviser agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no material changes were recommended to the Subadvisory Agreement. The Board took into account Columbia Threadneedle’s representation that the Subadviser was in a position to provide quality services to the Fund.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that the Subadviser is in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Advisory Agreements, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed the Fund’s underperformance for certain periods, noting that appropriate steps (such as changes to strategy) had been taken or are contemplated to help improve the Fund’s performance.
Additionally, the Board reviewed the performance of the Subadviser. The Board considered, in particular, management’s rationale for recommending the continued retention of the Subadviser.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle, its affiliates and the Subadviser from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under each of the Advisory Agreements. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports.
| 22 | Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017 |
Approval of Management and Subadvisory
Agreements (continued)
Additionally, the Board reviewed the level of subadvisory fees paid to the Subadviser, noting that the fees are paid by the Investment Manager and do not impact the fees paid by the Fund. The Board also reviewed the fees charged by the Subadviser to other mutual funds employing similar investment strategies where the Subadviser serves as investment adviser or subadviser. Based on its reviews, including recommendations from JDL, the Board concluded that the Fund’s investment management and subadvisory fees were fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as the Fund grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that fees payable under the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Advisory Agreements.
Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017
| 23 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
| 24 | Columbia Variable Portfolio – Select International Equity Fund | Semiannual Report 2017 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – Select International Equity Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio – High Yield Bond Fund
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 Insured • No bank guarantee • May lose value
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017
Fund at a Glance
(Unaudited)
Investment objective
Columbia Variable Portfolio – High Yield Bond Fund (the Fund) seeks to provide shareholders with high current income as its primary objective and, as its secondary objective, capital growth.
Portfolio management
Brian Lavin, CFA
Co-manager
Managed Fund since 2010
Jennifer Ponce de Leon
Co-manager
Managed Fund since 2010
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 * | 05/03/10 | 4.42 | 10.29 | 6.60 | 7.30 |
| Class 2 * | 05/03/10 | 4.30 | 10.10 | 6.34 | 7.05 |
| Class 3 | 05/01/96 | 4.43 | 10.17 | 6.47 | 7.20 |
| BofAML US Cash Pay High Yield Constrained Index | | 4.92 | 12.74 | 6.88 | 7.55 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit investor.columbiathreadneedleus.com/investment-products/variable-products/appended-performance for more information. |
The Bank of America Merrill Lynch (BofAML) US Cash Pay High Yield Constrained Index is an unmanaged index of high-yield bonds. The index is subject to a 2% cap on allocation to any one issuer. The 2% cap is intended to provide broad diversification and better reflect the overall character of the high-yield market.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Corporate Bonds & Notes | 94.4 |
| Foreign Government Obligations | 0.4 |
| Limited Partnerships | 0.0 (a) |
| Money Market Funds | 3.0 |
| Senior Loans | 2.2 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at June 30, 2017) |
| BBB rating | 1.0 |
| BB rating | 36.5 |
| B rating | 47.8 |
| CCC rating | 14.2 |
| CC rating | 0.5 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments (excluding Money Market Funds).
Bond ratings apply to the underlying holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the average rating of Moody’s, S&P and Fitch. When ratings are available from only two rating agencies, the average of the two rating is used. When a rating is available from only one rating agency, that rating is used. When a bond is not rated by any rating agency, it is designated as “Not rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g., interest rate and time to maturity) and the amount and type of any collateral.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Class 1 | 1,000.00 | 1,000.00 | 1,044.20 | 1,021.19 | 3.82 | 3.78 | 0.75 |
| Class 2 | 1,000.00 | 1,000.00 | 1,043.00 | 1,019.90 | 5.14 | 5.09 | 1.01 |
| Class 3 | 1,000.00 | 1,000.00 | 1,044.30 | 1,020.54 | 4.49 | 4.43 | 0.88 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
| 4 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017 |
Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Corporate Bonds & Notes 93.9% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Aerospace & Defense 1.5% |
| Bombardier, Inc.(a) |
| 12/01/2021 | 8.750% | | 966,000 | 1,073,879 |
| TransDigm, Inc. |
| 07/15/2024 | 6.500% | | 517,000 | 532,529 |
| 05/15/2025 | 6.500% | | 3,243,000 | 3,312,430 |
| 06/15/2026 | 6.375% | | 1,712,000 | 1,740,549 |
| Total | 6,659,387 |
| Automotive 0.9% |
| Gates Global LLC/Co.(a) |
| 07/15/2022 | 6.000% | | 1,495,000 | 1,499,457 |
| IHO Verwaltungs GmbH PIK(a) |
| 09/15/2023 | 4.500% | | 1,157,000 | 1,173,770 |
| 09/15/2026 | 4.750% | | 503,000 | 508,436 |
| ZF North America Capital, Inc.(a) |
| 04/29/2022 | 4.500% | | 875,000 | 917,906 |
| Total | 4,099,569 |
| Banking 0.6% |
| Ally Financial, Inc. |
| 05/19/2022 | 4.625% | | 2,544,000 | 2,646,976 |
| 09/30/2024 | 5.125% | | 121,000 | 127,479 |
| Total | 2,774,455 |
| Brokerage/Asset Managers/Exchanges 0.3% |
| NFP Corp.(a),(b) |
| 07/15/2025 | 6.875% | | 705,000 | 713,015 |
| NPF Corp.(a) |
| 07/15/2021 | 9.000% | | 376,000 | 394,511 |
| Virtu Financial(a) |
| 06/15/2022 | 6.750% | | 307,000 | 316,219 |
| Total | 1,423,745 |
| Building Materials 1.4% |
| Allegion PLC |
| 09/15/2023 | 5.875% | | 972,000 | 1,045,166 |
| American Builders & Contractors Supply Co., Inc.(a) |
| 04/15/2021 | 5.625% | | 724,000 | 744,437 |
| 12/15/2023 | 5.750% | | 1,290,000 | 1,362,272 |
| Beacon Roofing Supply, Inc. |
| 10/01/2023 | 6.375% | | 675,000 | 726,889 |
| HD Supply, Inc.(a) |
| 04/15/2024 | 5.750% | | 625,000 | 666,891 |
| NCI Building Systems, Inc.(a) |
| 01/15/2023 | 8.250% | | 550,000 | 595,193 |
| US Concrete, Inc.(a) |
| 06/01/2024 | 6.375% | | 638,000 | 671,492 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| US Concrete, Inc. |
| 06/01/2024 | 6.375% | | 468,000 | 494,610 |
| Total | 6,306,950 |
| Cable and Satellite 10.1% |
| Altice US Finance I Corp.(a) |
| 07/15/2023 | 5.375% | | 864,000 | 900,584 |
| 05/15/2026 | 5.500% | | 1,951,000 | 2,050,450 |
| CCO Holdings LLC/Capital Corp.(a) |
| 04/01/2024 | 5.875% | | 1,132,000 | 1,210,811 |
| 05/01/2025 | 5.375% | | 2,080,000 | 2,213,873 |
| 02/15/2026 | 5.750% | | 885,000 | 946,510 |
| 05/01/2026 | 5.500% | | 397,000 | 420,481 |
| 05/01/2027 | 5.875% | | 621,000 | 661,625 |
| Cequel Communications Holdings I LLC/Capital Corp.(a) |
| 09/15/2020 | 6.375% | | 474,000 | 484,358 |
| 12/15/2021 | 5.125% | | 414,000 | 422,602 |
| 12/15/2021 | 5.125% | | 299,000 | 304,868 |
| 07/15/2025 | 7.750% | | 1,211,000 | 1,344,813 |
| CSC Holdings LLC |
| 02/15/2019 | 8.625% | | 448,000 | 491,129 |
| 11/15/2021 | 6.750% | | 1,111,000 | 1,229,905 |
| CSC Holdings LLC(a) |
| 01/15/2023 | 10.125% | | 870,000 | 1,010,994 |
| 10/15/2025 | 6.625% | | 2,334,000 | 2,568,898 |
| 10/15/2025 | 10.875% | | 2,217,000 | 2,664,176 |
| 04/15/2027 | 5.500% | | 585,000 | 617,000 |
| DISH DBS Corp. |
| 11/15/2024 | 5.875% | | 610,000 | 649,357 |
| 07/01/2026 | 7.750% | | 4,736,000 | 5,603,517 |
| Radiate HoldCo LLC/Finance, Inc.(a) |
| 02/15/2025 | 6.625% | | 492,000 | 494,305 |
| Sirius XM Radio, Inc.(a) |
| 04/15/2025 | 5.375% | | 1,110,000 | 1,149,484 |
| 07/15/2026 | 5.375% | | 621,000 | 644,404 |
| Sirius XM Radio, Inc.(a),(b) |
| 08/01/2027 | 5.000% | | 1,307,000 | 1,317,010 |
| Unitymedia GmbH(a) |
| 01/15/2025 | 6.125% | | 1,551,000 | 1,663,883 |
| Unitymedia Hessen GmbH & Co. KG NRW(a) |
| 01/15/2025 | 5.000% | | 2,262,000 | 2,370,581 |
| Videotron Ltd. |
| 07/15/2022 | 5.000% | | 1,002,000 | 1,063,127 |
| Videotron Ltd.(a) |
| 06/15/2024 | 5.375% | | 720,000 | 762,353 |
| Videotron Ltd./Ltee(a) |
| 04/15/2027 | 5.125% | | 780,000 | 801,304 |
| Virgin Media Finance PLC(a) |
| 10/15/2024 | 6.000% | | 470,000 | 499,284 |
| 01/15/2025 | 5.750% | | 2,787,000 | 2,883,060 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017
| 5 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Virgin Media Secured Finance PLC(a) |
| 01/15/2026 | 5.250% | | 1,231,000 | 1,280,544 |
| 08/15/2026 | 5.500% | | 617,000 | 648,640 |
| Ziggo Bond Finance BV(a) |
| 01/15/2027 | 6.000% | | 922,000 | 935,509 |
| Ziggo Secured Finance BV(a) |
| 01/15/2027 | 5.500% | | 2,361,000 | 2,426,730 |
| Total | 44,736,169 |
| Chemicals 2.9% |
| Angus Chemical Co.(a) |
| 02/15/2023 | 8.750% | | 1,194,000 | 1,229,948 |
| Atotech USA, Inc.(a) |
| 02/01/2025 | 6.250% | | 1,258,000 | 1,293,759 |
| Axalta Coating Systems LLC(a) |
| 08/15/2024 | 4.875% | | 805,000 | 833,988 |
| Chemours Co. (The) |
| 05/15/2023 | 6.625% | | 1,468,000 | 1,554,588 |
| 05/15/2025 | 7.000% | | 795,000 | 865,443 |
| 05/15/2027 | 5.375% | | 391,000 | 402,236 |
| Eco Services Operations LLC/Finance Corp.(a) |
| 11/01/2022 | 8.500% | | 1,067,000 | 1,120,332 |
| INEOS Group Holdings SA(a) |
| 08/01/2024 | 5.625% | | 1,262,000 | 1,303,840 |
| Koppers, Inc.(a) |
| 02/15/2025 | 6.000% | | 353,000 | 375,203 |
| Platform Specialty Products Corp.(a) |
| 05/01/2021 | 10.375% | | 1,029,000 | 1,138,110 |
| 02/01/2022 | 6.500% | | 618,000 | 638,514 |
| PQ Corp.(a) |
| 11/15/2022 | 6.750% | | 1,147,000 | 1,234,607 |
| SPCM SA(a) |
| 09/15/2025 | 4.875% | | 721,000 | 735,416 |
| Venator Finance SARL/Materials Corp.(a),(b) |
| 07/15/2025 | 5.750% | | 209,000 | 211,463 |
| Total | 12,937,447 |
| Construction Machinery 1.0% |
| Ritchie Bros. Auctioneers, Inc.(a) |
| 01/15/2025 | 5.375% | | 307,000 | 321,812 |
| United Rentals North America, Inc. |
| 06/15/2023 | 6.125% | | 547,000 | 572,076 |
| 09/15/2026 | 5.875% | | 2,084,000 | 2,217,303 |
| 05/15/2027 | 5.500% | | 1,188,000 | 1,224,147 |
| Total | 4,335,338 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Consumer Cyclical Services 2.0% |
| APX Group, Inc. |
| 12/01/2019 | 6.375% | | 82,000 | 84,224 |
| 12/01/2020 | 8.750% | | 2,232,000 | 2,302,431 |
| 12/01/2022 | 7.875% | | 2,039,000 | 2,212,867 |
| Carlson Travel, Inc.(a) |
| 12/15/2023 | 6.750% | | 421,000 | 429,099 |
| IHS Markit Ltd.(a) |
| 11/01/2022 | 5.000% | | 826,000 | 892,064 |
| 02/15/2025 | 4.750% | | 1,330,000 | 1,425,546 |
| Interval Acquisition Corp. |
| 04/15/2023 | 5.625% | | 1,495,000 | 1,549,973 |
| Total | 8,896,204 |
| Consumer Products 1.5% |
| American Greetings Corp.(a) |
| 02/15/2025 | 7.875% | | 148,000 | 159,904 |
| Prestige Brands, Inc.(a) |
| 03/01/2024 | 6.375% | | 645,000 | 687,872 |
| Scotts Miracle-Gro Co. (The) |
| 10/15/2023 | 6.000% | | 1,104,000 | 1,188,076 |
| 12/15/2026 | 5.250% | | 565,000 | 589,724 |
| Spectrum Brands, Inc. |
| 07/15/2025 | 5.750% | | 1,467,000 | 1,573,287 |
| Springs Industries, Inc. |
| 06/01/2021 | 6.250% | | 1,109,000 | 1,145,828 |
| Tempur Sealy International, Inc. |
| 10/15/2023 | 5.625% | | 687,000 | 712,762 |
| 06/15/2026 | 5.500% | | 313,000 | 318,149 |
| Valvoline, Inc.(a) |
| 07/15/2024 | 5.500% | | 159,000 | 169,090 |
| Total | 6,544,692 |
| Diversified Manufacturing 1.0% |
| Entegris, Inc.(a) |
| 04/01/2022 | 6.000% | | 1,404,000 | 1,468,765 |
| SPX FLOW, Inc.(a) |
| 08/15/2024 | 5.625% | | 285,000 | 295,836 |
| 08/15/2026 | 5.875% | | 1,053,000 | 1,091,323 |
| Welbilt, Inc. |
| 02/15/2024 | 9.500% | | 308,000 | 358,191 |
| WESCO Distribution, Inc. |
| 06/15/2024 | 5.375% | | 427,000 | 445,527 |
| Zekelman Industries, Inc.(a) |
| 06/15/2023 | 9.875% | | 575,000 | 645,994 |
| Total | 4,305,636 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Electric 2.6% |
| AES Corp. (The) |
| 05/15/2026 | 6.000% | | 1,048,000 | 1,123,010 |
| Calpine Corp. |
| 02/01/2024 | 5.500% | | 685,000 | 647,754 |
| 01/15/2025 | 5.750% | | 1,810,000 | 1,702,330 |
| Dynegy, Inc. |
| 11/01/2024 | 7.625% | | 965,000 | 936,050 |
| NRG Energy, Inc. |
| 05/01/2024 | 6.250% | | 195,000 | 197,529 |
| 05/15/2026 | 7.250% | | 797,000 | 826,838 |
| 01/15/2027 | 6.625% | | 1,227,000 | 1,229,605 |
| NRG Yield Operating LLC |
| 08/15/2024 | 5.375% | | 2,493,000 | 2,614,257 |
| 09/15/2026 | 5.000% | | 579,000 | 587,801 |
| Pattern Energy Group, Inc.(a) |
| 02/01/2024 | 5.875% | | 1,598,000 | 1,680,388 |
| Total | 11,545,562 |
| Finance Companies 3.1% |
| Aircastle Ltd. |
| 02/15/2022 | 5.500% | | 1,560,000 | 1,690,701 |
| 04/01/2023 | 5.000% | | 138,000 | 147,692 |
| iStar, Inc. |
| 04/01/2022 | 6.000% | | 1,307,000 | 1,336,936 |
| Navient Corp. |
| 03/25/2020 | 8.000% | | 153,000 | 170,990 |
| 07/26/2021 | 6.625% | | 649,000 | 697,287 |
| 01/25/2022 | 7.250% | | 618,000 | 675,363 |
| 06/15/2022 | 6.500% | | 750,000 | 795,720 |
| 01/25/2023 | 5.500% | | 752,000 | 763,091 |
| 10/25/2024 | 5.875% | | 691,000 | 700,960 |
| OneMain Financial Holdings LLC(a) |
| 12/15/2019 | 6.750% | | 793,000 | 832,426 |
| 12/15/2021 | 7.250% | | 1,593,000 | 1,678,152 |
| Park Aerospace Holdings Ltd.(a) |
| 08/15/2022 | 5.250% | | 470,000 | 491,988 |
| 02/15/2024 | 5.500% | | 470,000 | 491,160 |
| Provident Funding Associates LP/Finance Corp.(a) |
| 06/15/2025 | 6.375% | | 716,000 | 733,906 |
| Quicken Loans, Inc.(a) |
| 05/01/2025 | 5.750% | | 1,612,000 | 1,667,155 |
| Springleaf Finance Corp. |
| 05/15/2022 | 6.125% | | 936,000 | 987,598 |
| Total | 13,861,125 |
| Food and Beverage 2.0% |
| B&G Foods, Inc. |
| 04/01/2025 | 5.250% | | 1,326,000 | 1,352,882 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Chobani LLC/Finance Corp., Inc.(a) |
| 04/15/2025 | 7.500% | | 1,295,000 | 1,370,140 |
| FAGE International SA/USA Dairy Industry, Inc.(a) |
| 08/15/2026 | 5.625% | | 975,000 | 1,005,041 |
| Lamb Weston Holdings, Inc.(a) |
| 11/01/2024 | 4.625% | | 433,000 | 445,088 |
| 11/01/2026 | 4.875% | | 721,000 | 746,601 |
| Pinnacle Foods Finance LLC/Corp. |
| 01/15/2024 | 5.875% | | 209,000 | 223,416 |
| Post Holdings, Inc.(a) |
| 03/01/2025 | 5.500% | | 463,000 | 477,815 |
| 08/15/2026 | 5.000% | | 1,562,000 | 1,557,294 |
| 03/01/2027 | 5.750% | | 1,412,000 | 1,455,385 |
| Total | 8,633,662 |
| Gaming 5.8% |
| Boyd Gaming Corp. |
| 05/15/2023 | 6.875% | | 1,338,000 | 1,432,939 |
| 04/01/2026 | 6.375% | | 1,151,000 | 1,247,251 |
| Eldorado Resorts, Inc.(a) |
| 04/01/2025 | 6.000% | | 490,000 | 518,831 |
| GLP Capital LP/Financing II, Inc. |
| 11/01/2023 | 5.375% | | 340,000 | 369,961 |
| 04/15/2026 | 5.375% | | 530,000 | 577,417 |
| International Game Technology PLC(a) |
| 02/15/2022 | 6.250% | | 992,000 | 1,084,348 |
| 02/15/2025 | 6.500% | | 1,940,000 | 2,139,391 |
| Jack Ohio Finance LLC/1 Corp.(a) |
| 11/15/2021 | 6.750% | | 1,332,000 | 1,391,037 |
| MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. |
| 05/01/2024 | 5.625% | | 480,000 | 522,543 |
| 09/01/2026 | 4.500% | | 472,000 | 476,154 |
| MGM Resorts International |
| 10/01/2020 | 6.750% | | 510,000 | 565,288 |
| 12/15/2021 | 6.625% | | 1,853,000 | 2,078,329 |
| 03/15/2023 | 6.000% | | 676,000 | 747,497 |
| 09/01/2026 | 4.625% | | 569,000 | 574,741 |
| Penn National Gaming, Inc.(a) |
| 01/15/2027 | 5.625% | | 313,000 | 318,278 |
| Rivers Pittsburgh Borrower LP/Finance Corp.(a) |
| 08/15/2021 | 6.125% | | 296,000 | 300,010 |
| Scientific Games International, Inc.(a) |
| 01/01/2022 | 7.000% | | 3,409,000 | 3,630,404 |
| Scientific Games International, Inc. |
| 12/01/2022 | 10.000% | | 2,093,000 | 2,294,748 |
| Seminole Tribe of Florida, Inc.(a) |
| 10/01/2020 | 6.535% | | 2,035,000 | 2,075,700 |
| 10/01/2020 | 7.804% | | 450,000 | 463,221 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017
| 7 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Tunica-Biloxi Gaming Authority(a),(c) |
| 11/15/2016 | 0.000% | | 5,259,000 | 1,958,978 |
| Wynn Las Vegas LLC/Capital Corp.(a) |
| 03/01/2025 | 5.500% | | 405,000 | 426,382 |
| 05/15/2027 | 5.250% | | 685,000 | 702,223 |
| Total | 25,895,671 |
| Health Care 8.1% |
| Acadia Healthcare Co., Inc. |
| 07/01/2022 | 5.125% | | 396,000 | 409,802 |
| 02/15/2023 | 5.625% | | 467,000 | 483,847 |
| 03/01/2024 | 6.500% | | 738,000 | 790,108 |
| Change Healthcare Holdings LLC/Finance, Inc.(a) |
| 03/01/2025 | 5.750% | | 1,326,000 | 1,354,831 |
| CHS/Community Health Systems, Inc. |
| 02/01/2022 | 6.875% | | 1,470,000 | 1,284,186 |
| 03/31/2023 | 6.250% | | 2,559,000 | 2,646,597 |
| DaVita, Inc. |
| 07/15/2024 | 5.125% | | 1,055,000 | 1,071,305 |
| Envision Healthcare Corp.(a) |
| 12/01/2024 | 6.250% | | 1,007,000 | 1,072,157 |
| Fresenius Medical Care US Finance II, Inc.(a) |
| 10/15/2024 | 4.750% | | 777,000 | 825,106 |
| HCA, Inc. |
| 02/15/2022 | 7.500% | | 1,378,000 | 1,586,877 |
| 02/01/2025 | 5.375% | | 3,449,000 | 3,632,835 |
| 04/15/2025 | 5.250% | | 1,836,000 | 1,980,155 |
| 06/15/2026 | 5.250% | | 273,000 | 294,076 |
| 02/15/2027 | 4.500% | | 1,276,000 | 1,310,236 |
| Hill-Rom Holdings, Inc.(a) |
| 02/15/2025 | 5.000% | | 639,000 | 652,102 |
| MEDNAX, Inc.(a) |
| 12/01/2023 | 5.250% | | 1,314,000 | 1,355,366 |
| MPH Acquisition Holdings LLC(a) |
| 06/01/2024 | 7.125% | | 1,804,000 | 1,923,271 |
| Quintiles IMS, Inc.(a) |
| 05/15/2023 | 4.875% | | 1,091,000 | 1,124,200 |
| 10/15/2026 | 5.000% | | 512,000 | 527,846 |
| Sterigenics-Nordion Holdings LLC(a) |
| 05/15/2023 | 6.500% | | 1,215,000 | 1,250,713 |
| Surgery Center Holdings, Inc.(a) |
| 07/01/2025 | 6.750% | | 893,000 | 904,647 |
| Team Health Holdings, Inc.(a) |
| 02/01/2025 | 6.375% | | 903,000 | 874,675 |
| Tenet Healthcare Corp. |
| 10/01/2020 | 6.000% | | 886,000 | 948,714 |
| 04/01/2021 | 4.500% | | 2,075,000 | 2,115,253 |
| 04/01/2022 | 8.125% | | 905,000 | 962,620 |
| 06/15/2023 | 6.750% | | 428,000 | 427,589 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Tenet Healthcare Corp.(a) |
| 01/01/2022 | 7.500% | | 545,000 | 590,759 |
| 07/15/2024 | 4.625% | | 622,000 | 617,190 |
| THC Escrow Corp. III(a) |
| 07/15/2024 | 4.625% | | 779,000 | 781,011 |
| 05/01/2025 | 5.125% | | 1,151,000 | 1,155,147 |
| 08/01/2025 | 7.000% | | 803,000 | 801,013 |
| Total | 35,754,234 |
| Healthcare Insurance 1.2% |
| Centene Corp. |
| 05/15/2022 | 4.750% | | 418,000 | 437,520 |
| 02/15/2024 | 6.125% | | 732,000 | 790,644 |
| 01/15/2025 | 4.750% | | 1,499,000 | 1,545,171 |
| Molina Healthcare, Inc. |
| 11/15/2022 | 5.375% | | 249,000 | 264,562 |
| Molina Healthcare, Inc.(a) |
| 06/15/2025 | 4.875% | | 464,000 | 467,448 |
| WellCare Health Plans, Inc. |
| 04/01/2025 | 5.250% | | 1,538,000 | 1,615,309 |
| Total | 5,120,654 |
| Home Construction 1.4% |
| CalAtlantic Group, Inc. |
| 11/15/2024 | 5.875% | | 1,105,000 | 1,196,003 |
| 06/01/2026 | 5.250% | | 241,000 | 250,062 |
| 06/15/2027 | 5.000% | | 395,000 | 395,553 |
| Lennar Corp. |
| 04/30/2024 | 4.500% | | 1,219,000 | 1,259,942 |
| Meritage Homes Corp. |
| 04/01/2022 | 7.000% | | 928,000 | 1,056,713 |
| 06/01/2025 | 6.000% | | 220,000 | 236,069 |
| Meritage Homes Corp.(a) |
| 06/06/2027 | 5.125% | | 449,000 | 449,631 |
| Taylor Morrison Communities, Inc./Holdings II(a) |
| 04/15/2023 | 5.875% | | 513,000 | 545,869 |
| 03/01/2024 | 5.625% | | 848,000 | 888,623 |
| Total | 6,278,465 |
| Independent Energy 6.9% |
| Callon Petroleum Co. |
| 10/01/2024 | 6.125% | | 545,000 | 551,258 |
| Callon Petroleum Co.(a) |
| 10/01/2024 | 6.125% | | 353,000 | 357,865 |
| Carrizo Oil & Gas, Inc. |
| 04/15/2023 | 6.250% | | 1,528,000 | 1,468,272 |
| Continental Resources, Inc. |
| 04/15/2023 | 4.500% | | 605,000 | 577,736 |
| 06/01/2024 | 3.800% | | 809,000 | 741,368 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CrownRock LP/Finance, Inc.(a) |
| 04/15/2021 | 7.125% | | 215,000 | 220,137 |
| 02/15/2023 | 7.750% | | 2,251,000 | 2,367,183 |
| Diamondback Energy, Inc.(a) |
| 11/01/2024 | 4.750% | | 317,000 | 314,935 |
| 05/31/2025 | 5.375% | | 1,781,000 | 1,805,081 |
| Extraction Oil & Gas, Inc./Finance Corp.(a) |
| 07/15/2021 | 7.875% | | 2,333,000 | 2,395,634 |
| Halcon Resources Corp.(a) |
| 02/15/2025 | 6.750% | | 543,000 | 489,424 |
| Laredo Petroleum, Inc. |
| 01/15/2022 | 5.625% | | 425,000 | 414,180 |
| 05/01/2022 | 7.375% | | 1,117,000 | 1,132,014 |
| 03/15/2023 | 6.250% | | 2,359,000 | 2,329,104 |
| Parsley Energy LLC/Finance Corp.(a) |
| 06/01/2024 | 6.250% | | 612,000 | 640,850 |
| 01/15/2025 | 5.375% | | 1,607,000 | 1,617,876 |
| 08/15/2025 | 5.250% | | 1,338,000 | 1,338,694 |
| PDC Energy, Inc.(a) |
| 09/15/2024 | 6.125% | | 1,465,000 | 1,486,738 |
| Range Resources Corp.(a) |
| 03/15/2023 | 5.000% | | 672,000 | 656,734 |
| RSP Permian, Inc.(a) |
| 01/15/2025 | 5.250% | | 2,271,000 | 2,274,665 |
| SM Energy Co. |
| 06/01/2025 | 5.625% | | 329,000 | 295,194 |
| 09/15/2026 | 6.750% | | 2,525,000 | 2,408,438 |
| Whiting Petroleum Corp. |
| 03/15/2021 | 5.750% | | 458,000 | 431,612 |
| 04/01/2023 | 6.250% | | 785,000 | 722,264 |
| WPX Energy, Inc. |
| 01/15/2022 | 6.000% | | 3,535,000 | 3,495,783 |
| Total | 30,533,039 |
| Leisure 0.7% |
| AMC Entertainment Holdings, Inc.(a) |
| 05/15/2027 | 6.125% | | 443,000 | 468,478 |
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millenium Operations LLC(a) |
| 04/15/2027 | 5.375% | | 1,375,000 | 1,455,759 |
| Live Nation Entertainment, Inc.(a) |
| 11/01/2024 | 4.875% | | 660,000 | 669,385 |
| LTF Merger Sub, Inc.(a) |
| 06/15/2023 | 8.500% | | 587,000 | 630,677 |
| Total | 3,224,299 |
| Lodging 0.6% |
| Hilton Domestic Operating Co., Inc.(a) |
| 09/01/2024 | 4.250% | | 622,000 | 629,805 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Hilton Grand Vacations Borrower LLC/Inc.(a) |
| 12/01/2024 | 6.125% | | 97,000 | 105,671 |
| Playa Resorts Holding BV(a) |
| 08/15/2020 | 8.000% | | 1,789,000 | 1,875,369 |
| Total | 2,610,845 |
| Media and Entertainment 3.7% |
| AMC Networks, Inc. |
| 04/01/2024 | 5.000% | | 681,000 | 697,612 |
| iHeartCommunications, Inc. |
| 03/01/2021 | 9.000% | | 1,450,000 | 1,090,378 |
| Match Group, Inc. |
| 06/01/2024 | 6.375% | | 1,133,000 | 1,235,766 |
| MDC Partners, Inc.(a) |
| 05/01/2024 | 6.500% | | 2,545,000 | 2,534,176 |
| Netflix, Inc. |
| 02/15/2022 | 5.500% | | 986,000 | 1,071,875 |
| 02/15/2025 | 5.875% | | 1,965,000 | 2,174,373 |
| Netflix, Inc.(a) |
| 11/15/2026 | 4.375% | | 2,803,000 | 2,805,590 |
| Nielsen Luxembourg SARL(a) |
| 02/01/2025 | 5.000% | | 1,368,000 | 1,408,569 |
| Outfront Media Capital LLC/Corp. |
| 03/15/2025 | 5.875% | | 2,166,000 | 2,273,895 |
| Univision Communications, Inc.(a) |
| 02/15/2025 | 5.125% | | 885,000 | 876,530 |
| Total | 16,168,764 |
| Metals and Mining 3.7% |
| Alcoa Nederland Holding BV(a) |
| 09/30/2024 | 6.750% | | 461,000 | 501,033 |
| 09/30/2026 | 7.000% | | 366,000 | 402,054 |
| Constellium NV(a) |
| 05/15/2024 | 5.750% | | 2,155,000 | 1,990,121 |
| 03/01/2025 | 6.625% | | 830,000 | 793,634 |
| Freeport-McMoRan, Inc. |
| 03/01/2022 | 3.550% | | 420,000 | 394,188 |
| 03/15/2023 | 3.875% | | 837,000 | 782,306 |
| 11/14/2024 | 4.550% | | 2,587,000 | 2,442,617 |
| Grinding Media, Inc./MC Canada, Inc.(a) |
| 12/15/2023 | 7.375% | | 702,000 | 760,175 |
| HudBay Minerals, Inc.(a) |
| 01/15/2023 | 7.250% | | 296,000 | 305,835 |
| 01/15/2025 | 7.625% | | 1,150,000 | 1,207,388 |
| Novelis Corp.(a) |
| 08/15/2024 | 6.250% | | 922,000 | 967,755 |
| 09/30/2026 | 5.875% | | 2,013,000 | 2,075,651 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017
| 9 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Teck Resources Ltd. |
| 07/15/2041 | 6.250% | | 3,794,000 | 3,952,104 |
| Total | 16,574,861 |
| Midstream 4.6% |
| Cheniere Corpus Christi Holdings LLC |
| 06/30/2024 | 7.000% | | 660,000 | 735,988 |
| Cheniere Corpus Christi Holdings LLC(a) |
| 06/30/2027 | 5.125% | | 532,000 | 546,376 |
| Delek Logistics Partners LP(a) |
| 05/15/2025 | 6.750% | | 885,000 | 893,452 |
| Energy Transfer Equity LP |
| 06/01/2027 | 5.500% | | 4,224,000 | 4,373,521 |
| NuStar Logistics LP |
| 04/28/2027 | 5.625% | | 959,000 | 1,007,924 |
| Tallgrass Energy Partners LP/Finance Corp.(a) |
| 09/15/2024 | 5.500% | | 393,000 | 398,776 |
| Targa Resources Partners LP/Finance Corp. |
| 05/01/2023 | 5.250% | | 76,000 | 77,764 |
| 11/15/2023 | 4.250% | | 724,000 | 706,505 |
| 03/15/2024 | 6.750% | | 1,123,000 | 1,211,106 |
| Targa Resources Partners LP/Finance Corp.(a) |
| 02/01/2027 | 5.375% | | 2,051,000 | 2,120,670 |
| Tesoro Logistics LP/Finance Corp. |
| 10/15/2019 | 5.500% | | 385,000 | 405,730 |
| 10/15/2022 | 6.250% | | 746,000 | 793,828 |
| 05/01/2024 | 6.375% | | 833,000 | 900,647 |
| 01/15/2025 | 5.250% | | 1,663,000 | 1,750,645 |
| Williams Companies, Inc. (The) |
| 01/15/2023 | 3.700% | | 954,000 | 940,457 |
| 06/24/2024 | 4.550% | | 3,310,000 | 3,395,021 |
| Total | 20,258,410 |
| Oil Field Services 0.6% |
| Precision Drilling Corp.(a) |
| 12/15/2023 | 7.750% | | 107,000 | 107,979 |
| Trinidad Drilling Ltd.(a) |
| 02/15/2025 | 6.625% | | 307,000 | 290,435 |
| Weatherford International Ltd. |
| 06/15/2021 | 7.750% | | 808,000 | 811,036 |
| 06/15/2023 | 8.250% | | 1,432,000 | 1,434,666 |
| Total | 2,644,116 |
| Other Financial Institutions 0.1% |
| Alpine Finance Merger Sub LLC(a),(b) |
| 08/01/2025 | 6.875% | | 361,000 | 368,384 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Other Industry 0.2% |
| Booz Allen Hamilton, Inc.(a) |
| 05/01/2025 | 5.125% | | 156,000 | 152,962 |
| KAR Auction Services, Inc.(a) |
| 06/01/2025 | 5.125% | | 751,000 | 765,990 |
| Total | 918,952 |
| Other REIT 0.2% |
| CyrusOne LP/Finance Corp.(a) |
| 03/15/2024 | 5.000% | | 410,000 | 422,420 |
| 03/15/2027 | 5.375% | | 410,000 | 426,849 |
| Total | 849,269 |
| Packaging 3.0% |
| ARD Finance SA PIK |
| 09/15/2023 | 7.125% | | 652,000 | 696,872 |
| Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) |
| 05/15/2024 | 7.250% | | 2,464,000 | 2,697,001 |
| 02/15/2025 | 6.000% | | 2,177,000 | 2,286,658 |
| Berry Plastics Corp. |
| 07/15/2023 | 5.125% | | 1,925,000 | 2,004,449 |
| Novolex (a) |
| 01/15/2025 | 6.875% | | 387,000 | 402,103 |
| Owens-Brockway Glass Container, Inc.(a) |
| 08/15/2023 | 5.875% | | 1,012,000 | 1,118,567 |
| 01/15/2025 | 5.375% | | 509,000 | 542,721 |
| 08/15/2025 | 6.375% | | 201,000 | 225,622 |
| Reynolds Group Issuer, Inc./LLC |
| 10/15/2020 | 5.750% | | 1,790,000 | 1,831,293 |
| Reynolds Group Issuer, Inc./LLC(a) |
| 07/15/2024 | 7.000% | | 1,521,000 | 1,628,665 |
| Total | 13,433,951 |
| Pharmaceuticals 2.8% |
| Eagle Holding Co., II LLC PIK(a) |
| 05/15/2022 | 7.625% | | 239,000 | 245,604 |
| Endo Dac/Finance LLC/Finco, Inc.(a) |
| 07/15/2023 | 6.000% | | 65,000 | 54,663 |
| Endo Dac/Finance LLC/Finco, Inc.(a),(d) |
| 02/01/2025 | 6.000% | | 960,000 | 787,572 |
| Jaguar Holding Co. II/Pharmaceutical Product Development LLC(a) |
| 08/01/2023 | 6.375% | | 2,084,000 | 2,195,340 |
| Mallinckrodt International Finance SA/CB LLC(a) |
| 10/15/2023 | 5.625% | | 272,000 | 248,023 |
| 04/15/2025 | 5.500% | | 457,000 | 398,382 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Valeant Pharmaceuticals International, Inc.(a) |
| 10/15/2020 | 6.375% | | 1,138,000 | 1,107,538 |
| 12/01/2021 | 5.625% | | 1,042,000 | 942,492 |
| 03/15/2022 | 6.500% | | 396,000 | 415,347 |
| 03/01/2023 | 5.500% | | 776,000 | 660,638 |
| 05/15/2023 | 5.875% | | 2,438,000 | 2,090,329 |
| 03/15/2024 | 7.000% | | 1,570,000 | 1,656,229 |
| 04/15/2025 | 6.125% | | 1,788,000 | 1,515,916 |
| Total | 12,318,073 |
| Property & Casualty 1.0% |
| Hub Holdings LLC/Finance, Inc.(a) |
| PIK |
| 07/15/2019 | 8.125% | | 364,000 | 364,533 |
| HUB International Ltd.(a) |
| 10/01/2021 | 7.875% | | 3,949,000 | 4,117,148 |
| Total | 4,481,681 |
| Restaurants 1.2% |
| 1011778 BC Unlimited Liability Co./New Red Finance, Inc.(a) |
| 05/15/2024 | 4.250% | | 1,255,000 | 1,247,025 |
| BC ULC/New Red Finance, Inc.(a) |
| 01/15/2022 | 4.625% | | 1,980,000 | 2,029,500 |
| KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(a) |
| 06/01/2026 | 5.250% | | 1,311,000 | 1,378,165 |
| 06/01/2027 | 4.750% | | 499,000 | 508,815 |
| Total | 5,163,505 |
| Retailers 1.2% |
| Asbury Automotive Group, Inc. |
| 12/15/2024 | 6.000% | | 1,231,000 | 1,253,062 |
| Group 1 Automotive, Inc. |
| 06/01/2022 | 5.000% | | 630,000 | 640,602 |
| Group 1 Automotive, Inc.(a) |
| 12/15/2023 | 5.250% | | 532,000 | 533,001 |
| L Brands, Inc. |
| 11/01/2035 | 6.875% | | 891,000 | 861,750 |
| Penske Automotive Group, Inc. |
| 12/01/2024 | 5.375% | | 768,000 | 772,675 |
| 05/15/2026 | 5.500% | | 308,000 | 307,141 |
| PetSmart, Inc.(a) |
| 06/01/2025 | 5.875% | | 586,000 | 565,370 |
| Rite Aid Corp. |
| Junior Subordinated |
| 02/15/2027 | 7.700% | | 288,000 | 289,895 |
| Total | 5,223,496 |
| Technology 6.6% |
| Camelot Finance SA(a) |
| 10/15/2024 | 7.875% | | 596,000 | 640,922 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CDK Global, Inc.(a) |
| 06/01/2027 | 4.875% | | 495,000 | 508,610 |
| Equinix, Inc. |
| 04/01/2023 | 5.375% | | 2,137,000 | 2,225,457 |
| 01/15/2026 | 5.875% | | 1,145,000 | 1,246,982 |
| 05/15/2027 | 5.375% | | 949,000 | 1,014,600 |
| First Data Corp.(a) |
| 08/15/2023 | 5.375% | | 1,501,000 | 1,568,545 |
| 12/01/2023 | 7.000% | | 3,224,000 | 3,441,301 |
| 01/15/2024 | 5.750% | | 2,285,000 | 2,377,499 |
| Gartner, Inc.(a) |
| 04/01/2025 | 5.125% | | 1,589,000 | 1,667,568 |
| Informatica LLC(a) |
| 07/15/2023 | 7.125% | | 689,000 | 701,647 |
| Microsemi Corp.(a) |
| 04/15/2023 | 9.125% | | 518,000 | 595,682 |
| MSCI, Inc.(a) |
| 11/15/2024 | 5.250% | | 1,407,000 | 1,494,581 |
| 08/15/2025 | 5.750% | | 1,298,000 | 1,405,746 |
| NXP BV/Funding LLC(a) |
| 03/15/2023 | 5.750% | | 240,000 | 252,470 |
| PTC, Inc. |
| 05/15/2024 | 6.000% | | 1,257,000 | 1,372,058 |
| Qualitytech LP/Finance Corp. |
| 08/01/2022 | 5.875% | | 1,292,000 | 1,349,923 |
| Sensata Technologies BV(a) |
| 11/01/2024 | 5.625% | | 165,000 | 177,749 |
| Solera LLC/Finance, Inc.(a) |
| 03/01/2024 | 10.500% | | 1,320,000 | 1,515,371 |
| Symantec Corp.(a) |
| 04/15/2025 | 5.000% | | 1,726,000 | 1,805,588 |
| Tempo Acquisition LLC/Finance Corp.(a) |
| 06/01/2025 | 6.750% | | 553,000 | 565,634 |
| VeriSign, Inc. |
| 05/01/2023 | 4.625% | | 1,140,000 | 1,166,229 |
| 04/01/2025 | 5.250% | | 1,172,000 | 1,252,610 |
| VeriSign, Inc.(a),(b) |
| 07/15/2027 | 4.750% | | 947,000 | 957,007 |
| Total | 29,303,779 |
| Transportation Services 1.0% |
| Avis Budget Car Rental LLC/Finance, Inc.(a) |
| 03/15/2025 | 5.250% | | 1,934,000 | 1,828,995 |
| Hertz Corp. (The)(a) |
| 06/01/2022 | 7.625% | | 1,540,000 | 1,536,355 |
| 10/15/2024 | 5.500% | | 1,386,000 | 1,136,444 |
| Total | 4,501,794 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017
| 11 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Wireless 5.2% |
| SBA Communications Corp.(a) |
| 09/01/2024 | 4.875% | | 4,401,000 | 4,472,648 |
| SFR Group SA(a) |
| 05/15/2022 | 6.000% | | 2,468,000 | 2,578,873 |
| 05/01/2026 | 7.375% | | 2,965,000 | 3,215,551 |
| Sprint Communications, Inc.(a) |
| 11/15/2018 | 9.000% | | 731,000 | 794,209 |
| Sprint Corp. |
| 09/15/2021 | 7.250% | | 688,000 | 763,744 |
| 09/15/2023 | 7.875% | | 1,135,000 | 1,303,983 |
| 06/15/2024 | 7.125% | | 1,910,000 | 2,123,248 |
| 02/15/2025 | 7.625% | | 3,162,000 | 3,637,438 |
| T-Mobile USA, Inc. |
| 03/01/2025 | 6.375% | | 310,000 | 334,986 |
| 01/15/2026 | 6.500% | | 3,053,000 | 3,368,836 |
| Wind Acquisition Finance SA(a) |
| 04/23/2021 | 7.375% | | 461,000 | 479,169 |
| Total | 23,072,685 |
| Wirelines 3.2% |
| CenturyLink, Inc. |
| 03/15/2022 | 5.800% | | 390,000 | 407,276 |
| 04/01/2024 | 7.500% | | 1,572,000 | 1,723,907 |
| 04/01/2025 | 5.625% | | 1,358,000 | 1,358,273 |
| Frontier Communications Corp. |
| 04/15/2024 | 7.625% | | 1,081,000 | 891,013 |
| 01/15/2025 | 6.875% | | 2,474,000 | 1,932,731 |
| 09/15/2025 | 11.000% | | 1,453,000 | 1,343,048 |
| Level 3 Financing, Inc. |
| 01/15/2024 | 5.375% | | 1,085,000 | 1,133,596 |
| 03/15/2026 | 5.250% | | 933,000 | 967,435 |
| Telecom Italia SpA(a) |
| 05/30/2024 | 5.303% | | 1,128,000 | 1,215,452 |
| Zayo Group LLC/Capital, Inc. |
| 04/01/2023 | 6.000% | | 414,000 | 435,815 |
| 05/15/2025 | 6.375% | | 1,705,000 | 1,842,527 |
| Zayo Group LLC/Capital, Inc.(a) |
| 01/15/2027 | 5.750% | | 702,000 | 735,527 |
| Total | 13,986,600 |
Total Corporate Bonds & Notes
(Cost $402,932,080) | 415,745,468 |
|
| Foreign Government Obligations(e) 0.4% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Canada 0.4% |
| NOVA Chemicals Corp.(a) |
| 06/01/2024 | 4.875% | | 920,000 | 915,232 |
| 06/01/2027 | 5.250% | | 951,000 | 947,147 |
| Total | 1,862,379 |
Total Foreign Government Obligations
(Cost $1,871,000) | 1,862,379 |
| Limited Partnerships —% |
| Issuer | Shares | Value ($) |
| Financials —% |
| Diversified Financial Services —% |
| Varde Fund V LP(f),(g) | 5,000,000 | 524 |
| Total Financials | 524 |
Total Limited Partnerships
(Cost $—) | 524 |
| Senior Loans 2.2% |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Consumer Products 0.4% |
| Serta Simmons Holdings, LLC(d),(h) |
| 2nd Lien Term Loan |
| 11/08/2024 | 9.179% | | 1,747,874 | 1,739,869 |
| Diversified Manufacturing 0.4% |
| Accudyne Industries Borrower SCA/LLC(d),(h) |
| Term Loan |
| 12/13/2019 | 4.226% | | 1,665,000 | 1,650,165 |
| Independent Energy 0.3% |
| Chesapeake Energy Corp.(d),(h) |
| Tranche A Term Loan |
| 08/23/2021 | 8.686% | | 1,101,548 | 1,163,785 |
| Media and Entertainment 0.0% |
| UFC Holdings LLC(d),(h) |
| 2nd Lien Term Loan |
| 08/18/2024 | 8.716% | | 97,000 | 98,697 |
| Oil Field Services 0.2% |
| EagleClaw Midstream Ventures(d),(h),(i) |
| Term Loan |
| 06/06/2024 | 0.000% | | 855,178 | 844,488 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Technology 0.9% |
| Ancestry.com Operations, Inc.(d),(h) |
| 2nd Lien Term Loan |
| 10/19/2024 | 9.460% | | 358,511 | 365,979 |
| Ascend Learning LLC(d),(h),(i) |
| Term Loan |
| 06/28/2024 | 4.545% | | 173,000 | 173,000 |
| Greeneden US Holdings I LLC(d),(h) |
| Tranche B1 Term Loan |
| 12/01/2023 | 5.296% | | 396,010 | 396,901 |
| Hyland Software, Inc.(d),(h),(i) |
| Tranche 3 Term Loan |
| 07/01/2022 | 0.000% | | 221,867 | 223,087 |
| Information Resources, Inc.(d),(h) |
| 2nd Lien Term Loan |
| 01/20/2025 | 9.466% | | 1,633,000 | 1,624,835 |
| Kronos, Inc.(d),(h) |
| 2nd Lien Term Loan |
| 11/01/2024 | 9.420% | | 571,000 | 592,173 |
| Misys Ltd.(d),(h) |
| 1st Lien Term Loan |
| 06/13/2024 | 4.736% | | 569,447 | 569,237 |
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| 2nd Lien Term Loan |
| 06/13/2025 | 8.459% | | 213,540 | 217,200 |
| Total | 4,162,412 |
Total Senior Loans
(Cost $9,464,343) | 9,659,416 |
| Money Market Funds 2.9% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(j),(k) | 12,990,984 | 12,990,984 |
Total Money Market Funds
(Cost $12,990,698) | 12,990,984 |
Total Investments
(Cost: $427,258,121) | 440,258,771 |
| Other Assets & Liabilities, Net | | 2,531,060 |
| Net Assets | 442,789,831 |
At June 30, 2017, securities and/or cash totaling $175,500 were pledged as collateral.
Investments in derivatives
Futures contracts outstanding at June 30, 2017
| Short futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| U.S. Treasury 10-Year Note | (135) | USD | (16,946,719) | 09/2017 | 39,108 | — |
Notes to Portfolio of Investments
| (a) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At June 30, 2017, the value of these securities amounted to $228,260,297, which represents 51.55% of net assets. |
| (b) | Represents a security purchased on a when-issued basis. |
| (c) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2017, the value of these securities amounted to $1,958,978, which represents 0.44% of net assets. |
| (d) | Variable rate security. |
| (e) | Principal and interest may not be guaranteed by the government. |
| (f) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2017, the value of these securities amounted to $524, which represents less than 0.01% of net assets. |
| (g) | Non-income producing investment. |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017
| 13 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| (h) | Senior loans have interest rates that float periodically based primarily on the London Interbank Offered Rate (“LIBOR”) and other short-term rates. The interest rate shown reflects the weighted average coupon as of June 30, 2017. The interest rate shown for senior loans purchased on a when-issued or delayed delivery basis, if any, reflects an estimated average coupon. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted. |
| (i) | Represents a security purchased on a forward commitment basis. |
| (j) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (k) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 7,600,182 | 76,465,209 | (71,074,407) | 12,990,984 | (439) | 44,726 | 12,990,984 |
Abbreviation Legend
Currency Legend
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Corporate Bonds & Notes | — | 415,745,468 | — | — | 415,745,468 |
| Foreign Government Obligations | — | 1,862,379 | — | — | 1,862,379 |
| Limited Partnerships | | | | | |
| Financials | — | — | 524 | — | 524 |
| Senior Loans | — | 9,659,416 | — | — | 9,659,416 |
| Money Market Funds | — | — | — | 12,990,984 | 12,990,984 |
| Total Investments | — | 427,267,263 | 524 | 12,990,984 | 440,258,771 |
| Derivatives | | | | | |
| Asset | | | | | |
| Futures Contracts | 39,108 | — | — | — | 39,108 |
| Total | 39,108 | 427,267,263 | 524 | 12,990,984 | 440,297,879 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
Derivative instruments are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between levels during the period.
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Limited partnership securities classified as Level 3 are valued using a market approach. To determine fair value for these securities, management considered various factors which may have included, but were not limited to, the Fund’s pro-rata interest in the limited partnership’s capital balance, estimated earnings of the respective company, and the position of the security within the respective company’s capital structure. Significant increases (decreases) to any of these inputs would result in a significantly lower (higher) fair value measurement. Generally, a change in the fund’s pro-rata interest would result in a change to the limited partnership’s capital balance.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017
| 15 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $414,267,423 |
| Affiliated issuers, at cost | 12,990,698 |
| Total investments, at cost | 427,258,121 |
| Investments, at value | |
| Unaffiliated issuers, at value | 427,267,787 |
| Affiliated issuers, at value | 12,990,984 |
| Total investments, at value | 440,258,771 |
| Cash | 20,672 |
| Margin deposits | 175,500 |
| Receivable for: | |
| Investments sold | 1,559,128 |
| Investments sold on a delayed delivery basis | 519,740 |
| Capital shares sold | 10,766 |
| Dividends | 9,744 |
| Interest | 6,731,164 |
| Foreign tax reclaims | 25,326 |
| Variation margin for futures contracts | 37,969 |
| Total assets | 449,348,780 |
| Liabilities | |
| Payable for: | |
| Investments purchased on a delayed delivery basis | 5,288,772 |
| Capital shares purchased | 822,265 |
| Management services fees | 239,284 |
| Distribution and/or service fees | 51,393 |
| Transfer agent fees | 21,972 |
| Compensation of board members | 58,943 |
| Compensation of chief compliance officer | 51 |
| Other expenses | 76,269 |
| Total liabilities | 6,558,949 |
| Net assets applicable to outstanding capital stock | $442,789,831 |
| Represented by | |
| Paid in capital | 470,131,237 |
| Undistributed net investment income | 34,019,635 |
| Accumulated net realized loss | (74,400,799) |
| Unrealized appreciation (depreciation) on: | |
| Investments - unaffiliated issuers | 13,000,364 |
| Investments - affiliated issuers | 286 |
| Futures contracts | 39,108 |
| Total - representing net assets applicable to outstanding capital stock | $442,789,831 |
| Class 1 | |
| Net assets | $11,358 |
| Shares outstanding | 1,601 |
| Net asset value per share | $7.09 |
| Class 2 | |
| Net assets | $54,807,352 |
| Shares outstanding | 7,796,834 |
| Net asset value per share | $7.03 |
| Class 3 | |
| Net assets | $387,971,121 |
| Shares outstanding | 54,825,728 |
| Net asset value per share | $7.08 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $44,726 |
| Interest | 13,178,913 |
| Total income | 13,223,639 |
| Expenses: | |
| Management services fees | 1,468,244 |
| Distribution and/or service fees | |
| Class 2 | 64,819 |
| Class 3 | 247,229 |
| Transfer agent fees | |
| Class 1 | 617 |
| Class 2 | 15,556 |
| Class 3 | 118,666 |
| Compensation of board members | 12,144 |
| Custodian fees | 8,597 |
| Printing and postage fees | 52,349 |
| Audit fees | 18,463 |
| Legal fees | 4,761 |
| Compensation of chief compliance officer | 48 |
| Other | 6,342 |
| Total expenses | 2,017,835 |
| Net investment income | 11,205,804 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 5,766,254 |
| Investments — affiliated issuers | (439) |
| Futures contracts | (251,953) |
| Net realized gain | 5,513,862 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 2,697,754 |
| Investments — affiliated issuers | 286 |
| Futures contracts | (28,275) |
| Net change in unrealized appreciation (depreciation) | 2,669,765 |
| Net realized and unrealized gain | 8,183,627 |
| Net increase in net assets resulting from operations | $19,389,431 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017
| 17 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment income | $11,205,804 | $23,672,078 |
| Net realized gain (loss) | 5,513,862 | (5,664,750) |
| Net change in unrealized appreciation (depreciation) | 2,669,765 | 32,368,692 |
| Net increase in net assets resulting from operations | 19,389,431 | 50,376,020 |
| Distributions to shareholders | | |
| Net investment income | | |
| Class 1 | — | (143,523) |
| Class 2 | — | (2,607,346) |
| Class 3 | — | (24,606,400) |
| Total distributions to shareholders | — | (27,357,269) |
| Decrease in net assets from capital stock activity | (28,888,114) | (32,048,159) |
| Total decrease in net assets | (9,498,683) | (9,029,408) |
| Net assets at beginning of period | 452,288,514 | 461,317,922 |
| Net assets at end of period | $442,789,831 | $452,288,514 |
| Undistributed net investment income | $34,019,635 | $22,813,831 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 41,605 | 286,161 | 211,030 | 1,421,639 |
| Distributions reinvested | — | — | 21,812 | 143,523 |
| Redemptions | (501,513) | (3,504,347) | (70,625) | (476,728) |
| Net increase (decrease) | (459,908) | (3,218,186) | 162,217 | 1,088,434 |
| Class 2 | | | | |
| Subscriptions | 941,434 | 6,484,336 | 1,490,411 | 9,923,779 |
| Distributions reinvested | — | — | 399,287 | 2,607,346 |
| Redemptions | (315,546) | (2,178,288) | (770,384) | (5,083,288) |
| Net increase | 625,888 | 4,306,048 | 1,119,314 | 7,447,837 |
| Class 3 | | | | |
| Subscriptions | 43,116 | 298,863 | 287,328 | 1,930,694 |
| Distributions reinvested | — | — | 3,745,266 | 24,606,400 |
| Redemptions | (4,357,547) | (30,274,839) | (10,101,928) | (67,121,524) |
| Net decrease | (4,314,431) | (29,975,976) | (6,069,334) | (40,584,430) |
| Total net decrease | (4,148,451) | (28,888,114) | (4,787,803) | (32,048,159) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017
| 19 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income |
| Class 1 |
| 6/30/2017 (c) | $6.79 | 0.18 | 0.12 | 0.30 | — |
| 12/31/2016 | $6.46 | 0.35 | 0.40 | 0.75 | (0.42) |
| 12/31/2015 | $6.96 | 0.36 | (0.42) | (0.06) | (0.44) |
| 12/31/2014 | $7.15 | 0.38 | (0.10) | 0.28 | (0.47) |
| 12/31/2013 | $7.22 | 0.43 | 0.00 (e) | 0.43 | (0.50) |
| 12/31/2012 | $6.74 | 0.46 | 0.56 | 1.02 | (0.54) |
| Class 2 |
| 6/30/2017 (c) | $6.74 | 0.17 | 0.12 | 0.29 | — |
| 12/31/2016 | $6.41 | 0.34 | 0.39 | 0.73 | (0.40) |
| 12/31/2015 | $6.91 | 0.35 | (0.43) | (0.08) | (0.42) |
| 12/31/2014 | $7.11 | 0.37 | (0.12) | 0.25 | (0.45) |
| 12/31/2013 | $7.18 | 0.41 | 0.01 | 0.42 | (0.49) |
| 12/31/2012 | $6.71 | 0.44 | 0.56 | 1.00 | (0.53) |
| Class 3 |
| 6/30/2017 (c) | $6.78 | 0.17 | 0.13 | 0.30 | — |
| 12/31/2016 | $6.45 | 0.35 | 0.39 | 0.74 | (0.41) |
| 12/31/2015 | $6.94 | 0.36 | (0.42) | (0.06) | (0.43) |
| 12/31/2014 | $7.14 | 0.38 | (0.12) | 0.26 | (0.46) |
| 12/31/2013 | $7.21 | 0.42 | 0.00 (e) | 0.42 | (0.49) |
| 12/31/2012 | $6.73 | 0.45 | 0.56 | 1.01 | (0.53) |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Rounds to zero. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| — | $7.09 | 4.42% | 0.75% (d) | 0.75% (d) | 5.12% (d) | 28% | $11 |
| (0.42) | $6.79 | 11.84% | 0.75% | 0.75% | 5.32% | 51% | $3,135 |
| (0.44) | $6.46 | (1.15%) | 0.78% | 0.75% | 5.35% | 47% | $1,934 |
| (0.47) | $6.96 | 3.89% | 0.76% | 0.72% | 5.43% | 59% | $629 |
| (0.50) | $7.15 | 6.19% | 0.76% | 0.72% | 5.94% | 63% | $7 |
| (0.54) | $7.22 | 15.87% | 0.75% | 0.74% | 6.55% | 75% | $7 |
| |
| — | $7.03 | 4.30% | 1.01% (d) | 1.01% (d) | 4.88% (d) | 28% | $54,807 |
| (0.40) | $6.74 | 11.65% | 1.00% | 1.00% | 5.07% | 51% | $48,310 |
| (0.42) | $6.41 | (1.41%) | 1.02% | 1.00% | 5.06% | 47% | $38,807 |
| (0.45) | $6.91 | 3.51% | 1.00% | 0.97% | 5.20% | 59% | $34,214 |
| (0.49) | $7.11 | 5.98% | 1.01% | 0.97% | 5.70% | 63% | $24,968 |
| (0.53) | $7.18 | 15.62% | 1.00% | 0.98% | 6.29% | 75% | $16,469 |
| |
| — | $7.08 | 4.43% | 0.88% (d) | 0.88% (d) | 5.00% (d) | 28% | $387,971 |
| (0.41) | $6.78 | 11.72% | 0.88% | 0.88% | 5.20% | 51% | $400,844 |
| (0.43) | $6.45 | (1.14%) | 0.90% | 0.87% | 5.17% | 47% | $420,576 |
| (0.46) | $6.94 | 3.62% | 0.87% | 0.85% | 5.34% | 59% | $514,924 |
| (0.49) | $7.14 | 6.07% | 0.89% | 0.85% | 5.81% | 63% | $569,123 |
| (0.53) | $7.21 | 15.74% | 0.87% | 0.86% | 6.43% | 75% | $623,113 |
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017
| 21 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – High Yield Bond Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers Class 1, Class 2 and Class 3 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Fund directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to the Fund. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Debt securities generally are valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized cost value, unless this method results in a valuation that management believes does not approximate market value.
Senior loan securities for which reliable market quotations are readily available are generally valued by pricing services at the average of the bids received.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
Futures and options on futures contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of transactions, at the mean of the latest quoted bid and ask prices.
| 22 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Derivative instruments
The Fund invests in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract; therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017
| 23 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In addition to considering counterparty credit risk, the Fund would consider terminating the derivatives contracts based on whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage the duration and yield curve exposure of the Fund versus the benchmark and to manage exposure to movements in interest rates. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Interest rate risk | Net assets — unrealized appreciation on futures contracts | 39,108* |
| 24 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Interest rate risk | (251,953) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Interest rate risk | (28,275) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — short | 15,822,547 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2017. |
Investments in senior loans
The Fund may invest in senior loan assignments. When the Fund purchases an assignment of a senior loan, the Fund typically has direct rights against the borrower; provided, however, that the Fund’s rights may be more limited than the lender from which it acquired the assignment and the Fund may be able to enforce its rights only through an administrative agent. Although certain senior loan assignments are secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor. In the event that the administrator or collateral agent of a loan becomes insolvent or enters into receivership or bankruptcy, the Fund may incur costs and delays in realizing payment or may suffer a loss of principal and/or interest. The risk of loss is greater for unsecured or subordinated loans. In addition, senior loan assignments are vulnerable to market, economic or other conditions or events that may reduce the demand for senior loan assignments and certain senior loan assignments which were liquid when purchased, may become illiquid.
The Fund may enter into senior loan assignments where all or a portion of the loan may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments are generally traded and priced in the same manner as other senior loan securities and are disclosed as unfunded senior loan commitments in the Fund’s Portfolio of Investments with a corresponding payable for investments purchased. The Fund designates cash or liquid securities to cover these commitments.
Delayed delivery securities
The Fund may trade securities on other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017
| 25 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The trade date for senior loans purchased in the primary market is the date on which the loan is allocated. The trade date for senior loans purchased in the secondary market is the date on which the transaction is entered into.
Income recognition
Interest income is recorded on an accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted.
The Fund may place a debt security on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Corporate actions and dividend income are recorded on the ex-dividend date.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds, other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information on the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by the Fund’s management. Management’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities, the proceeds are recorded as realized gains.
The value of additional securities received as an income payment is recorded as income and increases the cost basis of such securities.
The Fund may receive other income from senior loans, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income in the Statement of Operations.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its taxable income, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, because the Fund meets the exception under Internal Revenue Code Section 4982(f), the Fund expects not to be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Distributions to subaccounts
Distributions to the subaccounts of Contracts, Qualified Plans and Qualified Investors are recorded at the close of business on the record date and are payable on the first business day following the record date. Dividends from net investment income, if any, are declared and distributed annually. Capital gains distributions, when available, will be made annually.
| 26 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
However, an additional capital gain distribution may be made during the fiscal year in order to comply with the Internal Revenue Code, as applicable to registered investment companies. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. All dividends and distributions are reinvested in additional shares of the applicable share class of the Fund at the net asset value as of the ex-dividend date of the distribution.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.66% to 0.40% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2017 was 0.65% of the Fund’s average daily net assets.
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017
| 27 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of the Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, the Fund no longer pays a transfer agency fee.
Distribution fees
The Fund has an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, the Fund pays a fee at an annual rate of up to 0.25% of the Fund’s average daily net assets attributable to Class 2 shares and an annual rate of up to 0.125% of the Fund’s average daily net assets attributable to Class 3 shares. The Fund pays no distribution and service fees for Class 1 shares.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | Fee rates contractual
through
April 30, 2018 |
| Class 1 | 0.76% |
| Class 2 | 1.01 |
| Class 3 | 0.885 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
| 28 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
At June 30, 2017, the approximate cost of investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($) | Gross unrealized
appreciation ($) | Gross unrealized
(depreciation) ($) | Net unrealized
appreciation ($) |
| 427,258,000 | 19,299,000 | (6,298,000) | 13,001,000 |
The following capital loss carryforwards, determined at December 31, 2016, may be available to reduce taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. Capital loss carryforwards with no expiration are required to be utilized prior to any capital losses which carry an expiration date. As a result of this ordering rule, capital loss carryforwards which carry an expiration date may be more likely to expire unused.
| 2017 ($) | No expiration
short-term ($) | No expiration
long-term ($) | Total ($) |
| 72,257,550 | 3,724,859 | 3,404,149 | 79,386,558 |
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $123,244,011 and $145,548,287, respectively, for the six months ended June 30, 2017. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017
| 29 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Note 8. Significant risks
Credit risk
Credit risk is the risk that the value of debt securities in the Fund’s portfolio may decline because the issuer may default and fail to pay interest or repay principal when due. Rating agencies assign credit ratings to debt securities to indicate their credit risk. Lower rated or unrated debt securities held by the Fund may present increased credit risk as compared to higher-rated debt securities.
High-yield investments risk
Securities and other debt instruments held by the Fund that are rated below investment grade (commonly called "high-yield" or "junk" bonds) and unrated debt instruments of comparable quality expose the Fund to a greater risk of loss of principal and income than a fund that invests solely or primarily in investment grade securities. In addition, these investments have greater price fluctuations, are less liquid and are more likely to experience a default than higher-rated debt instruments. High-yield debt instruments are considered to be predominantly speculative with respect to the issuer’s capacity to pay interest and repay principal.
Interest rate risk
Interest rate risk is the risk of losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise. Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates.
Liquidity risk
Liquidity risk is the risk associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another, more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Shareholder concentration risk
At June 30, 2017, affiliated shareholders of record owned 98.9% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 9. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Note 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and
| 30 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017
| 31 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio – High Yield Bond Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as their history, reputation, expertise, resources and capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, the relatively recent change in the leadership of equity department oversight, and the various technological enhancements that had been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
| 32 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed that the Fund’s investment performance met expectations.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by Columbia Threadneedle and discussed differences in how the products are managed and operated, noting no unreasonable differences in the levels of contractual management fees.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was somewhat higher than the median ratio, but lower than the 60th percentile of the Fund’s peer universe. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017
| 33 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as the Fund grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
| 34 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2017
| 35 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – High Yield Bond Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio – Large Cap Growth Fund
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 Insured • No bank guarantee • May lose value
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017
Fund at a Glance
(Unaudited)
Investment objective
Columbia Variable Portfolio – Large Cap Growth Fund (the Fund) seeks to provide shareholders with long-term capital growth.
Portfolio management
John Wilson, CFA
Lead manager
Managed Fund since 2010
Peter Deininger, CFA, CAIA
Co-manager
Managed Fund since 2010
Tchintcia Barros, CFA
Co-manager
Managed Fund since 2015
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 * | 05/03/10 | 17.05 | 23.07 | 15.50 | 6.93 |
| Class 2 * | 05/03/10 | 16.95 | 22.78 | 15.21 | 6.69 |
| Class 3 | 09/15/99 | 16.94 | 23.00 | 15.34 | 6.85 |
| Russell 1000 Growth Index | | 13.99 | 20.42 | 15.30 | 8.91 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit investor.columbiathreadneedleus.com/investment-products/variable-products/appended-performance for more information. |
The Russell 1000 Growth Index, an unmanaged index, measures the performance of those Russell 1000 Index companies with higher price-to-book ratios and higher forecasted growth values.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at June 30, 2017) |
| Apple, Inc. | 4.8 |
| Microsoft Corp. | 4.7 |
| Amazon.com, Inc. | 4.1 |
| Facebook, Inc., Class A | 3.8 |
| Visa, Inc., Class A | 3.4 |
| Alphabet, Inc., Class A | 3.1 |
| Alphabet, Inc., Class C | 2.9 |
| Comcast Corp., Class A | 2.8 |
| FedEx Corp. | 2.2 |
| PepsiCo, Inc. | 2.1 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 99.2 |
| Money Market Funds | 0.8 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 19.1 |
| Consumer Staples | 6.9 |
| Energy | 1.0 |
| Financials | 4.5 |
| Health Care | 17.2 |
| Industrials | 10.5 |
| Information Technology | 36.1 |
| Materials | 1.8 |
| Real Estate | 2.9 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Class 1 | 1,000.00 | 1,000.00 | 1,170.50 | 1,021.09 | 4.17 | 3.88 | 0.77 |
| Class 2 | 1,000.00 | 1,000.00 | 1,169.50 | 1,019.85 | 5.52 | 5.14 | 1.02 |
| Class 3 | 1,000.00 | 1,000.00 | 1,169.40 | 1,020.49 | 4.81 | 4.48 | 0.89 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
| 4 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017 |
Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 98.8% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 18.9% |
| Hotels, Restaurants & Leisure 4.0% |
| Norwegian Cruise Line Holdings Ltd.(a) | 285,061 | 15,475,962 |
| Starbucks Corp. | 360,955 | 21,047,286 |
| Yum China Holdings, Inc.(a) | 278,339 | 10,974,907 |
| Yum! Brands, Inc. | 278,339 | 20,530,284 |
| Total | | 68,028,439 |
| Household Durables 2.0% |
| Mohawk Industries, Inc.(a) | 64,874 | 15,679,397 |
| Newell Brands, Inc. | 346,604 | 18,584,906 |
| Total | | 34,264,303 |
| Internet & Direct Marketing Retail 6.5% |
| Amazon.com, Inc.(a) | 70,332 | 68,081,376 |
| Expedia, Inc. | 118,644 | 17,672,024 |
| Priceline Group, Inc. (The)(a) | 12,494 | 23,370,277 |
| Total | | 109,123,677 |
| Media 3.9% |
| Comcast Corp., Class A | 1,179,604 | 45,910,188 |
| DISH Network Corp., Class A(a) | 309,986 | 19,454,721 |
| Total | | 65,364,909 |
| Multiline Retail 1.0% |
| Dollar General Corp. | 232,034 | 16,727,331 |
| Specialty Retail 1.5% |
| TJX Companies, Inc. (The) | 351,753 | 25,386,014 |
| Total Consumer Discretionary | 318,894,673 |
| Consumer Staples 6.9% |
| Beverages 2.1% |
| PepsiCo, Inc. | 306,219 | 35,365,232 |
| Food & Staples Retailing 3.3% |
| Costco Wholesale Corp. | 135,039 | 21,596,788 |
| SYSCO Corp. | 455,464 | 22,923,503 |
| Wal-Mart Stores, Inc. | 139,231 | 10,537,002 |
| Total | | 55,057,293 |
| Tobacco 1.5% |
| Philip Morris International, Inc. | 219,229 | 25,748,446 |
| Total Consumer Staples | 116,170,971 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Energy 1.0% |
| Oil, Gas & Consumable Fuels 1.0% |
| Cimarex Energy Co. | 69,386 | 6,522,978 |
| Hess Corp. | 241,331 | 10,587,191 |
| Total | | 17,110,169 |
| Total Energy | 17,110,169 |
| Financials 4.4% |
| Capital Markets 4.4% |
| Bank of New York Mellon Corp. (The) | 523,008 | 26,683,868 |
| BlackRock, Inc. | 35,894 | 15,161,985 |
| Charles Schwab Corp. (The) | 196,028 | 8,421,363 |
| Goldman Sachs Group, Inc. (The) | 109,046 | 24,197,307 |
| Total | | 74,464,523 |
| Total Financials | 74,464,523 |
| Health Care 17.0% |
| Biotechnology 8.8% |
| AbbVie, Inc. | 374,764 | 27,174,138 |
| ACADIA Pharmaceuticals, Inc.(a) | 90,167 | 2,514,758 |
| Alexion Pharmaceuticals, Inc.(a) | 188,152 | 22,892,454 |
| Biogen, Inc.(a) | 89,033 | 24,159,995 |
| bluebird bio, Inc.(a) | 23,274 | 2,444,934 |
| Celgene Corp.(a) | 210,753 | 27,370,492 |
| Clovis Oncology, Inc.(a) | 69,012 | 6,461,593 |
| Intercept Pharmaceuticals, Inc.(a) | 59,854 | 7,246,524 |
| TESARO, Inc.(a) | 33,392 | 4,670,205 |
| Vertex Pharmaceuticals, Inc.(a) | 181,604 | 23,403,307 |
| Total | | 148,338,400 |
| Health Care Equipment & Supplies 3.9% |
| Edwards Lifesciences Corp.(a) | 220,046 | 26,018,239 |
| Medtronic PLC | 235,297 | 20,882,609 |
| Zimmer Biomet Holdings, Inc. | 152,436 | 19,572,782 |
| Total | | 66,473,630 |
| Health Care Providers & Services 2.4% |
| Aetna, Inc. | 172,823 | 26,239,716 |
| Humana, Inc. | 58,582 | 14,096,001 |
| Total | | 40,335,717 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017
| 5 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Life Sciences Tools & Services 1.9% |
| Illumina, Inc.(a) | 55,188 | 9,576,222 |
| Thermo Fisher Scientific, Inc. | 125,327 | 21,865,801 |
| Total | | 31,442,023 |
| Total Health Care | 286,589,770 |
| Industrials 10.3% |
| Air Freight & Logistics 2.1% |
| FedEx Corp. | 168,096 | 36,532,304 |
| Airlines 1.3% |
| Alaska Air Group, Inc. | 240,773 | 21,611,784 |
| Commercial Services & Supplies 0.7% |
| Stericycle, Inc.(a) | 149,488 | 11,408,924 |
| Electrical Equipment 0.7% |
| Sensata Technologies Holding NV(a) | 272,674 | 11,648,633 |
| Industrial Conglomerates 2.0% |
| Honeywell International, Inc. | 256,296 | 34,161,694 |
| Machinery 2.4% |
| Cummins, Inc. | 115,187 | 18,685,635 |
| Stanley Black & Decker, Inc. | 36,733 | 5,169,435 |
| Xylem, Inc. | 303,093 | 16,800,445 |
| Total | | 40,655,515 |
| Road & Rail 1.1% |
| Kansas City Southern | 181,127 | 18,954,941 |
| Total Industrials | 174,973,795 |
| Information Technology 35.7% |
| Internet Software & Services 10.9% |
| Alibaba Group Holding Ltd., ADR(a) | 152,023 | 21,420,041 |
| Alphabet, Inc., Class A(a) | 55,524 | 51,619,553 |
| Alphabet, Inc., Class C(a) | 53,381 | 48,508,916 |
| Facebook, Inc., Class A(a) | 418,439 | 63,175,920 |
| Total | | 184,724,430 |
| IT Services 4.3% |
| FleetCor Technologies, Inc.(a) | 116,880 | 16,855,265 |
| Visa, Inc., Class A | 601,630 | 56,420,861 |
| Total | | 73,276,126 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Semiconductors & Semiconductor Equipment 7.0% |
| Broadcom Ltd. | 143,475 | 33,436,849 |
| Lam Research Corp. | 139,509 | 19,730,758 |
| MACOM Technology Solutions Holdings, Inc.(a) | 307,636 | 17,156,859 |
| Micron Technology, Inc.(a) | 547,244 | 16,340,706 |
| NVIDIA Corp. | 216,482 | 31,294,638 |
| Total | | 117,959,810 |
| Software 8.7% |
| Electronic Arts, Inc.(a) | 284,146 | 30,039,915 |
| Microsoft Corp. | 1,133,704 | 78,146,217 |
| Salesforce.com, Inc.(a) | 245,519 | 21,261,945 |
| ServiceNow, Inc.(a) | 163,172 | 17,296,232 |
| Total | | 146,744,309 |
| Technology Hardware, Storage & Peripherals 4.8% |
| Apple, Inc. | 560,992 | 80,794,068 |
| Total Information Technology | 603,498,743 |
| Materials 1.7% |
| Chemicals 1.7% |
| Eastman Chemical Co. | 350,195 | 29,412,878 |
| Total Materials | 29,412,878 |
| Real Estate 2.9% |
| Equity Real Estate Investment Trusts (REITS) 2.9% |
| American Tower Corp. | 173,850 | 23,003,832 |
| Equinix, Inc. | 59,332 | 25,462,921 |
| Total | | 48,466,753 |
| Total Real Estate | 48,466,753 |
Total Common Stocks
(Cost $1,305,745,908) | 1,669,582,275 |
|
| Money Market Funds 0.8% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(b),(c) | 13,005,310 | 13,005,310 |
Total Money Market Funds
(Cost $13,004,248) | 13,005,310 |
Total Investments
(Cost: $1,318,750,156) | 1,682,587,585 |
| Other Assets & Liabilities, Net | | 6,985,439 |
| Net Assets | 1,689,573,024 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 4,354,022 | 197,119,466 | (188,468,178) | 13,005,310 | (132) | 85,123 | 13,005,310 |
Abbreviation Legend
| ADR | American Depositary Receipt |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017
| 7 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 318,894,673 | — | — | — | 318,894,673 |
| Consumer Staples | 116,170,971 | — | — | — | 116,170,971 |
| Energy | 17,110,169 | — | — | — | 17,110,169 |
| Financials | 74,464,523 | — | — | — | 74,464,523 |
| Health Care | 286,589,770 | — | — | — | 286,589,770 |
| Industrials | 174,973,795 | — | — | — | 174,973,795 |
| Information Technology | 603,498,743 | — | — | — | 603,498,743 |
| Materials | 29,412,878 | — | — | — | 29,412,878 |
| Real Estate | 48,466,753 | — | — | — | 48,466,753 |
| Total Common Stocks | 1,669,582,275 | — | — | — | 1,669,582,275 |
| Money Market Funds | — | — | — | 13,005,310 | 13,005,310 |
| Total Investments | 1,669,582,275 | — | — | 13,005,310 | 1,682,587,585 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $1,305,745,908 |
| Affiliated issuers, at cost | 13,004,248 |
| Total investments, at cost | 1,318,750,156 |
| Investments, at value | |
| Unaffiliated issuers, at value | 1,669,582,275 |
| Affiliated issuers, at value | 13,005,310 |
| Total investments, at value | 1,682,587,585 |
| Cash | 671 |
| Receivable for: | |
| Investments sold | 14,828,323 |
| Capital shares sold | 28,658 |
| Dividends | 937,480 |
| Expense reimbursement due from Investment Manager | 1,414 |
| Prepaid expenses | 1 |
| Trustees’ deferred compensation plan | 10,420 |
| Total assets | 1,698,394,552 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 4,397,471 |
| Capital shares purchased | 3,016,634 |
| Management services fees | 998,562 |
| Distribution and/or service fees | 48,188 |
| Transfer agent fees | 84,702 |
| Compensation of board members | 212,000 |
| Compensation of chief compliance officer | 191 |
| Other expenses | 53,360 |
| Trustees’ deferred compensation plan | 10,420 |
| Total liabilities | 8,821,528 |
| Net assets applicable to outstanding capital stock | $1,689,573,024 |
| Represented by | |
| Trust capital | $1,689,573,024 |
| Total - representing net assets applicable to outstanding capital stock | $1,689,573,024 |
| Class 1 | |
| Net assets | $1,346,483,216 |
| Shares outstanding | 87,937,375 |
| Net asset value per share | $15.31 |
| Class 2 | |
| Net assets | $117,085,627 |
| Shares outstanding | 7,785,796 |
| Net asset value per share | $15.04 |
| Class 3 | |
| Net assets | $226,004,181 |
| Shares outstanding | 14,878,767 |
| Net asset value per share | $15.19 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017
| 9 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $9,956,575 |
| Dividends — affiliated issuers | 85,123 |
| Total income | 10,041,698 |
| Expenses: | |
| Management services fees | 5,882,414 |
| Distribution and/or service fees | |
| Class 2 | 144,252 |
| Class 3 | 137,460 |
| Transfer agent fees | |
| Class 1 | 396,276 |
| Class 2 | 34,620 |
| Class 3 | 65,978 |
| Compensation of board members | 30,572 |
| Custodian fees | 11,129 |
| Printing and postage fees | 37,636 |
| Audit fees | 15,638 |
| Legal fees | 9,295 |
| Compensation of chief compliance officer | 180 |
| Other | 19,149 |
| Total expenses | 6,784,599 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (148,370) |
| Total net expenses | 6,636,229 |
| Net investment income | 3,405,469 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 78,851,574 |
| Investments — affiliated issuers | (132) |
| Foreign currency translations | 108 |
| Net realized gain | 78,851,550 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 177,075,330 |
| Investments — affiliated issuers | 1,062 |
| Net change in unrealized appreciation (depreciation) | 177,076,392 |
| Net realized and unrealized gain | 255,927,942 |
| Net increase in net assets resulting from operations | $259,333,411 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment income | $3,405,469 | $9,122,226 |
| Net realized gain | 78,851,550 | 31,431,408 |
| Net change in unrealized appreciation (depreciation) | 177,076,392 | (22,115,104) |
| Net increase in net assets resulting from operations | 259,333,411 | 18,438,530 |
| Increase (decrease) in net assets from capital stock activity | (153,357,884) | 81,610,395 |
| Total increase in net assets | 105,975,527 | 100,048,925 |
| Net assets at beginning of period | 1,583,597,497 | 1,483,548,572 |
| Net assets at end of period | $1,689,573,024 | $1,583,597,497 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017
| 11 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 108,115 | 1,518,318 | 26,167,096 | 336,573,173 |
| Fund reorganization | — | — | 4,645,056 | 57,523,365 |
| Redemptions | (9,022,426) | (129,162,809) | (26,728,357) | (337,881,144) |
| Net increase (decrease) | (8,914,311) | (127,644,491) | 4,083,795 | 56,215,394 |
| Class 2 | | | | |
| Subscriptions | 296,870 | 4,186,737 | 784,093 | 9,737,704 |
| Fund reorganization | — | — | 6,530,458 | 79,626,792 |
| Redemptions | (970,404) | (13,879,616) | (1,433,762) | (17,979,246) |
| Net increase (decrease) | (673,534) | (9,692,879) | 5,880,789 | 71,385,250 |
| Class 3 | | | | |
| Subscriptions | 63,509 | 896,437 | 77,261 | 916,850 |
| Redemptions | (1,183,543) | (16,916,951) | (3,723,796) | (46,907,099) |
| Net decrease | (1,120,034) | (16,020,514) | (3,646,535) | (45,990,249) |
| Total net increase (decrease) | (10,707,879) | (153,357,884) | 6,318,049 | 81,610,395 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017 |
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Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017
| 13 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain | Total from
investment
operations |
| Class 1 |
| 6/30/2017 (c) | $13.08 | 0.03 | 2.20 | 2.23 |
| 12/31/2016 | $12.92 | 0.09 | 0.07 | 0.16 |
| 12/31/2015 | $11.84 | 0.03 | 1.05 | 1.08 |
| 12/31/2014 | $10.37 | 0.06 | 1.41 | 1.47 |
| 12/31/2013 | $7.95 | 0.05 | 2.37 | 2.42 |
| 12/31/2012 | $6.61 | 0.05 | 1.29 | 1.34 |
| Class 2 |
| 6/30/2017 (c) | $12.86 | 0.01 | 2.17 | 2.18 |
| 12/31/2016 | $12.73 | 0.04 | 0.09 | 0.13 |
| 12/31/2015 | $11.70 | 0.00 (e) | 1.03 | 1.03 |
| 12/31/2014 | $10.27 | 0.04 | 1.39 | 1.43 |
| 12/31/2013 | $7.90 | 0.03 | 2.34 | 2.37 |
| 12/31/2012 | $6.58 | 0.03 | 1.29 | 1.32 |
| Class 3 |
| 6/30/2017 (c) | $12.99 | 0.02 | 2.18 | 2.20 |
| 12/31/2016 | $12.84 | 0.07 | 0.08 | 0.15 |
| 12/31/2015 | $11.78 | 0.01 | 1.05 | 1.06 |
| 12/31/2014 | $10.33 | 0.05 | 1.40 | 1.45 |
| 12/31/2013 | $7.93 | 0.04 | 2.36 | 2.40 |
| 12/31/2012 | $6.60 | 0.04 | 1.29 | 1.33 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Rounds to zero. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income (loss)
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $15.31 | 17.05% | 0.79% (d) | 0.77% (d) | 0.44% (d) | 15% | $1,346,483 |
| $13.08 | 1.24% | 0.80% | 0.77% | 0.69% | 54% | $1,267,016 |
| $12.92 | 9.12% | 0.80% | 0.79% | 0.23% | 56% | $1,198,464 |
| $11.84 | 14.18% | 0.80% | 0.79% | 0.59% | 71% | $1,003,539 |
| $10.37 | 30.44% | 0.81% | 0.79% | 0.55% | 93% | $1,166,312 |
| $7.95 | 20.27% | 0.88% | 0.78% | 0.64% | 102% | $46,512 |
| |
| $15.04 | 16.95% | 1.03% (d) | 1.02% (d) | 0.20% (d) | 15% | $117,086 |
| $12.86 | 1.02% | 1.05% | 1.01% | 0.35% | 54% | $108,824 |
| $12.73 | 8.80% | 1.05% | 1.04% | (0.02%) | 56% | $32,835 |
| $11.70 | 13.92% | 1.05% | 1.04% | 0.36% | 71% | $18,783 |
| $10.27 | 30.00% | 1.06% | 1.04% | 0.28% | 93% | $14,196 |
| $7.90 | 20.06% | 1.13% | 1.03% | 0.43% | 102% | $9,741 |
| |
| $15.19 | 16.94% | 0.91% (d) | 0.89% (d) | 0.32% (d) | 15% | $226,004 |
| $12.99 | 1.17% | 0.92% | 0.89% | 0.55% | 54% | $207,757 |
| $12.84 | 9.00% | 0.92% | 0.92% | 0.10% | 56% | $252,250 |
| $11.78 | 14.04% | 0.93% | 0.91% | 0.47% | 71% | $227,180 |
| $10.33 | 30.26% | 0.94% | 0.92% | 0.40% | 93% | $224,919 |
| $7.93 | 20.15% | 1.00% | 0.91% | 0.52% | 102% | $194,870 |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017
| 15 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Large Cap Growth Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers Class 1, Class 2 and Class 3 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Fund directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to the Fund. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are generally determined at 4:00 p.m. Eastern (U.S.) time. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees, including, if available, utilizing a third party pricing service to determine these fair values. The third party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
| 16 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Foreign currency transactions and translations
The values of all assets and liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains (losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes, the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds, other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information on the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by the Fund’s management. Management’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities, the proceeds are recorded as realized gains.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017
| 17 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund is treated as a partnership for federal income tax purposes, and the Fund does not expect to make regular distributions. The Fund will not be subject to federal income tax, and therefore, there is no provision for federal income taxes. The partners of the Fund are subject to tax on their distributive share of the Fund’s income and loss. The components of the Fund’s net assets are reported at the partner-level for federal income tax purposes, and therefore, are not presented in the Statement of Assets and Liabilities.
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.77% to 0.57% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2017 was 0.71% of the Fund’s average daily net assets.
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
| 18 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of the Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, the Fund no longer pays a transfer agency fee.
Distribution fees
The Fund has an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, the Fund pays a fee at an annual rate of up to 0.25% of the Fund’s average daily net assets attributable to Class 2 shares and an annual rate of up to 0.125% of the Fund’s average daily net assets attributable to Class 3 shares. The Fund pays no distribution and service fees for Class 1 shares.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | May 1, 2017
through
April 30, 2018 | Prior to
May 1, 2017 |
| Class 1 | 0.78% | 0.76% |
| Class 2 | 1.03 | 1.01 |
| Class 3 | 0.905 | 0.885 |
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017
| 19 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The Fund had a voluntary expense reimbursement arrangement from May 1, 2017 to June 30, 2017. The annual limitation rates were the same under the voluntary expense reimbursement arrangement, which changed to a contractual arrangement on July 1, 2017 through April 30, 2018.
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $250,811,612 and $411,136,419, respectively, for the six months ended June 30, 2017. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 5. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 6. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
Note 7. Fund reorganization
At the close of business on April 29, 2016, the Fund acquired the assets and assumed the identified liabilities of Columbia Variable Portfolio — Large Cap Growth Fund II and Columbia Variable Portfolio — Large Cap Growth Fund III, both a series of Columbia Funds Variable Insurance Trust I (the Acquired Funds). The reorganization was completed after shareholders of the Acquired Funds approved a plan of reorganization on April 15, 2016. The purpose of the transaction was to combine three funds managed by the Investment Manager with comparable investment objectives and strategies.
The aggregate net assets of the Fund immediately before the reorganization were $1,362,546,316 and the combined net assets immediately after the reorganization were $1,499,696,473.
| 20 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The reorganization was accomplished by a tax-free exchange of 8,190,431 shares of Columbia Variable Portfolio — Large Cap Growth Fund II valued at $85,358,898 (including $6,204,516 of unrealized appreciation) and 5,478,954 shares of Columbia Variable Portfolio — Large Cap Growth Fund III valued at $51,791,259 (including $4,253,941 of unrealized appreciation).
In exchange for the Acquired Funds’ shares, the Fund issued the following number of shares:
| | Shares |
| Class 1 | 4,645,056 |
| Class 2 | 6,530,458 |
For financial reporting purposes, net assets received and shares issued by the Fund were recorded at fair value; however, the Acquired Funds’ cost of investments was carried forward.
The Fund’s financial statements reflect both the operations of the Fund for the period prior to the reorganization and the combined Fund for the period subsequent to the reorganization. Because the combined investment portfolios have been managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Funds that have been included in the combined Fund’s Statement of Operations since the reorganization was completed.
Assuming the reorganization had been completed on January 1, 2016, the Fund’s pro-forma net investment income, net gain on investments, net change in unrealized appreciation and net increase in net assets from operations for the year ended December 31, 2016 would have been approximately $9.3 million, $35.1 million, $(33.9) million and $10.5 million, respectively.
Note 8. Significant risks
Shareholder concentration risk
At June 30, 2017, affiliated shareholders of record owned 88.8% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Technology and technology-related investment risk
The Fund may be more susceptible to the particular risks that may affect companies in the information technology sector, as well as other technology-related sectors (collectively, the technology sectors) than if it were invested in a wider variety of companies in unrelated sectors. Companies in the technology sectors are subject to certain risks, including the risk that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete. Performance of such companies may be affected by factors including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for market share and short product cycles due to an accelerated rate of technological developments. Such competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their securities may fall or fail to rise. In addition, many technology sector companies have limited operating histories and prices of these companies’ securities historically have been more volatile than other securities, especially over the short term.
Note 9. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017
| 21 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Note 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
| 22 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio - Large Cap Growth Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as their history, reputation, expertise, resources and capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, the relatively recent change in the leadership of equity department oversight, and the various technological enhancements that had been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017
| 23 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed that the Fund’s investment performance met expectations.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by Columbia Threadneedle and discussed differences in how the products are managed and operated, noting no unreasonable differences in the levels of contractual management fees.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
| 24 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as the Fund grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017
| 25 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
| 26 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2017 |
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Columbia Variable Portfolio – Large Cap Growth Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio – Dividend Opportunity Fund
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 Insured • No bank guarantee • May lose value
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017
Fund at a Glance
(Unaudited)
Investment objective
Columbia Variable Portfolio – Dividend Opportunity Fund (the Fund) seeks to provide shareholders with a high level of current income and, as a secondary objective, steady growth of capital.
Portfolio management
Steven Schroll
Co-manager
Managed Fund since 2003
Paul Stocking
Co-manager
Managed Fund since 2006
Dean Ramos, CFA
Co-manager
Managed Fund since 2013
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 * | 05/03/10 | 5.11 | 8.24 | 11.39 | 4.23 |
| Class 2 * | 05/03/10 | 4.97 | 7.95 | 11.12 | 4.00 |
| Class 3 | 09/15/99 | 5.06 | 8.07 | 11.26 | 4.13 |
| MSCI USA High Dividend Yield Index (Net) | | 7.28 | 12.00 | 12.90 | 7.25 |
| Russell 1000 Value Index | | 4.66 | 15.53 | 13.94 | 5.57 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit investor.columbiathreadneedleus.com/investment-products/variable-products/appended-performance for more information. |
The MSCI USA High Dividend Yield Index (Net) is composed of those securities in the MSCI USA Index that have higher-than-average dividend yield (e.g. 30% higher than that of the MSCI USA Index), a track record of consistent dividend payments and the capacity to sustain future dividend payments. The MSCI USA Index is a free float adjusted market capitalization index that is designed to measure large- and mid-cap U.S. equity market performance.
The Russell 1000 Value Index, an unmanaged index, measures the performance of those stocks in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI USA High Dividend Yield Index (Net), which reflects reinvested dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at June 30, 2017) |
| Philip Morris International, Inc. | 6.9 |
| AT&T, Inc. | 4.6 |
| Altria Group, Inc. | 4.5 |
| Intel Corp. | 3.9 |
| Chevron Corp. | 3.8 |
| Cisco Systems, Inc. | 3.4 |
| Merck & Co., Inc. | 2.9 |
| Occidental Petroleum Corp. | 2.9 |
| Pfizer, Inc. | 2.9 |
| Dow Chemical Co. (The) | 2.5 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 94.1 |
| Equity-Linked Notes | 5.4 |
| Money Market Funds | 0.5 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 4.9 |
| Consumer Staples | 16.2 |
| Energy | 18.9 |
| Financials | 3.7 |
| Health Care | 12.9 |
| Industrials | 2.7 |
| Information Technology | 14.8 |
| Materials | 5.3 |
| Telecommunication Services | 10.2 |
| Utilities | 10.4 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Class 1 | 1,000.00 | 1,000.00 | 1,051.10 | 1,021.24 | 3.78 | 3.73 | 0.74 |
| Class 2 | 1,000.00 | 1,000.00 | 1,049.70 | 1,020.00 | 5.06 | 4.99 | 0.99 |
| Class 3 | 1,000.00 | 1,000.00 | 1,050.60 | 1,020.59 | 4.45 | 4.38 | 0.87 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
| 4 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017 |
Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 93.4% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 4.5% |
| Hotels, Restaurants & Leisure 1.1% |
| Las Vegas Sands Corp. | 308,359 | 19,701,056 |
| Household Durables 0.8% |
| Whirlpool Corp. | 74,478 | 14,271,474 |
| Media 0.4% |
| ProSiebenSat.1 Media AG | 172,441 | 7,216,374 |
| Multiline Retail 2.2% |
| Kohl’s Corp. | 336,573 | 13,015,278 |
| Target Corp. | 498,010 | 26,040,943 |
| Total | | 39,056,221 |
| Total Consumer Discretionary | 80,245,125 |
| Consumer Staples 15.1% |
| Household Products 1.2% |
| Procter & Gamble Co. (The) | 241,745 | 21,068,077 |
| Tobacco 13.9% |
| Altria Group, Inc. | 1,063,331 | 79,186,260 |
| Imperial Brands PLC | 803,600 | 36,093,675 |
| Philip Morris International, Inc. | 1,025,469 | 120,441,334 |
| Reynolds American, Inc. | 159,857 | 10,397,099 |
| Total | | 246,118,368 |
| Total Consumer Staples | 267,186,445 |
| Energy 17.7% |
| Energy Equipment & Services 1.4% |
| Baker Hughes, Inc. | 437,259 | 23,834,988 |
| Oil, Gas & Consumable Fuels 16.3% |
| BP PLC, ADR | 1,101,835 | 38,178,583 |
| Chevron Corp. | 639,868 | 66,757,429 |
| Devon Energy Corp. | 231,977 | 7,416,305 |
| Enbridge, Inc. | 132,456 | 5,273,073 |
| ENI SpA | 1,182,333 | 17,771,280 |
| Exxon Mobil Corp. | 320,953 | 25,910,536 |
| Occidental Petroleum Corp. | 830,362 | 49,713,773 |
| Royal Dutch Shell PLC, Class A | 967,618 | 25,646,570 |
| Total SA | 496,020 | 24,522,211 |
| Valero Energy Corp. | 404,683 | 27,299,915 |
| Total | | 288,489,675 |
| Total Energy | 312,324,663 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Financials 3.5% |
| Banks 2.3% |
| Bank of America Corp. | 70,878 | 1,719,500 |
| JPMorgan Chase & Co. | 319,815 | 29,231,091 |
| PacWest Bancorp | 194,074 | 9,063,256 |
| Total | | 40,013,847 |
| Capital Markets —% |
| Morgan Stanley | 2,011 | 89,610 |
| Insurance 1.2% |
| Prudential Financial, Inc. | 197,583 | 21,366,626 |
| Total Financials | 61,470,083 |
| Health Care 12.1% |
| Biotechnology 1.1% |
| AbbVie, Inc. | 269,680 | 19,554,497 |
| Pharmaceuticals 11.0% |
| GlaxoSmithKline PLC | 1,254,501 | 26,722,833 |
| Johnson & Johnson | 277,555 | 36,717,751 |
| Merck & Co., Inc. | 796,241 | 51,031,086 |
| Pfizer, Inc. | 1,479,441 | 49,694,423 |
| Sanofi | 92,811 | 8,878,899 |
| Teva Pharmaceutical Industries Ltd., ADR | 624,211 | 20,736,290 |
| Total | | 193,781,282 |
| Total Health Care | 213,335,779 |
| Industrials 2.5% |
| Aerospace & Defense 1.4% |
| BAE Systems PLC | 2,199,755 | 18,150,219 |
| Lockheed Martin Corp. | 26,406 | 7,330,570 |
| Total | | 25,480,789 |
| Airlines —% |
| American Airlines Group, Inc. | 14,195 | 714,292 |
| Road & Rail 1.1% |
| Kansas City Southern | 182,897 | 19,140,171 |
| Total Industrials | 45,335,252 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017
| 5 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Information Technology 13.8% |
| Communications Equipment 5.2% |
| Cisco Systems, Inc. | 1,899,663 | 59,459,452 |
| Nokia OYJ | 2,867,817 | 17,540,175 |
| Telefonaktiebolaget LM Ericsson, Class B | 2,146,835 | 15,353,284 |
| Total | | 92,352,911 |
| IT Services 1.0% |
| International Business Machines Corp. | 114,453 | 17,606,305 |
| Semiconductors & Semiconductor Equipment 4.9% |
| Intel Corp. | 2,017,930 | 68,084,958 |
| QUALCOMM, Inc. | 334,273 | 18,458,555 |
| Total | | 86,543,513 |
| Software 2.7% |
| Microsoft Corp. | 610,005 | 42,047,645 |
| Oracle Corp. | 107,802 | 5,405,192 |
| Total | | 47,452,837 |
| Total Information Technology | 243,955,566 |
| Materials 5.0% |
| Chemicals 3.2% |
| CF Industries Holdings, Inc. | 216,780 | 6,061,169 |
| Dow Chemical Co. (The) | 683,664 | 43,118,688 |
| Eastman Chemical Co. | 81,710 | 6,862,823 |
| Total | | 56,042,680 |
| Containers & Packaging 1.5% |
| Graphic Packaging Holding Co. | 462,135 | 6,368,220 |
| International Paper Co. | 345,430 | 19,554,793 |
| Total | | 25,923,013 |
| Metals & Mining 0.3% |
| United States Steel Corp. | 266,360 | 5,897,210 |
| Total Materials | 87,862,903 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Telecommunication Services 9.5% |
| Diversified Telecommunication Services 8.3% |
| AT&T, Inc. | 2,142,180 | 80,824,451 |
| BCE, Inc. | 357,693 | 16,110,493 |
| CenturyLink, Inc. | 968,779 | 23,134,443 |
| Orange SA | 741,241 | 11,759,387 |
| Verizon Communications, Inc. | 334,085 | 14,920,236 |
| Total | | 146,749,010 |
| Wireless Telecommunication Services 1.2% |
| Vodafone Group PLC | 1,662,086 | 4,713,816 |
| Vodafone Group PLC, ADR | 599,042 | 17,210,476 |
| Total | | 21,924,292 |
| Total Telecommunication Services | 168,673,302 |
| Utilities 9.7% |
| Electric Utilities 7.5% |
| American Electric Power Co., Inc. | 284,806 | 19,785,473 |
| Duke Energy Corp. | 327,932 | 27,411,836 |
| Entergy Corp. | 173,675 | 13,333,030 |
| Exelon Corp. | 440,316 | 15,882,198 |
| PPL Corp. | 546,709 | 21,135,770 |
| Scottish & Southern Energy PLC | 490,542 | 9,283,308 |
| Xcel Energy, Inc. | 544,919 | 25,000,883 |
| Total | | 131,832,498 |
| Multi-Utilities 2.2% |
| Ameren Corp. | 291,742 | 15,949,535 |
| DTE Energy Co. | 116,015 | 12,273,227 |
| Veolia Environnement SA | 513,797 | 10,856,412 |
| Total | | 39,079,174 |
| Total Utilities | 170,911,672 |
Total Common Stocks
(Cost $1,496,779,211) | 1,651,300,790 |
| Equity-Linked Notes 5.4% |
| Issuer | Coupon
Rate | Shares | Value ($) |
| Credit Suisse AG(a) |
| (linked to common stock of CF Industries Holdings, Inc.) |
| 08/10/2017 | 20.800% | 240,634 | 6,491,103 |
| Deutsche Bank AG(a) |
| (linked to common stock of American Airlines Group, Inc.) |
| 08/30/2017 | 10.530% | 189,077 | 9,355,719 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Equity-Linked Notes (continued) |
| Issuer | Coupon
Rate | Shares | Value ($) |
| (linked to common stock of Bank of America Corp.) |
| 08/17/2017 | 6.570% | 733,799 | 17,686,537 |
| (linked to common stock of Goldman Sachs Group, Inc. (The)) |
| 08/17/2017 | 4.780% | 39,093 | 8,625,800 |
| (linked to common stock of Morgan Stanley) |
| 08/17/2017 | 6.450% | 420,442 | 18,472,282 |
| Goldman Sachs International(a) |
| (linked to common stock of Graphic Packaging Holding Co.) |
| 08/01/2017 | 8.220% | 562,580 | 7,762,976 |
| (linked to common stock of Nordstrom, Inc.) |
| 09/05/2017 | 13.900% | 217,760 | 9,721,978 |
| (linked to common stock of United Continental Holdings, Inc.) |
| 09/05/2017 | 10.560% | 112,375 | 8,546,902 |
| Royal Bank of Canada(a) |
| (linked to common stock of Anadarko Petroleum Corp.) |
| 08/09/2017 | 8.650% | 169,545 | 7,764,924 |
Total Equity-Linked Notes
(Cost $94,781,706) | 94,428,221 |
| Money Market Funds 0.5% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(b),(c) | 8,814,770 | 8,814,770 |
Total Money Market Funds
(Cost $8,813,888) | 8,814,770 |
Total Investments
(Cost: $1,600,374,805) | 1,754,543,781 |
| Other Assets & Liabilities, Net | | 13,147,564 |
| Net Assets | 1,767,691,345 |
Notes to Portfolio of Investments
| (a) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At June 30, 2017, the value of these securities amounted to $94,428,221, which represents 5.34% of net assets. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 57,804,356 | 344,774,210 | (393,763,796) | 8,814,770 | (6,530) | 139,740 | 8,814,770 |
Abbreviation Legend
| ADR | American Depositary Receipt |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017
| 7 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Foreign equity securities actively traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 73,028,751 | 7,216,374 | — | — | 80,245,125 |
| Consumer Staples | 231,092,770 | 36,093,675 | — | — | 267,186,445 |
| Energy | 244,384,602 | 67,940,061 | — | — | 312,324,663 |
| Financials | 61,470,083 | — | — | — | 61,470,083 |
| Health Care | 177,734,047 | 35,601,732 | — | — | 213,335,779 |
| Industrials | 27,185,033 | 18,150,219 | — | — | 45,335,252 |
| Information Technology | 211,062,107 | 32,893,459 | — | — | 243,955,566 |
| Materials | 87,862,903 | — | — | — | 87,862,903 |
| Telecommunication Services | 152,200,099 | 16,473,203 | — | — | 168,673,302 |
| Utilities | 150,771,952 | 20,139,720 | — | — | 170,911,672 |
| Total Common Stocks | 1,416,792,347 | 234,508,443 | — | — | 1,651,300,790 |
| Equity-Linked Notes | — | 94,428,221 | — | — | 94,428,221 |
| Money Market Funds | — | — | — | 8,814,770 | 8,814,770 |
| Total Investments | 1,416,792,347 | 328,936,664 | — | 8,814,770 | 1,754,543,781 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets. These assets include certain foreign securities for which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017
| 9 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $1,591,560,917 |
| Affiliated issuers, at cost | 8,813,888 |
| Total investments, at cost | 1,600,374,805 |
| Investments, at value | |
| Unaffiliated issuers, at value | 1,745,729,011 |
| Affiliated issuers, at value | 8,814,770 |
| Total investments, at value | 1,754,543,781 |
| Cash | 67,301 |
| Receivable for: | |
| Investments sold | 34,488,846 |
| Capital shares sold | 94,754 |
| Dividends | 5,107,890 |
| Interest | 463,900 |
| Foreign tax reclaims | 1,030,762 |
| Trustees’ deferred compensation plan | 11,045 |
| Total assets | 1,795,808,279 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 25,412,518 |
| Capital shares purchased | 1,164,986 |
| Management services fees | 963,389 |
| Distribution and/or service fees | 111,484 |
| Transfer agent fees | 88,430 |
| Compensation of board members | 230,215 |
| Compensation of chief compliance officer | 201 |
| Other expenses | 134,666 |
| Trustees’ deferred compensation plan | 11,045 |
| Total liabilities | 28,116,934 |
| Net assets applicable to outstanding capital stock | $1,767,691,345 |
| Represented by | |
| Trust capital | $1,767,691,345 |
| Total - representing net assets applicable to outstanding capital stock | $1,767,691,345 |
| Class 1 | |
| Net assets | $764,239,197 |
| Shares outstanding | 32,875,228 |
| Net asset value per share | $23.25 |
| Class 2 | |
| Net assets | $63,777,816 |
| Shares outstanding | 2,794,979 |
| Net asset value per share | $22.82 |
| Class 3 | |
| Net assets | $939,674,332 |
| Shares outstanding | 40,803,581 |
| Net asset value per share | $23.03 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $36,120,648 |
| Dividends — affiliated issuers | 139,740 |
| Interest | 5,500,902 |
| Foreign taxes withheld | (1,155,593) |
| Total income | 40,605,697 |
| Expenses: | |
| Management services fees | 5,828,026 |
| Distribution and/or service fees | |
| Class 2 | 78,025 |
| Class 3 | 602,276 |
| Transfer agent fees | |
| Class 1 | 226,927 |
| Class 2 | 18,725 |
| Class 3 | 289,083 |
| Compensation of board members | 33,517 |
| Custodian fees | 18,248 |
| Printing and postage fees | 124,729 |
| Audit fees | 32,457 |
| Legal fees | 9,761 |
| Compensation of chief compliance officer | 193 |
| Other | 33,625 |
| Total expenses | 7,295,592 |
| Net investment income | 33,310,105 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 69,925,364 |
| Investments — affiliated issuers | (6,530) |
| Foreign currency translations | 61,754 |
| Net realized gain | 69,980,588 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (14,957,717) |
| Investments — affiliated issuers | 882 |
| Foreign currency translations | 82,273 |
| Net change in unrealized appreciation (depreciation) | (14,874,562) |
| Net realized and unrealized gain | 55,106,026 |
| Net increase in net assets resulting from operations | $88,416,131 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017
| 11 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment income | $33,310,105 | $63,885,291 |
| Net realized gain | 69,980,588 | 20,538,461 |
| Net change in unrealized appreciation (depreciation) | (14,874,562) | 135,599,393 |
| Net increase in net assets resulting from operations | 88,416,131 | 220,023,145 |
| Decrease in net assets from capital stock activity | (89,805,153) | (137,850,998) |
| Total increase (decrease) in net assets | (1,389,022) | 82,172,147 |
| Net assets at beginning of period | 1,769,080,367 | 1,686,908,220 |
| Net assets at end of period | $1,767,691,345 | $1,769,080,367 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 34,640 | 790,614 | 910,100 | 18,109,149 |
| Redemptions | (724,979) | (16,474,371) | (1,147,384) | (24,201,061) |
| Net decrease | (690,339) | (15,683,757) | (237,284) | (6,091,912) |
| Class 2 | | | | |
| Subscriptions | 236,876 | 5,323,952 | 572,017 | 11,846,769 |
| Redemptions | (164,850) | (3,706,090) | (264,265) | (5,356,084) |
| Net increase | 72,026 | 1,617,862 | 307,752 | 6,490,685 |
| Class 3 | | | | |
| Subscriptions | 9,524 | 218,242 | 60,248 | 1,262,236 |
| Redemptions | (3,340,608) | (75,957,500) | (6,817,420) | (139,512,007) |
| Net decrease | (3,331,084) | (75,739,258) | (6,757,172) | (138,249,771) |
| Total net decrease | (3,949,397) | (89,805,153) | (6,686,704) | (137,850,998) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017
| 13 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| 6/30/2017 (c) | $22.12 | 0.44 | 0.69 | 1.13 |
| 12/31/2016 | $19.46 | 0.78 | 1.88 | 2.66 |
| 12/31/2015 | $19.99 | 0.73 | (1.26) | (0.53) |
| 12/31/2014 | $18.16 | 0.62 | 1.21 | 1.83 |
| 12/31/2013 | $14.32 | 0.45 | 3.39 | 3.84 |
| 12/31/2012 | $12.55 | 0.40 | 1.37 | 1.77 |
| Class 2 |
| 6/30/2017 (c) | $21.74 | 0.40 | 0.68 | 1.08 |
| 12/31/2016 | $19.17 | 0.72 | 1.85 | 2.57 |
| 12/31/2015 | $19.74 | 0.65 | (1.22) | (0.57) |
| 12/31/2014 | $17.98 | 0.57 | 1.19 | 1.76 |
| 12/31/2013 | $14.21 | 0.40 | 3.37 | 3.77 |
| 12/31/2012 | $12.48 | 0.37 | 1.36 | 1.73 |
| Class 3 |
| 6/30/2017 (c) | $21.92 | 0.42 | 0.69 | 1.11 |
| 12/31/2016 | $19.31 | 0.75 | 1.86 | 2.61 |
| 12/31/2015 | $19.86 | 0.68 | (1.23) | (0.55) |
| 12/31/2014 | $18.07 | 0.60 | 1.19 | 1.79 |
| 12/31/2013 | $14.26 | 0.42 | 3.39 | 3.81 |
| 12/31/2012 | $12.51 | 0.38 | 1.37 | 1.75 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $23.25 | 5.11% | 0.74% (d) | 0.74% (d) | 3.82% (d) | 37% | $764,239 |
| $22.12 | 13.67% | 0.74% | 0.74% | 3.78% | 64% | $742,337 |
| $19.46 | (2.65%) | 0.71% | 0.71% | 3.65% | 93% | $657,752 |
| $19.99 | 10.08% | 0.69% | 0.69% | 3.25% | 86% | $2,235,149 |
| $18.16 | 26.81% | 0.70% | 0.70% | 2.71% | 71% | $2,198,787 |
| $14.32 | 14.10% | 0.69% | 0.69% | 2.89% | 64% | $1,803,841 |
| |
| $22.82 | 4.97% | 0.99% (d) | 0.99% (d) | 3.57% (d) | 37% | $63,778 |
| $21.74 | 13.41% | 0.99% | 0.99% | 3.52% | 64% | $59,186 |
| $19.17 | (2.89%) | 0.98% | 0.98% | 3.33% | 93% | $46,304 |
| $19.74 | 9.79% | 0.94% | 0.94% | 3.01% | 86% | $44,491 |
| $17.98 | 26.53% | 0.95% | 0.95% | 2.46% | 71% | $33,741 |
| $14.21 | 13.86% | 0.94% | 0.94% | 2.69% | 64% | $18,873 |
| |
| $23.03 | 5.06% | 0.87% (d) | 0.87% (d) | 3.68% (d) | 37% | $939,674 |
| $21.92 | 13.52% | 0.87% | 0.87% | 3.66% | 64% | $967,557 |
| $19.31 | (2.77%) | 0.86% | 0.86% | 3.45% | 93% | $982,852 |
| $19.86 | 9.91% | 0.81% | 0.81% | 3.14% | 86% | $1,196,506 |
| $18.07 | 26.72% | 0.82% | 0.82% | 2.58% | 71% | $1,262,372 |
| $14.26 | 13.99% | 0.82% | 0.82% | 2.74% | 64% | $1,134,402 |
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017
| 15 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Dividend Opportunity Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers Class 1, Class 2 and Class 3 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Fund directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to the Fund. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are generally determined at 4:00 p.m. Eastern (U.S.) time. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees, including, if available, utilizing a third party pricing service to determine these fair values. The third party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
| 16 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Foreign currency transactions and translations
The values of all assets and liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains (losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes, the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Equity-linked notes
The Fund may invest in equity-linked notes (ELNs). An ELN is a debt instrument, generally valued based on a quotation received from a counterparty, which is based on the value of a single equity security, basket of equity securities or an index of equity securities (each, an Underlying Equity). An ELN typically provides interest income, thereby offering a yield advantage over investing directly in an Underlying Equity. However, the holder of an ELN may have limited or no benefit from any appreciation in the Underlying Equity, but is exposed to various risks, including, without limitation, volatility, issuer and market risk. The Fund may purchase ELNs that trade on a securities exchange or those that trade on the over-the-counter markets, including securities offered and sold under Rule 144A of the Securities Act of 1933, as amended. The Fund may also purchase an ELN in a privately negotiated transaction with the issuer of the ELN (or its broker-dealer affiliate).
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Interest income is recorded on an accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted.
The Fund may place a debt security on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017
| 17 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds, other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information on the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by the Fund’s management. Management’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities, the proceeds are recorded as realized gains.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund is treated as a partnership for federal income tax purposes, and the Fund does not expect to make regular distributions. The Fund will not be subject to federal income tax, and therefore, there is no provision for federal income taxes. The partners of the Fund are subject to tax on their distributive share of the Fund’s income and loss. The components of the Fund’s net assets are reported at the partner-level for federal income tax purposes, and therefore, are not presented in the Statement of Assets and Liabilities.
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
| 18 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.72% to 0.52% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2017 was 0.65% of the Fund’s average daily net assets.
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017
| 19 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of the Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, the Fund no longer pays a transfer agency fee.
Distribution fees
The Fund has an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, the Fund pays a fee at an annual rate of up to 0.25% of the Fund’s average daily net assets attributable to Class 2 shares and an annual rate of up to 0.125% of the Fund’s average daily net assets attributable to Class 3 shares. The Fund pays no distribution and service fees for Class 1 shares.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | Fee rates contractual
through
April 30, 2018 |
| Class 1 | 0.76% |
| Class 2 | 1.01 |
| Class 3 | 0.885 |
The Fund had a voluntary expense reimbursement arrangement from May 1, 2017 to June 30, 2017. The annual limitation rates were the same under the voluntary expense reimbursement arrangement, which changed to a contractual arrangement on July 1, 2017 through April 30, 2018.
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $636,920,026 and $655,034,426, respectively, for the six months ended June 30, 2017. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 5. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition,
| 20 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 6. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
Note 7. Significant risks
Foreign securities and emerging market countries risk
Investing in foreign securities may include certain risks and considerations not typically associated with investing in U.S. securities, such as fluctuating currency values and changing local and regional economic, political and social conditions, which may result in greater market volatility. In addition, certain foreign securities may not be as liquid as U.S. securities. Investing in emerging markets may accentuate these risks. These countries are also more likely to experience high levels of inflation, deflation or currency devaluation which could hurt their economies and securities markets. To the extent that the Fund concentrates its investment exposure to any one or a few specific countries, the Fund will be particularly susceptible to the various conditions, events or other factors impacting those countries and may, therefore, have a greater risk than that of a fund which is more geographically diversified.
Shareholder concentration risk
At June 30, 2017, affiliated shareholders of record owned 96.7% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 8. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Note 9. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017
| 21 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
| 22 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio - Dividend Opportunity Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as their history, reputation, expertise, resources and capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, the relatively recent change in the leadership of equity department oversight, and the various technological enhancements that had been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017
| 23 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed that the Fund’s investment performance was understandable in light of the particular management style involved and the particular market environment.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by Columbia Threadneedle and discussed differences in how the products are managed and operated, noting no unreasonable differences in the levels of contractual management fees.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
| 24 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as the Fund grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017
| 25 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
| 26 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2017 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – Dividend Opportunity Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio – U.S. Government Mortgage Fund
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 Insured • No bank guarantee • May lose value
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017
Fund at a Glance
(Unaudited)
Investment objective
Columbia Variable Portfolio – U.S. Government Mortgage Fund (the Fund) seeks to provide shareholders with current income as its primary objective and, as its secondary objective, preservation of capital.
Portfolio management
Jason Callan
Co-manager
Managed Fund since 2012
Tom Heuer, CFA
Co-manager
Managed Fund since 2012
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 * | 05/03/10 | 2.40 | 1.80 | 2.29 | 2.30 |
| Class 2 * | 05/03/10 | 2.14 | 1.55 | 2.02 | 2.07 |
| Class 3 | 09/15/99 | 2.27 | 1.68 | 2.14 | 2.20 |
| Bloomberg Barclays U.S. Mortgage-Backed Securities Index | | 1.35 | -0.06 | 2.00 | 4.31 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit investor.columbiathreadneedleus.com/investment-products/variable-products/appended-performance for more information. |
The Fund’s performance prior to May 2013 reflects returns achieved pursuant to a different investment objective and different principal investment strategies. If the Fund’s current investment objective and strategies had been in place for the prior periods, results shown may have been different.
The Bloomberg Barclays U.S. Mortgage-Backed Securities Index, an unmanaged index, includes 15- and 30-year fixed-rate securities backed by mortgage pools of the Government National Mortgage Association (GNMA), Federal Home Loan Mortgage Corporation (FHLMC), and Federal National Mortgage Association (FNMA).
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Asset-Backed Securities — Agency | 0.0 (a) |
| Asset-Backed Securities — Non-Agency | 4.2 |
| Commercial Mortgage-Backed Securities - Agency | 0.8 |
| Commercial Mortgage-Backed Securities - Non-Agency | 2.5 |
| Money Market Funds | 2.1 |
| Options Purchased Calls | 0.1 |
| Options Purchased Puts | 0.2 |
| Repurchase Agreements | 0.9 |
| Residential Mortgage-Backed Securities - Agency | 78.8 |
| Residential Mortgage-Backed Securities - Non-Agency | 10.4 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at June 30, 2017) |
| AAA rating | 83.4 |
| AA rating | 0.2 |
| A rating | 1.3 |
| BBB rating | 1.6 |
| BB rating | 2.0 |
| B rating | 0.7 |
| Not rated | 10.8 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments (excluding Money Market Funds).
Bond ratings apply to the underlying holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the middle rating of Moody’s, S&P and Fitch, after dropping the highest and lowest available ratings. When ratings are available from only two rating agencies, the lower rating is used. When a rating is available from only one rating agency, that rating is used. When a bond is not rated by any rating agency, it is designated as “Not rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g., interest rate and time to maturity) and the amount and type of any collateral.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Class 1 | 1,000.00 | 1,000.00 | 1,024.00 | 1,022.44 | 2.52 | 2.52 | 0.50 |
| Class 2 | 1,000.00 | 1,000.00 | 1,021.40 | 1,021.19 | 3.78 | 3.78 | 0.75 |
| Class 3 | 1,000.00 | 1,000.00 | 1,022.70 | 1,021.79 | 3.18 | 3.18 | 0.63 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
| 4 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017 |
Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Asset-Backed Securities — Agency 0.0% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| United States Small Business Administration |
| Series 2001-20H Class 1 |
| 08/01/2021 | 6.340% | | 15,795 | 16,586 |
Total Asset-Backed Securities — Agency
(Cost $15,795) | 16,586 |
|
| Asset-Backed Securities — Non-Agency 5.4% |
| | | | |
| Carlyle Global Market Strategies CLO(a),(b) |
| Series 2013-1A Class B |
| 02/14/2025 | 4.282% | | 3,600,000 | 3,602,477 |
| Carlyle Global Market Strategies CLO Ltd.(a),(b) |
| Series 2016-1A Class C |
| 04/20/2027 | 6.056% | | 2,000,000 | 2,024,158 |
| Conn Funding II LP(a) |
| Series 2017-A Class B |
| 05/15/2020 | 5.110% | | 3,000,000 | 3,010,372 |
| Conn’s Receivables Funding LLC(a) |
| Series 2016-B Class A |
| 10/15/2018 | 3.730% | | 348,829 | 349,384 |
| Series 2016-B Class B |
| 03/15/2019 | 7.340% | | 3,000,000 | 3,055,755 |
| Hertz Vehicle Financing II LP(a) |
| Subordinated, Series 2015-1A Class B |
| 03/25/2021 | 3.520% | | 4,000,000 | 4,008,410 |
| Hertz Vehicle Financing LLC(a) |
| Series 2016-4A Class A |
| 07/25/2022 | 2.650% | | 10,000,000 | 9,796,698 |
| Madison Park Funding Ltd.(a),(b) |
| Series 2015-18A Class C |
| 10/21/2026 | 4.156% | | 6,000,000 | 6,010,710 |
| Marlette Funding Trust(a),(c) |
| Subordinated, Series 2017-2A Class B |
| 07/15/2024 | 3.190% | | 2,790,000 | 2,789,721 |
| Nomad CLO Ltd.(a),(b) |
| Series 2013-1A Class B |
| 01/15/2025 | 4.108% | | 6,000,000 | 6,006,666 |
| Octagon Investment Partners 27 Ltd.(a),(b) |
| Series 2016-1A Class C |
| 07/15/2027 | 4.158% | | 2,500,000 | 2,517,780 |
| Octagon Investment Partners XV Ltd.(a),(b),(d) |
| Series 2013-1A Class DR |
| 07/19/2030 | 5.500% | | 1,650,000 | 1,650,000 |
| Octagon Investment Partners XXVI Ltd.(a),(b) |
| Series 2016-1A Class D |
| 04/15/2027 | 6.108% | | 4,000,000 | 4,044,864 |
| SoFi Professional Loan Program(a),(e),(f) |
| Series 2017-A Class R |
| 03/26/2040 | 0.000% | | 30,000 | 1,767,000 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| SoFi Professional Loan Program LLC(a),(c),(e),(f) |
| Series 2015-D Class RC |
| 10/26/2037 | 0.000% | | 3 | 2,070,000 |
| Series 2016-A Class RIO |
| 01/25/2038 | 0.000% | | 3 | 1,200,000 |
| Series 2016-A Class RPO |
| 01/25/2038 | 0.000% | | 4 | 2,840,000 |
| Series 2016-B Class RC |
| 04/25/2037 | 0.000% | | 2 | 1,170,000 |
Total Asset-Backed Securities — Non-Agency
(Cost $56,601,210) | 57,913,995 |
|
| Commercial Mortgage-Backed Securities - Agency 1.0% |
| | | | |
| Federal National Mortgage Association |
| 10/01/2019 | 4.420% | | 517,546 | 545,381 |
| 10/01/2019 | 4.430% | | 1,273,698 | 1,342,524 |
| 01/01/2020 | 4.570% | | 133,139 | 140,893 |
| 01/01/2020 | 4.600% | | 222,762 | 235,905 |
| 05/01/2024 | 5.030% | | 415,149 | 462,083 |
| Series 2017-T1 Class A |
| 06/25/2027 | 2.898% | | 8,000,000 | 7,953,214 |
Total Commercial Mortgage-Backed Securities - Agency
(Cost $10,557,822) | 10,680,000 |
|
| Commercial Mortgage-Backed Securities - Non-Agency 3.3% |
| | | | |
| American Homes 4 Rent(a) |
| Series 2015-SFR1 Class F |
| 04/17/2052 | 5.885% | | 1,500,000 | 1,534,198 |
| Banc of America Merrill Lynch Commercial Mortgage Securities Trust(a),(b) |
| Series 2013-DSNY Class F |
| 09/15/2026 | 4.659% | | 7,015,000 | 7,016,333 |
| BHMS Mortgage Trust(a),(b) |
| Series 2014-ATLS Class DFX |
| 07/05/2033 | 4.847% | | 6,500,000 | 6,570,368 |
| Hilton USA Trust(a),(b) |
| Series 2016-HHV Class F |
| 11/05/2038 | 4.333% | | 12,000,000 | 9,508,444 |
| Hilton USA Trust(a) |
| Subordinated, Series 2016-SFP Class E |
| 11/05/2035 | 5.519% | | 1,000,000 | 1,008,548 |
| Invitation Homes Trust(a),(b) |
| Series 2015-SFR3 Class E |
| 08/17/2032 | 4.909% | | 3,000,000 | 3,044,279 |
| JPMCC Re-REMIC Trust(a),(b) |
| Series 2016-GG10 Class AMA |
| 08/15/2045 | 5.979% | | 2,880,850 | 2,897,188 |
| JPMorgan Chase Commercial Mortgage Securities Trust(a) |
| Series 2011-C3 Class A4 |
| 02/15/2046 | 4.717% | | 175,000 | 187,340 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017
| 5 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| ORES NPL LLC(a) |
| Series 2014-LV3 Class B |
| 03/27/2024 | 6.000% | | 3,298,573 | 3,289,361 |
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $34,683,781) | 35,056,059 |
|
| Repurchase Agreements 1.1% |
| Issuer | Effective
Yield | | Principal
Amount ($) | Value ($) |
| Tri-party TD Securities (USA) LLC |
| dated 06/30/2017, matures 07/03/2017, |
repurchase price $12,001,120
(collateralized by U.S. Government Agencies, Total Market Value $12,240,081) |
| | 1.120% | | 12,000,000 | 12,000,000 |
Total Repurchase Agreements
(Cost $12,000,000) | 12,000,000 |
|
| Residential Mortgage-Backed Securities - Agency 101.9% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal Home Loan Mortgage Corp. |
08/01/2017-
09/01/2019 | 5.500% | | 54,268 | 55,452 |
03/01/2018-
09/01/2037 | 6.000% | | 56,986 | 61,455 |
06/01/2021-
10/01/2045 | 3.500% | | 120,523,571 | 124,583,045 |
10/01/2023-
10/01/2040 | 5.000% | | 13,568,146 | 14,696,511 |
07/01/2039-
08/01/2041 | 4.500% | | 10,659,556 | 11,570,434 |
03/01/2042-
03/01/2046 | 4.000% | | 59,197,894 | 62,490,239 |
| 11/01/2042 | 3.000% | | 16,915,991 | 16,998,961 |
| Federal Home Loan Mortgage Corp.(b) |
| 01/01/2037 | 3.201% | | 158,049 | 165,118 |
| 09/01/2037 | 3.293% | | 197,928 | 208,548 |
| CMO Series 4119 Class SP |
| 10/15/2042 | 1.909% | | 661,976 | 706,717 |
| Federal Home Loan Mortgage Corp.(d) |
| 07/13/2047 | 3.500% | | 18,000,000 | 18,491,706 |
| 07/13/2047 | 4.500% | | 15,000,000 | 16,068,938 |
| Federal Home Loan Mortgage Corp.(b),(g) |
| CMO Series 264 Class S1 |
| 07/15/2042 | 4.791% | | 15,322,139 | 2,990,861 |
| CMO Series 272 Class S1 |
| 08/15/2042 | 4.841% | | 13,270,740 | 2,615,817 |
| CMO Series 318 Class S1 |
| 11/15/2043 | 4.791% | | 20,437,304 | 3,922,217 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 336 Class 30 |
| 08/15/2044 | 4.891% | | 11,116,037 | 2,384,832 |
| CMO Series 3453 Class W |
| 12/15/2032 | 6.411% | | 661,882 | 101,922 |
| CMO Series 4068 Class GI |
| 09/15/2036 | 1.944% | | 8,735,754 | 526,720 |
| CMO Series 4083 Class CS |
| 12/15/2038 | 5.491% | | 6,659,098 | 737,958 |
| CMO Series 4094 Class SY |
| 08/15/2042 | 4.921% | | 9,775,277 | 2,047,397 |
| CMO Series 4174 Class SB |
| 05/15/2039 | 5.041% | | 13,603,012 | 1,957,471 |
| CMO Series 4183 Class AS |
| 04/15/2039 | 4.991% | | 6,759,745 | 861,980 |
| CMO Series 4223 Class DS |
| 12/15/2038 | 4.941% | | 4,589,841 | 609,132 |
| CMO Series 4286 Class NS |
| 12/15/2043 | 4.741% | | 6,945,449 | 1,525,932 |
| CMO Series 4594 Class SA |
| 06/15/2046 | 4.791% | | 18,015,796 | 4,028,628 |
| CMO STRIPS Series 309 Class S4 |
| 08/15/2043 | 4.811% | | 7,336,710 | 1,525,990 |
| CMO STRIPS Series 326 Class S1 |
| 03/15/2044 | 4.841% | | 3,567,453 | 719,764 |
| CMO STRIPS Series 337 Class S1 |
| 09/15/2044 | 4.891% | | 14,148,636 | 3,220,459 |
| Federal Home Loan Mortgage Corp.(g) |
| CMO Series 266 Class |
| 07/15/2042 | 4.000% | | 8,843,578 | 1,774,280 |
| CMO Series 267 Class |
| 08/15/2042 | 4.000% | | 7,437,503 | 1,514,754 |
| CMO Series 4120 Class AI |
| 11/15/2039 | 3.500% | | 5,394,381 | 569,947 |
| CMO Series 4121 Class IA |
| 01/15/2041 | 3.500% | | 5,283,691 | 696,721 |
| CMO Series 4122 Class JI |
| 12/15/2040 | 4.000% | | 7,714,403 | 887,917 |
| CMO Series 4139 Class CI |
| 05/15/2042 | 3.500% | | 3,496,406 | 470,621 |
| CMO Series 4147 Class CI |
| 01/15/2041 | 3.500% | | 12,183,520 | 1,687,310 |
| CMO Series 4148 Class BI |
| 02/15/2041 | 4.000% | | 4,065,356 | 503,898 |
| CMO Series 4177 Class IY |
| 03/15/2043 | 4.000% | | 14,971,586 | 3,216,012 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 4182 Class DI |
| 05/15/2039 | 3.500% | | 17,651,982 | 2,201,453 |
| CMO Series 4213 Class DI |
| 06/15/2038 | 3.500% | | 14,079,317 | 1,384,286 |
| Federal National Mortgage Association |
02/01/2022-
12/01/2037 | 5.000% | | 19,734,091 | 21,688,070 |
| 08/01/2022 | 6.000% | | 1,840 | 2,069 |
09/01/2023-
11/01/2023 | 5.500% | | 2,963,304 | 3,160,826 |
03/01/2027-
07/18/2032 | 2.500% | | 68,663,380 | 69,231,833 |
03/01/2027-
07/13/2047 | 3.500% | | 159,471,047 | 164,590,311 |
05/01/2027-
05/01/2043 | 3.000% | | 72,302,020 | 73,216,973 |
07/01/2039-
11/01/2041 | 4.500% | | 55,925,291 | 60,667,098 |
11/01/2042-
07/13/2047 | 4.000% | | 143,936,504 | 152,272,141 |
| CMO Series 1988-4 Class Z |
| 03/25/2018 | 9.250% | | 114 | 114 |
| Federal National Mortgage Association(b) |
| 02/01/2033 | 2.685% | | 58,808 | 61,155 |
| 07/01/2033 | 2.788% | | 3,555 | 3,587 |
| 12/01/2033 | 3.309% | | 4,797 | 5,054 |
| 06/01/2034 | 3.522% | | 157,063 | 164,104 |
| 07/01/2036 | 3.305% | | 59,109 | 61,730 |
| CMO Series 2003-W11 Class A1 |
| 06/25/2033 | 4.404% | | 2,051 | 2,145 |
| Federal National Mortgage Association(h) |
| 05/01/2039 | 4.500% | | 5,625,245 | 6,129,365 |
| Federal National Mortgage Association(d) |
| 07/13/2047 | 3.000% | | 29,000,000 | 28,960,902 |
| Federal National Mortgage Association(b),(g) |
| CMO Series 2003-117 Class KS |
| 08/25/2033 | 5.884% | | 544,546 | 11,730 |
| CMO Series 2006-5 Class N1 |
| 08/25/2034 | 0.000% | | 7,050,600 | 1 |
| CMO Series 2011-94 Class GS |
| 10/25/2041 | 5.284% | | 9,674,929 | 1,681,859 |
| CMO Series 2012-80 Class DS |
| 06/25/2039 | 5.434% | | 3,276,872 | 471,396 |
| CMO Series 2012-99 Class SL |
| 09/25/2042 | 5.404% | | 13,836,475 | 3,123,963 |
| CMO Series 2013-107 Class SB |
| 02/25/2043 | 4.734% | | 12,822,238 | 2,869,351 |
| CMO Series 2013-124 Class SB |
| 12/25/2043 | 4.734% | | 10,008,910 | 1,859,140 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2013-13 Class SA |
| 03/25/2043 | 4.934% | | 11,576,134 | 2,293,757 |
| CMO Series 2013-54 Class BS |
| 06/25/2043 | 4.934% | | 16,795,033 | 3,217,493 |
| CMO Series 2014-93 Class ES |
| 01/25/2045 | 4.934% | | 6,961,306 | 1,383,168 |
| CMO Series 2016-25 Class SL |
| 05/25/2046 | 4.784% | | 17,037,320 | 3,765,287 |
| CMO Series 2016-42 Class SB |
| 07/25/2046 | 4.784% | | 22,450,931 | 5,082,725 |
| CMO Series 2016-45 Class AS |
| 07/25/2046 | 4.784% | | 9,230,314 | 2,195,817 |
| CMO Series 2016-49 Class LS |
| 08/25/2046 | 4.734% | | 14,629,315 | 3,062,965 |
| CMO Series 2016-53 Class KS |
| 08/25/2046 | 4.784% | | 9,139,157 | 2,044,292 |
| CMO Series 2017-8 Class SB |
| 02/25/2047 | 4.884% | | 9,280,609 | 1,662,097 |
| CMO Series 416 Class S1 |
| 11/25/2042 | 4.884% | | 6,240,111 | 1,240,432 |
| Federal National Mortgage Association(g) |
| CMO Series 2012-118 Class BI |
| 12/25/2039 | 3.500% | | 16,349,260 | 2,208,466 |
| CMO Series 2012-121 Class GI |
| 08/25/2039 | 3.500% | | 10,097,609 | 1,250,810 |
| CMO Series 2012-129 Class IC |
| 01/25/2041 | 3.500% | | 8,692,062 | 1,304,770 |
| CMO Series 2012-133 Class EI |
| 07/25/2031 | 3.500% | | 3,284,499 | 368,331 |
| CMO Series 2012-134 Class AI |
| 07/25/2040 | 3.500% | | 14,056,412 | 1,975,186 |
| CMO Series 2012-144 Class HI |
| 07/25/2042 | 3.500% | | 3,149,154 | 402,222 |
| CMO Series 2012-40 Class IP |
| 09/25/2040 | 4.000% | | 14,895,887 | 1,744,654 |
| CMO Series 2012-96 Class CI |
| 04/25/2039 | 3.500% | | 6,035,571 | 553,480 |
| CMO Series 2013-1 Class AI |
| 02/25/2043 | 3.500% | | 3,497,141 | 694,283 |
| CMO Series 2013-1 Class BI |
| 02/25/2040 | 3.500% | | 10,215,357 | 986,355 |
| CMO Series 2013-10 Class AI |
| 11/25/2041 | 3.500% | | 13,747,805 | 1,585,404 |
| CMO Series 2013-16 Class |
| 01/25/2040 | 3.500% | | 8,386,242 | 1,121,481 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017
| 7 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2013-41 Class IY |
| 05/25/2040 | 3.500% | | 18,792,514 | 1,961,747 |
| CMO Series 2013-6 Class MI |
| 02/25/2040 | 3.500% | | 9,343,584 | 1,245,015 |
| CMO STRIPS Series 417 Class C5 |
| 02/25/2043 | 3.500% | | 7,915,518 | 1,534,622 |
| Government National Mortgage Association |
| 03/15/2018 | 7.000% | | 12,749 | 12,807 |
03/15/2029-
03/15/2033 | 6.000% | | 101,602 | 114,538 |
| 08/20/2040 | 5.000% | | 6,892,166 | 7,570,236 |
| 07/20/2041 | 4.500% | | 9,455,540 | 10,160,089 |
| Government National Mortgage Association(d) |
| 07/20/2047 | 3.000% | | 85,000,000 | 85,856,638 |
| 07/20/2047 | 3.500% | | 30,000,000 | 31,073,436 |
| Government National Mortgage Association(g) |
| CMO Series 2012-121 Class PI |
| 09/16/2042 | 4.500% | | 5,067,808 | 938,936 |
| CMO Series 2012-129 Class AI |
| 08/20/2037 | 3.000% | | 6,845,086 | 544,627 |
| CMO Series 2014-131 Class EI |
| 09/16/2039 | 4.000% | | 6,808,217 | 1,051,016 |
| Government National Mortgage Association(b),(g) |
| CMO Series 2014-131 Class BS |
| 09/16/2044 | 5.028% | | 3,720,431 | 956,004 |
| CMO Series 2015-144 Class SA |
| 10/20/2045 | 4.988% | | 8,754,417 | 2,071,139 |
| CMO Series 2016-108 Class SN |
| 08/20/2046 | 4.868% | | 5,585,434 | 1,350,641 |
Total Residential Mortgage-Backed Securities - Agency
(Cost $1,102,978,880) | 1,087,601,286 |
|
| Residential Mortgage-Backed Securities - Non-Agency 13.4% |
| | | | |
| American Mortgage Trust(b),(c) |
| Series 2093-3 Class 3A |
| 07/27/2023 | 8.188% | | 640 | 384 |
| Angel Oak Mortgage Trust I LLC(a),(b) |
| CMO Series 2017-2 Class M1 |
| 07/25/2047 | 3.737% | | 5,700,000 | 5,699,809 |
| ASG Resecuritization Trust(a),(b) |
| CMO Series 2013-2 Class 1A60 |
| 12/28/2035 | 3.075% | | 389,300 | 388,402 |
| CMO Series 2013-2 Class 2A70 |
| 11/28/2035 | 3.047% | | 1,302,624 | 1,301,552 |
| Bayview Opportunity Master Fund IIIa Trust(a) |
| CMO Series 2016-RN3 Class A1 |
| 09/29/2031 | 3.598% | | 2,158,992 | 2,160,471 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Bayview Opportunity Master Fund IVb Trust(a) |
| CMO Series 2017-NPL1 Class A1 |
| 01/28/2032 | 3.598% | | 5,107,142 | 5,096,291 |
| Bayview Opportunity Master Fund Trust(a) |
| CMO Series 2016-LT1 Class A1 |
| 10/28/2031 | 3.475% | | 137,340 | 136,787 |
| BCAP LLC Trust(a),(b) |
| 07/26/2036 | 3.323% | | 1,058,953 | 1,052,064 |
| CMO Series 2010-RR13 Class 1A1 |
| 06/27/2037 | 2.973% | | 4,818,336 | 4,800,215 |
| CMO Series 2013-RR3 Class 6A5 |
| 03/26/2036 | 3.250% | | 959,787 | 946,038 |
| CMO Series 2013-RR5 Class 4A1 |
| 09/26/2036 | 3.000% | | 1,696,462 | 1,684,702 |
| CMO Series 2014-RR3 Class 3A1 |
| 07/26/2036 | 1.129% | | 758,568 | 745,603 |
| Series 2012-RR10 Class 2A1 |
| 09/26/2036 | 3.023% | | 1,551,035 | 1,558,471 |
| BCAP LLC Trust(a) |
| CMO Series 2012-RR11 Class 3A2 |
| 04/26/2036 | 4.000% | | 3,073,663 | 3,082,148 |
| CMO Series 2012-RR11 Class 4A2 |
| 03/26/2037 | 4.000% | | 371,972 | 371,447 |
| CMO Series 2012-RR11 Class 9A2 |
| 07/26/2037 | 4.000% | | 1,220,655 | 1,219,590 |
| CMO Series 2012-RR12 Class 3A2 |
| 06/26/2037 | 4.000% | | 1,808,495 | 1,796,745 |
| Series 2013-RR1 Class 10A1 |
| 10/26/2036 | 3.000% | | 1,102,653 | 1,104,449 |
| CIM Trust(a),(b) |
| CMO Series 2015-3AG Class A2 |
| 10/25/2057 | 4.727% | | 5,000,000 | 5,129,481 |
| Citigroup Mortgage Loan Trust, Inc.(a),(b) |
| CMO Series 2010-7 Class 3A4 |
| 12/25/2035 | 5.500% | | 133,402 | 133,827 |
| CMO Series 2012-7 Class 12A1 |
| 03/25/2036 | 3.107% | | 705,756 | 704,370 |
| CMO Series 2013-2 Class 1A1 |
| 11/25/2037 | 3.139% | | 1,378,729 | 1,383,215 |
| CMO Series 2014-A Class B2 |
| 01/25/2035 | 5.456% | | 2,580,391 | 2,635,325 |
| CMO Series 2014-C Class A |
| 02/25/2054 | 3.250% | | 951,966 | 951,812 |
| CMO Series 2015-A Class B3 |
| 06/25/2058 | 4.500% | | 2,861,338 | 2,704,698 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (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% | | 3,753,448 | 3,631,238 |
| COLT Mortgage Loan Trust(a) |
| CMO Series 2016-1 Class A2 |
| 05/25/2046 | 3.500% | | 1,062,936 | 1,068,622 |
| COLT Mortgage Loan Trust(a),(b) |
| CMO Series 2016-2 Class A2 |
| 09/25/2046 | 3.250% | | 2,162,722 | 2,184,031 |
| Comfed Savings Bank(b) |
| CMO Series 1987-1 Class A |
| 01/25/2018 | 3.047% | | 148 | 143 |
| Credit Suisse Mortgage Capital Certificates(a),(b) |
| 04/27/2037 | 3.361% | | 2,514,941 | 2,483,120 |
| CMO Series 2013-7R Class 3A1 |
| 02/26/2035 | 3.371% | | 4,173,154 | 4,109,010 |
| CMO Series 2014-RPL4 Class A1 |
| 08/25/2062 | 3.625% | | 758,570 | 774,334 |
| CMO Series 2014-RPL4 Class A2 |
| 08/25/2062 | 4.844% | | 4,000,000 | 3,977,353 |
| Credit Suisse Mortgage Capital Certificates(a) |
| CMO Series 2010-9R Class 10A5 |
| 04/27/2037 | 4.000% | | 3,099,310 | 3,089,660 |
| CMO Series 2010-9R Class 7A5 |
| 05/27/2037 | 4.000% | | 1,386,447 | 1,383,065 |
| Series 2014-2R Class 17A1 |
| 04/27/2037 | 2.500% | | 629,467 | 630,096 |
| Credit Suisse Securities (USA) LLC(a),(b) |
| CMO Series 2014-RPL1 Class A1 |
| 02/25/2054 | 6.250% | | 9,391,993 | 9,334,397 |
| Credit Suisse Securities (USA) LLC(a) |
| CMO Series 2014-RPL1 Class A3 |
| 02/25/2054 | 5.145% | | 5,650,000 | 5,649,437 |
| CSMC Trust(a),(b) |
| CMO Series 2015-RPL1 Class A2 |
| 02/25/2057 | 4.712% | | 7,000,000 | 7,021,869 |
| GCAT (a) |
| Series 2017-1 Class A2 |
| 03/25/2047 | 3.375% | | 6,691,497 | 6,677,090 |
| Jefferies Resecuritization Trust(a) |
| CMO Series 2014-R1 Class 1A1 |
| 12/27/2037 | 4.000% | | 568,498 | 567,865 |
| Mill City Mortgage Trust(a),(b) |
| Series 2015-1 Class M1 |
| 06/25/2056 | 3.368% | | 3,000,000 | 3,020,636 |
| New Residential Mortgage Loan Trust(a),(b),(g) |
| CMO Series 2014-1A Class AIO |
| 01/25/2054 | 2.294% | | 38,240,181 | 1,975,105 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| NRPL Trust(a),(b) |
| Series 2014-1A Class A1 |
| 04/25/2054 | 3.250% | | 3,476,482 | 3,629,540 |
| Oaktown Re Ltd.(a),(b) |
| 04/25/2027 | 3.466% | | 3,373,260 | 3,373,260 |
| PennyMac Mortgage Investment Trust(a),(b) |
| Series 2017-GT1 Class A |
| 02/25/2050 | 5.966% | | 10,000,000 | 9,995,060 |
| Pretium Mortgage Credit Partners I(a) |
| CMO Series 2017-NPL2 Class A1 |
| 03/28/2057 | 3.250% | | 2,965,424 | 2,970,106 |
| Pretium Mortgage Credit Partners I LLC(a) |
| CMO Series 2016-NPL6 Class A1 |
| 10/27/2031 | 3.500% | | 3,507,349 | 3,510,424 |
| RBSSP Resecuritization Trust(a),(b) |
| CMO Series 2012-1 Class 5A2 |
| 12/27/2035 | 3.412% | | 4,100,000 | 3,770,544 |
| SGR Residential Mortgage Trust(a) |
| CMO Series 2016-1 Class A1 |
| 11/25/2046 | 3.750% | | 1,733,748 | 1,721,490 |
| Sunset Mortgage Loan Co., LLC(a) |
| CMO Series 2017-NPL1 Class A |
| 06/16/2047 | 3.500% | | 7,435,000 | 7,452,411 |
| Vericrest Opportunity Loan Transferee LIX LLC(a) |
| CMO Series 2017-NPL6 Class A1 |
| 05/25/2047 | 3.250% | | 2,430,549 | 2,430,638 |
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $141,096,894) | 143,218,440 |
| Options Purchased Calls 0.2% |
| Issuer | Notional ($)/Contracts | Exercise
Price/Rate | Expiration
Date | Value ($) |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA |
| | 60,000,000 | 2.40 | 05/15/2018 | 1,382,772 |
| 10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay 3-Month USD LIBOR BBA |
| | 150,000,000 | 2.00 | 09/07/2017 | 261,900 |
Total Options Purchased Calls
(Cost $2,553,000) | 1,644,672 |
|
| Options Purchased Puts 0.2% |
| | | | |
| 5-Year OTC interest rate swap with Barclays to receive 3-Month USD LIBOR BBA and pay exercise rate |
| | 300,000,000 | 3.25 | 08/18/2017 | 30 |
| 5-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate |
| | 250,000,000 | 2.30 | 05/01/2018 | 2,073,225 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017
| 9 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Options Purchased Puts (continued) |
| Issuer | Notional ($)/Contracts | Exercise
Price/Rate | Expiration
Date | Value ($) |
| 5-Year OTC interest rate swap with JPMorgan to receive 3-Month USD LIBOR BBA and pay exercise rate |
| | 100,000,000 | 4.00 | 08/17/2017 | 10 |
Total Options Purchased Puts
(Cost $12,962,500) | 2,073,265 |
| Money Market Funds 2.7% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(i),(j) | 29,361,618 | 29,361,618 |
Total Money Market Funds
(Cost $29,358,682) | 29,361,618 |
Total Investments
(Cost: $1,402,808,564) | 1,379,565,921 |
| Other Assets & Liabilities, Net | | (311,846,270) |
| Net Assets | 1,067,719,651 |
At June 30, 2017, securities and/or cash totaling $5,351,236 were pledged as collateral.
Investments in derivatives
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| U.S. Treasury 10-Year Note | 543 | USD | 68,163,469 | 09/2017 | — | (219,754) |
| U.S. Treasury 2-Year Note | 89 | USD | 19,233,734 | 09/2017 | — | (29,385) |
| U.S. Treasury 5-Year Note | 732 | USD | 86,255,907 | 09/2017 | — | (195,363) |
| Total | | | 173,653,110 | | — | (444,502) |
| Short futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| U.S. Long Bond | (14) | USD | (2,151,625) | 09/2017 | — | (16,176) |
Cleared credit default swap contracts outstanding at June 30, 2017
| Buy protection |
| Counterparty | Reference
entity | Expiration
date | Pay fixed
rate (%) | Notional
currency | Notional
amount | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Morgan Stanley | Markit CDX North America High Yield Index, Series 27 | 12/20/2021 | 5.000 | USD | 12,870,000 | — | (560,357) |
| Morgan Stanley | Markit CDX North America High Yield Index, Series 28 | 6/20/2022 | 5.000 | USD | 11,000,000 | — | (6,884) |
| Total | | | | | | — | (567,241) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Credit default swap contracts outstanding at June 30, 2017
| Sell protection |
| Counterparty | Reference
entity | Expiration
date | Receive
fixed
rate
(%) | Implied
credit
spread
(%)* | Notional
currency | Notional
amount | Market
value
($) | Periodic
payments
receivable
(payable)
($) | Premium
paid
($) | Premium
received
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Credit Suisse | Markit CMBX North America Index, Series 6 BBB- | 5/11/2063 | 3.000 | 5.716 | USD | 2,250,000 | (262,417) | 1,125 | — | (243,713) | — | (17,579) |
| Credit Suisse | Markit CMBX North America Index, Series 7 BBB- | 1/17/2047 | 3.000 | 4.722 | USD | 5,000,000 | (446,344) | 2,500 | — | (450,313) | 6,469 | — |
| Goldman Sachs International | Markit CMBX North America Index, Series 6 BBB- | 5/11/2063 | 3.000 | 5.716 | USD | 4,250,000 | (495,677) | 2,125 | — | (443,775) | — | (49,777) |
| Goldman Sachs International | Markit CMBX North America Index, Series 6 BBB- | 5/11/2063 | 3.000 | 5.716 | USD | 4,250,000 | (495,677) | 2,126 | — | (378,413) | — | (115,138) |
| JPMorgan | Markit CMBX North America Index, Series 7 BBB- | 1/17/2047 | 3.000 | 4.722 | USD | 6,000,000 | (535,613) | 2,999 | — | (542,910) | 10,296 | — |
| Morgan Stanley | Markit CMBX North America Index, Series 6 BBB- | 5/11/2063 | 3.000 | 5.716 | USD | 2,100,000 | (244,923) | 1,050 | — | (204,091) | — | (39,782) |
| Morgan Stanley | Markit CMBX North America Index, Series 6 BBB- | 5/11/2063 | 3.000 | 5.716 | USD | 4,250,000 | (495,677) | 2,126 | — | (256,632) | — | (236,919) |
| Total | | | | | | | | | — | (2,519,847) | 16,765 | (459,195) |
| * | 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 SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At June 30, 2017, the value of these securities amounted to $236,187,967, which represents 22.12% of net assets. |
| (b) | Variable rate security. |
| (c) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2017, the value of these securities amounted to $10,070,105, which represents 0.94% of net assets. |
| (d) | Represents a security purchased on a when-issued basis. |
| (e) | Represents shares owned in the residual interest of an asset-backed securitization. |
| (f) | Zero coupon bond. |
| (g) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (h) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (i) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (j) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 63,072,558 | 301,055,107 | (334,766,047) | 29,361,618 | 1,056 | 92,272 | 29,361,618 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017
| 11 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
| STRIPS | Separate Trading of Registered Interest and Principal Securities |
Currency Legend
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Asset-Backed Securities — Agency | — | 16,586 | — | — | 16,586 |
| Asset-Backed Securities — Non-Agency | — | 44,427,274 | 13,486,721 | — | 57,913,995 |
| Commercial Mortgage-Backed Securities - Agency | — | 10,680,000 | — | — | 10,680,000 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 35,056,059 | — | — | 35,056,059 |
| Repurchase Agreements | — | 12,000,000 | — | — | 12,000,000 |
| Residential Mortgage-Backed Securities - Agency | — | 1,087,601,286 | — | — | 1,087,601,286 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 129,849,736 | 13,368,704 | — | 143,218,440 |
| Options Purchased Calls | — | 1,644,672 | — | — | 1,644,672 |
| Options Purchased Puts | — | 2,073,265 | — | — | 2,073,265 |
| Money Market Funds | — | — | — | 29,361,618 | 29,361,618 |
| Total Investments | — | 1,323,348,878 | 26,855,425 | 29,361,618 | 1,379,565,921 |
| Derivatives | | | | | |
| Asset | | | | | |
| Swap Contracts | — | 16,765 | — | — | 16,765 |
| Liability | | | | | |
| Futures Contracts | (460,678) | — | — | — | (460,678) |
| Swap Contracts | — | (1,026,436) | — | — | (1,026,436) |
| Total | (460,678) | 1,322,339,207 | 26,855,425 | 29,361,618 | 1,378,095,572 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
Futures contracts and swap contracts are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between Levels 1 and 2 during the period.
Financial assets were transferred from Level 3 to Level 2 as observable market inputs were utilized and management determined that there was sufficient, reliable and observable market data to value these assets as of period end.
Transfers between Levels are determined based on the fair value at the beginning of the period for security positions held throughout the period.
The following table is a reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
| Investments in securities | Balance
as of
12/31/2016
($) | Increase
(decrease)
in accrued
discounts/
premiums
($) | Realized
gain (loss)
($) | Change
in unrealized
appreciation
(depreciation)(a)
($) | Purchases
($) | Sales
($) | Transfers
into
Level 3
($) | Transfers
out of
Level 3
($) | Balance
as of
06/30/2017
($) |
| Asset-Backed Securities — Non-Agency | 5,568,696 | – | – | (252,539) | 8,170,564 | – | – | – | 13,486,721 |
| Residential Mortgage-Backed Securities — Non-Agency | 9,368,773 | (1,905) | 40,572 | 7,598 | 13,750,000 | (6,926,210) | – | (2,870,124) | 13,368,704 |
| Total | 14,937,469 | (1,905) | 40,572 | (244,941) | 21,920,564 | (6,926,210) | – | (2,870,124) | 26,855,425 |
(a) Change in unrealized appreciation (depreciation) relating to securities held at June 30, 2017 was $(257,461), which is comprised of Asset-Backed Securities — Non-Agency of $(252,539) and Residential Mortgage-Backed Securities — Non-Agency of $4,922.
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain residential and asset backed securities classified as Level 3 securities are valued using the market approach. To determine fair value for these securities, management considered various factors which may have included, but were not limited to, estimated cash flows of the securities, single market quotations, observable transactions for identical or similar assets in the market and the distressed nature of the security. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, manual price reviews and other control procedures. Significant increases (decreases) to any of these inputs would result in a significantly lower (higher) fair value measurement.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017
| 13 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $1,345,934,382 |
| Affiliated issuers, at cost | 29,358,682 |
| Options purchased, at cost | 15,515,500 |
| Repurchase agreements, at cost | 12,000,000 |
| Total investments, at cost | 1,402,808,564 |
| Investments, at value | |
| Unaffiliated issuers, at value | 1,334,486,366 |
| Affiliated issuers, at value | 29,361,618 |
| Options purchased, at value | 3,717,937 |
| Repurchase agreements, at value | 12,000,000 |
| Total investments, at value | 1,379,565,921 |
| Cash | 5,171 |
| Cash collateral held at broker | 2,945,000 |
| Margin deposits | 832,078 |
| Unrealized appreciation on swap contracts | 16,765 |
| Receivable for: | |
| Investments sold | 38,979 |
| Capital shares sold | 139,765 |
| Dividends | 13,435 |
| Interest | 4,457,097 |
| Variation margin for futures contracts | 7,875 |
| Trustees’ deferred compensation plan | 9,887 |
| Total assets | 1,388,031,973 |
| Liabilities | |
| Unrealized depreciation on swap contracts | 459,195 |
| Premiums received on outstanding swap contracts | 2,519,847 |
| Payable for: | |
| Investments purchased | 5,699,809 |
| Investments purchased on a delayed delivery basis | 309,527,136 |
| Capital shares purchased | 1,155,649 |
| Variation margin for futures contracts | 286,875 |
| Variation margin for swap contracts | 61,464 |
| Management services fees | 377,243 |
| Distribution and/or service fees | 18,616 |
| Transfer agent fees | 53,055 |
| Compensation of board members | 88,392 |
| Compensation of chief compliance officer | 118 |
| Other expenses | 55,036 |
| Trustees’ deferred compensation plan | 9,887 |
| Total liabilities | 320,312,322 |
| Net assets applicable to outstanding capital stock | $1,067,719,651 |
| Represented by | |
| Paid in capital | 1,066,918,085 |
| Undistributed net investment income | 14,860,331 |
| Accumulated net realized gain | 10,654,227 |
| Unrealized appreciation (depreciation) on: | |
| Investments - unaffiliated issuers | (11,448,016) |
| Investments - affiliated issuers | 2,936 |
| Futures contracts | (460,678) |
| Options purchased | (11,797,563) |
| Swap contracts | (1,009,671) |
| Total - representing net assets applicable to outstanding capital stock | $1,067,719,651 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017 |
Statement of Assets and Liabilities (continued)
June 30, 2017 (Unaudited)
| Class 1 | |
| Net assets | $913,119,726 |
| Shares outstanding | 89,036,089 |
| Net asset value per share | $10.26 |
| Class 2 | |
| Net assets | $25,666,234 |
| Shares outstanding | 2,506,036 |
| Net asset value per share | $10.24 |
| Class 3 | |
| Net assets | $128,933,691 |
| Shares outstanding | 12,564,958 |
| Net asset value per share | $10.26 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017
| 15 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $92,272 |
| Interest | 18,264,290 |
| Total income | 18,356,562 |
| Expenses: | |
| Management services fees | 2,379,903 |
| Distribution and/or service fees | |
| Class 2 | 31,375 |
| Class 3 | 83,099 |
| Transfer agent fees | |
| Class 1 | 287,648 |
| Class 2 | 7,530 |
| Class 3 | 39,886 |
| Compensation of board members | 18,888 |
| Custodian fees | 20,034 |
| Printing and postage fees | 22,325 |
| Audit fees | 20,476 |
| Legal fees | 7,359 |
| Compensation of chief compliance officer | 127 |
| Other | 12,769 |
| Total expenses | 2,931,419 |
| Net investment income | 15,425,143 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 5,688,247 |
| Investments — affiliated issuers | 1,056 |
| Futures contracts | 683,063 |
| Options purchased | 4,350,000 |
| Options contracts written | 3,801,360 |
| Swap contracts | 496,777 |
| Net realized gain | 15,020,503 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 3,717,772 |
| Investments — affiliated issuers | 2,936 |
| Futures contracts | 623,768 |
| Options purchased | (7,190,553) |
| Options contracts written | (502,914) |
| Swap contracts | (1,359,537) |
| Net change in unrealized appreciation (depreciation) | (4,708,528) |
| Net realized and unrealized gain | 10,311,975 |
| Net increase in net assets resulting from operations | $25,737,118 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment income | $15,425,143 | $31,599,078 |
| Net realized gain | 15,020,503 | 911,681 |
| Net change in unrealized appreciation (depreciation) | (4,708,528) | 5,142,531 |
| Net increase in net assets resulting from operations | 25,737,118 | 37,653,290 |
| Distributions to shareholders | | |
| Net investment income | | |
| Class 1 | (26,013,778) | (33,372,861) |
| Class 2 | (665,410) | (645,842) |
| Class 3 | (3,517,099) | (4,162,695) |
| Net realized gains | | |
| Class 1 | (612,119) | (8,673,346) |
| Class 2 | (17,158) | (183,862) |
| Class 3 | (86,385) | (1,129,050) |
| Total distributions to shareholders | (30,911,949) | (48,167,656) |
| Decrease in net assets from capital stock activity | (123,413,193) | (217,052,294) |
| Total decrease in net assets | (128,588,024) | (227,566,660) |
| Net assets at beginning of period | 1,196,307,675 | 1,423,874,335 |
| Net assets at end of period | $1,067,719,651 | $1,196,307,675 |
| Undistributed net investment income | $14,860,331 | $29,631,475 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017
| 17 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 1,523,151 | 15,930,938 | 3,031,140 | 31,679,683 |
| Distributions reinvested | 2,592,590 | 26,625,897 | 4,058,514 | 42,046,207 |
| Redemptions | (15,002,914) | (156,388,649) | (26,876,308) | (281,373,971) |
| Net decrease | (10,887,173) | (113,831,814) | (19,786,654) | (207,648,081) |
| Class 2 | | | | |
| Subscriptions | 281,311 | 2,939,308 | 589,425 | 6,163,418 |
| Distributions reinvested | 66,527 | 682,568 | 80,165 | 829,704 |
| Redemptions | (281,051) | (2,934,642) | (583,652) | (6,099,363) |
| Net increase | 66,787 | 687,234 | 85,938 | 893,759 |
| Class 3 | | | | |
| Subscriptions | 105,676 | 1,113,139 | 870,854 | 9,155,897 |
| Distributions reinvested | 350,533 | 3,603,484 | 510,294 | 5,291,745 |
| Redemptions | (1,437,244) | (14,985,236) | (2,367,639) | (24,745,614) |
| Net decrease | (981,035) | (10,268,613) | (986,491) | (10,297,972) |
| Total net decrease | (11,801,421) | (123,413,193) | (20,687,207) | (217,052,294) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017 |
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Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017
| 19 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income | Distributions
from net
realized
gains |
| Class 1 |
| 6/30/2017 (c) | $10.32 | 0.15 | 0.10 | 0.25 | (0.30) | (0.01) |
| 12/31/2016 | $10.42 | 0.25 | 0.03 | 0.28 | (0.30) | (0.08) |
| 12/31/2015 | $10.62 | 0.26 | (0.12) | 0.14 | (0.32) | (0.02) |
| 12/31/2014 | $10.22 | 0.26 | 0.34 | 0.60 | (0.20) | — |
| 12/31/2013 | $10.49 | 0.20 | (0.39) | (0.19) | (0.08) | — |
| 12/31/2012 | $10.43 | 0.10 | 0.08 | 0.18 | (0.12) | — |
| Class 2 |
| 6/30/2017 (c) | $10.30 | 0.13 | 0.09 | 0.22 | (0.27) | (0.01) |
| 12/31/2016 | $10.40 | 0.22 | 0.04 | 0.26 | (0.28) | (0.08) |
| 12/31/2015 | $10.59 | 0.23 | (0.10) | 0.13 | (0.30) | (0.02) |
| 12/31/2014 | $10.20 | 0.23 | 0.33 | 0.56 | (0.17) | — |
| 12/31/2013 | $10.46 | 0.16 | (0.37) | (0.21) | (0.05) | — |
| 12/31/2012 | $10.39 | 0.07 | 0.08 | 0.15 | (0.08) | — |
| Class 3 |
| 6/30/2017 (c) | $10.32 | 0.14 | 0.09 | 0.23 | (0.28) | (0.01) |
| 12/31/2016 | $10.42 | 0.24 | 0.03 | 0.27 | (0.29) | (0.08) |
| 12/31/2015 | $10.62 | 0.25 | (0.12) | 0.13 | (0.31) | (0.02) |
| 12/31/2014 | $10.22 | 0.25 | 0.34 | 0.59 | (0.19) | — |
| 12/31/2013 | $10.49 | 0.18 | (0.39) | (0.21) | (0.06) | — |
| 12/31/2012 | $10.42 | 0.08 | 0.09 | 0.17 | (0.10) | — |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| (0.31) | $10.26 | 2.40% | 0.50% (d) | 0.50% (d) | 2.78% (d) | 160% | $913,120 |
| (0.38) | $10.32 | 2.71% | 0.50% | 0.50% | 2.38% | 333% | $1,031,382 |
| (0.34) | $10.42 | 1.34% | 0.50% | 0.50% | 2.45% | 356% | $1,247,913 |
| (0.20) | $10.62 | 5.92% | 0.49% | 0.49% | 2.48% | 300% | $1,652,306 |
| (0.08) | $10.22 | (1.83%) | 0.49% | 0.49% | 1.94% | 433% | $1,731,407 |
| (0.12) | $10.49 | 1.69% | 0.50% | 0.50% | 0.92% | 238% | $1,243,687 |
| |
| (0.28) | $10.24 | 2.14% | 0.75% (d) | 0.75% (d) | 2.55% (d) | 160% | $25,666 |
| (0.36) | $10.30 | 2.45% | 0.75% | 0.75% | 2.13% | 333% | $25,112 |
| (0.32) | $10.40 | 1.19% | 0.75% | 0.75% | 2.20% | 356% | $24,470 |
| (0.17) | $10.59 | 5.57% | 0.74% | 0.74% | 2.23% | 300% | $25,273 |
| (0.05) | $10.20 | (1.99%) | 0.74% | 0.74% | 1.59% | 433% | $26,089 |
| (0.08) | $10.46 | 1.47% | 0.75% | 0.75% | 0.65% | 238% | $32,395 |
| |
| (0.29) | $10.26 | 2.27% | 0.63% (d) | 0.63% (d) | 2.66% (d) | 160% | $128,934 |
| (0.37) | $10.32 | 2.58% | 0.62% | 0.62% | 2.25% | 333% | $139,813 |
| (0.33) | $10.42 | 1.21% | 0.62% | 0.62% | 2.33% | 356% | $151,492 |
| (0.19) | $10.62 | 5.78% | 0.62% | 0.62% | 2.35% | 300% | $177,268 |
| (0.06) | $10.22 | (1.96%) | 0.62% | 0.62% | 1.69% | 433% | $206,903 |
| (0.10) | $10.49 | 1.62% | 0.63% | 0.63% | 0.78% | 238% | $304,109 |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017
| 21 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – U.S. Government Mortgage Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers Class 1, Class 2 and Class 3 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Fund directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to the Fund. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Debt securities generally are valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized cost value, unless this method results in a valuation that management believes does not approximate market value.
Asset- and mortgage-backed securities are generally valued by pricing services, which utilize pricing models that incorporate the securities’ cash flow and loan performance data. These models also take into account available market data, including trades, market quotations, and benchmark yield curves for identical or similar securities. Factors used to identify similar securities may include, but are not limited to, issuer, collateral type, vintage, prepayment speeds, collateral performance, credit ratings, credit enhancement and expected life. Asset-backed securities for which quotations are readily available may also be valued based upon an over-the-counter or exchange bid quote from an approved independent broker-dealer.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
Futures and options on futures contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of transactions, at the mean of the latest quoted bid and ask prices.
| 22 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Option contracts are valued at the mean of the latest quoted bid and ask prices on their primary exchanges. Option contracts, including over-the-counter option contracts, with no readily available market quotations are valued using quotes obtained from independent brokers as of the close of the New York Stock Exchange.
Swap transactions are valued through an independent pricing service or broker, or if neither is available, through an internal model based upon observable inputs.
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Derivative instruments
The Fund invests in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract; therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017
| 23 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In addition to considering counterparty credit risk, the Fund would consider terminating the derivatives contracts based on whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage the duration and yield curve exposure of the Fund versus the benchmark and to manage exposure to movements in interest rates. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Options contracts
Options are contracts which entitle the holder to purchase or sell securities or other identified assets at a specified price, or in the case of index option contracts, to receive or pay the difference between the index value and the strike price of the index option contract. Option contracts can be either exchange-traded or over-the-counter. The Fund purchased and wrote option contracts to manage exposure to fluctuations in interest rates and to manage volatility and interest rate risk. These instruments may be used for other purposes in future periods. Completion of transactions for option contracts traded in the
| 24 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
over-the-counter market depends upon the performance of the other party. Cash collateral may be collected or posted by the Fund to secure certain over-the-counter option contract trades. Cash collateral held or posted by the Fund for such option contract trades must be returned to the broker or the Fund upon closure, exercise or expiration of the contract.
Options contracts purchased are recorded as investments. When the Fund writes an options contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and Liabilities and is subsequently adjusted to reflect the current fair value of the option written. Changes in the fair value of the written option are recorded as unrealized appreciation or depreciation until the contract is exercised or has expired. The Fund will realize a gain or loss when the option contract is closed or expires. When option contracts are exercised, the proceeds on sales for a written call or purchased put option contract, or the purchase cost for a written put or purchased call option contract, is adjusted by the amount of premium received or paid.
For over-the-counter options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Option contracts written by the Fund do not typically give rise to significant counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform. The risk in writing a call option contract is that the Fund gives up the opportunity for profit if the market price of the security increases above the strike price and the option contract is exercised. The risk in writing a put option contract is that the Fund may incur a loss if the market price of the security decreases below the strike price and the option contract is exercised. Exercise of a written option could result in the Fund purchasing or selling a security or foreign currency when it otherwise would not, or at a price different from the current market value. In purchasing and writing options, the Fund bears the risk of an unfavorable change in the value of the underlying instrument or the risk that the Fund may not be able to enter into a closing transaction due to an illiquid market.
Interest rate swaption contracts
Interest rate swaption contracts entered into by the Fund typically represent an option that gives the purchaser the right, but not the obligation, to enter into an interest rate swap contract on a future date. Each interest rate swaption agreement will specify if the buyer is entitled to receive the fixed or floating rate if the interest rate is exercised. Changes in the value of a purchased interest rate swaption contracts are reported as unrealized appreciation or depreciation on options in the Statement of Assets and Liabilities. Gain or loss is recognized in the Statement of Operations when the interest rate swaption contract is closed or expires.
When the Fund writes an interest rate swaption contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and Liabilities and is subsequently adjusted to reflect the current fair value of the interest rate swaption contract written. Premiums received from writing interest rate swaption contracts that expire unexercised are recorded by the Fund on the expiration date as realized gains from options written in the Statement of Operations. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also recorded as realized gain, or if the premium is less than the amount paid for the closing purchase, as realized loss. These amounts are reflected as net realized gain (loss) on options written in the Statement of Operations.
Contracts and premiums associated with options contracts written for the six months ended June 30, 2017 are as follows:
| | Calls | Puts |
| | Contracts | Premiums ($) | Contracts | Premiums ($) |
| Balance at December 31, 2016 | – | – | (300,000,000) | (1,869,000) |
| Opened | (292,000,000) | (1,752,000) | (150,000,000) | (1,290,000) |
| Closed | 292,000,000 | 1,752,000 | 450,000,000 | 3,159,000 |
| Expired | – | – | – | – |
| Exercised | – | – | – | – |
| Balance at June 30, 2017 | – | – | – | – |
Swap contracts
Swap contracts are negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (centrally cleared swap contract). In a centrally cleared swap contract, immediately following execution of the swap contract with a broker, the swap contract is novated to a central counterparty (the CCP) and the CCP becomes the Fund’s
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017
| 25 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
counterparty to the centrally cleared swap contract. The Fund is required to deposit initial margin with the futures commission merchant (FCM), which pledges it through to the CCP in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap contract. Securities deposited as initial margin are designated in the Portfolio of Investments and cash deposited is recorded in the Statement of Assets and Liabilities as margin deposits. Unlike a bilateral swap contract, for centrally cleared swap contracts, the Fund has minimal credit exposure to the FCM because the CCP stands between the Fund and the relevant buyer/seller on the other side of the contract. Swap contracts are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swap contracts, if any, is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities.
Entering into these contracts involves, to varying degrees, elements of interest, liquidity and counterparty credit risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there may be unfavorable changes in interest rates, market conditions or other conditions, it may be difficult to initiate a swap transaction or liquidate a position at an advantageous time or price which may result in significant losses, and that the FCM or CCP may not fulfill its obligation under the contract.
Credit default swap contracts
The Fund entered into credit default swap contracts to increase or decrease its credit exposure to an index and to manage credit risk exposure. These instruments may be used for other purposes in future periods. Credit default swap contracts are agreements in which one party pays fixed periodic payments to a counterparty in consideration for an agreement from the counterparty to make a specific payment should a specified credit event(s) take place. Although specified credit events are contract specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium.
As the purchaser of a credit default swap contract, the Fund purchases protection by paying a periodic interest rate on the notional amount to the counterparty. The interest amount is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as a realized loss upon payment. If a credit event as specified in the contract occurs, the Fund may have the option either to deliver the reference obligation to the seller in exchange for a cash payment of its par amount, or to receive a net cash settlement equal to the par amount less an agreed-upon value of the reference obligation as of the date of the credit event. The difference between the value of the obligation or cash delivered and the notional amount received will be recorded as a realized gain (loss).
As the seller of a credit default swap contract, the Fund sells protection to a buyer and will generally receive a periodic interest rate on a notional amount. The interest amount is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as a realized gain upon receipt of the payment. If a credit event as specified in the contract with the counterparty occurs, the Fund may either be required to accept the reference obligation from the buyer in exchange for a cash payment of its notional amount, or to pay the buyer a net cash settlement equal to the notional amount less an agreed-upon value of the reference obligation (recovery value) as of the date of the credit event. The difference between the value of the obligation or cash received and the notional amount paid will be recorded as a realized gain (loss). The maximum potential amount of undiscounted future payments the Fund could be required to make as the seller of protection under a credit default swap contract is equal to the notional amount of the reference obligation. These potential amounts may be partially offset by any recovery values of the respective reference obligations or premiums received upon entering into the agreement. The notional amounts and market values of all credit default swap contracts in which the Fund is the seller of protection, if any, are disclosed in the Credit Default Swap Contracts Outstanding schedule following the Portfolio of Investments.
As a protection seller, the Fund bears the risk of loss from the credit events specified in the contract with the counterparty. For credit default swap contracts on credit indices, quoted market prices and resulting market values serve as an indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.
| 26 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Any premium paid or received by the Fund upon entering into a credit default swap contract is recorded as an asset or liability, respectively, and amortized daily as a component of realized gain (loss) in the Statement of Operations. Credit default swap contracts are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time a realized gain (loss) is recorded.
Credit default swap contracts can involve greater risks than if a fund had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to counterparty credit risk, leverage risk, hedging risk, correlation risk and liquidity risk.
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Credit risk | Net assets — unrealized appreciation on swap contracts | 16,765* |
| Interest rate risk | Investments, at value — Options purchased | 3,717,937 |
| Total | | 3,734,702 |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Credit risk | Net assets — unrealized depreciation on swap contracts | 1,026,436* |
| Credit risk | Premiums received on outstanding swap contracts | 2,519,847 |
| Interest rate risk | Net assets — unrealized depreciation on futures contracts | 460,678* |
| Total | | 4,006,961 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017
| 27 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) | Options
contracts
written
($) | Options
contracts
purchased
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | — | — | 496,777 | 496,777 |
| Interest rate risk | 683,063 | 3,801,360 | 4,350,000 | — | 8,834,423 |
| Total | 683,063 | 3,801,360 | 4,350,000 | 496,777 | 9,331,200 |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) | Options
contracts
written
($) | Options
contracts
purchased
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | — | — | (1,359,537) | (1,359,537) |
| Interest rate risk | 623,768 | (502,914) | (7,190,553) | — | (7,069,699) |
| Total | 623,768 | (502,914) | (7,190,553) | (1,359,537) | (8,429,236) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 152,088,247 |
| Futures contracts — short | 48,344,407 |
| Credit default swap contracts — buy protection | 18,370,000 |
| Credit default swap contracts — sell protection | 30,225,000 |
| Derivative instrument | Average market
value ($)* |
| Options contracts — purchased | 1,877,524 |
| Options contracts — written | (302,018) |
| * | Based on the ending daily outstanding amounts for the six months ended June 30, 2017. |
Repurchase agreements
The Fund may invest in repurchase agreement transactions with institutions that management has determined are creditworthy. The Fund, through the custodian, receives delivery of the underlying securities collateralizing a repurchase agreement. Management is responsible for determining that the collateral is at least equal, at all times, to the value of the repurchase obligation including interest. A repurchase agreement transaction involves certain risks in the event of default or insolvency of the counterparty. These risks include possible delays in or restrictions on the Fund’s ability to dispose of the underlying securities and a possible decline in the value of the underlying securities during the period while the Fund seeks to assert its rights.
Asset- and mortgage-backed securities
The Fund may invest in asset-backed and mortgage-backed securities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. All, or a portion, of the obligation may be prepaid at any time because the underlying asset may be prepaid. As a result, decreasing market interest rates could result in an increased level of prepayment. An increased prepayment rate will have the effect of shortening the maturity of the security. Unless otherwise noted, the coupon rates presented are fixed rates.
| 28 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Delayed delivery securities
The Fund may trade securities on other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
To be announced securities
The Fund may trade securities on a To Be Announced (TBA) basis. As with other delayed-delivery transactions, a seller agrees to issue a TBA security at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Fund agrees to accept any security that meets specified terms.
In some cases, Master Securities Forward Transaction Agreements (MSFTAs) may be used to govern transactions of certain forward-settling agency mortgage-backed securities, such as delayed-delivery and TBAs, between the Fund and counterparty. The MSFTA maintains provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral relating to such transactions.
Mortgage dollar roll transactions
The Fund may enter into mortgage “dollar rolls” in which the Fund sells securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar but not identical securities (same type, coupon and maturity) on a specified future date. During the roll period, the Fund loses the right to receive principal and interest paid on the securities sold. However, the Fund will benefit because it receives negotiated amounts in the form of reductions of the purchase price for the future purchase plus the interest earned on the cash proceeds of the securities sold until the settlement date of the forward purchase. The Fund records the incremental difference between the forward purchase and sale of each forward roll as a realized gain or loss. Unless any realized gains exceed the income, capital appreciation, and gain or loss due to mortgage prepayments that would have been realized on the securities sold as part of the mortgage dollar roll, the use of this technique will diminish the investment performance of the Fund compared to what the performance would have been without the use of mortgage dollar rolls. All cash proceeds will be invested in instruments that are permissible investments for the Fund. The Fund identifies cash or liquid securities in an amount equal to the forward purchase price.
For financial reporting and tax purposes, the Fund treats “to be announced” mortgage dollar rolls as two separate transactions, one involving the purchase of a security and a separate transaction involving a sale. These transactions may increase the Fund’s portfolio turnover rate. The Fund does not currently enter into mortgage dollar rolls that are accounted for as financing transactions.
Mortgage dollar rolls involve the risk that the market value of the securities the Fund is obligated to repurchase may decline below the repurchase price, or that the counterparty may default on its obligations.
Interest only and principal only securities
The Fund may invest in Interest Only (IO) or Principal Only (PO) securities. IOs are stripped securities entitled to receive all of the security’s interest, but none of its principal. IOs are particularly sensitive to changes in interest rates and therefore subject to greater fluctuations in price than typical interest bearing debt securities. IOs are also subject to credit risk because the Fund may not receive all or part of the interest payments if the issuer, obligor, guarantor or counterparty defaults on its obligation. Payments received for IOs are included in interest income on the Statement of Operations. Because no principal will be received at the maturity of an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statement of Operations. POs are stripped securities entitled to receive the principal from the underlying obligation, but not the interest. POs are particularly sensitive to changes in interest rates and therefore are subject to fluctuations in price. POs are also subject to credit risk because the Fund may not receive all or part of its principal if the issuer, obligor, guarantor or counterparty defaults on its obligation. The Fund may also invest in IO or PO stripped mortgage-backed securities. Payments received for POs are treated as reductions to the cost and par value of the securities.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017
| 29 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Offsetting of assets and liabilities
The following table presents the Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of June 30, 2017:
| | Barclays
($) | Citi
($) | Credit
Suisse
($) | Goldman
Sachs
International
($) | JPMorgan
($) | Morgan
Stanley
($) (a) | Morgan
Stanley
($) (a) | TD
Securities
($) | Total
($) |
| Assets | | | | | | | | | |
| Options purchased calls | - | 1,382,772 | - | - | - | 261,900 | - | - | 1,644,672 |
| Options purchased puts | 30 | 2,073,225 | - | - | 10 | - | - | - | 2,073,265 |
| Repurchase agreements | - | - | - | - | - | - | - | 12,000,000 | 12,000,000 |
| Total assets | 30 | 3,455,997 | - | - | 10 | 261,900 | - | 12,000,000 | 15,717,937 |
| Liabilities | | | | | | | | | |
| Centrally cleared credit default swap contracts (b) | - | - | - | - | - | - | 61,464 | - | 61,464 |
| OTC credit default swap contracts (c) | - | - | 705,136 | 987,103 | 532,614 | 737,424 | - | - | 2,962,277 |
| Total liabilities | - | - | 705,136 | 987,103 | 532,614 | 737,424 | 61,464 | - | 3,023,741 |
| Total financial and derivative net assets | 30 | 3,455,997 | (705,136) | (987,103) | (532,604) | (475,524) | (61,464) | 12,000,000 | 12,694,196 |
| Total collateral received (pledged) (d) | 30 | 3,455,997 | (705,136) | (987,103) | (430,000) | (240,000) | (61,464) | 12,000,000 | 13,032,324 |
| Net amount (e) | - | - | - | - | (102,604) | (235,524) | - | - | (338,128) |
| (a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
| (b) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
| (c) | Over-the-Counter Swap Contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, premiums paid and premiums received. |
| (cd | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (e) | Represents the net amount due from/(to) counterparties in the event of default. |
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Interest income is recorded on an accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income.
The Fund may place a debt security on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Dividend income is recorded on the ex-dividend date.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
| 30 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its taxable income, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, because the Fund meets the exception under Internal Revenue Code Section 4982(f), the Fund expects not to be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Distributions to subaccounts
Distributions to the subaccounts of Contracts, Qualified Plans and Qualified Investors are recorded at the close of business on the record date and are payable on the first business day following the record date. Dividends from net investment income, if any, are declared and distributed annually. Capital gains distributions, when available, will be made annually. However, an additional capital gain distribution may be made during the fiscal year in order to comply with the Internal Revenue Code, as applicable to registered investment companies. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. All dividends and distributions are reinvested in additional shares of the applicable share class of the Fund at the net asset value as of the ex-dividend date of the distribution.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.43% to 0.28% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2017 was 0.43% of the Fund’s average daily net assets.
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017
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Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of the Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, the Fund no longer pays a transfer agency fee.
Distribution fees
The Fund has an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, the Fund pays a fee at an annual rate of up to 0.25% of the Fund’s average daily net assets attributable to Class 2 shares and an annual rate of up to 0.125% of the Fund’s average daily net assets attributable to Class 3 shares. The Fund pays no distribution and service fees for Class 1 shares.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | May 1, 2017
through
April 30, 2018 | Prior to
May 1, 2017 |
| Class 1 | 0.62% | 0.63% |
| Class 2 | 0.87 | 0.88 |
| Class 3 | 0.745 | 0.755 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest,
| 32 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At June 30, 2017, the approximate cost of investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($) | Gross unrealized
appreciation ($) | Gross unrealized
(depreciation) ($) | Net unrealized
(depreciation) ($) |
| 1,402,809,000 | 9,700,000 | (32,943,000) | (23,243,000) |
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $2,258,222,697 and $2,438,975,902, respectively, for the six months ended June 30, 2017, of which $2,185,785,276 and $2,333,571,846, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017
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Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Note 8. Significant risks
Credit risk
Credit risk is the risk that the value of debt securities in the Fund’s portfolio may decline because the issuer may default and fail to pay interest or repay principal when due. Rating agencies assign credit ratings to debt securities to indicate their credit risk. Lower rated or unrated debt securities held by the Fund may present increased credit risk as compared to higher-rated debt securities.
Interest rate risk
Interest rate risk is the risk of losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise. Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates.
Liquidity risk
Liquidity risk is the risk associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another, more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Mortgage- and other asset-backed securities risk
The value of any mortgage-backed and other asset-backed securities held by the Fund may be affected by, among other things, changes or perceived changes in: interest rates; factors concerning the interests in and structure of the issuer or the originator of the mortgages or other assets; the creditworthiness of the entities that provide any supporting letters of credit, surety bonds or other credit enhancements; or the market’s assessment of the quality of underlying assets. Payment of principal and interest on some mortgage-backed securities (but not the market value of the securities themselves) may be guaranteed by the full faith and credit of a particular U.S. Government agency, authority, enterprise or instrumentality, and some, but not all, are also insured or guaranteed by the U.S. Government. Mortgage-backed securities issued by non-governmental issuers (such as commercial banks, savings and loan institutions, private mortgage insurance companies, mortgage bankers and other secondary market issuers) may entail greater risk than obligations guaranteed by the U.S. Government. Mortgage- and other asset-backed securities are subject to prepayment risk, which is the possibility that the underlying mortgage or other asset may be refinanced or prepaid prior to maturity during periods of declining or low interest rates, causing the Fund to have to reinvest the money received in securities that have lower yields. Rising or high interest rates tend to extend the duration of mortgage- and other asset-backed securities, making their prices more volatile and more sensitive to changes in interest rates.
Shareholder concentration risk
At June 30, 2017, affiliated shareholders of record owned 97.7% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
| 34 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Note 9. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Note 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017
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Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio – U.S. Government Mortgage Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as their history, reputation, expertise, resources and capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, the relatively recent change in the leadership of equity department oversight, and the various technological enhancements that had been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
| 36 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed that the Fund’s investment performance met expectations.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017
| 37 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as the Fund grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
| 38 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2017
| 39 |
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[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – U.S. Government Mortgage Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio – Large Cap Index Fund
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 Insured • No bank guarantee • May lose value
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017
Fund at a Glance
(Unaudited)
Investment objective
Columbia Variable Portfolio – Large Cap Index Fund (the Fund) seeks to provide shareholders with long-term capital appreciation.
Portfolio management
Christopher Lo, Ph.D., CFA
Lead manager
Managed Fund since 2014
Vadim Shteyn
Co-manager
Managed Fund since 2011
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 * | 04/25/11 | 9.20 | 17.54 | 14.25 | 6.83 |
| Class 2 * | 04/25/11 | 9.03 | 17.18 | 13.98 | 6.64 |
| Class 3 | 05/01/00 | 9.08 | 17.39 | 14.12 | 6.75 |
| S&P 500 Index | | 9.34 | 17.90 | 14.63 | 7.18 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit investor.columbiathreadneedleus.com/investment-products/variable-products/appended-performance for more information. |
The S&P 500 Index, an unmanaged index, measures the performance of 500 widely held, large-capitalization U.S. stocks and is frequently used as a general measure of market performance.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at June 30, 2017) |
| Apple, Inc. | 3.6 |
| Microsoft Corp. | 2.6 |
| Amazon.com, Inc. | 1.8 |
| Facebook, Inc., Class A | 1.7 |
| Johnson & Johnson | 1.7 |
| Exxon Mobil Corp. | 1.6 |
| JPMorgan Chase & Co. | 1.6 |
| Berkshire Hathaway, Inc., Class B | 1.5 |
| Alphabet, Inc., Class A | 1.3 |
| Alphabet, Inc., Class C | 1.3 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 97.6 |
| Money Market Funds | 2.4 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 12.3 |
| Consumer Staples | 9.0 |
| Energy | 6.1 |
| Financials | 14.5 |
| Health Care | 14.5 |
| Industrials | 10.3 |
| Information Technology | 22.3 |
| Materials | 2.8 |
| Real Estate | 2.9 |
| Telecommunication Services | 2.1 |
| Utilities | 3.2 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Class 1 | 1,000.00 | 1,000.00 | 1,092.00 | 1,023.39 | 1.62 | 1.56 | 0.31 |
| Class 2 | 1,000.00 | 1,000.00 | 1,090.30 | 1,022.19 | 2.87 | 2.77 | 0.55 |
| Class 3 | 1,000.00 | 1,000.00 | 1,090.80 | 1,022.79 | 2.24 | 2.17 | 0.43 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
| 4 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017 |
Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 97.5% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 12.0% |
| Auto Components 0.2% |
| BorgWarner, Inc. | 5,214 | 220,865 |
| Delphi Automotive PLC | 7,004 | 613,900 |
| Goodyear Tire & Rubber Co. (The) | 6,582 | 230,107 |
| Total | | 1,064,872 |
| Automobiles 0.5% |
| Ford Motor Co. | 102,182 | 1,143,417 |
| General Motors Co. | 35,875 | 1,253,114 |
| Harley-Davidson, Inc. | 4,570 | 246,871 |
| Total | | 2,643,402 |
| Distributors 0.1% |
| Genuine Parts Co. | 3,850 | 357,126 |
| LKQ Corp.(a) | 8,050 | 265,247 |
| Total | | 622,373 |
| Diversified Consumer Services —% |
| H&R Block, Inc. | 5,415 | 167,378 |
| Hotels, Restaurants & Leisure 1.7% |
| Carnival Corp. | 10,932 | 716,811 |
| Chipotle Mexican Grill, Inc.(a) | 746 | 310,411 |
| Darden Restaurants, Inc. | 3,253 | 294,201 |
| Hilton Worldwide Holdings, Inc. | 5,350 | 330,897 |
| Marriott International, Inc., Class A | 8,114 | 813,915 |
| McDonald’s Corp. | 21,299 | 3,262,155 |
| Royal Caribbean Cruises Ltd. | 4,380 | 478,427 |
| Starbucks Corp. | 37,834 | 2,206,101 |
| Wyndham Worldwide Corp. | 2,731 | 274,220 |
| Wynn Resorts Ltd. | 2,088 | 280,043 |
| Yum! Brands, Inc. | 8,642 | 637,434 |
| Total | | 9,604,615 |
| Household Durables 0.5% |
| D.R. Horton, Inc. | 8,928 | 308,641 |
| Garmin Ltd. | 2,993 | 152,733 |
| Leggett & Platt, Inc. | 3,455 | 181,491 |
| Lennar Corp., Class A | 5,310 | 283,129 |
| Mohawk Industries, Inc.(a) | 1,650 | 398,789 |
| Newell Brands, Inc. | 12,619 | 676,631 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| PulteGroup, Inc. | 7,417 | 181,939 |
| Whirlpool Corp. | 1,928 | 369,443 |
| Total | | 2,552,796 |
| Internet & Direct Marketing Retail 2.6% |
| Amazon.com, Inc.(a) | 10,366 | 10,034,288 |
| Expedia, Inc. | 3,178 | 473,363 |
| Netflix, Inc.(a) | 11,258 | 1,682,058 |
| Priceline Group, Inc. (The)(a) | 1,285 | 2,403,618 |
| TripAdvisor, Inc.(a) | 2,886 | 110,245 |
| Total | | 14,703,572 |
| Leisure Products 0.1% |
| Hasbro, Inc. | 2,935 | 327,282 |
| Mattel, Inc. | 8,952 | 192,736 |
| Total | | 520,018 |
| Media 3.0% |
| 21st Century Fox, Inc., Class A | 27,489 | 779,038 |
| 21st Century Fox, Inc., Class B | 12,730 | 354,785 |
| CBS Corp., Class B Non Voting | 9,621 | 613,627 |
| Charter Communications, Inc., Class A(a) | 5,640 | 1,899,834 |
| Comcast Corp., Class A | 123,646 | 4,812,302 |
| Discovery Communications, Inc., Class A(a) | 4,019 | 103,811 |
| Discovery Communications, Inc., Class C(a) | 5,504 | 138,756 |
| DISH Network Corp., Class A(a) | 5,940 | 372,795 |
| Interpublic Group of Companies, Inc. (The) | 10,327 | 254,044 |
| News Corp., Class A | 9,982 | 136,753 |
| News Corp., Class B | 3,130 | 44,290 |
| Omnicom Group, Inc. | 6,085 | 504,447 |
| Scripps Networks Interactive, Inc., Class A | 2,504 | 171,048 |
| Time Warner, Inc. | 20,266 | 2,034,909 |
| Viacom, Inc., Class B | 9,202 | 308,911 |
| Walt Disney Co. (The) | 38,012 | 4,038,775 |
| Total | | 16,568,125 |
| Multiline Retail 0.4% |
| Dollar General Corp. | 6,595 | 475,434 |
| Dollar Tree, Inc.(a) | 6,184 | 432,385 |
| Kohl’s Corp. | 4,451 | 172,120 |
| Macy’s, Inc. | 7,956 | 184,897 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017
| 5 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Nordstrom, Inc. | 2,902 | 138,803 |
| Target Corp. | 14,412 | 753,604 |
| Total | | 2,157,243 |
| Specialty Retail 2.2% |
| Advance Auto Parts, Inc. | 1,930 | 225,019 |
| AutoNation, Inc.(a) | 1,715 | 72,304 |
| AutoZone, Inc.(a) | 732 | 417,577 |
| Bed Bath & Beyond, Inc. | 3,791 | 115,246 |
| Best Buy Co., Inc. | 6,934 | 397,526 |
| CarMax, Inc.(a) | 4,839 | 305,147 |
| Foot Locker, Inc. | 3,430 | 169,030 |
| Gap, Inc. (The) | 5,749 | 126,421 |
| Home Depot, Inc. (The) | 31,234 | 4,791,296 |
| L Brands, Inc. | 6,299 | 339,453 |
| Lowe’s Companies, Inc. | 22,415 | 1,737,835 |
| O’Reilly Automotive, Inc.(a) | 2,382 | 521,039 |
| Ross Stores, Inc. | 10,240 | 591,155 |
| Signet Jewelers Ltd. | 1,790 | 113,200 |
| Staples, Inc. | 17,069 | 171,885 |
| Tiffany & Co. | 2,804 | 263,211 |
| TJX Companies, Inc. (The) | 16,808 | 1,213,033 |
| Tractor Supply Co. | 3,355 | 181,875 |
| Ulta Beauty, Inc.(a) | 1,520 | 436,757 |
| Total | | 12,189,009 |
| Textiles, Apparel & Luxury Goods 0.7% |
| Coach, Inc. | 7,343 | 347,618 |
| Hanesbrands, Inc. | 9,510 | 220,252 |
| Michael Kors Holdings Ltd.(a) | 4,075 | 147,719 |
| Nike, Inc., Class B | 34,626 | 2,042,934 |
| PVH Corp. | 2,041 | 233,694 |
| Ralph Lauren Corp. | 1,436 | 105,977 |
| Under Armour, Inc., Class A(a) | 4,825 | 104,992 |
| Under Armour, Inc., Class C(a) | 4,817 | 97,111 |
| VF Corp. | 8,371 | 482,169 |
| Total | | 3,782,466 |
| Total Consumer Discretionary | 66,575,869 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Consumer Staples 8.8% |
| Beverages 2.0% |
| Brown-Forman Corp., Class B | 4,624 | 224,726 |
| Coca-Cola Co. (The) | 100,462 | 4,505,721 |
| Constellation Brands, Inc., Class A | 4,476 | 867,136 |
| Dr. Pepper Snapple Group, Inc. | 4,807 | 437,966 |
| Molson Coors Brewing Co., Class B | 4,825 | 416,591 |
| Monster Beverage Corp.(a) | 10,530 | 523,130 |
| PepsiCo, Inc. | 37,317 | 4,309,740 |
| Total | | 11,285,010 |
| Food & Staples Retailing 1.8% |
| Costco Wholesale Corp. | 11,463 | 1,833,277 |
| CVS Health Corp. | 26,622 | 2,142,006 |
| Kroger Co. (The) | 23,840 | 555,949 |
| SYSCO Corp. | 12,860 | 647,244 |
| Walgreens Boots Alliance, Inc. | 22,315 | 1,747,488 |
| Wal-Mart Stores, Inc. | 38,588 | 2,920,340 |
| Whole Foods Market, Inc. | 8,351 | 351,660 |
| Total | | 10,197,964 |
| Food Products 1.3% |
| Archer-Daniels-Midland Co. | 14,912 | 617,059 |
| Campbell Soup Co. | 5,008 | 261,167 |
| ConAgra Foods, Inc. | 10,561 | 377,661 |
| General Mills, Inc. | 15,049 | 833,715 |
| Hershey Co. (The) | 3,654 | 392,330 |
| Hormel Foods Corp. | 7,050 | 240,475 |
| JM Smucker Co. (The) | 3,037 | 359,368 |
| Kellogg Co. | 6,586 | 457,464 |
| Kraft Heinz Co. (The) | 15,587 | 1,334,871 |
| McCormick & Co., Inc. | 2,957 | 288,337 |
| Mondelez International, Inc., Class A | 39,639 | 1,712,008 |
| Tyson Foods, Inc., Class A | 7,534 | 471,854 |
| Total | | 7,346,309 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Household Products 1.7% |
| Church & Dwight Co., Inc. | 6,510 | 337,739 |
| Clorox Co. (The) | 3,369 | 448,885 |
| Colgate-Palmolive Co. | 23,081 | 1,710,994 |
| Kimberly-Clark Corp. | 9,278 | 1,197,883 |
| Procter & Gamble Co. (The) | 66,825 | 5,823,799 |
| Total | | 9,519,300 |
| Personal Products 0.2% |
| Coty, Inc., Class A | 12,310 | 230,936 |
| Estee Lauder Companies, Inc. (The), Class A | 5,850 | 561,483 |
| Total | | 792,419 |
| Tobacco 1.8% |
| Altria Group, Inc. | 50,468 | 3,758,352 |
| Philip Morris International, Inc. | 40,582 | 4,766,356 |
| Reynolds American, Inc. | 21,620 | 1,406,165 |
| Total | | 9,930,873 |
| Total Consumer Staples | 49,071,875 |
| Energy 5.9% |
| Energy Equipment & Services 0.9% |
| Baker Hughes, Inc. | 11,113 | 605,770 |
| Halliburton Co. | 22,673 | 968,364 |
| Helmerich & Payne, Inc. | 2,836 | 154,108 |
| National Oilwell Varco, Inc. | 9,928 | 327,028 |
| Schlumberger Ltd. | 36,304 | 2,390,255 |
| TechnipFMC PLC(a) | 12,193 | 331,649 |
| Transocean Ltd.(a) | 10,220 | 84,111 |
| Total | | 4,861,285 |
| Oil, Gas & Consumable Fuels 5.0% |
| Anadarko Petroleum Corp. | 14,641 | 663,823 |
| Apache Corp. | 9,935 | 476,185 |
| Cabot Oil & Gas Corp. | 12,159 | 304,948 |
| Chesapeake Energy Corp.(a) | 19,926 | 99,032 |
| Chevron Corp. | 49,498 | 5,164,126 |
| Cimarex Energy Co. | 2,480 | 233,145 |
| Concho Resources, Inc.(a) | 3,870 | 470,321 |
| ConocoPhillips | 32,322 | 1,420,875 |
| Devon Energy Corp. | 13,736 | 439,140 |
| EOG Resources, Inc. | 15,079 | 1,364,951 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| EQT Corp. | 4,531 | 265,471 |
| Exxon Mobil Corp. | 110,699 | 8,936,730 |
| Hess Corp. | 7,062 | 309,810 |
| Kinder Morgan, Inc. | 50,159 | 961,046 |
| Marathon Oil Corp. | 22,210 | 263,189 |
| Marathon Petroleum Corp. | 13,552 | 709,176 |
| Murphy Oil Corp. | 4,239 | 108,646 |
| Newfield Exploration Co.(a) | 5,208 | 148,220 |
| Noble Energy, Inc. | 11,893 | 336,572 |
| Occidental Petroleum Corp. | 19,979 | 1,196,143 |
| ONEOK, Inc. | 9,924 | 517,636 |
| Phillips 66 | 11,459 | 947,545 |
| Pioneer Natural Resources Co. | 4,447 | 709,652 |
| Range Resources Corp. | 4,919 | 113,973 |
| Tesoro Corp. | 3,949 | 369,626 |
| Valero Energy Corp. | 11,682 | 788,068 |
| Williams Companies, Inc. (The) | 21,583 | 653,533 |
| Total | | 27,971,582 |
| Total Energy | 32,832,867 |
| Financials 14.2% |
| Banks 6.3% |
| Bank of America Corp. | 260,010 | 6,307,843 |
| BB&T Corp. | 21,198 | 962,601 |
| Citigroup, Inc. | 71,929 | 4,810,611 |
| Citizens Financial Group, Inc. | 13,230 | 472,046 |
| Comerica, Inc. | 4,620 | 338,369 |
| Fifth Third Bancorp | 19,606 | 508,972 |
| Huntington Bancshares, Inc. | 28,404 | 384,022 |
| JPMorgan Chase & Co. | 92,817 | 8,483,474 |
| KeyCorp | 28,640 | 536,714 |
| M&T Bank Corp. | 4,024 | 651,687 |
| People’s United Financial, Inc. | 8,998 | 158,905 |
| PNC Financial Services Group, Inc. (The) | 12,646 | 1,579,106 |
| Regions Financial Corp. | 31,403 | 459,740 |
| SunTrust Banks, Inc. | 12,636 | 716,714 |
| U.S. Bancorp | 41,393 | 2,149,124 |
| Wells Fargo & Co. | 117,503 | 6,510,841 |
| Zions Bancorporation | 5,299 | 232,679 |
| Total | | 35,263,448 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017
| 7 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Capital Markets 2.9% |
| Affiliated Managers Group, Inc. | 1,475 | 244,644 |
| Ameriprise Financial, Inc.(b) | 3,985 | 507,251 |
| Bank of New York Mellon Corp. (The) | 27,164 | 1,385,907 |
| BlackRock, Inc. | 3,165 | 1,336,928 |
| CBOE Holdings, Inc. | 2,400 | 219,360 |
| Charles Schwab Corp. (The) | 31,794 | 1,365,870 |
| CME Group, Inc. | 8,880 | 1,112,131 |
| E*TRADE Financial Corp.(a) | 7,176 | 272,903 |
| Franklin Resources, Inc. | 8,950 | 400,871 |
| Goldman Sachs Group, Inc. (The) | 9,569 | 2,123,361 |
| Intercontinental Exchange, Inc. | 15,465 | 1,019,453 |
| Invesco Ltd. | 10,629 | 374,035 |
| Moody’s Corp. | 4,353 | 529,673 |
| Morgan Stanley | 37,209 | 1,658,033 |
| Nasdaq, Inc. | 2,974 | 212,611 |
| Northern Trust Corp. | 5,639 | 548,167 |
| Raymond James Financial, Inc. | 3,350 | 268,737 |
| S&P Global, Inc. | 6,733 | 982,951 |
| State Street Corp. | 9,236 | 828,746 |
| T. Rowe Price Group, Inc. | 6,307 | 468,042 |
| Total | | 15,859,674 |
| Consumer Finance 0.7% |
| American Express Co. | 19,620 | 1,652,789 |
| Capital One Financial Corp. | 12,620 | 1,042,665 |
| Discover Financial Services | 9,938 | 618,044 |
| Navient Corp. | 7,445 | 123,959 |
| Synchrony Financial | 20,120 | 599,978 |
| Total | | 4,037,435 |
| Diversified Financial Services 1.6% |
| Berkshire Hathaway, Inc., Class B(a) | 49,626 | 8,405,155 |
| Leucadia National Corp. | 8,456 | 221,209 |
| Total | | 8,626,364 |
| Insurance 2.7% |
| Aflac, Inc. | 10,371 | 805,619 |
| Allstate Corp. (The) | 9,523 | 842,214 |
| American International Group, Inc. | 22,974 | 1,436,334 |
| Aon PLC | 6,845 | 910,043 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Arthur J Gallagher & Co. | 4,690 | 268,502 |
| Assurant, Inc. | 1,427 | 147,966 |
| Chubb Ltd. | 12,201 | 1,773,781 |
| Cincinnati Financial Corp. | 3,917 | 283,787 |
| Everest Re Group Ltd. | 1,070 | 272,411 |
| Hartford Financial Services Group, Inc. (The) | 9,594 | 504,357 |
| Lincoln National Corp. | 5,863 | 396,222 |
| Loews Corp. | 7,218 | 337,875 |
| Marsh & McLennan Companies, Inc. | 13,463 | 1,049,575 |
| MetLife, Inc. | 28,225 | 1,550,681 |
| Principal Financial Group, Inc. | 7,003 | 448,682 |
| Progressive Corp. (The) | 15,175 | 669,066 |
| Prudential Financial, Inc. | 11,212 | 1,212,466 |
| Torchmark Corp. | 2,838 | 217,107 |
| Travelers Companies, Inc. (The) | 7,302 | 923,922 |
| Unum Group | 5,966 | 278,195 |
| Willis Towers Watson PLC | 3,322 | 483,218 |
| Xl Group Ltd. | 6,827 | 299,023 |
| Total | | 15,111,046 |
| Total Financials | 78,897,967 |
| Health Care 14.1% |
| Biotechnology 2.9% |
| AbbVie, Inc. | 41,584 | 3,015,256 |
| Alexion Pharmaceuticals, Inc.(a) | 5,862 | 713,229 |
| Amgen, Inc. | 19,229 | 3,311,811 |
| Biogen, Inc.(a) | 5,580 | 1,514,189 |
| Celgene Corp.(a) | 20,405 | 2,649,997 |
| Gilead Sciences, Inc. | 34,138 | 2,416,288 |
| Incyte Corp.(a) | 4,440 | 559,040 |
| Regeneron Pharmaceuticals, Inc.(a) | 1,990 | 977,368 |
| Vertex Pharmaceuticals, Inc.(a) | 6,510 | 838,944 |
| Total | | 15,996,122 |
| Health Care Equipment & Supplies 2.8% |
| Abbott Laboratories | 45,340 | 2,203,977 |
| Align Technology, Inc.(a) | 1,970 | 295,736 |
| Baxter International, Inc. | 12,744 | 771,522 |
| Becton Dickinson and Co. | 5,937 | 1,158,368 |
| Boston Scientific Corp.(a) | 35,775 | 991,683 |
| Cooper Companies, Inc. (The) | 1,280 | 306,458 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| CR Bard, Inc. | 1,893 | 598,396 |
| Danaher Corp. | 15,961 | 1,346,949 |
| Dentsply Sirona, Inc. | 5,986 | 388,132 |
| Edwards Lifesciences Corp.(a) | 5,484 | 648,428 |
| Hologic, Inc.(a) | 7,320 | 332,182 |
| IDEXX Laboratories, Inc.(a) | 2,300 | 371,266 |
| Intuitive Surgical, Inc.(a) | 963 | 900,761 |
| Medtronic PLC | 35,759 | 3,173,611 |
| Stryker Corp. | 8,109 | 1,125,367 |
| Varian Medical Systems, Inc.(a) | 2,397 | 247,347 |
| Zimmer Biomet Holdings, Inc. | 5,259 | 675,256 |
| Total | | 15,535,439 |
| Health Care Providers & Services 2.7% |
| Aetna, Inc. | 8,669 | 1,316,214 |
| AmerisourceBergen Corp. | 4,336 | 409,882 |
| Anthem, Inc. | 6,928 | 1,303,365 |
| Cardinal Health, Inc. | 8,253 | 643,074 |
| Centene Corp.(a) | 4,500 | 359,460 |
| CIGNA Corp. | 6,692 | 1,120,174 |
| DaVita, Inc.(a) | 4,071 | 263,638 |
| Envision Healthcare Corp.(a) | 3,070 | 192,397 |
| Express Scripts Holding Co.(a) | 15,509 | 990,095 |
| HCA Healthcare, Inc.(a) | 7,480 | 652,256 |
| Henry Schein, Inc.(a) | 2,070 | 378,851 |
| Humana, Inc. | 3,767 | 906,416 |
| Laboratory Corp. of America Holdings(a) | 2,668 | 411,245 |
| McKesson Corp. | 5,510 | 906,615 |
| Patterson Companies, Inc. | 2,135 | 100,238 |
| Quest Diagnostics, Inc. | 3,574 | 397,286 |
| UnitedHealth Group, Inc. | 25,172 | 4,667,392 |
| Universal Health Services, Inc., Class B | 2,335 | 285,057 |
| Total | | 15,303,655 |
| Health Care Technology 0.1% |
| Cerner Corp.(a) | 7,681 | 510,556 |
| Life Sciences Tools & Services 0.7% |
| Agilent Technologies, Inc. | 8,417 | 499,212 |
| Illumina, Inc.(a) | 3,810 | 661,111 |
| Mettler-Toledo International, Inc.(a) | 670 | 394,322 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| PerkinElmer, Inc. | 2,871 | 195,630 |
| Thermo Fisher Scientific, Inc. | 10,219 | 1,782,909 |
| Waters Corp.(a) | 2,087 | 383,674 |
| Total | | 3,916,858 |
| Pharmaceuticals 4.9% |
| Allergan PLC | 8,776 | 2,133,358 |
| Bristol-Myers Squibb Co. | 43,044 | 2,398,412 |
| Eli Lilly & Co. | 25,367 | 2,087,704 |
| Johnson & Johnson | 70,378 | 9,310,306 |
| Mallinckrodt PLC(a) | 2,595 | 116,282 |
| Merck & Co., Inc. | 71,459 | 4,579,807 |
| Mylan NV(a) | 12,041 | 467,432 |
| Perrigo Co. PLC | 3,746 | 282,898 |
| Pfizer, Inc. | 155,917 | 5,237,252 |
| Zoetis, Inc. | 12,820 | 799,711 |
| Total | | 27,413,162 |
| Total Health Care | 78,675,792 |
| Industrials 10.0% |
| Aerospace & Defense 2.3% |
| Arconic, Inc. | 11,511 | 260,724 |
| Boeing Co. (The) | 14,667 | 2,900,399 |
| General Dynamics Corp. | 7,409 | 1,467,723 |
| L-3 Communications Corp. | 2,036 | 340,175 |
| Lockheed Martin Corp. | 6,508 | 1,806,686 |
| Northrop Grumman Corp. | 4,563 | 1,171,368 |
| Raytheon Co. | 7,603 | 1,227,732 |
| Rockwell Collins, Inc. | 4,245 | 446,064 |
| Textron, Inc. | 6,989 | 329,182 |
| TransDigm Group, Inc. | 1,280 | 344,154 |
| United Technologies Corp. | 19,465 | 2,376,871 |
| Total | | 12,671,078 |
| Air Freight & Logistics 0.7% |
| CH Robinson Worldwide, Inc. | 3,685 | 253,086 |
| Expeditors International of Washington, Inc. | 4,704 | 265,682 |
| FedEx Corp. | 6,431 | 1,397,649 |
| United Parcel Service, Inc., Class B | 18,000 | 1,990,620 |
| Total | | 3,907,037 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017
| 9 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Airlines 0.6% |
| Alaska Air Group, Inc. | 3,230 | 289,925 |
| American Airlines Group, Inc. | 12,870 | 647,618 |
| Delta Air Lines, Inc. | 19,230 | 1,033,420 |
| Southwest Airlines Co. | 15,800 | 981,812 |
| United Continental Holdings, Inc.(a) | 7,360 | 553,840 |
| Total | | 3,506,615 |
| Building Products 0.3% |
| Allegion PLC | 2,489 | 201,907 |
| Fortune Brands Home & Security, Inc. | 4,020 | 262,265 |
| Johnson Controls International PLC | 24,505 | 1,062,537 |
| Masco Corp. | 8,357 | 319,321 |
| Total | | 1,846,030 |
| Commercial Services & Supplies 0.3% |
| Cintas Corp. | 2,252 | 283,842 |
| Republic Services, Inc. | 6,005 | 382,699 |
| Stericycle, Inc.(a) | 2,225 | 169,812 |
| Waste Management, Inc. | 10,620 | 778,977 |
| Total | | 1,615,330 |
| Construction & Engineering 0.1% |
| Fluor Corp. | 3,654 | 167,280 |
| Jacobs Engineering Group, Inc. | 3,149 | 171,274 |
| Quanta Services, Inc.(a) | 3,868 | 127,335 |
| Total | | 465,889 |
| Electrical Equipment 0.6% |
| Acuity Brands, Inc. | 1,150 | 233,772 |
| AMETEK, Inc. | 6,010 | 364,026 |
| Eaton Corp. PLC | 11,686 | 909,521 |
| Emerson Electric Co. | 16,842 | 1,004,120 |
| Rockwell Automation, Inc. | 3,362 | 544,510 |
| Total | | 3,055,949 |
| Industrial Conglomerates 2.3% |
| 3M Co. | 15,613 | 3,250,470 |
| General Electric Co. | 227,523 | 6,145,396 |
| Honeywell International, Inc. | 19,919 | 2,655,004 |
| Roper Technologies, Inc. | 2,662 | 616,333 |
| Total | | 12,667,203 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Machinery 1.5% |
| Caterpillar, Inc. | 15,395 | 1,654,347 |
| Cummins, Inc. | 4,040 | 655,369 |
| Deere & Co. | 7,689 | 950,283 |
| Dover Corp. | 4,065 | 326,094 |
| Flowserve Corp. | 3,411 | 158,373 |
| Fortive Corp. | 7,880 | 499,198 |
| Illinois Tool Works, Inc. | 8,120 | 1,163,190 |
| Ingersoll-Rand PLC | 6,694 | 611,765 |
| PACCAR, Inc. | 9,181 | 606,313 |
| Parker-Hannifin Corp. | 3,483 | 556,653 |
| Pentair PLC | 4,383 | 291,645 |
| Snap-On, Inc. | 1,516 | 239,528 |
| Stanley Black & Decker, Inc. | 3,992 | 561,794 |
| Xylem, Inc. | 4,695 | 260,244 |
| Total | | 8,534,796 |
| Professional Services 0.3% |
| Equifax, Inc. | 3,145 | 432,186 |
| IHS Markit Ltd.(a) | 8,290 | 365,092 |
| Nielsen Holdings PLC | 8,780 | 339,435 |
| Robert Half International, Inc. | 3,323 | 159,271 |
| Verisk Analytics, Inc.(a) | 4,020 | 339,167 |
| Total | | 1,635,151 |
| Road & Rail 0.9% |
| CSX Corp. | 24,110 | 1,315,442 |
| JB Hunt Transport Services, Inc. | 2,240 | 204,691 |
| Kansas City Southern | 2,770 | 289,881 |
| Norfolk Southern Corp. | 7,573 | 921,634 |
| Union Pacific Corp. | 21,097 | 2,297,674 |
| Total | | 5,029,322 |
| Trading Companies & Distributors 0.1% |
| Fastenal Co. | 7,553 | 328,782 |
| United Rentals, Inc.(a) | 2,205 | 248,526 |
| WW Grainger, Inc. | 1,400 | 252,742 |
| Total | | 830,050 |
| Total Industrials | 55,764,450 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Information Technology 21.7% |
| Communications Equipment 1.0% |
| Cisco Systems, Inc. | 130,631 | 4,088,750 |
| F5 Networks, Inc.(a) | 1,694 | 215,240 |
| Harris Corp. | 3,182 | 347,093 |
| Juniper Networks, Inc. | 9,984 | 278,354 |
| Motorola Solutions, Inc. | 4,271 | 370,466 |
| Total | | 5,299,903 |
| Electronic Equipment, Instruments & Components 0.4% |
| Amphenol Corp., Class A | 7,981 | 589,158 |
| Corning, Inc. | 24,041 | 722,432 |
| FLIR Systems, Inc. | 3,565 | 123,563 |
| TE Connectivity Ltd. | 9,275 | 729,757 |
| Total | | 2,164,910 |
| Internet Software & Services 4.5% |
| Akamai Technologies, Inc.(a) | 4,512 | 224,743 |
| Alphabet, Inc., Class A(a) | 7,776 | 7,229,191 |
| Alphabet, Inc., Class C(a) | 7,794 | 7,082,641 |
| eBay, Inc.(a) | 26,303 | 918,501 |
| Facebook, Inc., Class A(a) | 61,755 | 9,323,770 |
| VeriSign, Inc.(a) | 2,308 | 214,552 |
| Total | | 24,993,398 |
| IT Services 3.7% |
| Accenture PLC, Class A | 16,197 | 2,003,245 |
| Alliance Data Systems Corp. | 1,450 | 372,200 |
| Automatic Data Processing, Inc. | 11,685 | 1,197,245 |
| Cognizant Technology Solutions Corp., Class A | 15,384 | 1,021,498 |
| CSRA, Inc. | 3,798 | 120,586 |
| DXC Technology Co. | 7,400 | 567,728 |
| Fidelity National Information Services, Inc. | 8,633 | 737,258 |
| Fiserv, Inc.(a) | 5,545 | 678,375 |
| Gartner, Inc.(a) | 2,360 | 291,484 |
| Global Payments, Inc. | 3,980 | 359,474 |
| International Business Machines Corp. | 22,338 | 3,436,255 |
| MasterCard, Inc., Class A | 24,510 | 2,976,739 |
| Paychex, Inc. | 8,351 | 475,506 |
| PayPal Holdings, Inc.(a) | 29,183 | 1,566,252 |
| Total System Services, Inc. | 4,324 | 251,873 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Visa, Inc., Class A | 48,234 | 4,523,384 |
| Western Union Co. (The) | 12,317 | 234,639 |
| Total | | 20,813,741 |
| Semiconductors & Semiconductor Equipment 3.3% |
| Advanced Micro Devices, Inc.(a) | 20,250 | 252,720 |
| Analog Devices, Inc. | 9,590 | 746,102 |
| Applied Materials, Inc. | 28,074 | 1,159,737 |
| Broadcom Ltd. | 10,486 | 2,443,762 |
| Intel Corp. | 123,025 | 4,150,863 |
| KLA-Tencor Corp. | 4,092 | 374,459 |
| Lam Research Corp. | 4,211 | 595,562 |
| Microchip Technology, Inc. | 5,994 | 462,617 |
| Micron Technology, Inc.(a) | 27,166 | 811,177 |
| NVIDIA Corp. | 15,543 | 2,246,896 |
| Qorvo, Inc.(a) | 3,320 | 210,222 |
| QUALCOMM, Inc. | 38,603 | 2,131,658 |
| Skyworks Solutions, Inc. | 4,820 | 462,479 |
| Texas Instruments, Inc. | 26,026 | 2,002,180 |
| Xilinx, Inc. | 6,478 | 416,665 |
| Total | | 18,467,099 |
| Software 4.8% |
| Activision Blizzard, Inc. | 18,120 | 1,043,169 |
| Adobe Systems, Inc.(a) | 12,923 | 1,827,829 |
| ANSYS, Inc.(a) | 2,230 | 271,346 |
| Autodesk, Inc.(a) | 5,068 | 510,956 |
| CA, Inc. | 8,188 | 282,240 |
| Citrix Systems, Inc.(a) | 3,954 | 314,659 |
| Electronic Arts, Inc.(a) | 8,105 | 856,861 |
| Intuit, Inc. | 6,363 | 845,070 |
| Microsoft Corp. | 201,710 | 13,903,870 |
| Oracle Corp. | 78,477 | 3,934,837 |
| Red Hat, Inc.(a) | 4,649 | 445,142 |
| Salesforce.com, Inc.(a) | 17,465 | 1,512,469 |
| Symantec Corp. | 15,896 | 449,062 |
| Synopsys, Inc.(a) | 3,930 | 286,615 |
| Total | | 26,484,125 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017
| 11 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Technology Hardware, Storage & Peripherals 4.0% |
| Apple, Inc.(c) | 136,215 | 19,617,684 |
| Hewlett Packard Enterprise Co. | 43,495 | 721,582 |
| HP, Inc. | 43,975 | 768,683 |
| NetApp, Inc. | 7,079 | 283,514 |
| Seagate Technology PLC | 7,761 | 300,739 |
| Western Digital Corp. | 7,605 | 673,803 |
| Xerox Corp. | 5,574 | 160,141 |
| Total | | 22,526,146 |
| Total Information Technology | 120,749,322 |
| Materials 2.8% |
| Chemicals 2.1% |
| Air Products & Chemicals, Inc. | 5,692 | 814,297 |
| Albemarle Corp. | 2,890 | 305,011 |
| CF Industries Holdings, Inc. | 6,090 | 170,276 |
| Dow Chemical Co. (The) | 29,364 | 1,851,987 |
| Eastman Chemical Co. | 3,810 | 320,002 |
| Ecolab, Inc. | 6,821 | 905,488 |
| EI du Pont de Nemours & Co. | 22,653 | 1,828,324 |
| FMC Corp. | 3,503 | 255,894 |
| International Flavors & Fragrances, Inc. | 2,062 | 278,370 |
| LyondellBasell Industries NV, Class A | 8,630 | 728,286 |
| Monsanto Co. | 11,460 | 1,356,406 |
| Mosaic Co. (The) | 9,172 | 209,397 |
| PPG Industries, Inc. | 6,692 | 735,852 |
| Praxair, Inc. | 7,467 | 989,751 |
| Sherwin-Williams Co. (The) | 2,121 | 744,386 |
| Total | | 11,493,727 |
| Construction Materials 0.2% |
| Martin Marietta Materials, Inc. | 1,640 | 365,031 |
| Vulcan Materials Co. | 3,457 | 437,933 |
| Total | | 802,964 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Containers & Packaging 0.3% |
| Avery Dennison Corp. | 2,316 | 204,665 |
| Ball Corp. | 9,146 | 386,053 |
| International Paper Co. | 10,783 | 610,425 |
| Sealed Air Corp. | 5,112 | 228,813 |
| WestRock Co. | 6,561 | 371,746 |
| Total | | 1,801,702 |
| Metals & Mining 0.2% |
| Freeport-McMoRan, Inc.(a) | 34,774 | 417,636 |
| Newmont Mining Corp. | 13,929 | 451,160 |
| Nucor Corp. | 8,339 | 482,578 |
| Total | | 1,351,374 |
| Total Materials | 15,449,767 |
| Real Estate 2.8% |
| Equity Real Estate Investment Trusts (REITS) 2.8% |
| Alexandria Real Estate Equities, Inc. | 2,380 | 286,719 |
| American Tower Corp. | 11,109 | 1,469,943 |
| Apartment Investment & Management Co., Class A | 4,104 | 176,349 |
| AvalonBay Communities, Inc. | 3,602 | 692,196 |
| Boston Properties, Inc. | 4,023 | 494,909 |
| Crown Castle International Corp. | 9,563 | 958,021 |
| Digital Realty Trust, Inc. | 4,170 | 471,002 |
| Equinix, Inc. | 2,036 | 873,770 |
| Equity Residential | 9,597 | 631,771 |
| Essex Property Trust, Inc. | 1,710 | 439,932 |
| Extra Space Storage, Inc. | 3,290 | 256,620 |
| Federal Realty Investment Trust | 1,890 | 238,877 |
| General Growth Properties, Inc. | 15,215 | 358,465 |
| HCP, Inc. | 12,244 | 391,318 |
| Host Hotels & Resorts, Inc. | 19,322 | 353,013 |
| Iron Mountain, Inc. | 6,418 | 220,522 |
| Kimco Realty Corp. | 11,125 | 204,144 |
| Macerich Co. (The) | 3,115 | 180,857 |
| Mid-America Apartment Communities, Inc. | 2,970 | 312,979 |
| ProLogis, Inc. | 13,857 | 812,574 |
| Public Storage | 3,904 | 814,101 |
| Realty Income Corp. | 7,130 | 393,433 |
| Regency Centers Corp. | 3,820 | 239,285 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Simon Property Group, Inc. | 8,154 | 1,318,991 |
| SL Green Realty Corp. | 2,660 | 281,428 |
| UDR, Inc. | 6,990 | 272,400 |
| Ventas, Inc. | 9,268 | 643,941 |
| Vornado Realty Trust | 4,505 | 423,020 |
| Welltower, Inc. | 9,571 | 716,389 |
| Weyerhaeuser Co. | 19,628 | 657,538 |
| Total | | 15,584,507 |
| Real Estate Management & Development —% |
| CBRE Group, Inc., Class A(a) | 7,856 | 285,959 |
| Total Real Estate | 15,870,466 |
| Telecommunication Services 2.1% |
| Diversified Telecommunication Services 2.1% |
| AT&T, Inc. | 160,628 | 6,060,494 |
| CenturyLink, Inc. | 14,338 | 342,391 |
| Level 3 Communications, Inc.(a) | 7,645 | 453,349 |
| Verizon Communications, Inc. | 106,575 | 4,759,640 |
| Total | | 11,615,874 |
| Total Telecommunication Services | 11,615,874 |
| Utilities 3.1% |
| Electric Utilities 1.9% |
| Alliant Energy Corp. | 5,950 | 239,012 |
| American Electric Power Co., Inc. | 12,851 | 892,759 |
| Duke Energy Corp. | 18,286 | 1,528,527 |
| Edison International | 8,510 | 665,397 |
| Entergy Corp. | 4,690 | 360,051 |
| Eversource Energy | 8,275 | 502,375 |
| Exelon Corp. | 24,194 | 872,678 |
| FirstEnergy Corp. | 11,598 | 338,198 |
| NextEra Energy, Inc. | 12,233 | 1,714,210 |
| PG&E Corp. | 13,341 | 885,442 |
| Pinnacle West Capital Corp. | 2,912 | 247,986 |
| PPL Corp. | 17,850 | 690,081 |
| Southern Co. (The) | 25,984 | 1,244,114 |
| Xcel Energy, Inc. | 13,263 | 608,506 |
| Total | | 10,789,336 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Independent Power and Renewable Electricity Producers 0.1% |
| AES Corp. (The) | 17,243 | 191,570 |
| NRG Energy, Inc. | 8,262 | 142,271 |
| Total | | 333,841 |
| Multi-Utilities 1.0% |
| Ameren Corp. | 6,342 | 346,717 |
| CenterPoint Energy, Inc. | 11,264 | 308,408 |
| CMS Energy Corp. | 7,331 | 339,059 |
| Consolidated Edison, Inc. | 7,983 | 645,186 |
| Dominion Energy, Inc. | 16,434 | 1,259,337 |
| DTE Energy Co. | 4,686 | 495,732 |
| NiSource, Inc. | 8,454 | 214,394 |
| Public Service Enterprise Group, Inc. | 13,218 | 568,506 |
| SCANA Corp. | 3,733 | 250,148 |
| Sempra Energy | 6,558 | 739,415 |
| WEC Energy Group, Inc. | 8,243 | 505,955 |
| Total | | 5,672,857 |
| Water Utilities 0.1% |
| American Water Works Co., Inc. | 4,660 | 363,247 |
| Total Utilities | 17,159,281 |
Total Common Stocks
(Cost $360,650,193) | 542,663,530 |
|
| Money Market Funds 2.4% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(b),(d) | 13,094,012 | 13,094,012 |
Total Money Market Funds
(Cost $13,093,273) | 13,094,012 |
Total Investments
(Cost: $373,743,466) | 555,757,542 |
| Other Assets & Liabilities, Net | | 623,305 |
| Net Assets | 556,380,847 |
At June 30, 2017, securities and/or cash totaling $712,899 were pledged as collateral.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017
| 13 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Investments in derivatives
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| S&P 500 E-mini | 23 | USD | 2,784,035 | 09/2017 | — | (14,847) |
| S&P 500 E-mini | 88 | USD | 10,651,960 | 09/2017 | — | (54,338) |
| Total | | | 13,435,995 | | — | (69,185) |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | As defined in the Investment Company Act of 1940, 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. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Ameriprise Financial, Inc. | 3,135 | 850 | — | 3,985 | — | 5,689 | 507,251 |
| Columbia Short-Term Cash Fund, 1.033% | 6,973,692 | 117,086,546 | (110,966,226) | 13,094,012 | (1,135) | 57,437 | 13,094,012 |
| Total | 6,976,827 | 117,087,396 | (110,966,226) | 13,097,997 | (1,135) | 63,126 | 13,601,263 |
| (c) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (d) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
Currency Legend
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 66,575,869 | — | — | — | 66,575,869 |
| Consumer Staples | 49,071,875 | — | — | — | 49,071,875 |
| Energy | 32,832,867 | — | — | — | 32,832,867 |
| Financials | 78,897,967 | — | — | — | 78,897,967 |
| Health Care | 78,675,792 | — | — | — | 78,675,792 |
| Industrials | 55,764,450 | — | — | — | 55,764,450 |
| Information Technology | 120,749,322 | — | — | — | 120,749,322 |
| Materials | 15,449,767 | — | — | — | 15,449,767 |
| Real Estate | 15,870,466 | — | — | — | 15,870,466 |
| Telecommunication Services | 11,615,874 | — | — | — | 11,615,874 |
| Utilities | 17,159,281 | — | — | — | 17,159,281 |
| Total Common Stocks | 542,663,530 | — | — | — | 542,663,530 |
| Money Market Funds | — | — | — | 13,094,012 | 13,094,012 |
| Total Investments | 542,663,530 | — | — | 13,094,012 | 555,757,542 |
| Derivatives | | | | | |
| Liability | | | | | |
| Futures Contracts | (69,185) | — | — | — | (69,185) |
| Total | 542,594,345 | — | — | 13,094,012 | 555,688,357 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
Derivative instruments are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017
| 15 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $360,406,595 |
| Affiliated issuers, at cost | 13,336,871 |
| Total investments, at cost | 373,743,466 |
| Investments, at value | |
| Unaffiliated issuers, at value | 542,156,279 |
| Affiliated issuers, at value | 13,601,263 |
| Total investments, at value | 555,757,542 |
| Receivable for: | |
| Capital shares sold | 652,138 |
| Dividends | 544,100 |
| Foreign tax reclaims | 3,167 |
| Variation margin for futures contracts | 4,995 |
| Trustees’ deferred compensation plan | 7,369 |
| Total assets | 556,969,311 |
| Liabilities | |
| Due to custodian | 611 |
| Payable for: | |
| Investments purchased | 230,019 |
| Capital shares purchased | 102,337 |
| Management services fees | 90,763 |
| Distribution and/or service fees | 44,123 |
| Transfer agent fees | 27,228 |
| Compensation of board members | 35,711 |
| Compensation of chief compliance officer | 52 |
| Other expenses | 50,251 |
| Trustees’ deferred compensation plan | 7,369 |
| Total liabilities | 588,464 |
| Net assets applicable to outstanding capital stock | $556,380,847 |
| Represented by | |
| Trust capital | $556,380,847 |
| Total - representing net assets applicable to outstanding capital stock | $556,380,847 |
| Class 1 | |
| Net assets | $139,435,702 |
| Shares outstanding | 7,485,682 |
| Net asset value per share | $18.63 |
| Class 2 | |
| Net assets | $11,423,101 |
| Shares outstanding | 622,387 |
| Net asset value per share | $18.35 |
| Class 3 | |
| Net assets | $405,522,044 |
| Shares outstanding | 21,920,678 |
| Net asset value per share | $18.50 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $5,066,795 |
| Dividends — affiliated issuers | 63,126 |
| Foreign taxes withheld | (75) |
| Total income | 5,129,846 |
| Expenses: | |
| Management services fees | 486,206 |
| Distribution and/or service fees | |
| Class 2 | 14,366 |
| Class 3 | 238,818 |
| Transfer agent fees | |
| Class 1 | 27,781 |
| Class 2 | 3,448 |
| Class 3 | 114,628 |
| Compensation of board members | 10,224 |
| Custodian fees | 20,499 |
| Printing and postage fees | 40,730 |
| Licensing fees and expenses | 7,459 |
| Audit fees | 15,457 |
| Legal fees | 4,772 |
| Compensation of chief compliance officer | 47 |
| Other | 6,225 |
| Total expenses | 990,660 |
| Net investment income | 4,139,186 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 772,930 |
| Investments — affiliated issuers | (1,135) |
| Futures contracts | 883,837 |
| Net realized gain | 1,655,632 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 34,583,604 |
| Investments — affiliated issuers | 55,187 |
| Futures contracts | 2,936 |
| Net change in unrealized appreciation (depreciation) | 34,641,727 |
| Net realized and unrealized gain | 36,297,359 |
| Net increase in net assets resulting from operations | $40,436,545 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017
| 17 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment income | $4,139,186 | $5,782,297 |
| Net realized gain | 1,655,632 | 5,954,963 |
| Net change in unrealized appreciation (depreciation) | 34,641,727 | 24,528,972 |
| Net increase in net assets resulting from operations | 40,436,545 | 36,266,232 |
| Increase in net assets from capital stock activity | 125,224,611 | 38,513,244 |
| Total increase in net assets | 165,661,156 | 74,779,476 |
| Net assets at beginning of period | 390,719,691 | 315,940,215 |
| Net assets at end of period | $556,380,847 | $390,719,691 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 5,680,586 | 101,872,411 | 1,914,845 | 32,356,445 |
| Redemptions | (38,950) | (704,513) | (71,024) | (1,218,766) |
| Net increase | 5,641,636 | 101,167,898 | 1,843,821 | 31,137,679 |
| Class 2 | | | | |
| Subscriptions | 7,288 | 126,924 | 21,662 | 344,977 |
| Redemptions | (58,065) | (1,030,591) | (128,377) | (2,009,249) |
| Net decrease | (50,777) | (903,667) | (106,715) | (1,664,272) |
| Class 3 | | | | |
| Subscriptions | 1,721,404 | 30,735,717 | 1,937,569 | 31,105,430 |
| Redemptions | (318,130) | (5,775,337) | (1,410,655) | (22,065,593) |
| Net increase | 1,403,274 | 24,960,380 | 526,914 | 9,039,837 |
| Total net increase | 6,994,133 | 125,224,611 | 2,264,020 | 38,513,244 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017
| 19 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| 6/30/2017 (c) | $17.06 | 0.16 | 1.41 | 1.57 |
| 12/31/2016 | $15.29 | 0.34 | 1.43 | 1.77 |
| 12/31/2015 | $15.14 | 0.34 (e) | (0.19) | 0.15 |
| 12/31/2014 | $13.36 | 0.23 | 1.55 | 1.78 |
| 12/31/2013 | $10.12 | 0.21 | 3.03 | 3.24 |
| 12/31/2012 | $8.75 | 0.18 | 1.19 | 1.37 |
| Class 2 |
| 6/30/2017 (c) | $16.83 | 0.14 | 1.38 | 1.52 |
| 12/31/2016 | $15.12 | 0.26 | 1.45 | 1.71 |
| 12/31/2015 | $15.01 | 0.29 (f) | (0.18) | 0.11 |
| 12/31/2014 | $13.27 | 0.20 | 1.54 | 1.74 |
| 12/31/2013 | $10.08 | 0.18 | 3.01 | 3.19 |
| 12/31/2012 | $8.74 | 0.17 | 1.17 | 1.34 |
| Class 3 |
| 6/30/2017 (c) | $16.96 | 0.15 | 1.39 | 1.54 |
| 12/31/2016 | $15.21 | 0.28 | 1.47 | 1.75 |
| 12/31/2015 | $15.08 | 0.32 (e) | (0.19) | 0.13 |
| 12/31/2014 | $13.32 | 0.22 | 1.54 | 1.76 |
| 12/31/2013 | $10.11 | 0.19 | 3.02 | 3.21 |
| 12/31/2012 | $8.75 | 0.18 | 1.18 | 1.36 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests, if any. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.06 per share. |
| (f) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.05 per share. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $18.63 | 9.20% | 0.31% (d) | 0.31% (d) | 1.83% (d) | 1% | $139,436 |
| $17.06 | 11.58% | 0.32% | 0.31% | 2.14% | 5% | $31,465 |
| $15.29 | 0.99% | 0.37% | 0.33% | 2.21% | 4% | $3 |
| $15.14 | 13.32% | 0.31% | 0.31% | 1.70% | 3% | $3 |
| $13.36 | 32.02% | 0.31% | 0.31% | 1.77% | 4% | $21 |
| $10.12 | 15.66% | 0.33% | 0.33% | 1.90% | 4% | $16 |
| |
| $18.35 | 9.03% | 0.55% (d) | 0.55% (d) | 1.55% (d) | 1% | $11,423 |
| $16.83 | 11.31% | 0.56% | 0.56% | 1.65% | 5% | $11,332 |
| $15.12 | 0.73% | 0.58% | 0.58% | 1.94% | 4% | $11,794 |
| $15.01 | 13.11% | 0.56% | 0.56% | 1.46% | 3% | $15,166 |
| $13.27 | 31.65% | 0.56% | 0.56% | 1.52% | 4% | $16,371 |
| $10.08 | 15.33% | 0.57% | 0.57% | 1.72% | 4% | $14,910 |
| |
| $18.50 | 9.08% | 0.43% (d) | 0.43% (d) | 1.68% (d) | 1% | $405,522 |
| $16.96 | 11.51% | 0.43% | 0.43% | 1.78% | 5% | $347,922 |
| $15.21 | 0.86% | 0.46% | 0.45% | 2.10% | 4% | $304,143 |
| $15.08 | 13.21% | 0.44% | 0.44% | 1.59% | 3% | $290,301 |
| $13.32 | 31.75% | 0.44% | 0.44% | 1.65% | 4% | $252,295 |
| $10.11 | 15.54% | 0.44% | 0.44% | 1.86% | 4% | $195,032 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017
| 21 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Large Cap Index Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers Class 1, Class 2 and Class 3 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Fund directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to the Fund. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are generally determined at 4:00 p.m. Eastern (U.S.) time. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees, including, if available, utilizing a third party pricing service to determine these fair values. The third party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
Futures and options on futures contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of transactions, at the mean of the latest quoted bid and ask prices.
| 22 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Derivative instruments
The Fund invests in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract; therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017
| 23 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In addition to considering counterparty credit risk, the Fund would consider terminating the derivatives contracts based on whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to maintain appropriate equity market exposure while keeping sufficient cash to accommodate daily redemptions. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital - unrealized depreciation on futures | 69,185* |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
| 24 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Equity risk | 883,837 |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Equity risk | 2,936 |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 15,506,018 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2017. |
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds, other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information on the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by the Fund’s management. Management’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities, the proceeds are recorded as realized gains.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017
| 25 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Federal income tax status
The Fund is treated as a partnership for federal income tax purposes, and the Fund does not expect to make regular distributions. The Fund will not be subject to federal income tax, and therefore, there is no provision for federal income taxes. The partners of the Fund are subject to tax on their distributive share of the Fund’s income and loss. The components of the Fund’s net assets are reported at the partner-level for federal income tax purposes, and therefore, are not presented in the Statement of Assets and Liabilities.
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to 0.20% of the Fund’s daily net assets.
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
| 26 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of the Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, the Fund no longer pays a transfer agency fee.
Distribution fees
The Fund has an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, the Fund pays a fee at an annual rate of up to 0.25% of the Fund’s average daily net assets attributable to Class 2 shares and an annual rate of up to 0.125% of the Fund’s average daily net assets attributable to Class 3 shares. The Fund pays no distribution and service fees for Class 1 shares.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | Fee rates contractual
through
April 30, 2018 |
| Class 1 | 0.33% |
| Class 2 | 0.58 |
| Class 3 | 0.455 |
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017
| 27 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The Fund had a voluntary expense reimbursement arrangement from May 1, 2017 to June 30, 2017. The annual limitation rates were the same under the voluntary expense reimbursement arrangement, which changed to a contractual arrangement on July 1, 2017 through April 30, 2018.
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $129,172,504 and $4,607,746, respectively, for the six months ended June 30, 2017. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 5. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 6. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
Note 7. Significant risks
Shareholder concentration risk
At June 30, 2017, affiliated shareholders of record owned 97.9% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
| 28 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Technology and technology-related investment risk
The Fund may be more susceptible to the particular risks that may affect companies in the information technology sector, as well as other technology-related sectors (collectively, the technology sectors) than if it were invested in a wider variety of companies in unrelated sectors. Companies in the technology sectors are subject to certain risks, including the risk that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete. Performance of such companies may be affected by factors including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for market share and short product cycles due to an accelerated rate of technological developments. Such competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their securities may fall or fail to rise. In addition, many technology sector companies have limited operating histories and prices of these companies’ securities historically have been more volatile than other securities, especially over the short term.
Note 8. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Note 9. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017
| 29 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio - Large Cap Index Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as their history, reputation, expertise, resources and capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, the relatively recent change in the leadership of equity department oversight, and the various technological enhancements that had been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its strong cash position and solid balance sheet.
| 30 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed that the Fund’s investment performance met expectations.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017
| 31 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as the Fund grows and took note of the extent to which Fund shareholders might also benefit from such growth. The Board considered that the Management Agreement already provides for a relatively low flat fee regardless of the Fund’s asset level, and requires Columbia Threadneedle to provide investment research and advice, as well as administrative, accounting and other services to the Fund.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
| 32 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2017
| 33 |
Columbia Variable Portfolio – Large Cap Index Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio – Emerging Markets Fund
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 Insured • No bank guarantee • May lose value
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017
Fund at a Glance
(Unaudited)
Investment objective
Columbia Variable Portfolio – Emerging Markets Fund (the Fund) seeks to provide shareholders with long-term capital growth.
Portfolio management
Dara White, CFA
Lead manager
Managed Fund since 2012
Robert Cameron
Co-manager
Managed Fund since 2012
Jasmine (Weili) Huang, CFA, CPA (U.S. and China), CFM
Co-manager
Managed Fund since 2012
Young Kim
Co-manager
Managed Fund since 2015
Perry Vickery, CFA
Co-manager
Managed Fund since January 2017
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 * | 05/03/10 | 22.97 | 23.49 | 5.68 | 2.31 |
| Class 2 * | 05/03/10 | 22.89 | 23.23 | 5.43 | 2.10 |
| Class 3 | 05/01/00 | 22.95 | 23.38 | 5.54 | 2.21 |
| MSCI Emerging Markets Index (Net) | | 18.43 | 23.75 | 3.96 | 1.91 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit investor.columbiathreadneedleus.com/investment-products/variable-products/appended-performance for more information. |
The MSCI Emerging Markets Index (Net) is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI Emerging Markets Index (Net), which reflects reinvested dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at June 30, 2017) |
| Alibaba Group Holding Ltd., ADR (China) | 5.8 |
| Samsung Electronics Co., Ltd. (South Korea) | 5.3 |
| Tencent Holdings Ltd. (China) | 5.0 |
| Naspers Ltd., Class N (South Africa) | 3.9 |
| Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) | 3.8 |
| SK Hynix, Inc. (South Korea) | 2.7 |
| Ping An Insurance Group Co. of China Ltd., Class H (China) | 2.3 |
| PT Bank Rakyat Indonesia Persero Tbk (Indonesia) | 2.0 |
| Industrial & Commercial Bank of China Ltd., Class H (China) | 2.0 |
| X5 Retail Group NV GDR, Registered Shares (Russian Federation) | 1.9 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 11.0 |
| Consumer Staples | 7.1 |
| Energy | 5.8 |
| Financials | 25.6 |
| Health Care | 4.6 |
| Industrials | 4.0 |
| Information Technology | 35.6 |
| Materials | 2.6 |
| Real Estate | 0.5 |
| Telecommunication Services | 1.6 |
| Utilities | 1.6 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| Country breakdown (%) (at June 30, 2017) |
| Argentina | 0.7 |
| Brazil | 5.8 |
| Canada | 0.6 |
| China | 23.6 |
| Hong Kong | 2.2 |
| Hungary | 0.4 |
| India | 8.8 |
| Indonesia | 5.4 |
| Kenya | 0.2 |
| Malaysia | 0.5 |
| Mexico | 2.1 |
| Peru | 1.1 |
| Philippines | 1.2 |
| Poland | 1.7 |
| Russian Federation | 7.0 |
| South Africa | 5.9 |
| South Korea | 14.0 |
| Taiwan | 9.5 |
| Thailand | 4.0 |
| United Kingdom | 0.3 |
| United States(a) | 5.0 |
| Total | 100.0 |
| (a) | Includes investments in Money Market Funds. |
Country breakdown is based primarily on issuer’s place of organization/incorporation. Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Class 1 | 1,000.00 | 1,000.00 | 1,229.70 | 1,018.55 | 7.12 | 6.44 | 1.28 |
| Class 2 | 1,000.00 | 1,000.00 | 1,228.90 | 1,017.30 | 8.50 | 7.70 | 1.53 |
| Class 3 | 1,000.00 | 1,000.00 | 1,229.50 | 1,017.90 | 7.84 | 7.09 | 1.41 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
| 4 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017 |
Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 95.6% |
| Issuer | Shares | Value ($) |
| Argentina 0.7% |
| Banco Macro SA, ADR | 29,412 | 2,711,492 |
| MercadoLibre, Inc. | 10,284 | 2,580,050 |
| Total | 5,291,542 |
| Brazil 5.7% |
| AES Tiete Energia SA | 695,200 | 2,868,600 |
| BB Seguridade Participacoes SA | 405,200 | 3,500,505 |
| BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros | 854,800 | 5,059,805 |
| Embraer SA, ADR | 113,923 | 2,076,816 |
| Fleury SA | 764,400 | 6,176,760 |
| Hypermarcas SA | 316,300 | 2,645,620 |
| Itaú Unibanco Holding SA, ADR | 746,851 | 8,252,703 |
| Petroleo Brasileiro SA, ADR(a) | 994,106 | 7,942,907 |
| Raia Drogasil SA | 126,400 | 2,689,849 |
| Total | 41,213,565 |
| Canada 0.6% |
| Parex Resources(a) | 367,719 | 4,182,492 |
| China 23.6% |
| AAC Technologies Holdings, Inc. | 256,500 | 3,203,982 |
| Alibaba Group Holding Ltd., ADR(a) | 285,690 | 40,253,721 |
| Baidu, Inc., ADR(a) | 45,268 | 8,096,634 |
| China Animal Healthcare Ltd.(a),(b) | 4,603,000 | 58,956 |
| China Biologic Products, Inc.(a) | 23,239 | 2,628,331 |
| China Merchants Bank Co., Ltd., Class H | 2,221,000 | 6,692,721 |
| China Petroleum & Chemical Corp., Class H | 5,108,000 | 3,999,573 |
| CSPC Pharmaceutical Group Ltd. | 2,610,000 | 3,812,191 |
| Ctrip.com International Ltd., ADR(a) | 126,208 | 6,797,563 |
| Industrial & Commercial Bank of China Ltd., Class H | 20,644,000 | 13,932,279 |
| JD.com, Inc., ADR(a) | 55,204 | 2,165,101 |
| Kingdee International Software Group Co., Ltd.(a) | 5,676,000 | 2,362,116 |
| NetEase, Inc., ADR | 24,715 | 7,430,070 |
| New Oriental Education & Technology Group, Inc., ADR(a) | 43,844 | 3,090,564 |
| Nexteer Automotive Group Ltd. | 2,224,000 | 3,484,023 |
| Ping An Insurance Group Co. of China Ltd., Class H | 2,446,500 | 16,116,072 |
| Tencent Holdings Ltd. | 964,601 | 34,605,023 |
| Wuliangye Yibin Co., Ltd. | 1,032,400 | 8,476,050 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Wuxi Biologics Cayman, Inc.(a) | 634,000 | 2,383,352 |
| Total | 169,588,322 |
| Hong Kong 2.2% |
| AIA Group Ltd. | 1,043,200 | 7,632,428 |
| Galaxy Entertainment Group Ltd. | 291,000 | 1,766,168 |
| Techtronic Industries Co., Ltd. | 1,452,000 | 6,671,934 |
| Total | 16,070,530 |
| Hungary 0.4% |
| Richter Gedeon Nyrt | 104,088 | 2,720,266 |
| India 8.8% |
| Adani Ports & Special Economic Zone(a) | 541,357 | 3,039,512 |
| Bajaj Finance Ltd. | 110,674 | 2,348,647 |
| Bharat Petroleum Corp., Ltd. | 789,273 | 7,804,787 |
| Ceat Ltd.(a) | 97,266 | 2,698,960 |
| Dish TV India Ltd.(a) | 1,585,437 | 1,963,044 |
| Eicher Motors Ltd.(a) | 18,497 | 7,731,685 |
| HDFC Bank Ltd., ADR | 90,172 | 7,842,259 |
| Indraprastha Gas Ltd. | 244,765 | 3,999,613 |
| IndusInd Bank Ltd. | 152,826 | 3,494,055 |
| Natco Pharma Ltd. | 226,034 | 3,501,185 |
| Petronet LNG Ltd. | 652,831 | 4,359,570 |
| Tejas Networks Ltd.(a) | 1,076,913 | 5,039,895 |
| UPL Ltd. | 566,179 | 7,359,490 |
| Zee Entertainment Enterprises Ltd. | 287,522 | 2,182,321 |
| Total | 63,365,023 |
| Indonesia 5.4% |
| PT Ace Hardware Indonesia Tbk | 54,799,200 | 4,358,443 |
| PT Astra International Tbk | 3,874,400 | 2,595,838 |
| PT Bank Central Asia Tbk | 5,758,600 | 7,853,686 |
| PT Bank Rakyat Indonesia Persero Tbk | 12,310,300 | 14,046,472 |
| PT Nippon Indosari Corpindo Tbk | 22,936,800 | 2,119,507 |
| PT Pakuwon Jati Tbk | 82,295,400 | 3,794,316 |
| PT Sumber Alfaria Trijaya Tbk | 11,644,300 | 498,012 |
| PT Telekomunikasi Indonesia Persero Tbk | 10,473,500 | 3,556,712 |
| Total | 38,822,986 |
| Kenya 0.2% |
| Safaricom Ltd. | 6,558,300 | 1,438,779 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017
| 5 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Malaysia 0.5% |
| MyEg Services Bhd | 6,255,750 | 3,190,910 |
| Mexico 2.1% |
| Controladora Vuela Cia de Aviacion SAB de CV, ADR(a) | 355,647 | 5,174,664 |
| Gentera SAB de CV | 3,123,440 | 4,688,064 |
| Grupo Financiero Banorte SAB de CV, Class O | 821,400 | 5,211,610 |
| Total | 15,074,338 |
| Peru 1.1% |
| Credicorp Ltd. | 44,493 | 7,981,599 |
| Philippines 1.2% |
| GT Capital Holdings, Inc. | 185,660 | 4,446,367 |
| Robinsons Retail Holdings, Inc. | 1,022,330 | 1,760,875 |
| Security Bank Corp. | 592,200 | 2,546,535 |
| Total | 8,753,777 |
| Poland 1.7% |
| Dino Polska SA(a) | 424,910 | 5,376,663 |
| KRUK SA | 78,535 | 6,527,540 |
| Total | 11,904,203 |
| Russian Federation 7.0% |
| Aeroflot PJSC(a) | 980,100 | 3,245,673 |
| Detsky Mir PJSC | 1,723,051 | 2,746,072 |
| Lukoil PJSC, ADR | 146,657 | 7,153,195 |
| Magnit PJSC | 19,719 | 3,069,443 |
| Mail.ru Group Ltd., GDR(a),(c) | 91,815 | 2,419,325 |
| Mobile Telesystems OJSC, ADR | 274,230 | 2,298,047 |
| Sberbank of Russia PJSC, ADR | 976,029 | 10,101,900 |
| X5 Retail Group NV GDR, Registered Shares(a) | 374,789 | 12,986,439 |
| Yandex NV, Class A(a) | 245,514 | 6,442,287 |
| Total | 50,462,381 |
| South Africa 5.9% |
| Aspen Pharmacare Holdings Ltd. | 144,530 | 3,171,761 |
| AVI Ltd. | 573,847 | 4,167,053 |
| Clicks Group Ltd. | 253,262 | 2,710,237 |
| EOH Holdings Ltd. | 160,619 | 1,544,496 |
| FirstRand Ltd. | 1,099,587 | 3,962,968 |
| Naspers Ltd., Class N | 139,116 | 27,062,887 |
| Total | 42,619,402 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| South Korea 13.3% |
| AMOREPACIFIC Corp. | 11,046 | 2,933,671 |
| CLIO Cosmetics Co., Ltd. | 64,506 | 2,187,504 |
| I-SENS, Inc. | 34,558 | 830,231 |
| KB Financial Group, Inc. | 87,972 | 4,441,727 |
| Korea Electric Power Corp. | 114,687 | 4,089,701 |
| LG Uplus Corp. | 261,702 | 3,569,021 |
| LIG Nex1 Co., Ltd. | 26,254 | 1,698,466 |
| Lotte Chemical Corp. | 9,379 | 2,822,860 |
| NAVER Corp. | 6,234 | 4,569,714 |
| Osstem Implant Co., Ltd.(a) | 56,058 | 2,568,312 |
| POSCO | 21,344 | 5,346,503 |
| Samsung Electronics Co., Ltd. | 17,639 | 36,738,895 |
| SK Hynix, Inc. | 316,170 | 18,616,001 |
| SK Innovation Co., Ltd. | 35,331 | 4,893,216 |
| Total | 95,305,822 |
| Taiwan 9.5% |
| Cathay Financial Holding Co., Ltd. | 1,999,000 | 3,290,408 |
| Elite Material Co., Ltd. | 1,392,000 | 6,745,897 |
| eMemory Technology, Inc. | 247,000 | 3,229,112 |
| Hon Hai Precision Industry Co., Ltd. | 2,926,000 | 11,247,518 |
| Largan Precision Co., Ltd. | 39,000 | 6,209,368 |
| Silergy Corp. | 90,000 | 1,732,943 |
| Taiwan Paiho., Ltd. | 1,744,000 | 6,559,672 |
| Taiwan Semiconductor Manufacturing Co., Ltd. | 3,823,838 | 26,125,277 |
| Voltronic Power Technology Corp. | 194,952 | 3,208,767 |
| Total | 68,348,962 |
| Thailand 4.0% |
| Kasikornbank PCL, Foreign Registered Shares | 1,202,600 | 7,057,343 |
| Krungthai Card PCL | 863,465 | 3,047,763 |
| Mega Lifesciences PCL, Foreign Registered Shares(a) | 2,093,100 | 1,723,589 |
| Muangthai Leasing PCL, Foreign Registered Shares(a) | 5,053,000 | 4,979,308 |
| PTG Energy PCL | 3,694,027 | 2,106,885 |
| Siam Commercial Bank PCL (The), Foreign Registered Shares | 1,091,900 | 4,992,067 |
| Srisawad Power 1979 PCL | 3,209,060 | 4,742,303 |
| Total | 28,649,258 |
| United Kingdom 0.3% |
| Randgold Resources Ltd. | 25,128 | 2,227,137 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| United States 1.4% |
| Atento SA(a) | 120,582 | 1,344,489 |
| Luxoft Holding, Inc.(a) | 57,446 | 3,495,589 |
| Universal Display Corp. | 50,338 | 5,499,427 |
| Total | 10,339,505 |
Total Common Stocks
(Cost $536,606,639) | 687,550,799 |
| Preferred Stocks 0.7% |
| Issuer | Coupon
Rate | Shares | Value ($) |
| South Korea 0.7% |
| Samsung Electronics Co., Ltd. | — | 3,314 | 5,403,471 |
Total Preferred Stocks
(Cost $3,435,042) | 5,403,471 |
| Money Market Funds 3.5% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(d),(e) | 25,259,520 | 25,259,520 |
Total Money Market Funds
(Cost $25,258,939) | 25,259,520 |
Total Investments
(Cost $565,300,620) | 718,213,790 |
| Other Assets & Liabilities, Net | | 1,140,364 |
| Net Assets | $719,354,154 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2017, the value of these securities amounted to $58,956, which represents 0.01% of net assets. |
| (c) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At June 30, 2017, the value of these securities amounted to $2,419,325, which represents 0.34% of net assets. |
| (d) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (e) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 8,164,933 | 118,985,025 | (101,890,438) | 25,259,520 | (492) | 66,470 | 25,259,520 |
Abbreviation Legend
| ADR | American Depositary Receipt |
| GDR | Global Depositary Receipt |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017
| 7 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Foreign equity securities actively traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Argentina | 5,291,542 | — | — | — | 5,291,542 |
| Brazil | 41,213,565 | — | — | — | 41,213,565 |
| Canada | 4,182,492 | — | — | — | 4,182,492 |
| China | 70,461,984 | 99,067,382 | 58,956 | — | 169,588,322 |
| Hong Kong | — | 16,070,530 | — | — | 16,070,530 |
| Hungary | — | 2,720,266 | — | — | 2,720,266 |
| India | 7,842,259 | 55,522,764 | — | — | 63,365,023 |
| Indonesia | — | 38,822,986 | — | — | 38,822,986 |
| Kenya | — | 1,438,779 | — | — | 1,438,779 |
| Malaysia | — | 3,190,910 | — | — | 3,190,910 |
| Mexico | 15,074,338 | — | — | — | 15,074,338 |
| Peru | 7,981,599 | — | — | — | 7,981,599 |
| Philippines | — | 8,753,777 | — | — | 8,753,777 |
| Poland | — | 11,904,203 | — | — | 11,904,203 |
| Russian Federation | 15,893,529 | 34,568,852 | — | — | 50,462,381 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| South Africa | — | 42,619,402 | — | — | 42,619,402 |
| South Korea | — | 95,305,822 | — | — | 95,305,822 |
| Taiwan | — | 68,348,962 | — | — | 68,348,962 |
| Thailand | — | 28,649,258 | — | — | 28,649,258 |
| United Kingdom | — | 2,227,137 | — | — | 2,227,137 |
| United States | 10,339,505 | — | — | — | 10,339,505 |
| Total Common Stocks | 178,280,813 | 509,211,030 | 58,956 | — | 687,550,799 |
| Preferred Stocks | | | | | |
| South Korea | — | 5,403,471 | — | — | 5,403,471 |
| Total Preferred Stocks | — | 5,403,471 | — | — | 5,403,471 |
| Money Market Funds | — | — | — | 25,259,520 | 25,259,520 |
| Total Investments | 178,280,813 | 514,614,501 | 58,956 | 25,259,520 | 718,213,790 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets. These assets include certain foreign securities for which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
There were no transfers of financial assets between levels during the period.
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain common stock classified as Level 3 securities are valued using the market approach. To determine fair value for these securities, management considered various factors which may have included, but were not limited to, discount rates observed in the market for similar assets as well as the movement in certain foreign or domestic market indices. Significant increases (decreases) to any of these inputs would result in a significantly lower (higher) fair value measurement. Generally, a change in observable yields on comparable securities would result in a directionally similar change to discount rates.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017
| 9 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $540,041,681 |
| Affiliated issuers, at cost | 25,258,939 |
| Total investments, at cost | 565,300,620 |
| Investments, at value | |
| Unaffiliated issuers, at value | 692,954,270 |
| Affiliated issuers, at value | 25,259,520 |
| Total investments, at value | 718,213,790 |
| Cash | 183,134 |
| Receivable for: | |
| Investments sold | 2,323,282 |
| Capital shares sold | 4,303 |
| Dividends | 1,800,620 |
| Foreign tax reclaims | 39,119 |
| Expense reimbursement due from Investment Manager | 25,113 |
| Prepaid expenses | 1 |
| Total assets | 722,589,362 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 183,130 |
| Capital shares purchased | 489,389 |
| Foreign capital gains taxes deferred | 1,626,701 |
| Management services fees | 685,365 |
| Distribution and/or service fees | 28,922 |
| Transfer agent fees | 35,469 |
| Compensation of board members | 80,696 |
| Compensation of chief compliance officer | 49 |
| Other expenses | 105,487 |
| Total liabilities | 3,235,208 |
| Net assets applicable to outstanding capital stock | $719,354,154 |
| Represented by | |
| Paid in capital | 632,595,320 |
| Undistributed net investment income | 1,110,488 |
| Accumulated net realized loss | (65,633,609) |
| Unrealized appreciation (depreciation) on: | |
| Investments - unaffiliated issuers | 152,912,589 |
| Investments - affiliated issuers | 581 |
| Foreign currency translations | (4,514) |
| Foreign capital gains tax | (1,626,701) |
| Total - representing net assets applicable to outstanding capital stock | $719,354,154 |
| Class 1 | |
| Net assets | $470,867,898 |
| Shares outstanding | 26,838,405 |
| Net asset value per share | $17.54 |
| Class 2 | |
| Net assets | $33,600,708 |
| Shares outstanding | 1,930,417 |
| Net asset value per share | $17.41 |
| Class 3 | |
| Net assets | $214,885,548 |
| Shares outstanding | 12,285,678 |
| Net asset value per share | $17.49 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $6,194,217 |
| Dividends — affiliated issuers | 66,470 |
| Foreign taxes withheld | (613,928) |
| Total income | 5,646,759 |
| Expenses: | |
| Management services fees | 3,878,723 |
| Distribution and/or service fees | |
| Class 2 | 34,817 |
| Class 3 | 126,514 |
| Transfer agent fees | |
| Class 1 | 131,344 |
| Class 2 | 8,356 |
| Class 3 | 60,725 |
| Compensation of board members | 14,982 |
| Custodian fees | 137,664 |
| Printing and postage fees | 37,006 |
| Audit fees | 29,548 |
| Legal fees | 5,447 |
| Compensation of chief compliance officer | 79 |
| Other | 65,993 |
| Total expenses | 4,531,198 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (93,744) |
| Total net expenses | 4,437,454 |
| Net investment income | 1,209,305 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 19,858,742 |
| Investments — affiliated issuers | (492) |
| Foreign currency translations | (19,876) |
| Net realized gain | 19,838,374 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 116,850,543 |
| Investments — affiliated issuers | 581 |
| Foreign currency translations | (7,957) |
| Foreign capital gains tax | (1,088,332) |
| Net change in unrealized appreciation (depreciation) | 115,754,835 |
| Net realized and unrealized gain | 135,593,209 |
| Net increase in net assets resulting from operations | $136,802,514 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017
| 11 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment income | $1,209,305 | $1,954,748 |
| Net realized gain (loss) | 19,838,374 | (27,567,504) |
| Net change in unrealized appreciation (depreciation) | 115,754,835 | 64,012,351 |
| Net increase in net assets resulting from operations | 136,802,514 | 38,399,595 |
| Distributions to shareholders | | |
| Net investment income | | |
| Class 1 | (816,096) | (1,099,737) |
| Class 2 | (5,134) | (13,453) |
| Class 3 | (201,984) | (209,177) |
| Total distributions to shareholders | (1,023,214) | (1,322,367) |
| Decrease in net assets from capital stock activity | (30,013,020) | (623,660,183) |
| Total increase (decrease) in net assets | 105,766,280 | (586,582,955) |
| Net assets at beginning of period | 613,587,874 | 1,200,170,829 |
| Net assets at end of period | $719,354,154 | $613,587,874 |
| Undistributed net investment income | $1,110,488 | $924,397 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 14,389 | 220,691 | 468,950 | 6,462,757 |
| Distributions reinvested | 50,564 | 816,096 | 79,576 | 1,099,737 |
| Redemptions | (1,803,862) | (27,622,026) | (43,557,819) | (600,371,999) |
| Net decrease | (1,738,909) | (26,585,239) | (43,009,293) | (592,809,505) |
| Class 2 | | | | |
| Subscriptions | 512,787 | 8,198,184 | 290,453 | 4,151,123 |
| Distributions reinvested | 320 | 5,134 | 980 | 13,453 |
| Redemptions | (88,044) | (1,487,057) | (158,451) | (2,173,208) |
| Net increase | 425,063 | 6,716,261 | 132,982 | 1,991,368 |
| Class 3 | | | | |
| Subscriptions | 126,167 | 2,003,201 | 134,265 | 1,785,593 |
| Distributions reinvested | 12,553 | 201,984 | 15,180 | 209,177 |
| Redemptions | (765,323) | (12,349,227) | (2,483,606) | (34,836,816) |
| Net decrease | (626,603) | (10,144,042) | (2,334,161) | (32,842,046) |
| Total net decrease | (1,940,449) | (30,013,020) | (45,210,472) | (623,660,183) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017
| 13 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain (loss) | Increase
from payment
by affiliate | Total from
investment
operations | Distributions
from net
investment
income | Distributions
from net
realized
gains |
| Class 1 |
| 6/30/2017 (c) | $14.29 | 0.03 | 3.25 | — | 3.28 | (0.03) | — |
| 12/31/2016 | $13.61 | 0.03 | 0.67 | — | 0.70 | (0.02) | — |
| 12/31/2015 | $15.36 | 0.06 | (1.37) | — | (1.31) | (0.02) | (0.42) |
| 12/31/2014 | $15.81 | 0.04 | (0.39) | — | (0.35) | (0.03) | (0.07) |
| 12/31/2013 | $16.18 | 0.12 | (0.38) | — | (0.26) | (0.11) | — |
| 12/31/2012 | $13.82 | 0.10 | 2.67 | 0.01 | 2.78 | (0.08) | (0.34) |
| Class 2 |
| 6/30/2017 (c) | $14.17 | 0.02 | 3.22 | — | 3.24 | (0.00) (g) | — |
| 12/31/2016 | $13.53 | 0.02 | 0.63 | — | 0.65 | (0.01) | — |
| 12/31/2015 | $15.30 | 0.03 | (1.37) | — | (1.34) | (0.01) | (0.42) |
| 12/31/2014 | $15.75 | (0.00) (g) | (0.37) | — | (0.37) | (0.01) | (0.07) |
| 12/31/2013 | $16.14 | 0.07 | (0.38) | — | (0.31) | (0.08) | — |
| 12/31/2012 | $13.79 | 0.06 | 2.67 | 0.01 | 2.74 | (0.05) | (0.34) |
| Class 3 |
| 6/30/2017 (c) | $14.24 | 0.02 | 3.25 | — | 3.27 | (0.02) | — |
| 12/31/2016 | $13.58 | 0.04 | 0.63 | — | 0.67 | (0.01) | — |
| 12/31/2015 | $15.34 | 0.04 | (1.36) | — | (1.32) | (0.02) | (0.42) |
| 12/31/2014 | $15.79 | 0.02 | (0.38) | — | (0.36) | (0.02) | (0.07) |
| 12/31/2013 | $16.18 | 0.10 | (0.40) | — | (0.30) | (0.09) | — |
| 12/31/2012 | $13.81 | 0.08 | 2.68 | 0.01 | 2.77 | (0.06) | (0.34) |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Ratios include line of credit interest expense which is less than 0.01%. |
| (f) | The Fund received a payment from an affiliate. Had the Fund not received this payment, the total return would have been lower by 0.06%. |
| (g) | Rounds to zero. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income (loss)
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| (0.03) | $17.54 | 22.97% | 1.31% (d) | 1.28% (d) | 0.41% (d) | 25% | $470,868 |
| (0.02) | $14.29 | 5.13% | 1.29% (e) | 1.27% (e) | 0.25% | 74% | $408,360 |
| (0.44) | $13.61 | (8.83%) | 1.28% | 1.25% | 0.40% | 77% | $974,542 |
| (0.10) | $15.36 | (2.27%) | 1.27% | 1.25% | 0.26% | 83% | $751,812 |
| (0.11) | $15.81 | (1.59%) | 1.30% | 1.25% | 0.75% | 83% | $676,275 |
| (0.42) | $16.18 | 20.67% (f) | 1.29% (e) | 1.27% (e) | 0.69% | 150% | $592,820 |
| |
| (0.00) (g) | $17.41 | 22.89% | 1.56% (d) | 1.53% (d) | 0.24% (d) | 25% | $33,601 |
| (0.01) | $14.17 | 4.81% | 1.54% (e) | 1.52% (e) | 0.14% | 74% | $21,331 |
| (0.43) | $13.53 | (9.06%) | 1.53% | 1.50% | 0.17% | 77% | $18,561 |
| (0.08) | $15.30 | (2.40%) | 1.52% | 1.50% | (0.01%) | 83% | $18,142 |
| (0.08) | $15.75 | (1.87%) | 1.55% | 1.50% | 0.48% | 83% | $14,758 |
| (0.39) | $16.14 | 20.36% (f) | 1.54% (e) | 1.52% (e) | 0.42% | 150% | $8,806 |
| |
| (0.02) | $17.49 | 22.95% | 1.43% (d) | 1.41% (d) | 0.28% (d) | 25% | $214,886 |
| (0.01) | $14.24 | 4.97% | 1.42% (e) | 1.40% (e) | 0.26% | 74% | $183,897 |
| (0.44) | $13.58 | (8.94%) | 1.40% | 1.38% | 0.28% | 77% | $207,067 |
| (0.09) | $15.34 | (2.33%) | 1.40% | 1.38% | 0.15% | 83% | $263,988 |
| (0.09) | $15.79 | (1.80%) | 1.42% | 1.38% | 0.66% | 83% | $318,715 |
| (0.40) | $16.18 | 20.59% (f) | 1.42% (e) | 1.40% (e) | 0.56% | 150% | $371,291 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017
| 15 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Emerging Markets Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers Class 1, Class 2 and Class 3 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Fund directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to the Fund. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are generally determined at 4:00 p.m. Eastern (U.S.) time. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees, including, if available, utilizing a third party pricing service to determine these fair values. The third party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
| 16 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Foreign currency transactions and translations
The values of all assets and liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains (losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes, the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds, other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information on the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by the Fund’s management. Management’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities, the proceeds are recorded as realized gains.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017
| 17 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its taxable income, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, because the Fund meets the exception under Internal Revenue Code Section 4982(f), the Fund expects not to be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Distributions to subaccounts
Distributions to the subaccounts of Contracts, Qualified Plans and Qualified Investors are recorded at the close of business on the record date and are payable on the first business day following the record date. Dividends from net investment income, if any, are declared and distributed quarterly. Capital gains distributions, when available, will be made annually. However, an additional capital gain distribution may be made during the fiscal year in order to comply with the Internal Revenue Code, as applicable to registered investment companies. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. All dividends and distributions are reinvested in additional shares of the applicable share class of the Fund at the net asset value as of the ex-dividend date of the distribution.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting
| 18 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 1.18% to 0.95% as the Fund’s net assets increase. Effective July 1, 2017, the management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 1.10% to 0.70% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2017 was 1.16% of the Fund’s average daily net assets.
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of the Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, the Fund no longer pays a transfer agency fee.
Distribution fees
The Fund has an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, the Fund pays a fee at an annual rate of up to 0.25% of the Fund’s average daily net assets attributable to Class 2 shares and an annual rate of up to 0.125% of the Fund’s average daily net assets attributable to Class 3 shares. The Fund pays no distribution and service fees for Class 1 shares.
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017
| 19 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | July 1, 2017
through
April 30, 2018 | Prior to
July 1, 2017 |
| Class 1 | 1.24% | 1.28% |
| Class 2 | 1.49 | 1.53 |
| Class 3 | 1.365 | 1.405 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At June 30, 2017, the approximate cost of investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($) | Gross unrealized
appreciation ($) | Gross unrealized
(depreciation) ($) | Net unrealized
appreciation ($) |
| 565,301,000 | 168,092,000 | (15,179,000) | 152,913,000 |
The following capital loss carryforwards, determined at December 31, 2016, may be available to reduce taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. Capital loss carryforwards with no expiration are required to be utilized prior to any capital losses which carry an expiration date. As a result of this ordering rule, capital loss carryforwards which carry an expiration date may be more likely to expire unused.
No expiration
short-term ($) | No expiration
long-term ($) | Total ($) |
| 69,366,731 | 14,168,132 | 83,534,863 |
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
| 20 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $164,248,743 and $211,849,447, respectively, for the six months ended June 30, 2017. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
Note 8. Significant risks
Financial sector risk
The Fund may be more susceptible to the particular risks that may affect companies in the financial services sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the financial services sector are subject to certain risks, including the risk of regulatory change, decreased liquidity in credit markets and unstable interest rates. Such companies may have concentrated portfolios, such as a high level of loans to real estate developers, which makes them vulnerable to economic conditions that affect that industry. Performance of such companies may be affected by competitive pressures and exposure to investments or agreements that, under certain circumstances, may lead to losses (e.g., subprime loans). Companies in the financial services sector are subject to extensive governmental regulation that may limit the amount and types of loans and other financial commitments they can make, and interest rates and fees that they may charge. In addition, profitability of such companies is largely dependent upon the availability and the cost of capital.
Foreign securities and emerging market countries risk
Investing in foreign securities may include certain risks and considerations not typically associated with investing in U.S. securities, such as fluctuating currency values and changing local and regional economic, political and social conditions, which may result in greater market volatility. In addition, certain foreign securities may not be as liquid as U.S. securities. Investing in emerging markets may accentuate these risks. These countries are also more likely to experience high levels of inflation, deflation or currency devaluation which could hurt their economies and securities markets. To the extent that the Fund concentrates its investment exposure to any one or a few specific countries, the Fund will be particularly susceptible to the various conditions, events or other factors impacting those countries and may, therefore, have a greater risk than that of a fund which is more geographically diversified.
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017
| 21 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Geographic concentration risk
The Fund may be particularly susceptible to economic, political, regulatory or other events or conditions affecting issuers and countries within the specific geographic regions in which the Fund invests. Currency devaluations could occur in countries that have not yet experienced currency devaluation to date, or could continue to occur in countries that have already experienced such devaluations. The Fund’s NAV may be more volatile than the NAV of a more geographically diversified fund.
Shareholder concentration risk
At June 30, 2017, affiliated shareholders of record owned 100.0% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Technology and technology-related investment risk
The Fund may be more susceptible to the particular risks that may affect companies in the information technology sector, as well as other technology-related sectors (collectively, the technology sectors) than if it were invested in a wider variety of companies in unrelated sectors. Companies in the technology sectors are subject to certain risks, including the risk that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete. Performance of such companies may be affected by factors including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for market share and short product cycles due to an accelerated rate of technological developments. Such competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their securities may fall or fail to rise. In addition, many technology sector companies have limited operating histories and prices of these companies’ securities historically have been more volatile than other securities, especially over the short term.
Note 9. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Note 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
| 22 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio – Emerging Markets Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as their history, reputation, expertise, resources and capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, the relatively recent change in the leadership of equity department oversight, and the various technological enhancements that had been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
| Semiannual Report 2017
| 23 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved, other than reductions to the management fee schedule. They also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed that the Fund’s investment performance was understandable in light of the particular management style involved and the particular market environment.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Trustees also noted management’s proposal at the June Meeting to reduce the Fund’s management fee schedule and the economic savings for shareholders as a result of the reduction. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
| 24 | | Semiannual Report 2017 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as the Fund grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
| Semiannual Report 2017
| 25 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
| 26 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2017 |
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Columbia Variable Portfolio – Emerging Markets Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio – Mid Cap Growth Fund
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 Insured • No bank guarantee • May lose value
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017
Fund at a Glance
(Unaudited)
Investment objective
Columbia Variable Portfolio – Mid Cap Growth Fund (the Fund) seeks to provide shareholders with growth of capital.
Portfolio management
George Myers, CFA
Lead manager
Managed Fund since 2011
Brian Neigut
Co-manager
Managed Fund since 2011
William Chamberlain, CFA
Co-manager
Managed Fund since 2013
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 * | 05/03/10 | 11.83 | 16.38 | 12.06 | 6.48 |
| Class 2 * | 05/03/10 | 11.68 | 16.06 | 11.78 | 6.26 |
| Class 3 | 05/01/01 | 11.73 | 16.20 | 11.91 | 6.38 |
| Russell Midcap Growth Index | | 11.40 | 17.05 | 14.19 | 7.87 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit investor.columbiathreadneedleus.com/investment-products/variable-products/appended-performance for more information. |
The Russell Midcap Growth Index, an unmanaged index, measures the performance of those Russell Midcap Index companies with higher price-to-book ratios and forecasted growth values..
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at June 30, 2017) |
| Lam Research Corp. | 2.0 |
| TD Ameritrade Holding Corp. | 1.7 |
| Delphi Automotive PLC | 1.5 |
| Total System Services, Inc. | 1.4 |
| Ross Stores, Inc. | 1.3 |
| Fiserv, Inc. | 1.3 |
| Edwards Lifesciences Corp. | 1.3 |
| Concho Resources, Inc. | 1.3 |
| Spirit AeroSystems Holdings, Inc., Class A | 1.3 |
| Electronic Arts, Inc. | 1.2 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 95.9 |
| Money Market Funds | 4.1 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 19.2 |
| Consumer Staples | 3.2 |
| Energy | 3.0 |
| Financials | 8.0 |
| Health Care | 16.0 |
| Industrials | 15.4 |
| Information Technology | 25.7 |
| Materials | 6.4 |
| Real Estate | 3.1 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Class 1 | 1,000.00 | 1,000.00 | 1,118.30 | 1,021.19 | 3.96 | 3.78 | 0.75 |
| Class 2 | 1,000.00 | 1,000.00 | 1,116.80 | 1,019.95 | 5.28 | 5.04 | 1.00 |
| Class 3 | 1,000.00 | 1,000.00 | 1,117.30 | 1,020.59 | 4.59 | 4.38 | 0.87 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
| 4 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017 |
Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 96.2% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 18.4% |
| Auto Components 1.4% |
| Delphi Automotive PLC | 73,557 | 6,447,271 |
| Automobiles 0.8% |
| Thor Industries, Inc. | 33,918 | 3,545,109 |
| Diversified Consumer Services 0.6% |
| Service Corp. International | 87,310 | 2,920,520 |
| Hotels, Restaurants & Leisure 4.2% |
| Aramark | 82,913 | 3,397,775 |
| Domino’s Pizza, Inc. | 12,666 | 2,679,239 |
| Extended Stay America, Inc. | 125,458 | 2,428,867 |
| Hilton Worldwide Holdings, Inc. | 38,061 | 2,354,073 |
| Six Flags Entertainment Corp. | 55,339 | 3,298,758 |
| Vail Resorts, Inc. | 13,956 | 2,830,695 |
| Yum China Holdings, Inc.(a) | 56,268 | 2,218,647 |
| Total | | 19,208,054 |
| Household Durables 2.1% |
| D.R. Horton, Inc. | 139,278 | 4,814,841 |
| Mohawk Industries, Inc.(a) | 20,076 | 4,852,168 |
| Total | | 9,667,009 |
| Internet & Direct Marketing Retail 1.4% |
| Expedia, Inc. | 30,372 | 4,523,909 |
| Liberty Interactive Corp., Class A(a) | 75,457 | 1,851,715 |
| Total | | 6,375,624 |
| Media 0.6% |
| Interpublic Group of Companies, Inc. (The) | 105,068 | 2,584,673 |
| Multiline Retail 1.9% |
| Dollar General Corp. | 69,777 | 5,030,224 |
| Dollar Tree, Inc.(a) | 51,495 | 3,600,530 |
| Total | | 8,630,754 |
| Specialty Retail 4.1% |
| Burlington Stores, Inc.(a) | 21,277 | 1,957,271 |
| Foot Locker, Inc. | 98,192 | 4,838,902 |
| O’Reilly Automotive, Inc.(a) | 20,162 | 4,410,236 |
| Ross Stores, Inc. | 101,233 | 5,844,181 |
| Ulta Beauty, Inc.(a) | 5,097 | 1,464,572 |
| Total | | 18,515,162 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Textiles, Apparel & Luxury Goods 1.3% |
| Coach, Inc. | 48,007 | 2,272,651 |
| PVH Corp. | 30,169 | 3,454,351 |
| Total | | 5,727,002 |
| Total Consumer Discretionary | 83,621,178 |
| Consumer Staples 3.1% |
| Food & Staples Retailing 0.6% |
| SYSCO Corp. | 54,017 | 2,718,676 |
| Food Products 1.8% |
| Blue Buffalo Pet Products, Inc.(a) | 96,233 | 2,195,075 |
| Hershey Co. (The) | 28,200 | 3,027,834 |
| Lamb Weston Holdings, Inc. | 71,229 | 3,136,925 |
| Total | | 8,359,834 |
| Household Products 0.7% |
| Energizer Holdings, Inc. | 65,212 | 3,131,480 |
| Total Consumer Staples | 14,209,990 |
| Energy 2.9% |
| Energy Equipment & Services 0.5% |
| Patterson-UTI Energy, Inc. | 110,573 | 2,232,469 |
| Oil, Gas & Consumable Fuels 2.4% |
| Concho Resources, Inc.(a) | 46,936 | 5,704,132 |
| ONEOK, Inc. | 63,002 | 3,286,185 |
| Range Resources Corp. | 76,843 | 1,780,452 |
| Total | | 10,770,769 |
| Total Energy | 13,003,238 |
| Financials 7.7% |
| Banks 2.8% |
| Citizens Financial Group, Inc. | 44,478 | 1,586,975 |
| East West Bancorp, Inc. | 56,900 | 3,333,202 |
| First Republic Bank | 35,794 | 3,582,979 |
| Signature Bank(a) | 28,055 | 4,026,734 |
| Total | | 12,529,890 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017
| 5 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Capital Markets 3.3% |
| MarketAxess Holdings, Inc. | 11,904 | 2,393,894 |
| MSCI, Inc. | 12,641 | 1,301,897 |
| S&P Global, Inc. | 26,388 | 3,852,384 |
| TD Ameritrade Holding Corp. | 175,299 | 7,536,104 |
| Total | | 15,084,279 |
| Consumer Finance 1.1% |
| Ally Financial, Inc. | 112,256 | 2,346,150 |
| SLM Corp.(a) | 225,577 | 2,594,136 |
| Total | | 4,940,286 |
| Insurance 0.5% |
| Progressive Corp. (The) | 50,886 | 2,243,564 |
| Total Financials | 34,798,019 |
| Health Care 15.4% |
| Biotechnology 3.3% |
| ACADIA Pharmaceuticals, Inc.(a) | 43,480 | 1,212,657 |
| Alexion Pharmaceuticals, Inc.(a) | 15,761 | 1,917,641 |
| BioMarin Pharmaceutical, Inc.(a) | 42,712 | 3,879,104 |
| Incyte Corp.(a) | 25,518 | 3,212,972 |
| Intercept Pharmaceuticals, Inc.(a) | 11,932 | 1,444,607 |
| Juno Therapeutics, Inc.(a) | 38,462 | 1,149,629 |
| Loxo Oncology, Inc.(a) | 9,479 | 760,121 |
| TESARO, Inc.(a) | 10,123 | 1,415,803 |
| Total | | 14,992,534 |
| Health Care Equipment & Supplies 7.0% |
| ABIOMED, Inc.(a) | 12,998 | 1,862,613 |
| Cooper Companies, Inc. (The) | 13,475 | 3,226,184 |
| Dentsply Sirona, Inc. | 31,299 | 2,029,427 |
| Edwards Lifesciences Corp.(a) | 49,192 | 5,816,462 |
| Hologic, Inc.(a) | 103,604 | 4,701,550 |
| IDEXX Laboratories, Inc.(a) | 26,989 | 4,356,564 |
| Teleflex, Inc. | 17,905 | 3,719,943 |
| West Pharmaceutical Services, Inc. | 28,186 | 2,664,141 |
| Zimmer Biomet Holdings, Inc. | 24,782 | 3,182,009 |
| Total | | 31,558,893 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Health Care Providers & Services 2.4% |
| AmerisourceBergen Corp. | 36,649 | 3,464,430 |
| Henry Schein, Inc.(a) | 26,134 | 4,783,044 |
| Humana, Inc. | 10,677 | 2,569,100 |
| Total | | 10,816,574 |
| Health Care Technology 0.3% |
| Veeva Systems Inc., Class A(a) | 18,482 | 1,133,132 |
| Life Sciences Tools & Services 2.0% |
| Agilent Technologies, Inc. | 64,462 | 3,823,241 |
| Illumina, Inc.(a) | 14,919 | 2,588,745 |
| Mettler-Toledo International, Inc.(a) | 4,830 | 2,842,648 |
| Total | | 9,254,634 |
| Pharmaceuticals 0.4% |
| Jazz Pharmaceuticals PLC(a) | 12,468 | 1,938,774 |
| Total Health Care | 69,694,541 |
| Industrials 14.8% |
| Aerospace & Defense 2.5% |
| L-3 Communications Corp. | 14,050 | 2,347,474 |
| Spirit AeroSystems Holdings, Inc., Class A | 95,728 | 5,546,480 |
| Textron, Inc. | 78,429 | 3,694,006 |
| Total | | 11,587,960 |
| Airlines 1.0% |
| Alaska Air Group, Inc. | 48,297 | 4,335,139 |
| Building Products 0.9% |
| AO Smith Corp. | 69,810 | 3,932,397 |
| Commercial Services & Supplies 0.7% |
| KAR Auction Services, Inc. | 72,068 | 3,024,694 |
| Electrical Equipment 1.7% |
| AMETEK, Inc. | 62,677 | 3,796,346 |
| Rockwell Automation, Inc. | 24,545 | 3,975,308 |
| Total | | 7,771,654 |
| Industrial Conglomerates 0.9% |
| Roper Technologies, Inc. | 18,048 | 4,178,653 |
| Machinery 4.3% |
| Fortive Corp. | 49,872 | 3,159,391 |
| IDEX Corp. | 29,392 | 3,321,590 |
| Ingersoll-Rand PLC | 31,716 | 2,898,525 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Middleby Corp. (The)(a) | 18,721 | 2,274,789 |
| Snap-On, Inc. | 31,318 | 4,948,244 |
| Xylem, Inc. | 52,783 | 2,925,762 |
| Total | | 19,528,301 |
| Professional Services 2.0% |
| Equifax, Inc. | 32,317 | 4,441,002 |
| IHS Markit Ltd.(a) | 103,814 | 4,571,969 |
| Total | | 9,012,971 |
| Trading Companies & Distributors 0.8% |
| United Rentals, Inc.(a) | 33,093 | 3,729,912 |
| Total Industrials | 67,101,681 |
| Information Technology 24.7% |
| Communications Equipment 0.9% |
| Palo Alto Networks, Inc.(a) | 28,287 | 3,785,083 |
| Electronic Equipment, Instruments & Components 0.8% |
| Amphenol Corp., Class A | 47,883 | 3,534,723 |
| Internet Software & Services 2.0% |
| Akamai Technologies, Inc.(a) | 49,658 | 2,473,465 |
| CoStar Group, Inc.(a) | 9,716 | 2,561,137 |
| GoDaddy, Inc., Class A(a) | 77,785 | 3,299,640 |
| Trivago NV(a) | 36,903 | 873,125 |
| Total | | 9,207,367 |
| IT Services 8.1% |
| Booz Allen Hamilton Holdings Corp. | 28,855 | 938,942 |
| DXC Technology Co. | 59,026 | 4,528,475 |
| Fidelity National Information Services, Inc. | 60,472 | 5,164,309 |
| Fiserv, Inc.(a) | 47,676 | 5,832,682 |
| FleetCor Technologies, Inc.(a) | 32,753 | 4,723,310 |
| Gartner, Inc.(a) | 20,118 | 2,484,774 |
| Global Payments, Inc. | 45,292 | 4,090,773 |
| Total System Services, Inc. | 103,950 | 6,055,088 |
| Vantiv, Inc., Class A(a) | 46,336 | 2,934,922 |
| Total | | 36,753,275 |
| Semiconductors & Semiconductor Equipment 6.1% |
| Analog Devices, Inc. | 57,393 | 4,465,175 |
| Lam Research Corp. | 61,293 | 8,668,669 |
| MACOM Technology Solutions Holdings, Inc.(a) | 58,711 | 3,274,313 |
| Microchip Technology, Inc. | 58,222 | 4,493,574 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| ON Semiconductor Corp.(a) | 130,967 | 1,838,777 |
| Skyworks Solutions, Inc. | 26,796 | 2,571,076 |
| Xilinx, Inc. | 37,609 | 2,419,011 |
| Total | | 27,730,595 |
| Software 6.8% |
| Autodesk, Inc.(a) | 42,395 | 4,274,264 |
| Citrix Systems, Inc.(a) | 40,301 | 3,207,154 |
| Electronic Arts, Inc.(a) | 50,254 | 5,312,853 |
| Fortinet, Inc.(a) | 73,358 | 2,746,523 |
| Red Hat, Inc.(a) | 46,533 | 4,455,535 |
| ServiceNow, Inc.(a) | 40,068 | 4,247,208 |
| Tableau Software, Inc., Class A(a) | 40,766 | 2,497,733 |
| Ultimate Software Group, Inc. (The)(a) | 10,407 | 2,186,094 |
| Workday, Inc., Class A(a) | 20,613 | 1,999,461 |
| Total | | 30,926,825 |
| Total Information Technology | 111,937,868 |
| Materials 6.2% |
| Chemicals 2.6% |
| Air Products & Chemicals, Inc. | 15,578 | 2,228,589 |
| Eastman Chemical Co. | 27,932 | 2,346,009 |
| Sherwin-Williams Co. (The) | 7,896 | 2,771,180 |
| Westlake Chemical Corp. | 64,497 | 4,270,346 |
| Total | | 11,616,124 |
| Construction Materials 1.1% |
| Martin Marietta Materials, Inc. | 22,047 | 4,907,221 |
| Containers & Packaging 2.5% |
| Berry Global Group, Inc.(a) | 83,388 | 4,753,950 |
| International Paper Co. | 81,484 | 4,612,809 |
| WestRock Co. | 36,984 | 2,095,514 |
| Total | | 11,462,273 |
| Total Materials | 27,985,618 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017
| 7 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Real Estate 3.0% |
| Equity Real Estate Investment Trusts (REITS) 3.0% |
| CyrusOne, Inc. | 49,789 | 2,775,737 |
| Equinix, Inc. | 10,737 | 4,607,891 |
| Equity LifeStyle Properties, Inc. | 31,672 | 2,734,560 |
| SBA Communications Corp(a) | 27,109 | 3,657,004 |
| Total | | 13,775,192 |
| Total Real Estate | 13,775,192 |
Total Common Stocks
(Cost $388,834,367) | 436,127,325 |
|
| Money Market Funds 4.1% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(b),(c) | 18,690,204 | 18,690,204 |
Total Money Market Funds
(Cost $18,688,408) | 18,690,204 |
Total Investments
(Cost: $407,522,775) | 454,817,529 |
| Other Assets & Liabilities, Net | | (1,508,544) |
| Net Assets | 453,308,985 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 14,422,299 | 95,052,152 | (90,784,247) | 18,690,204 | (1,498) | 65,339 | 18,690,204 |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 83,621,178 | — | — | — | 83,621,178 |
| Consumer Staples | 14,209,990 | — | — | — | 14,209,990 |
| Energy | 13,003,238 | — | — | — | 13,003,238 |
| Financials | 34,798,019 | — | — | — | 34,798,019 |
| Health Care | 69,694,541 | — | — | — | 69,694,541 |
| Industrials | 67,101,681 | — | — | — | 67,101,681 |
| Information Technology | 111,937,868 | — | — | — | 111,937,868 |
| Materials | 27,985,618 | — | — | — | 27,985,618 |
| Real Estate | 13,775,192 | — | — | — | 13,775,192 |
| Total Common Stocks | 436,127,325 | — | — | — | 436,127,325 |
| Money Market Funds | — | — | — | 18,690,204 | 18,690,204 |
| Total Investments | 436,127,325 | — | — | 18,690,204 | 454,817,529 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017
| 9 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $388,834,367 |
| Affiliated issuers, at cost | 18,688,408 |
| Total investments, at cost | 407,522,775 |
| Investments, at value | |
| Unaffiliated issuers, at value | 436,127,325 |
| Affiliated issuers, at value | 18,690,204 |
| Total investments, at value | 454,817,529 |
| Receivable for: | |
| Investments sold | 15,668,879 |
| Capital shares sold | 283 |
| Dividends | 219,276 |
| Expense reimbursement due from Investment Manager | 67,713 |
| Total assets | 470,773,680 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 16,569,296 |
| Capital shares purchased | 388,798 |
| Management services fees | 308,356 |
| Distribution and/or service fees | 30,253 |
| Transfer agent fees | 22,562 |
| Compensation of board members | 93,208 |
| Compensation of chief compliance officer | 57 |
| Other expenses | 52,165 |
| Total liabilities | 17,464,695 |
| Net assets applicable to outstanding capital stock | $453,308,985 |
| Represented by | |
| Trust capital | $453,308,985 |
| Total - representing net assets applicable to outstanding capital stock | $453,308,985 |
| Class 1 | |
| Net assets | $177,727,742 |
| Shares outstanding | 7,579,706 |
| Net asset value per share | $23.45 |
| Class 2 | |
| Net assets | $15,516,400 |
| Shares outstanding | 673,186 |
| Net asset value per share | $23.05 |
| Class 3 | |
| Net assets | $260,064,843 |
| Shares outstanding | 11,190,884 |
| Net asset value per share | $23.24 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $1,927,200 |
| Dividends — affiliated issuers | 65,339 |
| Total income | 1,992,539 |
| Expenses: | |
| Management services fees | 1,812,301 |
| Distribution and/or service fees | |
| Class 2 | 18,041 |
| Class 3 | 161,039 |
| Transfer agent fees | |
| Class 1 | 50,978 |
| Class 2 | 4,330 |
| Class 3 | 77,296 |
| Compensation of board members | 14,371 |
| Custodian fees | 2,220 |
| Printing and postage fees | 38,018 |
| Audit fees | 15,279 |
| Legal fees | 4,708 |
| Compensation of chief compliance officer | 43 |
| Other | 6,426 |
| Total expenses | 2,205,050 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (369,600) |
| Total net expenses | 1,835,450 |
| Net investment income | 157,089 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 23,561,101 |
| Investments — affiliated issuers | (1,498) |
| Net realized gain | 23,559,603 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 24,890,839 |
| Investments — affiliated issuers | 1,796 |
| Net change in unrealized appreciation (depreciation) | 24,892,635 |
| Net realized and unrealized gain | 48,452,238 |
| Net increase in net assets resulting from operations | $48,609,327 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017
| 11 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment income | $157,089 | $780,588 |
| Net realized gain | 23,559,603 | 9,909,111 |
| Net change in unrealized appreciation (depreciation) | 24,892,635 | (610,846) |
| Net increase in net assets resulting from operations | 48,609,327 | 10,078,853 |
| Increase (decrease) in net assets from capital stock activity | (13,928,358) | 96,548,966 |
| Total increase in net assets | 34,680,969 | 106,627,819 |
| Net assets at beginning of period | 418,628,016 | 312,000,197 |
| Net assets at end of period | $453,308,985 | $418,628,016 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 168,538 | 3,851,145 | 6,886,330 | 139,509,693 |
| Redemptions | (148,895) | (3,355,117) | (212,149) | (4,293,550) |
| Net increase | 19,643 | 496,028 | 6,674,181 | 135,216,143 |
| Class 2 | | | | |
| Subscriptions | 73,218 | 1,628,895 | 120,137 | 2,386,089 |
| Redemptions | (25,434) | (568,978) | (182,851) | (3,570,799) |
| Net increase (decrease) | 47,784 | 1,059,917 | (62,714) | (1,184,710) |
| Class 3 | | | | |
| Subscriptions | 10,494 | 238,532 | 17,163 | 344,487 |
| Redemptions | (701,654) | (15,722,835) | (1,885,352) | (37,826,954) |
| Net decrease | (691,160) | (15,484,303) | (1,868,189) | (37,482,467) |
| Total net increase (decrease) | (623,733) | (13,928,358) | 4,743,278 | 96,548,966 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017
| 13 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain | Total from
investment
operations |
| Class 1 |
| 6/30/2017 (c) | $20.97 | 0.02 | 2.46 | 2.48 |
| 12/31/2016 | $20.50 | 0.03 | 0.44 | 0.47 |
| 12/31/2015 | $19.41 | 0.14 (e) | 0.95 | 1.09 |
| 12/31/2014 | $18.07 | (0.02) | 1.36 | 1.34 |
| 12/31/2013 | $13.78 | (0.03) | 4.32 | 4.29 |
| 12/31/2012 | $12.37 | 0.06 | 1.35 | 1.41 |
| Class 2 |
| 6/30/2017 (c) | $20.64 | (0.01) | 2.42 | 2.41 |
| 12/31/2016 | $20.23 | 0.02 | 0.39 | 0.41 |
| 12/31/2015 | $19.20 | 0.23 (g) | 0.80 | 1.03 |
| 12/31/2014 | $17.92 | (0.05) | 1.33 | 1.28 |
| 12/31/2013 | $13.69 | (0.06) | 4.29 | 4.23 |
| 12/31/2012 | $12.32 | (0.01) | 1.38 | 1.37 |
| Class 3 |
| 6/30/2017 (c) | $20.80 | 0.00 (h) | 2.44 | 2.44 |
| 12/31/2016 | $20.36 | 0.05 | 0.39 | 0.44 |
| 12/31/2015 | $19.30 | 0.25 (i) | 0.81 | 1.06 |
| 12/31/2014 | $17.99 | (0.03) | 1.34 | 1.31 |
| 12/31/2013 | $13.73 | (0.05) | 4.31 | 4.26 |
| 12/31/2012 | $12.34 | 0.00 (h) | 1.39 | 1.39 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.14 per share. |
| (f) | Ratios include line of credit interest expense which is less than 0.01%. |
| (g) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.27 per share. |
| (h) | Rounds to zero. |
| (i) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.28 per share. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income (loss)
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $23.45 | 11.83% | 0.92% (d) | 0.75% (d) | 0.15% (d) | 58% | $177,728 |
| $20.97 | 2.29% | 0.92% | 0.76% | 0.16% | 150% | $158,566 |
| $20.50 | 5.62% | 0.94% | 0.84% | 0.67% | 109% | $18,161 |
| $19.41 | 7.41% | 0.91% (f) | 0.88% (f) | (0.09%) | 96% | $81,262 |
| $18.07 | 31.13% | 0.90% | 0.87% | (0.21%) | 115% | $226,579 |
| $13.78 | 11.40% | 0.93% | 0.88% | 0.44% | 134% | $216,944 |
| |
| $23.05 | 11.68% | 1.17% (d) | 1.00% (d) | (0.09%) (d) | 58% | $15,516 |
| $20.64 | 2.03% | 1.18% | 1.01% | 0.11% | 150% | $12,910 |
| $20.23 | 5.36% | 1.20% | 1.05% | 1.11% | 109% | $13,920 |
| $19.20 | 7.14% | 1.17% (f) | 1.13% (f) | (0.30%) | 96% | $10,439 |
| $17.92 | 30.90% | 1.15% | 1.12% | (0.40%) | 115% | $9,455 |
| $13.69 | 11.12% | 1.18% | 1.15% | (0.04%) | 134% | $921 |
| |
| $23.24 | 11.73% | 1.04% (d) | 0.87% (d) | 0.03% (d) | 58% | $260,065 |
| $20.80 | 2.16% | 1.05% | 0.88% | 0.24% | 150% | $247,151 |
| $20.36 | 5.49% | 1.07% | 0.92% | 1.24% | 109% | $279,919 |
| $19.30 | 7.28% | 1.04% (f) | 1.00% (f) | (0.18%) | 96% | $286,989 |
| $17.99 | 31.03% | 1.03% | 1.00% | (0.34%) | 115% | $307,835 |
| $13.73 | 11.26% | 1.05% | 1.03% | 0.02% | 134% | $270,346 |
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017
| 15 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Mid Cap Growth Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers Class 1, Class 2 and Class 3 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Fund directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to the Fund. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are generally determined at 4:00 p.m. Eastern (U.S.) time. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees, including, if available, utilizing a third party pricing service to determine these fair values. The third party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
| 16 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds, other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information on the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by the Fund’s management. Management’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities, the proceeds are recorded as realized gains.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund is treated as a partnership for federal income tax purposes, and the Fund does not expect to make regular distributions. The Fund will not be subject to federal income tax, and therefore, there is no provision for federal income taxes. The partners of the Fund are subject to tax on their distributive share of the Fund’s income and loss. The components of the Fund’s net assets are reported at the partner-level for federal income tax purposes, and therefore, are not presented in the Statement of Assets and Liabilities.
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017
| 17 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.82% to 0.65% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2017 was 0.82% of the Fund’s average daily net assets.
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by
| 18 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of the Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, the Fund no longer pays a transfer agency fee.
Distribution fees
The Fund has an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, the Fund pays a fee at an annual rate of up to 0.25% of the Fund’s average daily net assets attributable to Class 2 shares and an annual rate of up to 0.125% of the Fund’s average daily net assets attributable to Class 3 shares. The Fund pays no distribution and service fees for Class 1 shares.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | May 1, 2017
through
April 30, 2018 | Prior to
May 1, 2017 |
| Class 1 | 0.73% | 0.76% |
| Class 2 | 0.98 | 1.01 |
| Class 3 | 0.855 | 0.885 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017
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Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $247,649,520 and $261,853,817, respectively, for the six months ended June 30, 2017. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 5. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 6. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
Note 7. Significant risks
Shareholder concentration risk
At June 30, 2017, affiliated shareholders of record owned 95.6% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Technology and technology-related investment risk
The Fund may be more susceptible to the particular risks that may affect companies in the information technology sector, as well as other technology-related sectors (collectively, the technology sectors) than if it were invested in a wider variety of companies in unrelated sectors. Companies in the technology sectors are subject to certain risks, including the risk that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete. Performance of such companies may be affected by factors including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for market share and short product cycles due to an accelerated rate of technological developments. Such
| 20 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their securities may fall or fail to rise. In addition, many technology sector companies have limited operating histories and prices of these companies’ securities historically have been more volatile than other securities, especially over the short term.
Note 8. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Note 9. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017
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Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio - Mid Cap Growth Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as their history, reputation, expertise, resources and capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, the relatively recent change in the leadership of equity department oversight, and the various technological enhancements that had been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
| 22 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed the Fund’s underperformance for certain periods, noting that appropriate steps (such as changes to the management team) had been taken or are contemplated to help improve the Fund’s performance.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017
| 23 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as the Fund grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
| 24 | Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
Columbia Variable Portfolio – Mid Cap Growth Fund | Semiannual Report 2017
| 25 |
Columbia Variable Portfolio – Mid Cap Growth Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio – Select Large-Cap Value Fund
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 Insured • No bank guarantee • May lose value
Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017
Fund at a Glance
(Unaudited)
Investment objective
Columbia Variable Portfolio – Select Large-Cap Value Fund (the Fund) seeks to provide shareholders with long-term growth of capital.
Portfolio management
Richard Rosen
Lead manager
Managed Fund since 2008
Kari Montanus
Co-manager
Managed Fund since 2014
Richard Taft, CPA
Co-manager
Managed Fund since October 2016
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 * | 05/03/10 | 5.98 | 23.18 | 15.72 | 6.52 |
| Class 2 * | 05/03/10 | 5.88 | 22.89 | 15.44 | 6.30 |
| Class 3 | 02/04/04 | 5.94 | 23.09 | 15.57 | 6.42 |
| Russell 1000 Value Index | | 4.66 | 15.53 | 13.94 | 5.57 |
| S&P 500 Index | | 9.34 | 17.90 | 14.63 | 7.18 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit investor.columbiathreadneedleus.com/investment-products/variable-products/appended-performance for more information. |
The Russell 1000 Value Index, an unmanaged index, measures the performance of those stocks in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values.
The S&P 500 Index, an unmanaged index, measures the performance of 500 widely held, large-capitalization U.S. stocks and is frequently used as a general measure of market performance.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at June 30, 2017) |
| NextEra Energy, Inc. | 4.2 |
| Citigroup, Inc. | 4.0 |
| Bank of America Corp. | 3.9 |
| Humana, Inc. | 3.9 |
| JPMorgan Chase & Co. | 3.5 |
| QUALCOMM, Inc. | 3.4 |
| Unum Group | 3.4 |
| Altria Group, Inc. | 3.4 |
| Verizon Communications, Inc. | 3.3 |
| FMC Corp. | 3.3 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 98.3 |
| Money Market Funds | 1.7 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 2.6 |
| Consumer Staples | 10.8 |
| Energy | 14.1 |
| Financials | 26.7 |
| Health Care | 10.0 |
| Industrials | 9.2 |
| Information Technology | 14.0 |
| Materials | 3.3 |
| Telecommunication Services | 3.3 |
| Utilities | 6.0 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Class 1 | 1,000.00 | 1,000.00 | 1,059.80 | 1,021.09 | 3.95 | 3.88 | 0.77 |
| Class 2 | 1,000.00 | 1,000.00 | 1,058.80 | 1,019.85 | 5.24 | 5.14 | 1.02 |
| Class 3 | 1,000.00 | 1,000.00 | 1,059.40 | 1,020.49 | 4.57 | 4.48 | 0.89 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
| 4 | Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017 |
Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 98.4% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 2.6% |
| Specialty Retail 2.6% |
| Lowe’s Companies, Inc. | 422,951 | 32,791,391 |
| Total Consumer Discretionary | 32,791,391 |
| Consumer Staples 10.6% |
| Food & Staples Retailing 1.3% |
| Costco Wholesale Corp. | 105,738 | 16,910,678 |
| Food Products 3.0% |
| Tyson Foods, Inc., Class A | 594,709 | 37,246,625 |
| Tobacco 6.3% |
| Altria Group, Inc. | 555,124 | 41,340,084 |
| Philip Morris International, Inc. | 317,214 | 37,256,785 |
| Total | | 78,596,869 |
| Total Consumer Staples | 132,754,172 |
| Energy 13.9% |
| Energy Equipment & Services 2.2% |
| Halliburton Co. | 655,575 | 27,999,608 |
| Oil, Gas & Consumable Fuels 11.7% |
| Anadarko Petroleum Corp. | 627,869 | 28,467,580 |
| Chevron Corp. | 317,214 | 33,094,937 |
| Marathon Oil Corp. | 118,440 | 1,403,514 |
| Marathon Petroleum Corp. | 502,255 | 26,283,004 |
| Valero Energy Corp. | 317,214 | 21,399,256 |
| Williams Companies, Inc. (The) | 1,163,116 | 35,219,153 |
| Total | | 145,867,444 |
| Total Energy | 173,867,052 |
| Financials 26.2% |
| Banks 14.4% |
| Bank of America Corp. | 2,009,019 | 48,738,801 |
| Citigroup, Inc. | 740,165 | 49,502,235 |
| JPMorgan Chase & Co. | 475,820 | 43,489,948 |
| Wells Fargo & Co. | 710,558 | 39,372,019 |
| Total | | 181,103,003 |
| Capital Markets 3.1% |
| Morgan Stanley | 872,337 | 38,871,337 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Insurance 8.7% |
| American International Group, Inc. | 516,287 | 32,278,263 |
| MetLife, Inc. | 634,427 | 34,855,420 |
| Unum Group | 898,772 | 41,909,738 |
| Total | | 109,043,421 |
| Total Financials | 329,017,761 |
| Health Care 9.8% |
| Health Care Equipment & Supplies 2.0% |
| Baxter International, Inc. | 422,951 | 25,605,453 |
| Health Care Providers & Services 5.4% |
| Express Scripts Holding Co.(a) | 306,640 | 19,575,898 |
| Humana, Inc. | 200,902 | 48,341,039 |
| Total | | 67,916,937 |
| Pharmaceuticals 2.4% |
| Bristol-Myers Squibb Co. | 528,689 | 29,458,551 |
| Total Health Care | 122,980,941 |
| Industrials 9.1% |
| Aerospace & Defense 2.1% |
| United Technologies Corp. | 211,476 | 25,823,334 |
| Industrial Conglomerates 2.8% |
| Honeywell International, Inc. | 264,345 | 35,234,545 |
| Road & Rail 4.2% |
| CSX Corp. | 634,427 | 34,614,337 |
| Union Pacific Corp. | 169,181 | 18,425,503 |
| Total | | 53,039,840 |
| Total Industrials | 114,097,719 |
| Information Technology 13.8% |
| Communications Equipment 1.8% |
| Juniper Networks, Inc. | 796,206 | 22,198,223 |
| Electronic Equipment, Instruments & Components 2.7% |
| Corning, Inc. | 1,132,369 | 34,027,688 |
| IT Services 3.0% |
| Teradata Corp.(a) | 1,268,854 | 37,418,505 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017
| 5 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Semiconductors & Semiconductor Equipment 6.3% |
| Applied Materials, Inc. | 887,141 | 36,647,795 |
| QUALCOMM, Inc. | 766,599 | 42,331,597 |
| Total | | 78,979,392 |
| Total Information Technology | 172,623,808 |
| Materials 3.2% |
| Chemicals 3.2% |
| FMC Corp. | 555,124 | 40,551,808 |
| Total Materials | 40,551,808 |
| Telecommunication Services 3.3% |
| Diversified Telecommunication Services 3.3% |
| Verizon Communications, Inc. | 925,206 | 41,319,700 |
| Total Telecommunication Services | 41,319,700 |
| Utilities 5.9% |
| Electric Utilities 4.2% |
| NextEra Energy, Inc. | 370,082 | 51,859,591 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Independent Power and Renewable Electricity Producers 1.7% |
| AES Corp. (The) | 1,956,150 | 21,732,826 |
| Total Utilities | 73,592,417 |
Total Common Stocks
(Cost $900,964,892) | 1,233,596,769 |
|
| Money Market Funds 1.7% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(b),(c) | 20,782,205 | 20,782,205 |
Total Money Market Funds
(Cost $20,781,944) | 20,782,205 |
Total Investments
(Cost: $921,746,836) | 1,254,378,974 |
| Other Assets & Liabilities, Net | | (762,240) |
| Net Assets | 1,253,616,734 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 45,941,181 | 129,694,837 | (154,853,813) | 20,782,205 | (6,095) | 196,713 | 20,782,205 |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 32,791,391 | — | — | — | 32,791,391 |
| Consumer Staples | 132,754,172 | — | — | — | 132,754,172 |
| Energy | 173,867,052 | — | — | — | 173,867,052 |
| Financials | 329,017,761 | — | — | — | 329,017,761 |
| Health Care | 122,980,941 | — | — | — | 122,980,941 |
| Industrials | 114,097,719 | — | — | — | 114,097,719 |
| Information Technology | 172,623,808 | — | — | — | 172,623,808 |
| Materials | 40,551,808 | — | — | — | 40,551,808 |
| Telecommunication Services | 41,319,700 | — | — | — | 41,319,700 |
| Utilities | 73,592,417 | — | — | — | 73,592,417 |
| Total Common Stocks | 1,233,596,769 | — | — | — | 1,233,596,769 |
| Money Market Funds | — | — | — | 20,782,205 | 20,782,205 |
| Total Investments | 1,233,596,769 | — | — | 20,782,205 | 1,254,378,974 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017
| 7 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $900,964,892 |
| Affiliated issuers, at cost | 20,781,944 |
| Total investments, at cost | 921,746,836 |
| Investments, at value | |
| Unaffiliated issuers, at value | 1,233,596,769 |
| Affiliated issuers, at value | 20,782,205 |
| Total investments, at value | 1,254,378,974 |
| Receivable for: | |
| Investments sold | 2,940,963 |
| Capital shares sold | 6,219 |
| Dividends | 906,124 |
| Expense reimbursement due from Investment Manager | 31,774 |
| Prepaid expenses | 1 |
| Total assets | 1,258,264,055 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 3,020,555 |
| Capital shares purchased | 768,114 |
| Management services fees | 722,041 |
| Distribution and/or service fees | 8,541 |
| Transfer agent fees | 60,218 |
| Compensation of board members | 43,724 |
| Compensation of chief compliance officer | 159 |
| Other expenses | 23,969 |
| Total liabilities | 4,647,321 |
| Net assets applicable to outstanding capital stock | $1,253,616,734 |
| Represented by | |
| Trust capital | $1,253,616,734 |
| Total - representing net assets applicable to outstanding capital stock | $1,253,616,734 |
| Class 1 | |
| Net assets | $1,187,636,870 |
| Shares outstanding | 54,495,701 |
| Net asset value per share | $21.79 |
| Class 2 | |
| Net assets | $17,601,558 |
| Shares outstanding | 821,632 |
| Net asset value per share | $21.42 |
| Class 3 | |
| Net assets | $48,378,306 |
| Shares outstanding | 2,241,029 |
| Net asset value per share | $21.59 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $13,185,320 |
| Dividends — affiliated issuers | 196,713 |
| Total income | 13,382,033 |
| Expenses: | |
| Management services fees | 4,213,059 |
| Distribution and/or service fees | |
| Class 2 | 20,294 |
| Class 3 | 29,687 |
| Transfer agent fees | |
| Class 1 | 329,880 |
| Class 2 | 4,870 |
| Class 3 | 14,249 |
| Compensation of board members | 15,316 |
| Custodian fees | 7,943 |
| Printing and postage fees | 9,683 |
| Audit fees | 15,377 |
| Legal fees | 7,586 |
| Compensation of chief compliance officer | 110 |
| Other | 10,754 |
| Total expenses | 4,678,808 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (170,522) |
| Total net expenses | 4,508,286 |
| Net investment income | 8,873,747 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 11,698,971 |
| Investments — affiliated issuers | (6,095) |
| Net realized gain | 11,692,876 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 45,955,242 |
| Investments — affiliated issuers | 370 |
| Net change in unrealized appreciation (depreciation) | 45,955,612 |
| Net realized and unrealized gain | 57,648,488 |
| Net increase in net assets resulting from operations | $66,522,235 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017
| 9 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment income | $8,873,747 | $12,426,637 |
| Net realized gain | 11,692,876 | 33,656,137 |
| Net change in unrealized appreciation (depreciation) | 45,955,612 | 124,121,082 |
| Net increase in net assets resulting from operations | 66,522,235 | 170,203,856 |
| Increase in net assets from capital stock activity | 79,422,924 | 98,322,196 |
| Total increase in net assets | 145,945,159 | 268,526,052 |
| Net assets at beginning of period | 1,107,671,575 | 839,145,523 |
| Net assets at end of period | $1,253,616,734 | $1,107,671,575 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 5,583,110 | 120,730,853 | 14,231,327 | 261,835,590 |
| Redemptions | (2,003,762) | (42,743,272) | (8,814,792) | (155,127,389) |
| Net increase | 3,579,348 | 77,987,581 | 5,416,535 | 106,708,201 |
| Class 2 | | | | |
| Subscriptions | 93,885 | 1,978,157 | 203,968 | 3,583,698 |
| Redemptions | (14,846) | (313,643) | (166,053) | (2,894,445) |
| Net increase | 79,039 | 1,664,514 | 37,915 | 689,253 |
| Class 3 | | | | |
| Subscriptions | 114,711 | 2,435,893 | 95,362 | 1,792,983 |
| Redemptions | (125,659) | (2,665,064) | (624,171) | (10,868,241) |
| Net decrease | (10,948) | (229,171) | (528,809) | (9,075,258) |
| Total net increase | 3,647,439 | 79,422,924 | 4,925,641 | 98,322,196 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017
| 11 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| 6/30/2017 (c) | $20.56 | 0.16 | 1.07 | 1.23 |
| 12/31/2016 | $17.14 | 0.26 | 3.16 | 3.42 |
| 12/31/2015 | $18.02 | 0.27 | (1.15) | (0.88) |
| 12/31/2014 | $16.17 | 0.21 | 1.64 | 1.85 |
| 12/31/2013 | $11.71 | 0.19 | 4.27 | 4.46 |
| 12/31/2012 | $9.88 | 0.21 | 1.62 | 1.83 |
| Class 2 |
| 6/30/2017 (c) | $20.23 | 0.14 | 1.05 | 1.19 |
| 12/31/2016 | $16.91 | 0.22 | 3.10 | 3.32 |
| 12/31/2015 | $17.83 | 0.23 | (1.15) | (0.92) |
| 12/31/2014 | $16.03 | 0.17 | 1.63 | 1.80 |
| 12/31/2013 | $11.64 | 0.15 | 4.24 | 4.39 |
| 12/31/2012 | $9.85 | 0.16 | 1.63 | 1.79 |
| Class 3 |
| 6/30/2017 (c) | $20.38 | 0.15 | 1.06 | 1.21 |
| 12/31/2016 | $17.01 | 0.24 | 3.13 | 3.37 |
| 12/31/2015 | $17.91 | 0.25 | (1.15) | (0.90) |
| 12/31/2014 | $16.08 | 0.19 | 1.64 | 1.83 |
| 12/31/2013 | $11.67 | 0.17 | 4.24 | 4.41 |
| 12/31/2012 | $9.85 | 0.16 | 1.66 | 1.82 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Ratios include line of credit interest expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $21.79 | 5.98% | 0.80% (d) | 0.77% (d) | 1.53% (d) | 4% | $1,187,637 |
| $20.56 | 19.95% | 0.82% | 0.77% | 1.49% | 26% | $1,046,757 |
| $17.14 | (4.88%) | 0.81% | 0.76% | 1.54% | 13% | $779,920 |
| $18.02 | 11.44% | 0.81% | 0.76% | 1.26% | 7% | $1,000,413 |
| $16.17 | 38.09% | 0.83% | 0.77% | 1.34% | 15% | $738,487 |
| $11.71 | 18.52% | 0.84% (e) | 0.80% (e) | 1.91% | 17% | $569,837 |
| |
| $21.42 | 5.88% | 1.05% (d) | 1.02% (d) | 1.29% (d) | 4% | $17,602 |
| $20.23 | 19.63% | 1.07% | 1.02% | 1.25% | 26% | $15,026 |
| $16.91 | (5.16%) | 1.06% | 1.02% | 1.32% | 13% | $11,918 |
| $17.83 | 11.23% | 1.07% | 1.01% | 1.02% | 7% | $11,006 |
| $16.03 | 37.72% | 1.08% | 1.01% | 1.09% | 15% | $5,475 |
| $11.64 | 18.17% | 1.15% (e) | 1.06% (e) | 1.45% | 17% | $1,643 |
| |
| $21.59 | 5.94% | 0.92% (d) | 0.89% (d) | 1.41% (d) | 4% | $48,378 |
| $20.38 | 19.81% | 0.95% | 0.89% | 1.39% | 26% | $45,889 |
| $17.01 | (5.02%) | 0.94% | 0.89% | 1.42% | 13% | $47,307 |
| $17.91 | 11.38% | 0.94% | 0.88% | 1.13% | 7% | $69,726 |
| $16.08 | 37.79% | 0.96% | 0.89% | 1.21% | 15% | $60,335 |
| $11.67 | 18.48% | 1.04% (e) | 0.93% (e) | 1.47% | 17% | $30,991 |
Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017
| 13 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Select Large-Cap Value Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers Class 1, Class 2 and Class 3 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Fund directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to the Fund. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
| 14 | Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend income are recorded on the ex-dividend date.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds, other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information on the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by the Fund’s management. Management’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities, the proceeds are recorded as realized gains.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund is treated as a partnership for federal income tax purposes, and the Fund does not expect to make regular distributions. The Fund will not be subject to federal income tax, and therefore, there is no provision for federal income taxes. The partners of the Fund are subject to tax on their distributive share of the Fund’s income and loss. The components of the Fund’s net assets are reported at the partner-level for federal income tax purposes, and therefore, are not presented in the Statement of Assets and Liabilities.
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017
| 15 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.77% to 0.57% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2017 was 0.72% of the Fund’s average daily net assets.
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
| 16 | Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of the Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, the Fund no longer pays a transfer agency fee.
Distribution fees
The Fund has an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, the Fund pays a fee at an annual rate of up to 0.25% of the Fund’s average daily net assets attributable to Class 2 shares and an annual rate of up to 0.125% of the Fund’s average daily net assets attributable to Class 3 shares. The Fund pays no distribution and service fees for Class 1 shares.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | May 1, 2017
through
April 30, 2018 | Prior to
May 1, 2017 |
| Class 1 | 0.76% | 0.770% |
| Class 2 | 1.01 | 1.020 |
| Class 3 | 0.885 | 0.895 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $157,286,192 and $44,040,540, respectively, for the six months ended June 30, 2017. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 5. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017
| 17 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Note 6. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
Note 7. Significant risks
Financial sector risk
The Fund may be more susceptible to the particular risks that may affect companies in the financial services sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the financial services sector are subject to certain risks, including the risk of regulatory change, decreased liquidity in credit markets and unstable interest rates. Such companies may have concentrated portfolios, such as a high level of loans to real estate developers, which makes them vulnerable to economic conditions that affect that industry. Performance of such companies may be affected by competitive pressures and exposure to investments or agreements that, under certain circumstances, may lead to losses (e.g., subprime loans). Companies in the financial services sector are subject to extensive governmental regulation that may limit the amount and types of loans and other financial commitments they can make, and interest rates and fees that they may charge. In addition, profitability of such companies is largely dependent upon the availability and the cost of capital.
Shareholder concentration risk
At June 30, 2017, affiliated shareholders of record owned 99.4% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 8. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Note 9. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
| 18 | Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017
| 19 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio – Select Large-Cap Value Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as their history, reputation, expertise, resources and capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, the relatively recent change in the leadership of equity department oversight, and the various technological enhancements that had been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
| 20 | Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed that the Fund’s investment performance met expectations.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by Columbia Threadneedle and discussed differences in how the products are managed and operated, noting no unreasonable differences in the levels of contractual management fees.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017
| 21 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as the Fund grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
| 22 | Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
Columbia Variable Portfolio – Select Large-Cap Value Fund | Semiannual Report 2017
| 23 |
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[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – Select Large-Cap Value Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio – Income Opportunities Fund
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 Insured • No bank guarantee • May lose value
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017
Fund at a Glance
(Unaudited)
Investment objective
Columbia Variable Portfolio – Income Opportunities Fund (the Fund) seeks to provide shareholders with a high total return through current income and capital appreciation.
Portfolio management
Brian Lavin, CFA
Manager
Managed Fund since 2004
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 * | 05/03/10 | 4.58 | 10.12 | 6.26 | 7.23 |
| Class 2 * | 05/03/10 | 4.50 | 9.91 | 6.08 | 7.03 |
| Class 3 | 06/01/04 | 4.43 | 9.92 | 6.14 | 7.14 |
| BofAML BB-B US Cash Pay High Yield Constrained Index | | 4.54 | 11.15 | 6.66 | 7.15 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit investor.columbiathreadneedleus.com/investment-products/variable-products/appended-performance for more information. |
The Bank of America Merrill Lynch (BofAML) BB-B US Cash Pay High Yield Constrained Index is an unmanaged index of high-yield bonds. The index is subject to a 2% cap on allocation to any one issuer. The 2% cap is intended to provide broad diversification and better reflect the overall character of the high-yield market.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 0.0 (a) |
| Convertible Bonds | 0.0 (a) |
| Corporate Bonds & Notes | 89.6 |
| Foreign Government Obligations | 0.5 |
| Money Market Funds | 8.2 |
| Senior Loans | 1.7 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at June 30, 2017) |
| BBB rating | 2.9 |
| BB rating | 42.5 |
| B rating | 48.4 |
| CCC rating | 5.7 |
| CC rating | 0.5 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments (excluding Money Market Funds).
Bond ratings apply to the underlying holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the average rating of Moody’s, S&P and Fitch. When ratings are available from only two rating agencies, the average of the two rating is used. When a rating is available from only one rating agency, that rating is used. When a bond is not rated by any rating agency, it is designated as “Not rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g., interest rate and time to maturity) and the amount and type of any collateral.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Class 1 | 1,000.00 | 1,000.00 | 1,045.80 | 1,021.14 | 3.88 | 3.83 | 0.76 |
| Class 2 | 1,000.00 | 1,000.00 | 1,045.00 | 1,019.90 | 5.15 | 5.09 | 1.01 |
| Class 3 | 1,000.00 | 1,000.00 | 1,044.30 | 1,020.49 | 4.54 | 4.48 | 0.89 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
| 4 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017 |
Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks —% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary —% |
| Media —% |
| Haights Cross Communications, Inc.(a),(b),(c) | 27,056 | 0 |
| Loral Space & Communications, Inc.(b) | 6 | 249 |
| Ziff Davis Holdings, Inc.(a),(b) | 553 | 6 |
| Total | | 255 |
| Total Consumer Discretionary | 255 |
| Industrials —% |
| Commercial Services & Supplies —% |
| Quad/Graphics, Inc. | 1,106 | 25,349 |
| Total Industrials | 25,349 |
| Utilities —% |
| Independent Power and Renewable Electricity Producers —% |
| Calpine Corp. Escrow(a),(b),(c) | 6,049,000 | 0 |
| Total Utilities | 0 |
Total Common Stocks
(Cost $308,127) | 25,604 |
| Convertible Bonds —% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Wirelines —% |
| At Home Corp.(a),(c),(d) |
| Subordinated |
| 06/12/2015 | 0.000% | | 296,350 | — |
Total Convertible Bonds
(Cost $—) | — |
|
| Corporate Bonds & Notes 88.9% |
| | | | |
| Aerospace & Defense 1.3% |
| Bombardier, Inc.(e) |
| 12/01/2021 | 8.750% | | 786,000 | 873,777 |
| TransDigm, Inc. |
| 07/15/2022 | 6.000% | | 825,000 | 848,922 |
| 05/15/2025 | 6.500% | | 728,000 | 743,586 |
| 06/15/2026 | 6.375% | | 2,344,000 | 2,383,089 |
| Total | 4,849,374 |
| Automotive 0.2% |
| Gates Global LLC/Co.(e) |
| 07/15/2022 | 6.000% | | 161,000 | 161,480 |
| IHO Verwaltungs GmbH PIK(e) |
| 09/15/2023 | 4.500% | | 200,000 | 202,899 |
| 09/15/2026 | 4.750% | | 452,000 | 456,885 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Lear Corp. Escrow Bond(a),(c) |
| 09/01/2017 | 8.750% | | 595,000 | 0 |
| Total | 821,264 |
| Banking 1.0% |
| Ally Financial, Inc. |
| 11/01/2031 | 8.000% | | 2,065,000 | 2,527,829 |
| Popular, Inc. |
| 07/01/2019 | 7.000% | | 1,279,000 | 1,337,395 |
| Total | 3,865,224 |
| Brokerage/Asset Managers/Exchanges 0.6% |
| E*TRADE Financial Corp. |
| 09/15/2023 | 4.625% | | 2,072,000 | 2,151,451 |
| Virtu Financial(e) |
| 06/15/2022 | 6.750% | | 260,000 | 267,808 |
| Total | 2,419,259 |
| Building Materials 1.3% |
| Allegion PLC |
| 09/15/2023 | 5.875% | | 1,087,000 | 1,168,823 |
| American Builders & Contractors Supply Co., Inc.(e) |
| 04/15/2021 | 5.625% | | 725,000 | 745,465 |
| 12/15/2023 | 5.750% | | 397,000 | 419,242 |
| Beacon Roofing Supply, Inc. |
| 10/01/2023 | 6.375% | | 592,000 | 637,508 |
| HD Supply, Inc.(e) |
| 04/15/2024 | 5.750% | | 603,000 | 643,417 |
| US Concrete, Inc.(e) |
| 06/01/2024 | 6.375% | | 519,000 | 546,245 |
| USG Corp.(e) |
| 06/01/2027 | 4.875% | | 882,000 | 906,859 |
| Total | 5,067,559 |
| Cable and Satellite 9.6% |
| Altice US Finance I Corp.(e) |
| 07/15/2023 | 5.375% | | 3,279,000 | 3,417,843 |
| 05/15/2026 | 5.500% | | 1,684,000 | 1,769,840 |
| CCO Holdings LLC/Capital Corp.(e) |
| 04/01/2024 | 5.875% | | 1,324,000 | 1,416,178 |
| 05/01/2025 | 5.375% | | 913,000 | 971,763 |
| 05/01/2027 | 5.125% | | 2,541,000 | 2,604,883 |
| CSC Holdings LLC(e) |
| 10/15/2025 | 6.625% | | 3,854,000 | 4,241,874 |
| 04/15/2027 | 5.500% | | 1,154,000 | 1,217,125 |
| DISH DBS Corp. |
| 11/15/2024 | 5.875% | | 1,905,000 | 2,027,911 |
| 07/01/2026 | 7.750% | | 2,730,000 | 3,230,068 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017
| 5 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Hughes Satellite Systems Corp. |
| 06/15/2019 | 6.500% | | 1,640,000 | 1,776,343 |
| Quebecor Media, Inc. Escrow Bond(a),(e) |
| 01/15/2049 | 9.750% | | 1,855,000 | 38,769 |
| Sirius XM Radio, Inc.(e) |
| 07/15/2026 | 5.375% | | 1,581,000 | 1,640,583 |
| Sirius XM Radio, Inc.(e),(f) |
| 08/01/2027 | 5.000% | | 1,426,000 | 1,436,922 |
| Unitymedia Hessen GmbH & Co. KG NRW(e) |
| 01/15/2025 | 5.000% | | 2,710,000 | 2,840,085 |
| Videotron Ltd./Ltee(e) |
| 04/15/2027 | 5.125% | | 776,000 | 797,195 |
| Virgin Media Secured Finance PLC(e) |
| 01/15/2026 | 5.250% | | 3,741,000 | 3,891,564 |
| Ziggo Bond Finance BV(e) |
| 01/15/2027 | 6.000% | | 751,000 | 762,004 |
| Ziggo Secured Finance BV(e) |
| 01/15/2027 | 5.500% | | 2,121,000 | 2,180,049 |
| Total | 36,260,999 |
| Chemicals 2.4% |
| Angus Chemical Co.(e) |
| 02/15/2023 | 8.750% | | 944,000 | 972,421 |
| Axalta Coating Systems LLC(e) |
| 08/15/2024 | 4.875% | | 653,000 | 676,515 |
| Chemours Co. (The) |
| 05/15/2023 | 6.625% | | 1,834,000 | 1,942,177 |
| 05/15/2025 | 7.000% | | 7,000 | 7,620 |
| 05/15/2027 | 5.375% | | 298,000 | 306,564 |
| INEOS Group Holdings SA(e) |
| 08/01/2024 | 5.625% | | 1,072,000 | 1,107,541 |
| Koppers, Inc.(e) |
| 02/15/2025 | 6.000% | | 289,000 | 307,178 |
| Platform Specialty Products Corp.(e) |
| 05/01/2021 | 10.375% | | 580,000 | 641,500 |
| 02/01/2022 | 6.500% | | 785,000 | 811,057 |
| PQ Corp.(e) |
| 11/15/2022 | 6.750% | | 1,505,000 | 1,619,950 |
| SPCM SA(e) |
| 09/15/2025 | 4.875% | | 597,000 | 608,937 |
| Venator Finance SARL/Materials Corp.(e),(f) |
| 07/15/2025 | 5.750% | | 178,000 | 180,097 |
| Total | 9,181,557 |
| Construction Machinery 0.9% |
| Ritchie Bros. Auctioneers, Inc.(e) |
| 01/15/2025 | 5.375% | | 251,000 | 263,111 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| United Rentals North America, Inc. |
| 09/15/2026 | 5.875% | | 2,198,000 | 2,338,595 |
| 05/15/2027 | 5.500% | | 642,000 | 661,534 |
| Total | 3,263,240 |
| Consumer Cyclical Services 2.3% |
| APX Group, Inc. |
| 12/01/2022 | 7.875% | | 4,246,000 | 4,608,061 |
| Carlson Travel, Inc.(e) |
| 12/15/2023 | 6.750% | | 348,000 | 354,694 |
| IHS Markit Ltd.(e) |
| 11/01/2022 | 5.000% | | 899,000 | 970,903 |
| 02/15/2025 | 4.750% | | 1,273,000 | 1,364,451 |
| Interval Acquisition Corp. |
| 04/15/2023 | 5.625% | | 1,254,000 | 1,300,111 |
| Total | 8,598,220 |
| Consumer Products 1.9% |
| American Greetings Corp.(e) |
| 02/15/2025 | 7.875% | | 122,000 | 131,813 |
| Prestige Brands, Inc.(e) |
| 03/01/2024 | 6.375% | | 1,206,000 | 1,286,161 |
| Scotts Miracle-Gro Co. (The) |
| 10/15/2023 | 6.000% | | 1,399,000 | 1,505,542 |
| 12/15/2026 | 5.250% | | 184,000 | 192,052 |
| Spectrum Brands, Inc. |
| 07/15/2025 | 5.750% | | 1,269,000 | 1,360,942 |
| Springs Industries, Inc. |
| 06/01/2021 | 6.250% | | 1,434,000 | 1,481,620 |
| Tempur Sealy International, Inc. |
| 06/15/2026 | 5.500% | | 922,000 | 937,166 |
| Valvoline, Inc.(e) |
| 07/15/2024 | 5.500% | | 128,000 | 136,122 |
| Total | 7,031,418 |
| Diversified Manufacturing 0.9% |
| Entegris, Inc.(e) |
| 04/01/2022 | 6.000% | | 1,288,000 | 1,347,414 |
| SPX FLOW, Inc.(e) |
| 08/15/2024 | 5.625% | | 230,000 | 238,745 |
| 08/15/2026 | 5.875% | | 852,000 | 883,008 |
| WESCO Distribution, Inc. |
| 06/15/2024 | 5.375% | | 501,000 | 522,737 |
| Zekelman Industries, Inc.(e) |
| 06/15/2023 | 9.875% | | 409,000 | 459,499 |
| Total | 3,451,403 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Electric 2.3% |
| Calpine Corp. |
| 01/15/2025 | 5.750% | | 1,420,000 | 1,335,530 |
| Dynegy, Inc. |
| 11/01/2024 | 7.625% | | 815,000 | 790,550 |
| NRG Energy, Inc. |
| 05/01/2024 | 6.250% | | 400,000 | 405,187 |
| 01/15/2027 | 6.625% | | 1,161,000 | 1,163,465 |
| NRG Yield Operating LLC |
| 08/15/2024 | 5.375% | | 3,178,000 | 3,332,575 |
| 09/15/2026 | 5.000% | | 606,000 | 615,211 |
| Pattern Energy Group, Inc.(e) |
| 02/01/2024 | 5.875% | | 963,000 | 1,012,649 |
| Total | 8,655,167 |
| Finance Companies 2.5% |
| Aircastle Ltd. |
| 02/15/2022 | 5.500% | | 775,000 | 839,932 |
| 04/01/2023 | 5.000% | | 454,000 | 485,884 |
| iStar, Inc. |
| 04/01/2022 | 6.000% | | 672,000 | 687,392 |
| Navient Corp. |
| 06/15/2022 | 6.500% | | 469,000 | 497,590 |
| 10/25/2024 | 5.875% | | 2,003,000 | 2,031,871 |
| OneMain Financial Holdings LLC(e) |
| 12/15/2021 | 7.250% | | 2,058,000 | 2,168,008 |
| Park Aerospace Holdings Ltd.(e) |
| 08/15/2022 | 5.250% | | 386,000 | 404,058 |
| 02/15/2024 | 5.500% | | 386,000 | 403,378 |
| Provident Funding Associates LP/Finance Corp.(e) |
| 06/15/2025 | 6.375% | | 607,000 | 622,180 |
| Quicken Loans, Inc.(e) |
| 05/01/2025 | 5.750% | | 761,000 | 787,038 |
| Springleaf Finance Corp. |
| 05/15/2022 | 6.125% | | 357,000 | 376,680 |
| Total | 9,304,011 |
| Food and Beverage 1.3% |
| B&G Foods, Inc. |
| 04/01/2025 | 5.250% | | 528,000 | 538,704 |
| FAGE International SA/USA Dairy Industry, Inc.(e) |
| 08/15/2026 | 5.625% | | 727,000 | 749,399 |
| Lamb Weston Holdings, Inc.(e) |
| 11/01/2024 | 4.625% | | 352,000 | 361,827 |
| 11/01/2026 | 4.875% | | 587,000 | 607,843 |
| Pinnacle Foods Finance LLC/Corp. |
| 01/15/2024 | 5.875% | | 180,000 | 192,416 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Post Holdings, Inc.(e) |
| 03/01/2025 | 5.500% | | 368,000 | 379,776 |
| 08/15/2026 | 5.000% | | 1,366,000 | 1,361,884 |
| 03/01/2027 | 5.750% | | 823,000 | 848,287 |
| Total | 5,040,136 |
| Gaming 4.8% |
| Boyd Gaming Corp. |
| 05/15/2023 | 6.875% | | 824,000 | 882,468 |
| Eldorado Resorts, Inc.(e) |
| 04/01/2025 | 6.000% | | 403,000 | 426,712 |
| GLP Capital LP/Financing II, Inc. |
| 04/15/2026 | 5.375% | | 1,419,000 | 1,545,952 |
| International Game Technology PLC(e) |
| 02/15/2025 | 6.500% | | 2,688,000 | 2,964,270 |
| Jack Ohio Finance LLC/1 Corp.(e) |
| 11/15/2021 | 6.750% | | 1,083,000 | 1,131,001 |
| MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. |
| 09/01/2026 | 4.500% | | 383,000 | 386,371 |
| MGM Resorts International |
| 12/15/2021 | 6.625% | | 2,434,000 | 2,729,979 |
| Penn National Gaming, Inc.(e) |
| 01/15/2027 | 5.625% | | 255,000 | 259,300 |
| Rivers Pittsburgh Borrower LP/Finance Corp.(e) |
| 08/15/2021 | 6.125% | | 239,000 | 242,237 |
| Scientific Games International, Inc.(e) |
| 01/01/2022 | 7.000% | | 3,979,000 | 4,237,424 |
| Seminole Tribe of Florida, Inc.(e) |
| 10/01/2020 | 7.804% | | 950,000 | 977,911 |
| Tunica-Biloxi Gaming Authority(d),(e) |
| 11/15/2016 | 0.000% | | 4,284,000 | 1,595,790 |
| Wynn Las Vegas LLC/Capital Corp.(e) |
| 05/15/2027 | 5.250% | | 577,000 | 591,507 |
| Total | 17,970,922 |
| Health Care 6.8% |
| Acadia Healthcare Co., Inc. |
| 03/01/2024 | 6.500% | | 1,063,000 | 1,138,055 |
| Change Healthcare Holdings LLC/Finance, Inc.(e) |
| 03/01/2025 | 5.750% | | 929,000 | 949,199 |
| CHS/Community Health Systems, Inc. |
| 03/31/2023 | 6.250% | | 3,011,000 | 3,114,070 |
| DaVita, Inc. |
| 05/01/2025 | 5.000% | | 1,530,000 | 1,532,217 |
| Envision Healthcare Corp.(e) |
| 12/01/2024 | 6.250% | | 817,000 | 869,863 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017
| 7 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Fresenius Medical Care US Finance II, Inc.(e) |
| 10/15/2024 | 4.750% | | 2,295,000 | 2,437,090 |
| HCA, Inc. |
| 05/01/2023 | 4.750% | | 2,346,000 | 2,479,858 |
| 04/15/2025 | 5.250% | | 3,269,000 | 3,525,669 |
| 06/15/2026 | 5.250% | | 1,405,000 | 1,513,466 |
| 02/15/2027 | 4.500% | | 55,000 | 56,476 |
| Hill-Rom Holdings, Inc.(e) |
| 02/15/2025 | 5.000% | | 527,000 | 537,806 |
| MEDNAX, Inc.(e) |
| 12/01/2023 | 5.250% | | 926,000 | 955,151 |
| MPH Acquisition Holdings LLC(e) |
| 06/01/2024 | 7.125% | | 1,550,000 | 1,652,478 |
| Quintiles IMS, Inc.(e) |
| 05/15/2023 | 4.875% | | 1,004,000 | 1,034,553 |
| 10/15/2026 | 5.000% | | 416,000 | 428,875 |
| Teleflex, Inc. |
| 06/01/2026 | 4.875% | | 368,000 | 374,855 |
| Tenet Healthcare Corp.(e) |
| 07/15/2024 | 4.625% | | 882,000 | 875,179 |
| THC Escrow Corp. III(e) |
| 07/15/2024 | 4.625% | | 1,103,000 | 1,105,848 |
| 05/01/2025 | 5.125% | | 975,000 | 978,513 |
| Total | 25,559,221 |
| Healthcare Insurance 1.4% |
| Centene Corp. |
| 02/15/2024 | 6.125% | | 1,170,000 | 1,263,735 |
| 01/15/2025 | 4.750% | | 2,050,000 | 2,113,142 |
| Molina Healthcare, Inc.(e) |
| 06/15/2025 | 4.875% | | 595,000 | 599,421 |
| WellCare Health Plans, Inc. |
| 04/01/2025 | 5.250% | | 1,267,000 | 1,330,687 |
| Total | 5,306,985 |
| Home Construction 1.2% |
| CalAtlantic Group, Inc. |
| 06/01/2026 | 5.250% | | 419,000 | 434,754 |
| 06/15/2027 | 5.000% | | 739,000 | 740,035 |
| Lennar Corp. |
| 04/30/2024 | 4.500% | | 1,449,000 | 1,497,668 |
| Meritage Homes Corp. |
| 04/01/2022 | 7.000% | | 491,000 | 559,101 |
| Meritage Homes Corp.(e) |
| 06/06/2027 | 5.125% | | 568,000 | 568,798 |
| Taylor Morrison Communities, Inc./Holdings II(e) |
| 04/15/2023 | 5.875% | | 551,000 | 586,304 |
| Total | 4,386,660 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Independent Energy 7.2% |
| Callon Petroleum Co. |
| 10/01/2024 | 6.125% | | 445,000 | 450,110 |
| Callon Petroleum Co.(e) |
| 10/01/2024 | 6.125% | | 308,000 | 312,245 |
| Carrizo Oil & Gas, Inc. |
| 04/15/2023 | 6.250% | | 1,276,000 | 1,226,122 |
| CrownRock LP/Finance, Inc.(e) |
| 02/15/2023 | 7.750% | | 2,921,000 | 3,071,765 |
| Diamondback Energy, Inc.(e) |
| 11/01/2024 | 4.750% | | 258,000 | 256,319 |
| 05/31/2025 | 5.375% | | 1,459,000 | 1,478,727 |
| Extraction Oil & Gas, Inc./Finance Corp.(e) |
| 07/15/2021 | 7.875% | | 1,879,000 | 1,929,446 |
| Halcon Resources Corp.(e) |
| 02/15/2025 | 6.750% | | 460,000 | 414,614 |
| Laredo Petroleum, Inc. |
| 03/15/2023 | 6.250% | | 4,424,000 | 4,367,935 |
| Parsley Energy LLC/Finance Corp.(e) |
| 06/01/2024 | 6.250% | | 632,000 | 661,792 |
| 01/15/2025 | 5.375% | | 1,162,000 | 1,169,864 |
| 08/15/2025 | 5.250% | | 1,284,000 | 1,284,666 |
| PDC Energy, Inc.(e) |
| 09/15/2024 | 6.125% | | 1,205,000 | 1,222,880 |
| RSP Permian, Inc.(e) |
| 01/15/2025 | 5.250% | | 2,880,000 | 2,884,648 |
| SM Energy Co. |
| 06/01/2025 | 5.625% | | 268,000 | 240,462 |
| 09/15/2026 | 6.750% | | 2,355,000 | 2,246,286 |
| Whiting Petroleum Corp. |
| 03/15/2021 | 5.750% | | 406,000 | 382,608 |
| 04/01/2023 | 6.250% | | 638,000 | 587,012 |
| WPX Energy, Inc. |
| 01/15/2022 | 6.000% | | 2,909,000 | 2,876,728 |
| Total | 27,064,229 |
| Leisure 0.5% |
| AMC Entertainment Holdings, Inc.(e) |
| 05/15/2027 | 6.125% | | 363,000 | 383,877 |
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millenium Operations LLC(e) |
| 04/15/2027 | 5.375% | | 785,000 | 831,106 |
| Live Nation Entertainment, Inc.(e) |
| 11/01/2024 | 4.875% | | 512,000 | 519,280 |
| Total | 1,734,263 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Lodging 0.9% |
| Hilton Domestic Operating Co., Inc.(e) |
| 09/01/2024 | 4.250% | | 715,000 | 723,973 |
| Hilton Grand Vacations Borrower LLC/Inc.(e) |
| 12/01/2024 | 6.125% | | 373,000 | 406,341 |
| Playa Resorts Holding BV(e) |
| 08/15/2020 | 8.000% | | 2,274,000 | 2,383,784 |
| Total | 3,514,098 |
| Media and Entertainment 4.0% |
| AMC Networks, Inc. |
| 04/01/2024 | 5.000% | | 549,000 | 562,392 |
| Match Group, Inc. |
| 06/01/2024 | 6.375% | | 1,502,000 | 1,638,236 |
| MDC Partners, Inc.(e) |
| 05/01/2024 | 6.500% | | 2,088,000 | 2,079,120 |
| Netflix, Inc. |
| 02/15/2025 | 5.875% | | 2,385,000 | 2,639,124 |
| Netflix, Inc.(e) |
| 11/15/2026 | 4.375% | | 2,462,000 | 2,464,275 |
| Nielsen Luxembourg SARL(e) |
| 02/01/2025 | 5.000% | | 1,653,000 | 1,702,021 |
| Outfront Media Capital LLC/Corp. |
| 03/15/2025 | 5.875% | | 2,897,000 | 3,041,308 |
| Univision Communications, Inc.(e) |
| 02/15/2025 | 5.125% | | 1,121,000 | 1,110,271 |
| Ziff Davis Media, Inc.(a),(c),(d) |
| 12/15/2011 | 0.000% | | 68,749 | — |
| Total | 15,236,747 |
| Metals and Mining 3.0% |
| Alcoa Nederland Holding BV(e) |
| 09/30/2024 | 6.750% | | 376,000 | 408,652 |
| 09/30/2026 | 7.000% | | 298,000 | 327,356 |
| Freeport-McMoRan, Inc. |
| 03/01/2022 | 3.550% | | 552,000 | 518,076 |
| 03/15/2023 | 3.875% | | 499,000 | 466,393 |
| 11/14/2024 | 4.550% | | 2,310,000 | 2,181,076 |
| Grinding Media, Inc./MC Canada, Inc.(e) |
| 12/15/2023 | 7.375% | | 577,000 | 624,816 |
| HudBay Minerals, Inc.(e) |
| 01/15/2023 | 7.250% | | 242,000 | 250,041 |
| 01/15/2025 | 7.625% | | 716,000 | 751,730 |
| Novelis Corp.(e) |
| 08/15/2024 | 6.250% | | 399,000 | 418,801 |
| 09/30/2026 | 5.875% | | 1,796,000 | 1,851,897 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Teck Resources Ltd.(e) |
| 06/01/2024 | 8.500% | | 335,000 | 387,054 |
| Teck Resources Ltd. |
| 07/15/2041 | 6.250% | | 3,056,000 | 3,183,350 |
| Total | 11,369,242 |
| Midstream 5.8% |
| Cheniere Corpus Christi Holdings LLC(e) |
| 06/30/2027 | 5.125% | | 988,000 | 1,014,699 |
| Delek Logistics Partners LP(e) |
| 05/15/2025 | 6.750% | | 746,000 | 753,124 |
| Energy Transfer Equity LP |
| 06/01/2027 | 5.500% | | 3,496,000 | 3,619,751 |
| Hiland Partners Holdings LLC/Finance Corp.(e) |
| 05/15/2022 | 5.500% | | 2,877,000 | 3,000,208 |
| Northwest Pipeline LLC |
| 12/01/2025 | 7.125% | | 150,000 | 180,100 |
| NuStar Logistics LP |
| 04/28/2027 | 5.625% | | 798,000 | 838,711 |
| Tallgrass Energy Partners LP/Finance Corp.(e) |
| 09/15/2024 | 5.500% | | 318,000 | 322,674 |
| Targa Resources Partners LP/Finance Corp. |
| 11/15/2023 | 4.250% | | 1,825,000 | 1,780,899 |
| Targa Resources Partners LP/Finance Corp.(e) |
| 02/01/2027 | 5.375% | | 2,796,000 | 2,890,977 |
| Tesoro Logistics LP/Finance Corp. |
| 10/15/2022 | 6.250% | | 1,227,000 | 1,305,667 |
| 01/15/2025 | 5.250% | | 1,931,000 | 2,032,769 |
| Williams Companies, Inc. (The) |
| 06/24/2024 | 4.550% | | 3,838,000 | 3,936,583 |
| Total | 21,676,162 |
| Oil Field Services 0.6% |
| Precision Drilling Corp.(e) |
| 12/15/2023 | 7.750% | | 87,000 | 87,796 |
| Trinidad Drilling Ltd.(e) |
| 02/15/2025 | 6.625% | | 252,000 | 238,403 |
| Weatherford International Ltd. |
| 06/15/2021 | 7.750% | | 633,000 | 635,378 |
| 06/15/2023 | 8.250% | | 1,251,000 | 1,253,329 |
| Total | 2,214,906 |
| Other Industry 0.2% |
| Booz Allen Hamilton, Inc.(e) |
| 05/01/2025 | 5.125% | | 130,000 | 127,468 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017
| 9 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| KAR Auction Services, Inc.(e) |
| 06/01/2025 | 5.125% | | 634,000 | 646,655 |
| Total | 774,123 |
| Other REIT 0.2% |
| CyrusOne LP/Finance Corp.(e) |
| 03/15/2024 | 5.000% | | 337,000 | 347,209 |
| 03/15/2027 | 5.375% | | 337,000 | 350,849 |
| Total | 698,058 |
| Packaging 2.6% |
| Ardagh Packaging Finance PLC/Holdings USA, Inc.(e) |
| 09/15/2022 | 4.250% | | 1,244,000 | 1,276,396 |
| 05/15/2024 | 7.250% | | 3,573,000 | 3,910,870 |
| 02/15/2025 | 6.000% | | 798,000 | 838,196 |
| Berry Plastics Corp. |
| 07/15/2023 | 5.125% | | 1,480,000 | 1,541,083 |
| Owens-Brockway Glass Container, Inc.(e) |
| 08/15/2025 | 6.375% | | 732,000 | 821,670 |
| Reynolds Group Issuer, Inc./LLC(e) |
| 07/15/2023 | 5.125% | | 1,437,000 | 1,490,653 |
| Total | 9,878,868 |
| Pharmaceuticals 2.7% |
| Endo Finance LLC/Finco, Inc.(e) |
| 10/15/2024 | 5.875% | | 844,000 | 870,781 |
| Jaguar Holding Co. II/Pharmaceutical Product Development LLC(e) |
| 08/01/2023 | 6.375% | | 2,618,000 | 2,757,869 |
| Mallinckrodt International Finance SA/CB LLC(e) |
| 10/15/2023 | 5.625% | | 579,000 | 527,961 |
| Valeant Pharmaceuticals International, Inc.(e) |
| 03/15/2022 | 6.500% | | 326,000 | 341,927 |
| 05/15/2023 | 5.875% | | 2,365,000 | 2,027,739 |
| 03/15/2024 | 7.000% | | 1,480,000 | 1,561,286 |
| 04/15/2025 | 6.125% | | 2,280,000 | 1,933,048 |
| Total | 10,020,611 |
| Property & Casualty 0.0% |
| Lumbermens Mutual Casualty Co.(d),(e) |
| 12/01/2097 | 0.000% | | 30,000 | 55 |
| Lumbermens Mutual Casualty Co.(d) |
| Subordinated |
| 07/01/2026 | 0.000% | | 645,000 | 2,132 |
| Total | 2,187 |
| Restaurants 0.8% |
| 1011778 BC Unlimited Liability Co./New Red Finance, Inc.(e) |
| 05/15/2024 | 4.250% | | 1,053,000 | 1,046,308 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(e) |
| 06/01/2026 | 5.250% | | 1,567,000 | 1,647,281 |
| 06/01/2027 | 4.750% | | 139,000 | 141,734 |
| Total | 2,835,323 |
| Retailers 1.8% |
| Asbury Automotive Group, Inc. |
| 12/15/2024 | 6.000% | | 2,194,000 | 2,233,321 |
| Group 1 Automotive, Inc. |
| 06/01/2022 | 5.000% | | 1,268,000 | 1,289,339 |
| Group 1 Automotive, Inc.(e) |
| 12/15/2023 | 5.250% | | 375,000 | 375,705 |
| L Brands, Inc. |
| 11/01/2035 | 6.875% | | 761,000 | 736,018 |
| Penske Automotive Group, Inc. |
| 12/01/2024 | 5.375% | | 1,010,000 | 1,016,148 |
| 05/15/2026 | 5.500% | | 522,000 | 520,544 |
| PetSmart, Inc.(e) |
| 06/01/2025 | 5.875% | | 496,000 | 478,538 |
| Total | 6,649,613 |
| Technology 5.6% |
| Camelot Finance SA(e) |
| 10/15/2024 | 7.875% | | 485,000 | 521,556 |
| CDK Global, Inc.(e) |
| 06/01/2027 | 4.875% | | 417,000 | 428,465 |
| Equinix, Inc. |
| 04/01/2023 | 5.375% | | 1,825,000 | 1,900,542 |
| 01/15/2026 | 5.875% | | 913,000 | 994,318 |
| 05/15/2027 | 5.375% | | 749,000 | 800,775 |
| First Data Corp.(e) |
| 01/15/2024 | 5.750% | | 5,404,000 | 5,622,760 |
| Gartner, Inc.(e) |
| 04/01/2025 | 5.125% | | 1,146,000 | 1,202,664 |
| MSCI, Inc.(e) |
| 08/01/2026 | 4.750% | | 566,000 | 581,612 |
| NXP BV/Funding LLC(e) |
| 09/01/2022 | 3.875% | | 1,260,000 | 1,312,029 |
| PTC, Inc. |
| 05/15/2024 | 6.000% | | 1,656,000 | 1,807,580 |
| Qualitytech LP/Finance Corp. |
| 08/01/2022 | 5.875% | | 2,881,000 | 3,010,161 |
| Symantec Corp.(e) |
| 04/15/2025 | 5.000% | | 840,000 | 878,733 |
| VeriSign, Inc. |
| 04/01/2025 | 5.250% | | 1,122,000 | 1,199,171 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| VeriSign, Inc.(e),(f) |
| 07/15/2027 | 4.750% | | 763,000 | 771,063 |
| Total | 21,031,429 |
| Transportation Services 0.9% |
| Avis Budget Car Rental LLC/Finance, Inc.(e) |
| 03/15/2025 | 5.250% | | 1,638,000 | 1,549,066 |
| Hertz Corp. (The)(e) |
| 06/01/2022 | 7.625% | | 2,001,000 | 1,996,264 |
| Total | 3,545,330 |
| Wireless 6.2% |
| SBA Communications Corp.(e) |
| 09/01/2024 | 4.875% | | 3,303,000 | 3,356,773 |
| SFR Group SA(e) |
| 05/15/2022 | 6.000% | | 882,000 | 921,623 |
| 05/15/2024 | 6.250% | | 414,000 | 437,964 |
| 05/01/2026 | 7.375% | | 2,064,000 | 2,238,414 |
| Sprint Capital Corp. |
| 11/15/2028 | 6.875% | | 635,000 | 705,637 |
| Sprint Communications, Inc.(e) |
| 03/01/2020 | 7.000% | | 6,194,000 | 6,798,980 |
| Sprint Corp. |
| 06/15/2024 | 7.125% | | 2,550,000 | 2,834,702 |
| 02/15/2025 | 7.625% | | 2,280,000 | 2,622,821 |
| T-Mobile USA, Inc. |
| 01/15/2026 | 6.500% | | 3,159,000 | 3,485,802 |
| Total | 23,402,716 |
| Wirelines 3.2% |
| CenturyLink, Inc. |
| 04/01/2024 | 7.500% | | 2,750,000 | 3,015,741 |
| Frontier Communications Corp. |
| 07/01/2021 | 9.250% | | 1,364,000 | 1,338,707 |
| 09/15/2025 | 11.000% | | 2,442,000 | 2,257,209 |
| Level 3 Communications, Inc. |
| 12/01/2022 | 5.750% | | 1,602,000 | 1,663,836 |
| Telecom Italia Capital SA |
| 09/30/2034 | 6.000% | | 60,000 | 63,488 |
| Telecom Italia SpA(e) |
| 05/30/2024 | 5.303% | | 1,067,000 | 1,149,722 |
| Zayo Group LLC/Capital, Inc. |
| 05/15/2025 | 6.375% | | 2,165,000 | 2,339,631 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Zayo Group LLC/Capital, Inc.(e) |
| 01/15/2027 | 5.750% | | 380,000 | 398,149 |
| Total | 12,226,483 |
Total Corporate Bonds & Notes
(Cost $323,734,220) | 334,907,007 |
|
| Foreign Government Obligations(g) 0.5% |
| | | | |
| Canada 0.5% |
| NOVA Chemicals Corp.(e) |
| 06/01/2024 | 4.875% | | 553,000 | 550,134 |
| 05/01/2025 | 5.000% | | 794,000 | 789,034 |
| 06/01/2027 | 5.250% | | 571,000 | 568,687 |
| Total | 1,907,855 |
Total Foreign Government Obligations
(Cost $1,948,628) | 1,907,855 |
|
| Senior Loans 1.7% |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Consumer Products 0.4% |
| Serta Simmons Holdings, LLC(h),(i) |
| 2nd Lien Term Loan |
| 11/08/2024 | 9.179% | | 1,433,899 | 1,427,332 |
| Diversified Manufacturing 0.4% |
| Accudyne Industries Borrower SCA/LLC(h),(i) |
| Term Loan |
| 12/13/2019 | 4.226% | | 1,365,000 | 1,352,838 |
| Independent Energy 0.2% |
| Chesapeake Energy Corp.(h),(i) |
| Tranche A Term Loan |
| 08/23/2021 | 8.686% | | 892,617 | 943,050 |
| Oil Field Services 0.2% |
| EagleClaw Midstream Ventures(h),(i),(j) |
| Term Loan |
| 06/06/2024 | 0.000% | | 725,499 | 716,430 |
| Technology 0.5% |
| Ascend Learning LLC(h),(i),(j) |
| Tranche B Term Loan |
| 06/28/2024 | 4.545% | | 294,000 | 294,000 |
| Greeneden US Holdings I LLC(h),(i) |
| Tranche B1 Term Loan |
| 12/01/2023 | 5.296% | | 322,380 | 323,105 |
| Hyland Software, Inc.(h),(i),(j) |
| Tranche 3 Term Loan |
| 07/01/2022 | 0.000% | | 186,626 | 187,653 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017
| 11 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Information Resources, Inc.(h),(i) |
| 1st Lien Term Loan |
| 01/18/2024 | 5.466% | | 1,212,960 | 1,215,992 |
| Total | 2,020,750 |
Total Senior Loans
(Cost $6,319,625) | 6,460,400 |
| Money Market Funds 8.1% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(k),(l) | 30,483,206 | 30,483,206 |
Total Money Market Funds
(Cost $30,482,417) | 30,483,206 |
Total Investments
(Cost: $362,793,017) | 373,784,072 |
| Other Assets & Liabilities, Net | | 3,003,454 |
| Net Assets | 376,787,526 |
At June 30, 2017, securities and/or cash totaling $645,228 were pledged as collateral.
Investments in derivatives
Futures contracts outstanding at June 30, 2017
| Short futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| U.S. Treasury 10-Year Note | (109) | USD | (13,682,906) | 09/2017 | 31,576 | — |
Cleared credit default swap contracts outstanding at June 30, 2017
| Sell protection |
| Counterparty | Reference
entity | Expiration
date | Receive fixed
rate (%) | Implied
credit
spread (%)* | Notional
currency | Notional
amount | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Morgan Stanley | Markit CDX North America High Yield Index, Series 28 | 6/20/2022 | 5.000 | 3.390 | USD | 10,000,000 | 33,254 | — |
| * | 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. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Notes to Portfolio of Investments
| (a) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2017, the value of these securities amounted to $38,775, which represents 0.01% of net assets. |
| (b) | Non-income producing investment. |
| (c) | Negligible market value. |
| (d) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2017, the value of these securities amounted to $1,597,977, which represents 0.42% of net assets. |
| (e) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At June 30, 2017, the value of these securities amounted to $180,736,560, which represents 47.97% of net assets. |
| (f) | Represents a security purchased on a when-issued basis. |
| (g) | Principal and interest may not be guaranteed by the government. |
| (h) | Senior loans have interest rates that float periodically based primarily on the London Interbank Offered Rate (“LIBOR”) and other short-term rates. The interest rate shown reflects the weighted average coupon as of June 30, 2017. The interest rate shown for senior loans purchased on a when-issued or delayed delivery basis, if any, reflects an estimated average coupon. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted. |
| (i) | Variable rate security. |
| (j) | Represents a security purchased on a forward commitment basis. |
| (k) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (l) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 7,308,820 | 65,348,831 | (42,174,445) | 30,483,206 | (7) | 53,515 | 30,483,206 |
Abbreviation Legend
Currency Legend
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017
| 13 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 249 | — | 6 | — | 255 |
| Industrials | 25,349 | — | — | — | 25,349 |
| Utilities | — | — | 0* | — | 0* |
| Total Common Stocks | 25,598 | — | 6 | — | 25,604 |
| Convertible Bonds | — | — | 0* | — | 0* |
| Corporate Bonds & Notes | — | 334,868,238 | 38,769 | — | 334,907,007 |
| Foreign Government Obligations | — | 1,907,855 | — | — | 1,907,855 |
| Senior Loans | — | 6,460,400 | — | — | 6,460,400 |
| Money Market Funds | — | — | — | 30,483,206 | 30,483,206 |
| Total Investments | 25,598 | 343,236,493 | 38,775 | 30,483,206 | 373,784,072 |
| Derivatives | | | | | |
| Asset | | | | | |
| Futures Contracts | 31,576 | — | — | — | 31,576 |
| Swap Contracts | — | 33,254 | — | — | 33,254 |
| Total | 57,174 | 343,269,747 | 38,775 | 30,483,206 | 373,848,902 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
Derivative instruments are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between levels during the period.
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
Certain corporate bonds and common stocks classified as Level 3 are valued using an income approach. To determine fair value for these securities, management considered estimates of future distributions from the liquidation of company assets or potential actions related to the respective company’s bankruptcy filing. Significant increases (decreases) to any of these inputs would result in a significantly lower (higher) fair value measurement. Generally, a change in the bankruptcy filings would result in a directionally similar change to estimates of future distributions
Certain corporate bonds, common stocks and convertible bonds classified as Level 3 are valued using a market approach. To determine fair value for these securities, management considered various factors which may have included, but were not limited to, trades of similar securities, single market quotations from broker dealers, estimated earnings of the respective company, market multiples derived from a set of comparable companies, and the position of the security within the respective company’s capital structure. Significant increases (decreases) to any of these inputs would result in a significantly lower (higher) fair value measurement. Generally, a change in estimated earnings of the respective company may result in a change to the comparable companies and market multiples utilized.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017
| 15 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $332,310,600 |
| Affiliated issuers, at cost | 30,482,417 |
| Total investments, at cost | 362,793,017 |
| Investments, at value | |
| Unaffiliated issuers, at value | 343,300,866 |
| Affiliated issuers, at value | 30,483,206 |
| Total investments, at value | 373,784,072 |
| Cash | 18,452 |
| Margin deposits | 645,228 |
| Receivable for: | |
| Investments sold | 1,298,315 |
| Investments sold on a delayed delivery basis | 440,048 |
| Capital shares sold | 257,396 |
| Dividends | 20,339 |
| Interest | 5,209,125 |
| Foreign tax reclaims | 20,725 |
| Variation margin for futures contracts | 30,656 |
| Variation margin for swap contracts | 27,940 |
| Expense reimbursement due from Investment Manager | 21 |
| Total assets | 381,752,317 |
| Liabilities | |
| Payable for: | |
| Investments purchased on a delayed delivery basis | 4,006,107 |
| Capital shares purchased | 476,238 |
| Management services fees | 202,953 |
| Distribution and/or service fees | 29,662 |
| Transfer agent fees | 18,592 |
| Compensation of board members | 162,143 |
| Compensation of chief compliance officer | 28 |
| Other expenses | 69,068 |
| Total liabilities | 4,964,791 |
| Net assets applicable to outstanding capital stock | $376,787,526 |
| Represented by | |
| Paid in capital | 363,230,513 |
| Undistributed net investment income | 8,175,205 |
| Accumulated net realized loss | (5,674,077) |
| Unrealized appreciation (depreciation) on: | |
| Investments - unaffiliated issuers | 10,990,266 |
| Investments - affiliated issuers | 789 |
| Futures contracts | 31,576 |
| Swap contracts | 33,254 |
| Total - representing net assets applicable to outstanding capital stock | $376,787,526 |
| Class 1 | |
| Net assets | $125,282,410 |
| Shares outstanding | 16,883,797 |
| Net asset value per share | $7.42 |
| Class 2 | |
| Net assets | $35,909,559 |
| Shares outstanding | 4,862,075 |
| Net asset value per share | $7.39 |
| Class 3 | |
| Net assets | $215,595,557 |
| Shares outstanding | 28,886,508 |
| Net asset value per share | $7.46 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $664 |
| Dividends — affiliated issuers | 53,515 |
| Interest | 10,450,184 |
| Total income | 10,504,363 |
| Expenses: | |
| Management services fees | 1,223,473 |
| Distribution and/or service fees | |
| Class 2 | 42,867 |
| Class 3 | 137,899 |
| Transfer agent fees | |
| Class 1 | 35,593 |
| Class 2 | 10,288 |
| Class 3 | 66,189 |
| Compensation of board members | 19,282 |
| Custodian fees | 7,555 |
| Printing and postage fees | 37,769 |
| Audit fees | 18,351 |
| Legal fees | 4,464 |
| Compensation of chief compliance officer | 46 |
| Other | 5,647 |
| Total expenses | 1,609,423 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (9,092) |
| Total net expenses | 1,600,331 |
| Net investment income | 8,904,032 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 3,833,932 |
| Investments — affiliated issuers | (7) |
| Futures contracts | (350,500) |
| Swap contracts | (9,774) |
| Net realized gain | 3,473,651 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 4,012,825 |
| Investments — affiliated issuers | 789 |
| Futures contracts | (57,605) |
| Swap contracts | 33,254 |
| Net change in unrealized appreciation (depreciation) | 3,989,263 |
| Net realized and unrealized gain | 7,462,914 |
| Net increase in net assets resulting from operations | $16,366,946 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017
| 17 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment income | $8,904,032 | $22,789,984 |
| Net realized gain (loss) | 3,473,651 | (9,015,497) |
| Net change in unrealized appreciation (depreciation) | 3,989,263 | 35,997,449 |
| Net increase in net assets resulting from operations | 16,366,946 | 49,771,936 |
| Distributions to shareholders | | |
| Net investment income | | |
| Class 1 | (7,678,165) | (11,349,529) |
| Class 2 | (2,138,220) | (3,186,045) |
| Class 3 | (12,970,314) | (25,146,490) |
| Net realized gains | | |
| Class 1 | — | (4,735,284) |
| Class 2 | — | (1,362,749) |
| Class 3 | — | (10,622,090) |
| Total distributions to shareholders | (22,786,699) | (56,402,187) |
| Increase (decrease) in net assets from capital stock activity | 13,265,173 | (218,368,694) |
| Total increase (decrease) in net assets | 6,845,420 | (224,998,945) |
| Net assets at beginning of period | 369,942,106 | 594,941,051 |
| Net assets at end of period | $376,787,526 | $369,942,106 |
| Undistributed net investment income | $8,175,205 | $22,057,872 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 1,478,649 | 11,421,383 | 1,214,247 | 9,392,397 |
| Distributions reinvested | 1,034,793 | 7,678,165 | 2,246,482 | 16,084,813 |
| Redemptions | (506,928) | (3,907,466) | (29,344,584) | (248,224,577) |
| Net increase (decrease) | 2,006,514 | 15,192,082 | (25,883,855) | (222,747,367) |
| Class 2 | | | | |
| Subscriptions | 392,378 | 3,023,581 | 795,248 | 6,171,253 |
| Distributions reinvested | 289,732 | 2,138,220 | 637,980 | 4,548,794 |
| Redemptions | (218,982) | (1,680,221) | (10,938,431) | (91,703,543) |
| Net increase (decrease) | 463,128 | 3,481,580 | (9,505,203) | (80,983,496) |
| Class 3 | | | | |
| Subscriptions | 155,131 | 1,205,227 | 10,116,762 | 85,911,859 |
| Distributions reinvested | 1,738,648 | 12,970,314 | 4,967,858 | 35,768,580 |
| Redemptions | (2,515,434) | (19,584,030) | (4,676,321) | (36,318,270) |
| Net increase (decrease) | (621,655) | (5,408,489) | 10,408,299 | 85,362,169 |
| Total net increase (decrease) | 1,847,987 | 13,265,173 | (24,980,759) | (218,368,694) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017
| 19 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income | Distributions
from net
realized
gains | Tax
return of
capital |
| Class 1 |
| 6/30/2017 (c) | $7.56 | 0.19 | 0.16 | 0.35 | (0.49) | — | — |
| 12/31/2016 | $8.07 | 0.40 | 0.41 | 0.81 | (0.93) | (0.39) | — |
| 12/31/2015 | $9.06 | 0.43 | (0.49) | (0.06) | (0.85) | (0.08) | — |
| 12/31/2014 | $8.71 | 0.45 | (0.10) | 0.35 | — | — | — |
| 12/31/2013 | $10.51 | 0.52 | (0.06) | 0.46 | (1.38) | (0.59) | (0.29) |
| 12/31/2012 | $10.02 | 0.64 | 0.78 | 1.42 | (0.71) | (0.22) | — |
| Class 2 |
| 6/30/2017 (c) | $7.52 | 0.18 | 0.16 | 0.34 | (0.47) | — | — |
| 12/31/2016 | $8.02 | 0.38 | 0.42 | 0.80 | (0.91) | (0.39) | — |
| 12/31/2015 | $9.01 | 0.40 | (0.47) | (0.07) | (0.84) | (0.08) | — |
| 12/31/2014 | $8.69 | 0.44 | (0.12) | 0.32 | — | — | — |
| 12/31/2013 | $10.46 | 0.49 | (0.04) | 0.45 | (1.34) | (0.59) | (0.29) |
| 12/31/2012 | $9.98 | 0.60 | 0.79 | 1.39 | (0.69) | (0.22) | — |
| Class 3 |
| 6/30/2017 (c) | $7.60 | 0.18 | 0.16 | 0.34 | (0.48) | — | — |
| 12/31/2016 | $8.10 | 0.38 | 0.43 | 0.81 | (0.92) | (0.39) | — |
| 12/31/2015 | $9.08 | 0.42 | (0.48) | (0.06) | (0.84) | (0.08) | — |
| 12/31/2014 | $8.75 | 0.45 | (0.12) | 0.33 | — | — | — |
| 12/31/2013 | $10.53 | 0.51 | (0.06) | 0.45 | (1.35) | (0.59) | (0.29) |
| 12/31/2012 | $10.04 | 0.62 | 0.79 | 1.41 | (0.70) | (0.22) | — |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| (0.49) | $7.42 | 4.58% | 0.77% (d) | 0.76% (d) | 4.86% (d) | 25% | $125,282 |
| (1.32) | $7.56 | 10.93% | 0.74% | 0.74% | 4.99% | 48% | $112,544 |
| (0.93) | $8.07 | (1.00%) | 0.73% | 0.72% | 4.85% | 52% | $328,741 |
| — | $9.06 | 4.02% | 0.71% | 0.71% | 5.04% | 59% | $843,225 |
| (2.26) | $8.71 | 5.09% | 0.72% | 0.71% | 5.59% | 56% | $808,379 |
| (0.93) | $10.51 | 14.97% | 0.71% | 0.71% | 6.16% | 68% | $755,648 |
| |
| (0.47) | $7.39 | 4.50% | 1.02% (d) | 1.01% (d) | 4.61% (d) | 25% | $35,910 |
| (1.30) | $7.52 | 10.80% | 0.98% | 0.98% | 4.72% | 48% | $33,095 |
| (0.92) | $8.02 | (1.21%) | 0.99% | 0.98% | 4.62% | 52% | $111,563 |
| — | $9.01 | 3.68% | 0.96% | 0.90% | 4.86% | 59% | $128,476 |
| (2.22) | $8.69 | 5.01% | 0.97% | 0.78% | 5.54% | 56% | $139,973 |
| (0.91) | $10.46 | 14.72% | 0.96% | 0.96% | 5.86% | 68% | $9,657 |
| |
| (0.48) | $7.46 | 4.43% | 0.89% (d) | 0.89% (d) | 4.74% (d) | 25% | $215,596 |
| (1.31) | $7.60 | 10.86% | 0.87% | 0.87% | 4.86% | 48% | $224,303 |
| (0.92) | $8.10 | (1.02%) | 0.86% | 0.85% | 4.74% | 52% | $154,637 |
| — | $9.08 | 3.77% | 0.84% | 0.84% | 4.92% | 59% | $186,448 |
| (2.23) | $8.75 | 5.02% | 0.85% | 0.84% | 5.45% | 56% | $215,401 |
| (0.92) | $10.53 | 14.80% | 0.84% | 0.83% | 6.01% | 68% | $262,909 |
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017
| 21 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Income Opportunities Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers Class 1, Class 2 and Class 3 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Fund directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to the Fund. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Debt securities generally are valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized cost value, unless this method results in a valuation that management believes does not approximate market value.
Senior loan securities for which reliable market quotations are readily available are generally valued by pricing services at the average of the bids received.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
Futures and options on futures contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of transactions, at the mean of the latest quoted bid and ask prices.
| 22 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Swap transactions are valued through an independent pricing service or broker, or if neither is available, through an internal model based upon observable inputs.
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Derivative instruments
The Fund invests in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract; therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017
| 23 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In addition to considering counterparty credit risk, the Fund would consider terminating the derivatives contracts based on whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage the duration and yield curve exposure of the Fund versus the benchmark and to manage exposure to movements in interest rates. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Swap contracts
Swap contracts are negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (centrally cleared swap contract). In a centrally cleared swap contract, immediately following execution of the swap contract with a broker, the swap contract is novated to a central counterparty (the CCP) and the CCP becomes the Fund’s counterparty to the centrally cleared swap contract. The Fund is required to deposit initial margin with the futures commission merchant (FCM), which pledges it through to the CCP in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap contract. Securities deposited as initial margin are designated in the Portfolio of Investments and cash deposited is recorded in the Statement of Assets and Liabilities as margin deposits. Unlike a bilateral swap contract, for centrally cleared swap contracts, the Fund has minimal credit exposure to the FCM because the CCP stands between the Fund and the relevant buyer/seller on the other side of the contract. Swap contracts are
| 24 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swap contracts, if any, is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities.
Entering into these contracts involves, to varying degrees, elements of interest, liquidity and counterparty credit risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there may be unfavorable changes in interest rates, market conditions or other conditions, it may be difficult to initiate a swap transaction or liquidate a position at an advantageous time or price which may result in significant losses, and that the FCM or CCP may not fulfill its obligation under the contract.
Credit default swap contracts
The Fund entered into credit default swap contracts to manage cash. These instruments may be used for other purposes in future periods. Credit default swap contracts are agreements in which one party pays fixed periodic payments to a counterparty in consideration for an agreement from the counterparty to make a specific payment should a specified credit event(s) take place. Although specified credit events are contract specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium.
As the purchaser of a credit default swap contract, the Fund purchases protection by paying a periodic interest rate on the notional amount to the counterparty. The interest amount is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as a realized loss upon payment. If a credit event as specified in the contract occurs, the Fund may have the option either to deliver the reference obligation to the seller in exchange for a cash payment of its par amount, or to receive a net cash settlement equal to the par amount less an agreed-upon value of the reference obligation as of the date of the credit event. The difference between the value of the obligation or cash delivered and the notional amount received will be recorded as a realized gain (loss).
As the seller of a credit default swap contract, the Fund sells protection to a buyer and will generally receive a periodic interest rate on a notional amount. The interest amount is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as a realized gain upon receipt of the payment. If a credit event as specified in the contract with the counterparty occurs, the Fund may either be required to accept the reference obligation from the buyer in exchange for a cash payment of its notional amount, or to pay the buyer a net cash settlement equal to the notional amount less an agreed-upon value of the reference obligation (recovery value) as of the date of the credit event. The difference between the value of the obligation or cash received and the notional amount paid will be recorded as a realized gain (loss). The maximum potential amount of undiscounted future payments the Fund could be required to make as the seller of protection under a credit default swap contract is equal to the notional amount of the reference obligation. These potential amounts may be partially offset by any recovery values of the respective reference obligations or premiums received upon entering into the agreement. The notional amounts and market values of all credit default swap contracts in which the Fund is the seller of protection, if any, are disclosed in the Credit Default Swap Contracts Outstanding schedule following the Portfolio of Investments.
As a protection seller, the Fund bears the risk of loss from the credit events specified in the contract with the counterparty. For credit default swap contracts on credit indices, quoted market prices and resulting market values serve as an indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.
Any premium paid or received by the Fund upon entering into a credit default swap contract is recorded as an asset or liability, respectively, and amortized daily as a component of realized gain (loss) in the Statement of Operations. Credit default swap contracts are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time a realized gain (loss) is recorded.
Credit default swap contracts can involve greater risks than if a fund had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to counterparty credit risk, leverage risk, hedging risk, correlation risk and liquidity risk.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017
| 25 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Credit risk | Net assets — unrealized appreciation on swap contracts | 33,254* |
| Interest rate risk | Net assets — unrealized appreciation on futures contracts | 31,576* |
| Total | | 64,830 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | (9,774) | (9,774) |
| Interest rate risk | (350,500) | — | (350,500) |
| Total | (350,500) | (9,774) | (360,274) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | 33,254 | 33,254 |
| Interest rate risk | (57,605) | — | (57,605) |
| Total | (57,605) | 33,254 | (24,351) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — short | 18,176,641 |
| Credit default swap contracts — sell protection | 5,000,000 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2017. |
Investments in senior loans
The Fund may invest in senior loan assignments. When the Fund purchases an assignment of a senior loan, the Fund typically has direct rights against the borrower; provided, however, that the Fund’s rights may be more limited than the lender from which it acquired the assignment and the Fund may be able to enforce its rights only through an administrative agent. Although certain senior loan assignments are secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor. In the event that the administrator or collateral agent of a loan becomes insolvent or enters into receivership or bankruptcy, the Fund may incur
| 26 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
costs and delays in realizing payment or may suffer a loss of principal and/or interest. The risk of loss is greater for unsecured or subordinated loans. In addition, senior loan assignments are vulnerable to market, economic or other conditions or events that may reduce the demand for senior loan assignments and certain senior loan assignments which were liquid when purchased, may become illiquid.
The Fund may enter into senior loan assignments where all or a portion of the loan may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments are generally traded and priced in the same manner as other senior loan securities and are disclosed as unfunded senior loan commitments in the Fund’s Portfolio of Investments with a corresponding payable for investments purchased. The Fund designates cash or liquid securities to cover these commitments.
Delayed delivery securities
The Fund may trade securities on other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
Offsetting of assets and liabilities
The following table presents the Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of June 30, 2017:
| | Morgan
Stanley
($) |
| Assets | |
| Centrally cleared credit default swap contracts (a) | 27,940 |
| Total financial and derivative net assets | 27,940 |
| Total collateral received (pledged) (b) | - |
| Net amount (c) | 27,940 |
| (a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
| (b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (c) | Represents the net amount due from/(to) counterparties in the event of default. |
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
The trade date for senior loans purchased in the primary market is the date on which the loan is allocated. The trade date for senior loans purchased in the secondary market is the date on which the transaction is entered into.
Income recognition
Interest income is recorded on an accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted.
The Fund may place a debt security on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Corporate actions and dividend income are recorded on the ex-dividend date.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017
| 27 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds, other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information on the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by the Fund’s management. Management’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities, the proceeds are recorded as realized gains.
The value of additional securities received as an income payment is recorded as income and increases the cost basis of such securities.
The Fund may receive other income from senior loans, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income in the Statement of Operations.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its taxable income, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, because the Fund meets the exception under Internal Revenue Code Section 4982(f), the Fund expects not to be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Distributions to subaccounts
Distributions to the subaccounts of Contracts, Qualified Plans and Qualified Investors are recorded at the close of business on the record date and are payable on the first business day following the record date. Dividends from net investment income, if any, are declared and distributed annually. Capital gains distributions, when available, will be made annually. However, an additional capital gain distribution may be made during the fiscal year in order to comply with the Internal Revenue Code, as applicable to registered investment companies. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. All dividends and distributions are reinvested in additional shares of the applicable share class of the Fund at the net asset value as of the ex-dividend date of the distribution.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
| 28 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.66% to 0.40% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2017 was 0.66% of the Fund’s average daily net assets.
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017
| 29 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of the Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, the Fund no longer pays a transfer agency fee.
Distribution fees
The Fund has an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, the Fund pays a fee at an annual rate of up to 0.25% of the Fund’s average daily net assets attributable to Class 2 shares and an annual rate of up to 0.125% of the Fund’s average daily net assets attributable to Class 3 shares. The Fund pays no distribution and service fees for Class 1 shares.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | Fee rates contractual
through
April 30, 2018 |
| Class 1 | 0.76% |
| Class 2 | 1.01 |
| Class 3 | 0.885 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At June 30, 2017, the approximate cost of investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($) | Gross unrealized
appreciation ($) | Gross unrealized
(depreciation) ($) | Net unrealized
appreciation ($) |
| 362,793,000 | 15,824,000 | (4,833,000) | 10,991,000 |
The following capital loss carryforwards, determined at December 31, 2016, may be available to reduce taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. Capital loss carryforwards with no expiration are required to be utilized prior to any capital losses which carry an expiration date. As a result of this ordering rule, capital loss carryforwards which carry an expiration date may be more likely to expire unused.
| 30 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
| 2017 ($) | 2018 ($) | 2019 ($) | No expiration
short-term ($) | No expiration
long-term ($) | Total ($) |
| — | — | — | 2,925,994 | 6,030,429 | 8,956,423 |
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $89,410,932 and $112,809,034, respectively, for the six months ended June 30, 2017. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
Note 8. Significant risks
Credit risk
Credit risk is the risk that the value of debt securities in the Fund’s portfolio may decline because the issuer may default and fail to pay interest or repay principal when due. Rating agencies assign credit ratings to debt securities to indicate their credit risk. Lower rated or unrated debt securities held by the Fund may present increased credit risk as compared to higher-rated debt securities.
High-yield investments risk
Securities and other debt instruments held by the Fund that are rated below investment grade (commonly called "high-yield" or "junk" bonds) and unrated debt instruments of comparable quality expose the Fund to a greater risk of loss of principal and income than a fund that invests solely or primarily in investment grade securities. In addition, these investments have
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017
| 31 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
greater price fluctuations, are less liquid and are more likely to experience a default than higher-rated debt instruments. High-yield debt instruments are considered to be predominantly speculative with respect to the issuer’s capacity to pay interest and repay principal.
Interest rate risk
Interest rate risk is the risk of losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise. Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates.
Liquidity risk
Liquidity risk is the risk associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another, more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Shareholder concentration risk
At June 30, 2017, affiliated shareholders of record owned 91.7% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 9. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Note 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
| 32 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio – Income Opportunities Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as their history, reputation, expertise, resources and capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, the relatively recent change in the leadership of equity department oversight, and the various technological enhancements that had been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017
| 33 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed that the Fund’s investment performance was understandable in light of the particular management style involved and the particular market environment.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by Columbia Threadneedle and discussed differences in how the products are managed and operated, noting no unreasonable differences in the levels of contractual management fees.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was somewhat higher than the median ratio, but lower than the 60th percentile of the Fund’s peer universe. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
| 34 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as the Fund grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017
| 35 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
| 36 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2017 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – Income Opportunities Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio – Core Equity Fund
This Fund is closed to new investors.
Please remember that you may not buy (nor will you own) shares of the Fund directly. You invest by owning RiverSource Variable Annuity Fund A or RiverSource Variable Annuity Fund B and allocating your purchase payments to the variable account that invests in the Fund. Please contact your financial advisor or insurance representative for more information.
Not FDIC Insured • No bank guarantee • May lose value
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017
Fund at a Glance
(Unaudited)
Investment objective
Columbia Variable Portfolio – Core Equity Fund (the Fund) seeks to provide shareholders with long-term growth of capital.
Portfolio management
Brian Condon, CFA
Co-manager
Managed Fund since 2010
Peter Albanese
Co-manager
Managed Fund since 2014
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Columbia Variable Portfolio - Core Equity Fund | 09/10/04 | 9.27 | 17.83 | 14.58 | 6.77 |
| S&P 500 Index | | 9.34 | 17.90 | 14.63 | 7.18 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The S&P 500 Index, an unmanaged index, measures the performance of 500 widely held, large-capitalization U.S. stocks and is frequently used as a general measure of market performance.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at June 30, 2017) |
| Microsoft Corp. | 3.9 |
| JPMorgan Chase & Co. | 3.2 |
| Facebook, Inc., Class A | 3.2 |
| Bank of America Corp. | 2.8 |
| Apple, Inc. | 2.8 |
| Pfizer, Inc. | 2.6 |
| Merck & Co., Inc. | 2.5 |
| Boeing Co. (The) | 2.4 |
| AT&T, Inc. | 2.4 |
| Cisco Systems, Inc. | 2.3 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 99.2 |
| Money Market Funds | 0.8 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 12.0 |
| Consumer Staples | 9.5 |
| Energy | 6.1 |
| Financials | 14.2 |
| Health Care | 14.8 |
| Industrials | 9.9 |
| Information Technology | 22.5 |
| Materials | 2.6 |
| Real Estate | 2.7 |
| Telecommunication Services | 2.4 |
| Utilities | 3.3 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract (Contract). The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| | 1,000.00 | 1,000.00 | 1,092.70 | 1,022.94 | 2.09 | 2.02 | 0.40 |
Expenses paid during the period are equal to the annualized expense ratio as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
| 4 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017 |
Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 99.3% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 11.9% |
| Diversified Consumer Services 0.2% |
| H&R Block, Inc. | 10,900 | 336,919 |
| Hotels, Restaurants & Leisure 2.1% |
| Darden Restaurants, Inc. | 41,800 | 3,780,392 |
| Hilton Worldwide Holdings, Inc. | 6,100 | 377,285 |
| Total | | 4,157,677 |
| Household Durables 0.2% |
| Newell Brands, Inc. | 7,200 | 386,064 |
| Internet & Direct Marketing Retail 0.5% |
| Amazon.com, Inc.(a) | 1,000 | 968,000 |
| Leisure Products 0.5% |
| Hasbro, Inc. | 9,300 | 1,037,043 |
| Media 2.8% |
| Comcast Corp., Class A | 101,210 | 3,939,093 |
| News Corp., Class A | 106,200 | 1,454,940 |
| Total | | 5,394,033 |
| Multiline Retail 0.6% |
| Kohl’s Corp. | 32,900 | 1,272,243 |
| Specialty Retail 5.0% |
| Best Buy Co., Inc. | 64,300 | 3,686,319 |
| Ross Stores, Inc. | 53,300 | 3,077,009 |
| TJX Companies, Inc. (The) | 40,800 | 2,944,536 |
| Total | | 9,707,864 |
| Total Consumer Discretionary | 23,259,843 |
| Consumer Staples 9.5% |
| Food & Staples Retailing 3.9% |
| CVS Health Corp. | 10,700 | 860,922 |
| SYSCO Corp. | 52,300 | 2,632,259 |
| Wal-Mart Stores, Inc. | 56,200 | 4,253,216 |
| Total | | 7,746,397 |
| Food Products 1.8% |
| Tyson Foods, Inc., Class A | 55,100 | 3,450,913 |
| Household Products 0.5% |
| Procter & Gamble Co. (The) | 10,200 | 888,930 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Tobacco 3.3% |
| Altria Group, Inc. | 53,015 | 3,948,027 |
| Philip Morris International, Inc. | 21,400 | 2,513,430 |
| Total | | 6,461,457 |
| Total Consumer Staples | 18,547,697 |
| Energy 6.0% |
| Energy Equipment & Services 1.2% |
| Baker Hughes, Inc. | 45,500 | 2,480,205 |
| Oil, Gas & Consumable Fuels 4.8% |
| Chevron Corp.(b) | 17,445 | 1,820,037 |
| ConocoPhillips | 69,145 | 3,039,614 |
| Exxon Mobil Corp. | 2,005 | 161,864 |
| HollyFrontier Corp. | 16,200 | 445,014 |
| Marathon Petroleum Corp. | 3,600 | 188,388 |
| Valero Energy Corp. | 54,735 | 3,692,423 |
| Total | | 9,347,340 |
| Total Energy | 11,827,545 |
| Financials 14.1% |
| Banks 6.4% |
| Bank of America Corp. | 226,500 | 5,494,890 |
| Fifth Third Bancorp | 33,800 | 877,448 |
| JPMorgan Chase & Co. | 68,300 | 6,242,620 |
| Total | | 12,614,958 |
| Capital Markets 3.4% |
| CME Group, Inc. | 1,500 | 187,860 |
| Franklin Resources, Inc. | 10,900 | 488,211 |
| Morgan Stanley | 40,400 | 1,800,224 |
| S&P Global, Inc. | 26,900 | 3,927,131 |
| T. Rowe Price Group, Inc. | 2,400 | 178,104 |
| Total | | 6,581,530 |
| Consumer Finance 0.3% |
| Navient Corp. | 34,335 | 571,678 |
| Insurance 4.0% |
| Allstate Corp. (The) | 22,700 | 2,007,588 |
| Marsh & McLennan Companies, Inc. | 31,200 | 2,432,352 |
| Prudential Financial, Inc. | 31,200 | 3,373,968 |
| Total | | 7,813,908 |
| Total Financials | 27,582,074 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017
| 5 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Health Care 14.7% |
| Biotechnology 3.1% |
| Alexion Pharmaceuticals, Inc.(a) | 7,850 | 955,109 |
| Biogen, Inc.(a) | 4,375 | 1,187,200 |
| BioMarin Pharmaceutical, Inc.(a) | 5,250 | 476,805 |
| Celgene Corp.(a) | 13,300 | 1,727,271 |
| TESARO, Inc.(a) | 2,900 | 405,594 |
| Vertex Pharmaceuticals, Inc.(a) | 9,710 | 1,251,328 |
| Total | | 6,003,307 |
| Health Care Equipment & Supplies 2.1% |
| Baxter International, Inc. | 64,900 | 3,929,046 |
| Becton Dickinson and Co. | 1,000 | 195,110 |
| Total | | 4,124,156 |
| Health Care Providers & Services 2.5% |
| Centene Corp.(a) | 23,000 | 1,837,240 |
| Express Scripts Holding Co.(a) | 25,100 | 1,602,384 |
| McKesson Corp. | 9,200 | 1,513,768 |
| Total | | 4,953,392 |
| Pharmaceuticals 7.0% |
| Johnson & Johnson | 22,900 | 3,029,441 |
| Mallinckrodt PLC(a) | 18,200 | 815,542 |
| Merck & Co., Inc. | 75,000 | 4,806,750 |
| Pfizer, Inc. | 151,320 | 5,082,839 |
| Total | | 13,734,572 |
| Total Health Care | 28,815,427 |
| Industrials 9.9% |
| Aerospace & Defense 3.7% |
| Boeing Co. (The) | 23,700 | 4,686,675 |
| Lockheed Martin Corp. | 9,300 | 2,581,773 |
| Total | | 7,268,448 |
| Airlines 1.8% |
| Southwest Airlines Co. | 57,800 | 3,591,692 |
| Commercial Services & Supplies 0.2% |
| Waste Management, Inc. | 4,900 | 359,415 |
| Electrical Equipment 0.6% |
| Rockwell Automation, Inc. | 7,300 | 1,182,308 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Industrial Conglomerates 2.1% |
| Honeywell International, Inc. | 29,900 | 3,985,371 |
| Machinery 0.6% |
| Ingersoll-Rand PLC | 12,100 | 1,105,819 |
| Professional Services 0.5% |
| Nielsen Holdings PLC | 27,000 | 1,043,820 |
| Road & Rail 0.1% |
| Union Pacific Corp. | 2,100 | 228,711 |
| Trading Companies & Distributors 0.3% |
| WW Grainger, Inc. | 3,100 | 559,643 |
| Total Industrials | 19,325,227 |
| Information Technology 22.4% |
| Communications Equipment 2.9% |
| Cisco Systems, Inc. | 142,215 | 4,451,329 |
| F5 Networks, Inc.(a) | 9,500 | 1,207,070 |
| Total | | 5,658,399 |
| Internet Software & Services 5.9% |
| Alphabet, Inc., Class A(a) | 2,315 | 2,152,209 |
| Facebook, Inc., Class A(a) | 40,600 | 6,129,788 |
| VeriSign, Inc.(a) | 35,805 | 3,328,433 |
| Total | | 11,610,430 |
| IT Services 1.9% |
| MasterCard, Inc., Class A | 30,650 | 3,722,443 |
| Semiconductors & Semiconductor Equipment 2.4% |
| Applied Materials, Inc. | 4,600 | 190,026 |
| Broadcom Ltd. | 15,700 | 3,658,885 |
| Intel Corp. | 26,700 | 900,858 |
| Total | | 4,749,769 |
| Software 6.3% |
| Adobe Systems, Inc.(a) | 12,300 | 1,739,712 |
| Electronic Arts, Inc.(a) | 28,700 | 3,034,164 |
| Microsoft Corp. | 109,130 | 7,522,331 |
| Total | | 12,296,207 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Technology Hardware, Storage & Peripherals 3.0% |
| Apple, Inc. | 37,270 | 5,367,625 |
| HP, Inc. | 26,400 | 461,472 |
| Total | | 5,829,097 |
| Total Information Technology | 43,866,345 |
| Materials 2.5% |
| Chemicals 1.8% |
| LyondellBasell Industries NV, Class A | 41,500 | 3,502,185 |
| Containers & Packaging 0.3% |
| International Paper Co. | 12,400 | 701,964 |
| Metals & Mining 0.4% |
| Newmont Mining Corp. | 24,500 | 793,555 |
| Total Materials | 4,997,704 |
| Real Estate 2.7% |
| Equity Real Estate Investment Trusts (REITS) 2.7% |
| American Tower Corp. | 28,500 | 3,771,120 |
| Host Hotels & Resorts, Inc. | 56,500 | 1,032,255 |
| SL Green Realty Corp. | 4,200 | 444,360 |
| Total | | 5,247,735 |
| Total Real Estate | 5,247,735 |
| Telecommunication Services 2.3% |
| Diversified Telecommunication Services 2.3% |
| AT&T, Inc. | 121,700 | 4,591,741 |
| Total Telecommunication Services | 4,591,741 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Utilities 3.3% |
| Electric Utilities 1.6% |
| Entergy Corp. | 41,200 | 3,162,924 |
| Multi-Utilities 1.7% |
| Ameren Corp. | 15,800 | 863,786 |
| CenterPoint Energy, Inc. | 89,400 | 2,447,772 |
| Total | | 3,311,558 |
| Total Utilities | 6,474,482 |
Total Common Stocks
(Cost $163,865,307) | 194,535,820 |
|
| Money Market Funds 0.8% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(c),(d) | 1,617,176 | 1,617,176 |
Total Money Market Funds
(Cost $1,617,161) | 1,617,176 |
Total Investments
(Cost: $165,482,468) | 196,152,996 |
| Other Assets & Liabilities, Net | | (215,351) |
| Net Assets | 195,937,645 |
At June 30, 2017, securities and/or cash totaling $125,196 were pledged as collateral.
Investments in derivatives
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| S&P 500 E-mini | 15 | USD | 1,815,675 | 09/2017 | — | (4,162) |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (c) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017
| 7 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| (d) | As defined in the Investment Company Act of 1940, 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. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 1,038,248 | 10,254,304 | (9,675,376) | 1,617,176 | (134) | 5,949 | 1,617,176 |
Currency Legend
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 23,259,843 | — | — | — | 23,259,843 |
| Consumer Staples | 18,547,697 | — | — | — | 18,547,697 |
| Energy | 11,827,545 | — | — | — | 11,827,545 |
| Financials | 27,582,074 | — | — | — | 27,582,074 |
| Health Care | 28,815,427 | — | — | — | 28,815,427 |
| Industrials | 19,325,227 | — | — | — | 19,325,227 |
| Information Technology | 43,866,345 | — | — | — | 43,866,345 |
| Materials | 4,997,704 | — | — | — | 4,997,704 |
| Real Estate | 5,247,735 | — | — | — | 5,247,735 |
| Telecommunication Services | 4,591,741 | — | — | — | 4,591,741 |
| Utilities | 6,474,482 | — | — | — | 6,474,482 |
| Total Common Stocks | 194,535,820 | — | — | — | 194,535,820 |
| Money Market Funds | — | — | — | 1,617,176 | 1,617,176 |
| Total Investments | 194,535,820 | — | — | 1,617,176 | 196,152,996 |
| Derivatives | | | | | |
| Liability | | | | | |
| Futures Contracts | (4,162) | — | — | — | (4,162) |
| Total | 194,531,658 | — | — | 1,617,176 | 196,148,834 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
Derivative instruments are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017
| 9 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $163,865,307 |
| Affiliated issuers, at cost | 1,617,161 |
| Total investments, at cost | 165,482,468 |
| Investments, at value | |
| Unaffiliated issuers, at value | 194,535,820 |
| Affiliated issuers, at value | 1,617,176 |
| Total investments, at value | 196,152,996 |
| Receivable for: | |
| Dividends | 197,506 |
| Foreign tax reclaims | 968 |
| Variation margin for futures contracts | 1,633 |
| Expense reimbursement due from Investment Manager | 16,440 |
| Total assets | 196,369,543 |
| Liabilities | |
| Due to custodian | 968 |
| Payable for: | |
| Capital shares purchased | 304,637 |
| Management services fees | 64,884 |
| Compensation of board members | 32,570 |
| Compensation of chief compliance officer | 22 |
| Other expenses | 28,817 |
| Total liabilities | 431,898 |
| Net assets applicable to outstanding capital stock | $195,937,645 |
| Represented by | |
| Trust capital | $195,937,645 |
| Total - representing net assets applicable to outstanding capital stock | $195,937,645 |
| Shares outstanding | 10,938,305 |
| Net asset value per share | 17.91 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $2,196,803 |
| Dividends — affiliated issuers | 5,949 |
| Total income | 2,202,752 |
| Expenses: | |
| Management services fees | 389,362 |
| Compensation of board members | 8,493 |
| Custodian fees | 11,854 |
| Printing and postage fees | 13,553 |
| Audit fees | 13,522 |
| Legal fees | 3,807 |
| Compensation of chief compliance officer | 21 |
| Other | 4,132 |
| Total expenses | 444,744 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (55,313) |
| Total net expenses | 389,431 |
| Net investment income | 1,813,321 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 8,703,474 |
| Investments — affiliated issuers | (134) |
| Futures contracts | 139,479 |
| Net realized gain | 8,842,819 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 6,680,647 |
| Investments — affiliated issuers | 42 |
| Futures contracts | 2,525 |
| Net change in unrealized appreciation (depreciation) | 6,683,214 |
| Net realized and unrealized gain | 15,526,033 |
| Net increase in net assets resulting from operations | $17,339,354 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017
| 11 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment income | $1,813,321 | $3,820,825 |
| Net realized gain | 8,842,819 | 8,113,878 |
| Net change in unrealized appreciation (depreciation) | 6,683,214 | 3,174,177 |
| Net increase in net assets resulting from operations | 17,339,354 | 15,108,880 |
| Decrease in net assets from capital stock activity | (12,414,682) | (23,762,967) |
| Total increase (decrease) in net assets | 4,924,672 | (8,654,087) |
| Net assets at beginning of period | 191,012,973 | 199,667,060 |
| Net assets at end of period | $195,937,645 | $191,012,973 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| | | | | |
| Subscriptions | 7,451 | 124,465 | 107,551 | 1,636,790 |
| Redemptions | (725,745) | (12,539,147) | (1,655,850) | (25,399,757) |
| Total net decrease | (718,294) | (12,414,682) | (1,548,299) | (23,762,967) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017
| 13 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended December 31, |
| 2016 | 2015 | 2014 | 2013 | 2012 |
| Per share data | | | | | | |
| Net asset value, beginning of period | $16.39 | $15.12 | $14.90 | $12.87 | $9.57 | $8.19 |
| Income from investment operations: | | | | | | |
| Net investment income | 0.16 | 0.31 | 0.29 | 0.24 | 0.21 | 0.18 |
| Net realized and unrealized gain (loss) | 1.36 | 0.96 | (0.07) | 1.79 | 3.09 | 1.20 |
| Total from investment operations | 1.52 | 1.27 | 0.22 | 2.03 | 3.30 | 1.38 |
| Net asset value, end of period | $17.91 | $16.39 | $15.12 | $14.90 | $12.87 | $9.57 |
| Total return | 9.27% | 8.40% | 1.48% | 15.77% | 34.48% | 16.85% |
| Ratios to average net assets | | | | | | |
| Total gross expenses(a) | 0.46% (b) | 0.45% | 0.44% | 0.45% | 0.44% | 0.46% |
| Total net expenses(a),(c) | 0.40% (b) | 0.40% | 0.40% | 0.40% | 0.40% | 0.40% |
| Net investment income | 1.86% (b) | 2.01% | 1.89% | 1.77% | 1.84% | 1.98% |
| Supplemental data | | | | | | |
| Portfolio turnover | 34% | 76% | 78% | 75% | 68% | 79% |
| Net assets, end of period (in thousands) | $195,938 | $191,013 | $199,667 | $221,714 | $213,918 | $180,866 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Annualized. |
| (c) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Core Equity Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). You may not buy (nor will you own) shares of the Fund directly. You invest by owning RiverSource Variable Annuity Fund A or RiverSource Variable Annuity Fund B, issued by RiverSource Life Insurance Company (Participating Insurance Companies), and allocating your purchase payments to the variable account that invests in the Fund. Refer to your variable annuity contract prospectus for information regarding the investment options available to you. The Fund is closed to new investors.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are generally determined at 4:00 p.m. Eastern (U.S.) time. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees, including, if available, utilizing a third party pricing service to determine these fair values. The third party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
Futures and options on futures contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of transactions, at the mean of the latest quoted bid and ask prices.
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017
| 15 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Derivative instruments
The Fund invests in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract; therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its
| 16 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In addition to considering counterparty credit risk, the Fund would consider terminating the derivatives contracts based on whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to maintain appropriate equity market exposure while keeping sufficient cash to accommodate daily redemptions. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital - unrealized depreciation on futures | 4,162* |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017
| 17 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Equity risk | 139,479 |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Equity risk | 2,525 |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 2,028,458 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2017. |
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds, other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information on the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by the Fund’s management. Management’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities, the proceeds are recorded as realized gains.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund.
Federal income tax status
The Fund is a disregarded entity for federal income tax purposes and does not expect to make regular distributions to shareholders. The Fund will not be subject to federal income tax, and therefore, there is no provision for federal income taxes. The shareholder is subject to tax on its distributive share of the Fund’s income and losses. The components of the Fund’s net assets are reported at the shareholder level for tax purposes, and therefore, are not presented in the Statement of Assets and Liabilities.
| 18 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to 0.40% of the Fund’s daily net assets.
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017
| 19 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The Fund did not pay an annual fee to the Transfer Agent.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below as well as any reorganization costs allocated to the Fund) indefinitely, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the annual rate of 0.40% of the Fund’s average daily net assets.
Under the agreement governing this fee waiver and/or expense reimbursement arrangement, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $66,365,043 and $77,337,406, respectively, for the six months ended June 30, 2017. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 5. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 6. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is
| 20 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
Note 7. Significant risks
Shareholder concentration risk
At June 30, 2017, affiliated shareholders of record owned 100.0% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Technology and technology-related investment risk
The Fund may be more susceptible to the particular risks that may affect companies in the information technology sector, as well as other technology-related sectors (collectively, the technology sectors) than if it were invested in a wider variety of companies in unrelated sectors. Companies in the technology sectors are subject to certain risks, including the risk that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete. Performance of such companies may be affected by factors including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for market share and short product cycles due to an accelerated rate of technological developments. Such competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their securities may fall or fail to rise. In addition, many technology sector companies have limited operating histories and prices of these companies’ securities historically have been more volatile than other securities, especially over the short term.
Note 8. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Note 9. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017
| 21 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio – Core Equity Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as their history, reputation, expertise, resources and capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, the relatively recent change in the leadership of equity department oversight, and the various technological enhancements that had been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
| 22 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed certain periods of underperformance, but noted that longer term performance has met expectations.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017
| 23 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board observed that the Fund is closed to new investors. The Board also considered that the Management Agreement provides for a unified asset-based fee and requires Columbia Threadneedle to provide investment research and advice, as well as administrative, accounting and other services.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
| 24 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2017
| 25 |
Columbia Variable Portfolio – Core Equity Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio – Mid Cap Value Fund
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 Insured • No bank guarantee • May lose value
Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017
Fund at a Glance
(Unaudited)
Investment objective
Columbia Variable Portfolio – Mid Cap Value Fund (the Fund) seeks to provide shareholders with long-term growth of capital.
Portfolio management
David Hoffman
Co-lead portfolio manager
Managed Fund since 2013
Diane Sobin, CFA
Co-lead portfolio manager
Managed Fund since 2013
Jonas Patrikson, CFA
Co-portfolio manager
Managed Fund since 2014
Nicolas Janvier, CFA
Co-portfolio manager
Managed Fund since 2015
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 * | 05/03/10 | 5.45 | 15.11 | 14.35 | 5.74 |
| Class 2 * | 05/03/10 | 5.27 | 14.75 | 14.10 | 5.53 |
| Class 3 | 05/02/05 | 5.33 | 14.94 | 14.23 | 5.65 |
| Russell Midcap Value Index | | 5.18 | 15.93 | 15.14 | 7.23 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit investor.columbiathreadneedleus.com/investment-products/variable-products/appended-performance for more information. |
The Russell Midcap Value Index measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. The stocks are also members of the Russell 1000 Value Index.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at June 30, 2017) |
| iShares Russell Mid-Cap Value ETF | 4.1 |
| Fifth Third Bancorp | 2.5 |
| Hartford Financial Services Group, Inc. (The) | 2.3 |
| Edison International | 2.2 |
| M&T Bank Corp. | 2.1 |
| Lincoln National Corp. | 2.0 |
| Pinnacle West Capital Corp. | 1.9 |
| Zimmer Biomet Holdings, Inc. | 1.8 |
| SunTrust Banks, Inc. | 1.8 |
| E*TRADE Financial Corp. | 1.7 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 91.5 |
| Convertible Preferred Stocks | 0.7 |
| Exchange-Traded Funds | 3.9 |
| Money Market Funds | 3.9 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 11.2 |
| Consumer Staples | 4.0 |
| Energy | 9.7 |
| Financials | 20.2 |
| Health Care | 5.6 |
| Industrials | 12.6 |
| Information Technology | 8.8 |
| Materials | 5.8 |
| Real Estate | 12.5 |
| Utilities | 9.6 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Class 1 | 1,000.00 | 1,000.00 | 1,054.50 | 1,020.54 | 4.51 | 4.43 | 0.88 |
| Class 2 | 1,000.00 | 1,000.00 | 1,052.70 | 1,019.30 | 5.78 | 5.69 | 1.13 |
| Class 3 | 1,000.00 | 1,000.00 | 1,053.30 | 1,019.90 | 5.17 | 5.09 | 1.01 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
| 4 | Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017 |
Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 90.5% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 10.3% |
| Auto Components 0.8% |
| Gentex Corp. | 124,550 | 2,362,713 |
| Diversified Consumer Services 0.7% |
| Houghton Mifflin Harcourt Co.(a) | 157,141 | 1,932,834 |
| Hotels, Restaurants & Leisure 4.1% |
| Aramark | 104,600 | 4,286,508 |
| Extended Stay America, Inc. | 152,556 | 2,953,484 |
| Jack in the Box, Inc. | 9,919 | 977,021 |
| Royal Caribbean Cruises Ltd. | 33,385 | 3,646,644 |
| Total | | 11,863,657 |
| Household Durables 1.5% |
| D.R. Horton, Inc. | 128,105 | 4,428,590 |
| Internet & Direct Marketing Retail 0.8% |
| Liberty Interactive Corp., Class A(a) | 89,400 | 2,193,876 |
| Media 0.7% |
| DISH Network Corp., Class A(a) | 31,700 | 1,989,492 |
| Specialty Retail 0.8% |
| Burlington Stores, Inc.(a) | 23,550 | 2,166,365 |
| Textiles, Apparel & Luxury Goods 0.9% |
| PVH Corp. | 22,280 | 2,551,060 |
| Total Consumer Discretionary | 29,488,587 |
| Consumer Staples 3.7% |
| Beverages 0.6% |
| Coca-Cola European Partners PLC | 40,825 | 1,660,353 |
| Food Products 3.1% |
| Hershey Co. (The) | 29,475 | 3,164,730 |
| JM Smucker Co. (The) | 22,757 | 2,692,836 |
| Lamb Weston Holdings, Inc. | 68,425 | 3,013,437 |
| Total | | 8,871,003 |
| Total Consumer Staples | 10,531,356 |
| Energy 8.1% |
| Energy Equipment & Services 2.4% |
| Baker Hughes, Inc. | 61,125 | 3,331,924 |
| Patterson-UTI Energy, Inc. | 129,390 | 2,612,384 |
| Weatherford International PLC(a) | 205,100 | 793,737 |
| Total | | 6,738,045 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Oil, Gas & Consumable Fuels 5.7% |
| Cimarex Energy Co. | 28,750 | 2,702,788 |
| Marathon Petroleum Corp. | 76,850 | 4,021,560 |
| Newfield Exploration Co.(a) | 103,720 | 2,951,871 |
| Noble Energy, Inc. | 149,063 | 4,218,483 |
| WPX Energy, Inc.(a) | 266,120 | 2,570,719 |
| Total | | 16,465,421 |
| Total Energy | 23,203,466 |
| Financials 18.4% |
| Banks 7.6% |
| Comerica, Inc. | 40,775 | 2,986,361 |
| Fifth Third Bancorp | 265,235 | 6,885,501 |
| First Republic Bank | 14,800 | 1,481,480 |
| M&T Bank Corp. | 35,091 | 5,682,987 |
| SunTrust Banks, Inc. | 85,550 | 4,852,396 |
| Total | | 21,888,725 |
| Capital Markets 3.3% |
| E*TRADE Financial Corp.(a) | 124,150 | 4,721,424 |
| Northern Trust Corp. | 47,650 | 4,632,057 |
| Total | | 9,353,481 |
| Consumer Finance 1.0% |
| Synchrony Financial | 100,079 | 2,984,356 |
| Insurance 6.5% |
| Allstate Corp. (The) | 48,550 | 4,293,762 |
| Athene Holding Ltd., Class A(a) | 24,358 | 1,208,400 |
| Cincinnati Financial Corp. | 20,605 | 1,492,832 |
| Hartford Financial Services Group, Inc. (The) | 121,452 | 6,384,732 |
| Lincoln National Corp. | 79,127 | 5,347,403 |
| Total | | 18,727,129 |
| Total Financials | 52,953,691 |
| Health Care 5.1% |
| Health Care Equipment & Supplies 2.7% |
| Teleflex, Inc. | 12,591 | 2,615,906 |
| Zimmer Biomet Holdings, Inc. | 39,169 | 5,029,300 |
| Total | | 7,645,206 |
| Health Care Providers & Services 0.8% |
| Envision Healthcare Corp.(a) | 37,500 | 2,350,125 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017
| 5 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Life Sciences Tools & Services 1.6% |
| PerkinElmer, Inc. | 43,700 | 2,977,718 |
| Pra Health Sciences, Inc.(a) | 23,325 | 1,749,608 |
| Total | | 4,727,326 |
| Total Health Care | 14,722,657 |
| Industrials 11.5% |
| Aerospace & Defense 0.8% |
| L-3 Communications Corp. | 13,275 | 2,217,987 |
| Airlines 2.2% |
| Southwest Airlines Co. | 29,250 | 1,817,595 |
| United Continental Holdings, Inc.(a) | 58,488 | 4,401,222 |
| Total | | 6,218,817 |
| Commercial Services & Supplies 1.4% |
| Republic Services, Inc. | 63,075 | 4,019,770 |
| Construction & Engineering 0.5% |
| Granite Construction, Inc. | 28,325 | 1,366,398 |
| Industrial Conglomerates 1.0% |
| Carlisle Companies, Inc. | 32,075 | 3,059,955 |
| Machinery 4.8% |
| Cummins, Inc. | 24,400 | 3,958,168 |
| Dover Corp. | 31,050 | 2,490,831 |
| Ingersoll-Rand PLC | 47,265 | 4,319,549 |
| Xylem, Inc. | 54,775 | 3,036,178 |
| Total | | 13,804,726 |
| Road & Rail 0.8% |
| Norfolk Southern Corp. | 18,275 | 2,224,067 |
| Total Industrials | 32,911,720 |
| Information Technology 8.0% |
| Communications Equipment 0.9% |
| Harris Corp. | 23,400 | 2,552,472 |
| Internet Software & Services 0.5% |
| Akamai Technologies, Inc.(a) | 28,575 | 1,423,321 |
| IT Services 2.5% |
| FleetCor Technologies, Inc.(a) | 14,025 | 2,022,545 |
| Leidos Holdings, Inc. | 43,100 | 2,227,839 |
| Total System Services, Inc. | 48,200 | 2,807,650 |
| Total | | 7,058,034 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Semiconductors & Semiconductor Equipment 1.9% |
| Micron Technology, Inc.(a) | 67,225 | 2,007,339 |
| NXP Semiconductors NV(a) | 18,025 | 1,972,836 |
| ON Semiconductor Corp.(a) | 106,425 | 1,494,207 |
| Total | | 5,474,382 |
| Software 0.5% |
| Nuance Communications, Inc.(a) | 88,425 | 1,539,479 |
| Technology Hardware, Storage & Peripherals 1.7% |
| Electronics for Imaging, Inc.(a) | 50,975 | 2,415,196 |
| Western Digital Corp. | 28,100 | 2,489,660 |
| Total | | 4,904,856 |
| Total Information Technology | 22,952,544 |
| Materials 5.3% |
| Chemicals 2.4% |
| Ashland Global Holdings, Inc. | 33,260 | 2,192,166 |
| PPG Industries, Inc. | 19,405 | 2,133,774 |
| Valvoline, Inc. | 33,935 | 804,938 |
| Westlake Chemical Corp. | 25,075 | 1,660,216 |
| Total | | 6,791,094 |
| Construction Materials 0.5% |
| Summit Materials, Inc., Class A(a) | 52,610 | 1,518,851 |
| Containers & Packaging 0.9% |
| Packaging Corp. of America | 23,025 | 2,564,755 |
| Metals & Mining 1.5% |
| Steel Dynamics, Inc. | 122,825 | 4,398,363 |
| Total Materials | 15,273,063 |
| Real Estate 11.4% |
| Equity Real Estate Investment Trusts (REITS) 11.4% |
| American Homes 4 Rent, Class A | 160,875 | 3,630,949 |
| Camden Property Trust | 35,050 | 2,997,126 |
| Outfront Media, Inc. | 75,101 | 1,736,335 |
| ProLogis, Inc. | 74,025 | 4,340,826 |
| SBA Communications Corp(a) | 24,625 | 3,321,912 |
| SL Green Realty Corp. | 38,575 | 4,081,235 |
| Taubman Centers, Inc. | 39,075 | 2,326,916 |
| Uniti Group, Inc. | 155,895 | 3,919,200 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| VEREIT, Inc. | 229,825 | 1,870,776 |
| Welltower, Inc. | 60,300 | 4,513,455 |
| Total | | 32,738,730 |
| Total Real Estate | 32,738,730 |
| Utilities 8.7% |
| Electric Utilities 6.4% |
| Edison International | 77,050 | 6,024,540 |
| Pinnacle West Capital Corp. | 61,075 | 5,201,147 |
| Portland General Electric Co. | 90,425 | 4,131,518 |
| Westar Energy, Inc. | 55,300 | 2,932,006 |
| Total | | 18,289,211 |
| Multi-Utilities 2.3% |
| CMS Energy Corp. | 83,950 | 3,882,687 |
| WEC Energy Group, Inc. | 47,125 | 2,892,533 |
| Total | | 6,775,220 |
| Total Utilities | 25,064,431 |
Total Common Stocks
(Cost $225,773,455) | 259,840,245 |
| Convertible Preferred Stocks 0.7% |
| Issuer | Coupon
Rate | Shares | Value ($) |
| Energy 0.7% |
| Oil, Gas & Consumable Fuels 0.7% |
| Hess Corp. | 8.000% | 37,966 | 2,111,669 |
| Total Energy | 2,111,669 |
Total Convertible Preferred Stocks
(Cost $2,312,451) | 2,111,669 |
| Exchange-Traded Funds 3.9% |
| | Shares | Value ($) |
| iShares Russell Mid-Cap Value ETF | 131,537 | 11,060,946 |
Total Exchange-Traded Funds
(Cost $10,988,804) | 11,060,946 |
|
| Money Market Funds 3.9% |
| | |
| Columbia Short-Term Cash Fund, 1.033%(b),(c) | 11,070,452 | 11,070,452 |
Total Money Market Funds
(Cost $11,070,270) | 11,070,452 |
Total Investments
(Cost: $250,144,980) | 284,083,312 |
| Other Assets & Liabilities, Net | | 2,936,095 |
| Net Assets | 287,019,407 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 10,015,812 | 33,689,076 | (32,634,436) | 11,070,452 | 29 | 47,496 | 11,070,452 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017
| 7 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 29,488,587 | — | — | — | 29,488,587 |
| Consumer Staples | 10,531,356 | — | — | — | 10,531,356 |
| Energy | 23,203,466 | — | — | — | 23,203,466 |
| Financials | 52,953,691 | — | — | — | 52,953,691 |
| Health Care | 14,722,657 | — | — | — | 14,722,657 |
| Industrials | 32,911,720 | — | — | — | 32,911,720 |
| Information Technology | 22,952,544 | — | — | — | 22,952,544 |
| Materials | 15,273,063 | — | — | — | 15,273,063 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Real Estate | 32,738,730 | — | — | — | 32,738,730 |
| Utilities | 25,064,431 | — | — | — | 25,064,431 |
| Total Common Stocks | 259,840,245 | — | — | — | 259,840,245 |
| Convertible Preferred Stocks | | | | | |
| Energy | 2,111,669 | — | — | — | 2,111,669 |
| Exchange-Traded Funds | 11,060,946 | — | — | — | 11,060,946 |
| Money Market Funds | — | — | — | 11,070,452 | 11,070,452 |
| Total Investments | 273,012,860 | — | — | 11,070,452 | 284,083,312 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017
| 9 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $239,074,710 |
| Affiliated issuers, at cost | 11,070,270 |
| Total investments, at cost | 250,144,980 |
| Investments, at value | |
| Unaffiliated issuers, at value | 273,012,860 |
| Affiliated issuers, at value | 11,070,452 |
| Total investments, at value | 284,083,312 |
| Receivable for: | |
| Investments sold | 7,450,411 |
| Capital shares sold | 65,723 |
| Dividends | 516,825 |
| Expense reimbursement due from Investment Manager | 17,146 |
| Trustees’ deferred compensation plan | 7,165 |
| Total assets | 292,140,582 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 4,588,048 |
| Capital shares purchased | 213,389 |
| Management services fees | 193,646 |
| Distribution and/or service fees | 14,627 |
| Transfer agent fees | 14,169 |
| Compensation of board members | 50,681 |
| Compensation of chief compliance officer | 41 |
| Other expenses | 39,409 |
| Trustees’ deferred compensation plan | 7,165 |
| Total liabilities | 5,121,175 |
| Net assets applicable to outstanding capital stock | $287,019,407 |
| Represented by | |
| Trust capital | $287,019,407 |
| Total - representing net assets applicable to outstanding capital stock | $287,019,407 |
| Class 1 | |
| Net assets | $171,969,674 |
| Shares outstanding | 8,152,041 |
| Net asset value per share | $21.10 |
| Class 2 | |
| Net assets | $26,760,243 |
| Shares outstanding | 1,288,161 |
| Net asset value per share | $20.77 |
| Class 3 | |
| Net assets | $88,289,490 |
| Shares outstanding | 4,218,193 |
| Net asset value per share | $20.93 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $2,507,698 |
| Dividends — affiliated issuers | 47,496 |
| Total income | 2,555,194 |
| Expenses: | |
| Management services fees | 1,158,299 |
| Distribution and/or service fees | |
| Class 2 | 31,165 |
| Class 3 | 56,729 |
| Transfer agent fees | |
| Class 1 | 50,043 |
| Class 2 | 7,479 |
| Class 3 | 27,229 |
| Compensation of board members | 10,445 |
| Custodian fees | 7,323 |
| Printing and postage fees | 16,128 |
| Audit fees | 15,457 |
| Legal fees | 4,136 |
| Compensation of chief compliance officer | 26 |
| Other | 5,211 |
| Total expenses | 1,389,670 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (55,006) |
| Total net expenses | 1,334,664 |
| Net investment income | 1,220,530 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 12,976,328 |
| Investments — affiliated issuers | 29 |
| Net realized gain | 12,976,357 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 587,027 |
| Investments — affiliated issuers | 187 |
| Net change in unrealized appreciation (depreciation) | 587,214 |
| Net realized and unrealized gain | 13,563,571 |
| Net increase in net assets resulting from operations | $14,784,101 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017
| 11 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment income | $1,220,530 | $2,122,255 |
| Net realized gain (loss) | 12,976,357 | (1,129,590) |
| Net change in unrealized appreciation (depreciation) | 587,214 | 28,775,894 |
| Net increase in net assets resulting from operations | 14,784,101 | 29,768,559 |
| Increase (decrease) in net assets from capital stock activity | (5,076,859) | 120,475,407 |
| Total increase in net assets | 9,707,242 | 150,243,966 |
| Net assets at beginning of period | 277,312,165 | 127,068,199 |
| Net assets at end of period | $287,019,407 | $277,312,165 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 190,222 | 3,957,426 | 7,716,957 | 140,228,159 |
| Redemptions | (172,851) | (3,557,984) | (301,742) | (5,528,194) |
| Net increase | 17,371 | 399,442 | 7,415,215 | 134,699,965 |
| Class 2 | | | | |
| Subscriptions | 189,058 | 3,845,725 | 250,756 | 4,585,086 |
| Redemptions | (35,047) | (718,805) | (107,948) | (1,928,664) |
| Net increase | 154,011 | 3,126,920 | 142,808 | 2,656,422 |
| Class 3 | | | | |
| Subscriptions | 17,606 | 362,211 | 51,868 | 955,889 |
| Redemptions | (436,674) | (8,965,432) | (996,363) | (17,836,869) |
| Net decrease | (419,068) | (8,603,221) | (944,495) | (16,880,980) |
| Total net increase (decrease) | (247,686) | (5,076,859) | 6,613,528 | 120,475,407 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017
| 13 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| 6/30/2017 (c) | $20.01 | 0.10 | 0.99 | 1.09 |
| 12/31/2016 | $17.53 | 0.23 | 2.25 | 2.48 |
| 12/31/2015 | $18.45 | 0.07 | (0.99) | (0.92) |
| 12/31/2014 | $16.42 | 0.10 | 1.93 | 2.03 |
| 12/31/2013 | $11.91 | 0.10 | 4.41 | 4.51 |
| 12/31/2012 | $10.04 | 0.12 | 1.75 | 1.87 |
| Class 2 |
| 6/30/2017 (c) | $19.73 | 0.07 | 0.97 | 1.04 |
| 12/31/2016 | $17.33 | 0.14 | 2.26 | 2.40 |
| 12/31/2015 | $18.26 | 0.07 | (1.00) | (0.93) |
| 12/31/2014 | $16.29 | 0.09 | 1.88 | 1.97 |
| 12/31/2013 | $11.84 | 0.07 | 4.38 | 4.45 |
| 12/31/2012 | $10.01 | 0.10 | 1.73 | 1.83 |
| Class 3 |
| 6/30/2017 (c) | $19.87 | 0.08 | 0.98 | 1.06 |
| 12/31/2016 | $17.43 | 0.16 | 2.28 | 2.44 |
| 12/31/2015 | $18.34 | 0.09 | (1.00) | (0.91) |
| 12/31/2014 | $16.35 | 0.09 | 1.90 | 1.99 |
| 12/31/2013 | $11.87 | 0.08 | 4.40 | 4.48 |
| 12/31/2012 | $10.02 | 0.11 | 1.74 | 1.85 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Ratios include line of credit interest expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $21.10 | 5.45% | 0.92% (d) | 0.88% (d) | 0.93% (d) | 25% | $171,970 |
| $20.01 | 14.15% | 0.93% | 0.90% | 1.25% | 57% | $162,796 |
| $17.53 | (4.99%) | 0.91% (e) | 0.90% (e) | 0.38% | 43% | $12,613 |
| $18.45 | 12.36% | 0.89% | 0.88% | 0.60% | 46% | $378,231 |
| $16.42 | 37.87% | 0.88% (e) | 0.87% (e) | 0.68% | 58% | $535,980 |
| $11.91 | 18.63% | 0.88% | 0.88% | 1.08% | 53% | $839,959 |
| |
| $20.77 | 5.27% | 1.17% (d) | 1.13% (d) | 0.70% (d) | 25% | $26,760 |
| $19.73 | 13.85% | 1.19% | 1.16% | 0.79% | 57% | $22,379 |
| $17.33 | (5.09%) | 1.22% (e) | 1.17% (e) | 0.40% | 43% | $17,179 |
| $18.26 | 12.09% | 1.15% | 1.14% | 0.50% | 46% | $14,802 |
| $16.29 | 37.58% | 1.14% (e) | 1.12% (e) | 0.51% | 58% | $8,656 |
| $11.84 | 18.28% | 1.13% | 1.13% | 0.91% | 53% | $1,906 |
| |
| $20.93 | 5.33% | 1.05% (d) | 1.01% (d) | 0.79% (d) | 25% | $88,289 |
| $19.87 | 14.00% | 1.07% | 1.03% | 0.88% | 57% | $92,137 |
| $17.43 | (4.96%) | 1.09% (e) | 1.04% (e) | 0.50% | 43% | $97,276 |
| $18.34 | 12.17% | 1.02% | 1.01% | 0.54% | 46% | $122,343 |
| $16.35 | 37.74% | 1.01% (e) | 1.00% (e) | 0.59% | 58% | $120,409 |
| $11.87 | 18.46% | 1.00% | 1.00% | 0.97% | 53% | $93,055 |
Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017
| 15 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Mid Cap Value Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers Class 1, Class 2 and Class 3 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Fund directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to the Fund. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities and exchange-traded funds are valued at the close of business of the New York Stock Exchange. Equity securities and exchange-traded funds are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are generally determined at 4:00 p.m. Eastern (U.S.) time. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees, including, if available, utilizing a third party pricing service to determine these fair values. The third party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
| 16 | Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds, other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information on the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by the Fund’s management. Management’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities, the proceeds are recorded as realized gains.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund is treated as a partnership for federal income tax purposes, and the Fund does not expect to make regular distributions. The Fund will not be subject to federal income tax, and therefore, there is no provision for federal income taxes. The partners of the Fund are subject to tax on their distributive share of the Fund’s income and loss. The components of the Fund’s net assets are reported at the partner-level for federal income tax purposes, and therefore, are not presented in the Statement of Assets and Liabilities.
Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017
| 17 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.82% to 0.65% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2017 was 0.82% of the Fund’s average daily net assets.
Participating Affiliates
The Investment Manager and its investment advisory affiliates (Participating Affiliates) around the world may coordinate in providing services to their clients. From time to time the Investment Manager (or any affiliated investment subadviser to the Fund, as the case may be) may engage its Participating Affiliates to provide a variety of services such as investment research, investment monitoring, trading and discretionary investment management (including portfolio management) to certain accounts managed by the Investment Manager, including the Fund. These Participating Affiliates will provide services to the Investment Manager (or any affiliated investment subadviser to the Fund as the case may be) either pursuant to subadvisory agreements, personnel-sharing agreements or similar inter-company arrangements and the Fund will pay no additional fees and expenses as a result of any such arrangements.
These Participating Affiliates, like the Investment Manager, are direct or indirect subsidiaries of Ameriprise Financial and are registered with appropriate respective regulators in their home jurisdictions and, where required, the Securities and Exchange Commission and the Commodity Futures Trading Commission in the United States.
Pursuant to some of these arrangements, certain employees of these Participating Affiliates may serve as "associated persons" of the Investment Manager and, in this capacity, subject to the oversight and supervision of the Investment Manager and consistent with the investment objectives, policies and limitations set forth in the Fund’s prospectus and Statement of Additional Information (SAI), may provide such services to the Fund on behalf of the Investment Manager.
| 18 | Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of the Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, the Fund no longer pays a transfer agency fee.
Distribution fees
The Fund has an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, the Fund pays a fee at an annual rate of up to 0.25% of the Fund’s average daily net assets attributable to Class 2 shares and an annual rate of up to 0.125% of the Fund’s average daily net assets attributable to Class 3 shares. The Fund pays no distribution and service fees for Class 1 shares.
Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017
| 19 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | May 1, 2017
through
April 30, 2018 | Prior to
May 1, 2017 |
| Class 1 | 0.85% | 0.90% |
| Class 2 | 1.10 | 1.15 |
| Class 3 | 0.975 | 1.025 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $67,920,227 and $76,009,523, respectively, for the six months ended June 30, 2017. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 5. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 6. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
| 20 | Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Note 7. Significant risks
Shareholder concentration risk
At June 30, 2017, affiliated shareholders of record owned 95.8% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 8. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Note 9. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017
| 21 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio - Mid Cap Value Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as their history, reputation, expertise, resources and capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, the relatively recent change in the leadership of equity department oversight, and the various technological enhancements that had been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
| 22 | Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed the Fund’s underperformance for certain periods, noting that appropriate steps (such as investment process enhancements) had been taken to help improve the Fund’s performance.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017
| 23 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as the Fund grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
| 24 | Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
Columbia Variable Portfolio – Mid Cap Value Fund | Semiannual Report 2017
| 25 |
Columbia Variable Portfolio – Mid Cap Value Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio – Seligman Global Technology Fund
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 Insured • No bank guarantee • May lose value
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017
Fund at a Glance
(Unaudited)
Investment objective
Columbia Variable Portfolio – Seligman Global Technology Fund (the Fund) seeks to provide shareholders with long-term capital appreciation.
Portfolio management
Paul Wick
Lead manager
Managed Fund since 2006
Rahul Narang
Co-manager
Managed Fund since 2014
Shekhar Pramanick
Co-manager
Managed Fund since 2014
Sanjay Devgan
Technology Team member
Managed Fund since 2014
Jeetil Patel
Technology Team member
Managed Fund since 2015
Christopher Boova
Technology Team member
Managed Fund since 2016
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/01/96 | 19.16 | 39.88 | 19.88 | 11.32 |
| Class 2 | 05/01/00 | 18.99 | 39.47 | 19.57 | 11.03 |
| MSCI World Information Technology Index (Net) | | 17.71 | 33.31 | 16.09 | 8.46 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The MSCI World Information Technology Index (Net) is a free float-adjusted market capitalization index designed to measure information technology stock performance in the global developed equity market.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI World Information Technology Index (Net), which reflects reinvested dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at June 30, 2017) |
| Lam Research Corp. (United States) | 8.6 |
| Broadcom Ltd. (Singapore) | 7.4 |
| Apple, Inc. (United States) | 5.4 |
| Micron Technology, Inc. (United States) | 5.0 |
| Western Digital Corp. (United States) | 3.7 |
| Qorvo, Inc. (United States) | 3.6 |
| Synopsys, Inc. (United States) | 3.6 |
| Nuance Communications, Inc. (United States) | 3.4 |
| Synaptics, Inc. (United States) | 3.2 |
| Maxim Integrated Products, Inc. (United States) | 2.9 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 1.1 |
| Information Technology | 98.9 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| Country breakdown (%) (at June 30, 2017) |
| China | 0.3 |
| Israel | 4.3 |
| Japan | 0.9 |
| Singapore | 7.3 |
| Sweden | 0.3 |
| Taiwan | 0.4 |
| United States(a) | 86.5 |
| Total | 100.0 |
| (a) | Includes investments in Money Market Funds. |
Country breakdown is based primarily on issuer’s place of organization/incorporation. Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
The Fund may use place of organization/incorporation or other factors in determining whether an issuer is domestic (U.S.) or foreign for purposes of its investment policies. At June 30, 2017, the Fund invested at least 40% of its net assets in foreign companies in accordance with its principal investment strategy.
Summary of investments in securities by industry (%)
(at June 30, 2017) |
| Communications Equipment | 3.4 |
| Electronic Equipment, Instruments & Components | 1.7 |
| Internet & Direct Marketing Retail | 0.3 |
| Internet Software & Services | 7.9 |
| IT Services | 5.8 |
| Media | 0.8 |
| Semiconductors & Semiconductor Equipment | 47.8 |
| Software | 18.0 |
| Technology Hardware, Storage & Peripherals | 12.9 |
| Money Market Funds | 1.6 |
| Total | 100.2 |
Percentages indicated are based upon net assets. The Fund’s portfolio composition is subject to change.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Class 1 | 1,000.00 | 1,000.00 | 1,191.60 | 1,019.95 | 5.46 | 5.04 | 1.00 |
| Class 2 | 1,000.00 | 1,000.00 | 1,189.90 | 1,018.70 | 6.82 | 6.29 | 1.25 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
| 4 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017 |
Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 98.6% |
| Issuer | Shares | Value ($) |
| China 0.3% |
| Ctrip.com International Ltd., ADR(a) | 4,700 | 253,142 |
| Israel 4.3% |
| Check Point Software Technologies Ltd.(a) | 7,021 | 765,851 |
| CyberArk Software Ltd.(a) | 7,829 | 391,059 |
| Mellanox Technologies Ltd.(a) | 15,987 | 692,237 |
| Orbotech Ltd.(a) | 30,600 | 998,172 |
| Tower Semiconductor Ltd.(a) | 17,437 | 415,872 |
| Total | 3,263,191 |
| Japan 0.9% |
| Nintendo Co., Ltd., ADR(a) | 8,700 | 363,660 |
| Renesas Electronics Corp.(a) | 31,300 | 273,666 |
| Total | 637,326 |
| Singapore 7.3% |
| Broadcom Ltd. | 23,487 | 5,473,645 |
| Sweden 0.3% |
| Telefonaktiebolaget LM Ericsson, ADR | 35,500 | 254,535 |
| Taiwan 0.4% |
| Catcher Technology Co., Ltd. | 21,900 | 261,014 |
| United States 85.1% |
| Adobe Systems, Inc.(a) | 1,900 | 268,736 |
| Alphabet, Inc., Class A(a) | 1,600 | 1,487,488 |
| Alphabet, Inc., Class C(a) | 1,809 | 1,643,893 |
| Apple, Inc. | 27,700 | 3,989,354 |
| Applied Materials, Inc. | 48,000 | 1,982,880 |
| Arista Networks, Inc.(a) | 6,042 | 905,031 |
| Arris International PLC(a) | 52,320 | 1,466,006 |
| Cavium, Inc.(a) | 22,577 | 1,402,709 |
| Comcast Corp., Class A | 15,300 | 595,476 |
| CPI Card Group, Inc. | 43,141 | 122,952 |
| Cypress Semiconductor Corp. | 2,800 | 38,220 |
| DXC Technology Co. | 9,641 | 739,657 |
| eBay, Inc.(a) | 36,200 | 1,264,104 |
| Electronics for Imaging, Inc.(a) | 22,420 | 1,062,260 |
| Euronet Worldwide, Inc.(a) | 4,035 | 352,538 |
| Facebook, Inc., Class A(a) | 7,300 | 1,102,154 |
| Fidelity National Information Services, Inc. | 3,800 | 324,520 |
| Fortinet, Inc.(a) | 25,400 | 950,976 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| GoDaddy, Inc., Class A(a) | 7,568 | 321,035 |
| Hewlett Packard Enterprise Co. | 32,300 | 535,857 |
| Inphi Corp.(a) | 25,900 | 888,370 |
| Integrated Device Technology, Inc.(a) | 60,000 | 1,547,400 |
| Keysight Technologies, Inc.(a) | 8,200 | 319,226 |
| Lam Research Corp. | 44,842 | 6,342,004 |
| Lattice Semiconductor Corp.(a) | 150,675 | 1,003,495 |
| Maxim Integrated Products, Inc. | 48,339 | 2,170,421 |
| Microchip Technology, Inc. | 17,300 | 1,335,214 |
| Micron Technology, Inc.(a) | 125,200 | 3,738,472 |
| Microsoft Corp. | 9,800 | 675,514 |
| Nuance Communications, Inc.(a) | 144,753 | 2,520,150 |
| NVIDIA Corp. | 1,300 | 187,928 |
| Okta, Inc.(a) | 2,836 | 64,661 |
| ON Semiconductor Corp.(a) | 58,572 | 822,351 |
| Oracle Corp. | 34,300 | 1,719,802 |
| PayPal Holdings, Inc.(a) | 7,200 | 386,424 |
| Qorvo, Inc.(a) | 41,703 | 2,640,634 |
| Salesforce.com, Inc.(a) | 8,505 | 736,533 |
| Skyworks Solutions, Inc. | 4,280 | 410,666 |
| Splunk, Inc.(a) | 4,400 | 250,316 |
| Synaptics, Inc.(a) | 46,460 | 2,402,447 |
| Synopsys, Inc.(a) | 36,182 | 2,638,753 |
| Tableau Software, Inc., Class A(a) | 5,230 | 320,442 |
| Teradyne, Inc. | 71,522 | 2,147,806 |
| TiVo Corp. | 71,800 | 1,339,070 |
| Travelport Worldwide Ltd. | 50,140 | 689,926 |
| Verint Systems, Inc.(a) | 5,700 | 231,990 |
| Visa, Inc., Class A | 20,100 | 1,884,978 |
| Western Digital Corp. | 30,600 | 2,711,160 |
| Xerox Corp. | 34,625 | 994,776 |
| Zynga, Inc., Class A(a) | 79,900 | 290,836 |
| Total | 63,967,611 |
Total Common Stocks
(Cost $60,604,075) | 74,110,464 |
|
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017
| 5 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Money Market Funds 1.6% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(b),(c) | 1,229,677 | 1,229,677 |
Total Money Market Funds
(Cost $1,229,554) | 1,229,677 |
Total Investments
(Cost $61,833,629) | 75,340,141 |
| Other Assets & Liabilities, Net | | (135,055) |
| Net Assets | $75,205,086 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 1,700,679 | 22,221,846 | (22,692,848) | 1,229,677 | (127) | 9,364 | 1,229,677 |
Abbreviation Legend
| ADR | American Depositary Receipt |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Foreign equity securities actively traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| China | 253,142 | — | — | — | 253,142 |
| Israel | 3,263,191 | — | — | — | 3,263,191 |
| Japan | 363,660 | 273,666 | — | — | 637,326 |
| Singapore | 5,473,645 | — | — | — | 5,473,645 |
| Sweden | 254,535 | — | — | — | 254,535 |
| Taiwan | — | 261,014 | — | — | 261,014 |
| United States | 63,967,611 | — | — | — | 63,967,611 |
| Total Common Stocks | 73,575,784 | 534,680 | — | — | 74,110,464 |
| Money Market Funds | — | — | — | 1,229,677 | 1,229,677 |
| Total Investments | 73,575,784 | 534,680 | — | 1,229,677 | 75,340,141 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets. These assets include certain foreign securities for which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017
| 7 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $60,604,075 |
| Affiliated issuers, at cost | 1,229,554 |
| Total investments, at cost | 61,833,629 |
| Investments, at value | |
| Unaffiliated issuers, at value | 74,110,464 |
| Affiliated issuers, at value | 1,229,677 |
| Total investments, at value | 75,340,141 |
| Receivable for: | |
| Investments sold | 135,989 |
| Capital shares sold | 6,627 |
| Dividends | 33,919 |
| Expense reimbursement due from Investment Manager | 3,193 |
| Prepaid expenses | 1 |
| Total assets | 75,519,870 |
| Liabilities | |
| Due to custodian | 64 |
| Payable for: | |
| Investments purchased | 169,567 |
| Capital shares purchased | 11,720 |
| Management services fees | 66,674 |
| Distribution and/or service fees | 8,646 |
| Transfer agent fees | 3,884 |
| Compensation of board members | 24,936 |
| Compensation of chief compliance officer | 6 |
| Audit fees | 16,090 |
| Other expenses | 13,197 |
| Total liabilities | 314,784 |
| Net assets applicable to outstanding capital stock | $75,205,086 |
| Represented by | |
| Paid in capital | 57,770,059 |
| Excess of distributions over net investment income | (110,771) |
| Accumulated net realized gain | 4,039,286 |
| Unrealized appreciation (depreciation) on: | |
| Investments - unaffiliated issuers | 13,506,389 |
| Investments - affiliated issuers | 123 |
| Total - representing net assets applicable to outstanding capital stock | $75,205,086 |
| Class 1 | |
| Net assets | $35,345,961 |
| Shares outstanding | 1,860,161 |
| Net asset value per share | $19.00 |
| Class 2 | |
| Net assets | $39,859,125 |
| Shares outstanding | 2,260,563 |
| Net asset value per share | $17.63 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $309,644 |
| Dividends — affiliated issuers | 9,364 |
| Total income | 319,008 |
| Expenses: | |
| Management services fees | 372,139 |
| Distribution and/or service fees | |
| Class 2 | 46,927 |
| Transfer agent fees | |
| Class 1 | 10,415 |
| Class 2 | 11,263 |
| Compensation of board members | 7,149 |
| Custodian fees | 8,267 |
| Printing and postage fees | 2,999 |
| Audit fees | 17,027 |
| Legal fees | 3,332 |
| Compensation of chief compliance officer | 8 |
| Other | 3,766 |
| Total expenses | 483,292 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (75,527) |
| Total net expenses | 407,765 |
| Net investment loss | (88,757) |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 4,531,773 |
| Investments — affiliated issuers | (127) |
| Foreign currency translations | (335) |
| Net realized gain | 4,531,311 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 7,178,404 |
| Investments — affiliated issuers | 123 |
| Net change in unrealized appreciation (depreciation) | 7,178,527 |
| Net realized and unrealized gain | 11,709,838 |
| Net increase in net assets resulting from operations | $11,621,081 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017
| 9 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment loss | $(88,757) | $(269,288) |
| Net realized gain | 4,531,311 | 20,505,139 |
| Net change in unrealized appreciation (depreciation) | 7,178,527 | (11,189,682) |
| Net increase in net assets resulting from operations | 11,621,081 | 9,046,169 |
| Distributions to shareholders | | |
| Net realized gains | | |
| Class 1 | (9,405,604) | (9,645,118) |
| Class 2 | (11,141,763) | (8,402,384) |
| Total distributions to shareholders | (20,547,367) | (18,047,502) |
| Increase (decrease) in net assets from capital stock activity | 25,209,716 | (44,341,161) |
| Total increase (decrease) in net assets | 16,283,430 | (53,342,494) |
| Net assets at beginning of period | 58,921,656 | 112,264,150 |
| Net assets at end of period | $75,205,086 | $58,921,656 |
| Excess of distributions over net investment income | $(110,771) | $(22,014) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 3,421 | 88,106 | 16,704 | 422,456 |
| Distributions reinvested | 491,411 | 9,405,604 | 531,119 | 9,645,118 |
| Redemptions | (69,233) | (1,730,012) | (139,423) | (3,260,512) |
| Net increase | 425,599 | 7,763,698 | 408,400 | 6,807,062 |
| Class 2 | | | | |
| Subscriptions | 979,239 | 23,285,591 | 1,069,418 | 23,182,643 |
| Distributions reinvested | 627,351 | 11,141,763 | 488,511 | 8,402,384 |
| Redemptions | (704,278) | (16,981,336) | (3,296,633) | (82,733,250) |
| Net increase (decrease) | 902,312 | 17,446,018 | (1,738,704) | (51,148,223) |
| Total net increase (decrease) | 1,327,911 | 25,209,716 | (1,330,304) | (44,341,161) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017
| 11 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain | Total from
investment
operations | Distributions
from net
realized
gains |
| Class 1 |
| 6/30/2017 (c) | $21.67 | (0.02) | 4.22 | 4.20 | (6.87) |
| 12/31/2016 | $27.97 | (0.04) | 3.55 | 3.51 | (9.81) |
| 12/31/2015 | $29.99 | (0.01) | 3.00 | 2.99 | (5.01) |
| 12/31/2014 | $26.01 | (0.07) | 6.42 | 6.35 | (2.37) |
| 12/31/2013 | $20.87 | (0.07) | 5.42 | 5.35 | (0.21) |
| 12/31/2012 | $19.50 | (0.05) | 1.46 | 1.41 | (0.04) |
| Class 2 |
| 6/30/2017 (c) | $20.50 | (0.04) | 3.98 | 3.94 | (6.81) |
| 12/31/2016 | $26.98 | (0.12) | 3.38 | 3.26 | (9.74) |
| 12/31/2015 | $29.10 | (0.08) | 2.91 | 2.83 | (4.95) |
| 12/31/2014 | $25.31 | (0.14) | 6.25 | 6.11 | (2.32) |
| 12/31/2013 | $20.37 | (0.13) | 5.28 | 5.15 | (0.21) |
| 12/31/2012 | $19.07 | (0.10) | 1.44 | 1.34 | (0.04) |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income (loss)
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| (6.87) | $19.00 | 19.16% | 1.21% (d) | 1.00% (d) | (0.13%) (d) | 33% | $35,346 |
| (9.81) | $21.67 | 19.35% | 1.26% | 0.98% | (0.17%) | 62% | $31,083 |
| (5.01) | $27.97 | 10.11% | 1.20% | 0.98% | (0.05%) | 65% | $28,698 |
| (2.37) | $29.99 | 25.43% | 1.21% | 1.00% | (0.27%) | 87% | $29,004 |
| (0.21) | $26.01 | 25.83% | 1.23% | 1.00% | (0.31%) | 93% | $26,513 |
| (0.04) | $20.87 | 7.23% | 1.21% | 1.00% | (0.25%) | 96% | $23,922 |
| |
| (6.81) | $17.63 | 18.99% | 1.46% (d) | 1.25% (d) | (0.35%) (d) | 33% | $39,859 |
| (9.74) | $20.50 | 19.01% | 1.47% | 1.23% | (0.49%) | 62% | $27,838 |
| (4.95) | $26.98 | 9.81% | 1.45% | 1.23% | (0.30%) | 65% | $83,566 |
| (2.32) | $29.10 | 25.12% | 1.45% | 1.25% | (0.52%) | 87% | $92,264 |
| (0.21) | $25.31 | 25.48% | 1.48% | 1.25% | (0.56%) | 93% | $82,873 |
| (0.04) | $20.37 | 7.03% | 1.46% | 1.25% | (0.48%) | 96% | $68,824 |
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017
| 13 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Seligman Global Technology Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a non-diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers Class 1 and Class 2 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Fund directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to the Fund. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are generally determined at 4:00 p.m. Eastern (U.S.) time. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees, including, if available, utilizing a third party pricing service to determine these fair values. The third party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
| 14 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Foreign currency transactions and translations
The values of all assets and liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains (losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes, the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds, other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information on the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by the Fund’s management. Management’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities, the proceeds are recorded as realized gains.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017
| 15 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its taxable income, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, because the Fund meets the exception under Internal Revenue Code Section 4982(f), the Fund expects not to be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Distributions to subaccounts
Distributions to the subaccounts of Contracts, Qualified Plans and Qualified Investors are recorded at the close of business on the record date and are payable on the first business day following the record date. Dividends from net investment income, if any, are declared and distributed annually. Capital gains distributions, when available, will be made annually. However, an additional capital gain distribution may be made during the fiscal year in order to comply with the Internal Revenue Code, as applicable to registered investment companies. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. All dividends and distributions are reinvested in additional shares of the applicable share class of the Fund at the net asset value as of the ex-dividend date of the distribution.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 1.03% to 0.92% as the Fund’s net assets increase. Effective July 1, 2017, the management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.915% to 0.755% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2017 was 1.03% of the Fund’s average daily net assets.
| 16 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of the Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, the Fund no longer pays a transfer agency fee.
Distribution fees
The Fund has an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, the Fund pays a fee at an annual rate of up to 0.25% of the Fund’s average daily net assets attributable to Class 2 shares. The Fund pays no distribution and service fees for Class 1 shares.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017
| 17 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | May 1, 2017
through
April 30, 2018 | Prior to
May 1, 2017 |
| Class 1 | 1.03% | 0.98% |
| Class 2 | 1.28 | 1.23 |
The Fund had a voluntary expense reimbursement arrangement from May 1, 2017 to June 30, 2017. The annual limitation rates were the same under the voluntary expense reimbursement arrangement, which changed to a contractual arrangement on July 1, 2017 through April 30, 2018.
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At June 30, 2017, the approximate cost of investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($) | Gross unrealized
appreciation ($) | Gross unrealized
(depreciation) ($) | Net unrealized
appreciation ($) |
| 61,834,000 | 14,613,000 | (1,107,000) | 13,506,000 |
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $27,482,635 and $23,207,488, respectively, for the six months ended June 30, 2017. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
| 18 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
Note 8. Significant risks
Foreign securities and emerging market countries risk
Investing in foreign securities may include certain risks and considerations not typically associated with investing in U.S. securities, such as fluctuating currency values and changing local and regional economic, political and social conditions, which may result in greater market volatility. In addition, certain foreign securities may not be as liquid as U.S. securities. Investing in emerging markets may accentuate these risks. These countries are also more likely to experience high levels of inflation, deflation or currency devaluation which could hurt their economies and securities markets. To the extent that the Fund concentrates its investment exposure to any one or a few specific countries, the Fund will be particularly susceptible to the various conditions, events or other factors impacting those countries and may, therefore, have a greater risk than that of a fund which is more geographically diversified.
Non-diversification risk
A non-diversified fund is permitted to invest a greater percentage of its total assets in fewer issuers than a diversified fund. The Fund may, therefore, have a greater risk of loss from a few issuers than a similar fund that invests more broadly.
Shareholder concentration risk
At June 30, 2017, two unaffiliated shareholders of record owned 83.8% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Technology and technology-related investment risk
The Fund may be more susceptible to the particular risks that may affect companies in the information technology sector, as well as other technology-related sectors (collectively, the technology sectors) than if it were invested in a wider variety of companies in unrelated sectors. Companies in the technology sectors are subject to certain risks, including the risk that new
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017
| 19 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete. Performance of such companies may be affected by factors including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for market share and short product cycles due to an accelerated rate of technological developments. Such competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their securities may fall or fail to rise. In addition, many technology sector companies have limited operating histories and prices of these companies’ securities historically have been more volatile than other securities, especially over the short term.
Note 9. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Note 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
| 20 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio – Seligman Global Technology Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as their history, reputation, expertise, resources and capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, the relatively recent change in the leadership of equity department oversight, and the various technological enhancements that had been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017
| 21 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved, other than reductions to the management fee schedule. They also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed that the Fund’s investment performance met expectations.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Trustees also noted management’s proposal at the June Meeting to reduce the Fund’s management fee schedule. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was somewhat higher than the median ratio, but lower than the 60th percentile of the Fund’s peer universe. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
| 22 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as the Fund grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017
| 23 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
| 24 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2017 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – Seligman Global Technology Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio – Limited Duration Credit Fund
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 Insured • No bank guarantee • May lose value
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017
Fund at a Glance
(Unaudited)
Investment objective
Columbia Variable Portfolio – Limited Duration Credit Fund (the Fund) seeks to provide shareholders with a level of current income consistent with preservation of capital.
Portfolio management
Tom Murphy, CFA
Co-manager
Managed Fund since 2010
Timothy Doubek, CFA
Co-manager
Managed Fund since 2010
Royce D. Wilson, CFA
Co-manager
Managed Fund since 2012
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 1 | 05/07/10 | 1.40 | 2.71 | 1.97 | 2.49 |
| Class 2 | 05/07/10 | 1.26 | 2.46 | 1.72 | 2.23 |
| Bloomberg Barclays U.S. 1-5 Year Corporate Index | | 1.87 | 1.58 | 2.52 | 3.06 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Bloomberg Barclays U.S. 1-5 Year Corporate Index includes U.S. dollar-denominated, investment-grade, fixed-rate, taxable securities issued by industrial, utility, and financial companies, with maturities between 1 and 5 years..
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Corporate Bonds & Notes | 84.5 |
| Money Market Funds | 9.7 |
| U.S. Treasury Obligations | 5.8 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at June 30, 2017) |
| AAA rating | 6.4 |
| AA rating | 5.2 |
| A rating | 12.0 |
| BBB rating | 76.2 |
| BB rating | 0.2 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments (excluding Money Market Funds).
Bond ratings apply to the underlying holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the middle rating of Moody’s, S&P and Fitch, after dropping the highest and lowest available ratings. When ratings are available from only two rating agencies, the lower rating is used. When a rating is available from only one rating agency, that rating is used. When a bond is not rated by any rating agency, it is designated as “Not rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g., interest rate and time to maturity) and the amount and type of any collateral.
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Class 1 | 1,000.00 | 1,000.00 | 1,014.00 | 1,022.19 | 2.76 | 2.77 | 0.55 |
| Class 2 | 1,000.00 | 1,000.00 | 1,012.60 | 1,020.94 | 4.01 | 4.03 | 0.80 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
| 4 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017 |
Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Corporate Bonds & Notes 84.1% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Aerospace & Defense 2.9% |
| Lockheed Martin Corp. |
| 11/23/2020 | 2.500% | | 10,623,000 | 10,769,119 |
| Northrop Grumman Corp. |
| 03/15/2021 | 3.500% | | 12,407,000 | 12,955,923 |
| Total | 23,725,042 |
| Cable and Satellite 1.2% |
| Sky PLC(a) |
| 09/16/2024 | 3.750% | | 9,370,000 | 9,632,903 |
| Chemicals 0.8% |
| EI du Pont de Nemours & Co. |
| 05/01/2020 | 2.200% | | 6,405,000 | 6,428,859 |
| Consumer Products 1.2% |
| Clorox Co. (The) |
| 10/15/2017 | 5.950% | | 6,505,000 | 6,582,162 |
| Reckitt Benckiser Treasury Services PLC(a) |
| 06/26/2024 | 2.750% | | 3,560,000 | 3,529,039 |
| Total | 10,111,201 |
| Diversified Manufacturing 1.8% |
| Siemens Financieringsmaatschappij NV(a) |
| 03/16/2020 | 2.200% | | 8,306,000 | 8,365,156 |
| United Technologies Corp. |
| 05/04/2020 | 1.900% | | 6,305,000 | 6,315,094 |
| Total | 14,680,250 |
| Electric 18.0% |
| Berkshire Hathaway Energy Co. |
| 11/15/2023 | 3.750% | | 3,000,000 | 3,153,243 |
| CMS Energy Corp. |
| 03/01/2024 | 3.875% | | 16,440,000 | 17,190,437 |
| 11/15/2025 | 3.600% | | 6,171,000 | 6,279,789 |
| DTE Energy Co. |
| 10/01/2019 | 1.500% | | 9,150,000 | 9,003,966 |
| 12/01/2023 | 3.850% | | 2,977,000 | 3,106,282 |
| 06/01/2024 | 3.500% | | 16,046,000 | 16,307,823 |
| Duke Energy Corp. |
| 08/15/2022 | 3.050% | | 2,700,000 | 2,753,530 |
| Emera US Finance LP |
| 06/15/2021 | 2.700% | | 6,010,000 | 6,020,067 |
| Eversource Energy |
| 03/15/2022 | 2.750% | | 1,665,000 | 1,673,958 |
| 05/01/2023 | 2.800% | | 7,208,000 | 7,211,373 |
| FirstEnergy Corp. |
| 07/15/2022 | 2.850% | | 2,670,000 | 2,669,567 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Great Plains Energy, Inc. |
| 04/01/2022 | 3.150% | | 3,650,000 | 3,689,037 |
| NextEra Energy Capital Holdings, Inc. |
| 09/01/2018 | 1.649% | | 2,490,000 | 2,480,907 |
| 04/01/2019 | 2.300% | | 3,721,000 | 3,738,187 |
| Oncor Electric Delivery Co. LLC |
| 06/01/2019 | 2.150% | | 1,461,000 | 1,461,177 |
| Pacific Gas & Electric Co. |
| 06/15/2023 | 3.250% | | 5,135,000 | 5,280,495 |
| 11/15/2023 | 3.850% | | 4,105,000 | 4,341,703 |
| 08/15/2024 | 3.400% | | 1,070,000 | 1,101,669 |
| PG&E Corp. |
| 03/01/2019 | 2.400% | | 7,311,000 | 7,342,788 |
| Progress Energy, Inc. |
| 04/01/2022 | 3.150% | | 11,126,000 | 11,336,893 |
| Public Service Enterprise Group, Inc. |
| 11/15/2019 | 1.600% | | 5,245,000 | 5,174,659 |
| Southern Co. (The) |
| 07/01/2021 | 2.350% | | 5,097,000 | 5,048,094 |
| 07/01/2023 | 2.950% | | 5,330,000 | 5,299,443 |
| WEC Energy Group, Inc. |
| 06/15/2020 | 2.450% | | 1,600,000 | 1,611,443 |
| Wisconsin Electric Power Co. |
| 06/01/2025 | 3.100% | | 1,070,000 | 1,071,993 |
| Xcel Energy, Inc. |
| 03/15/2021 | 2.400% | | 6,185,000 | 6,198,465 |
| 06/01/2025 | 3.300% | | 8,964,000 | 9,062,227 |
| Total | 149,609,215 |
| Food and Beverage 12.5% |
| Anheuser-Busch InBev Worldwide, Inc. |
| 07/15/2017 | 1.375% | | 15,144,000 | 15,145,248 |
| ConAgra Foods, Inc. |
| 01/25/2023 | 3.200% | | 12,723,000 | 12,821,031 |
| General Mills, Inc. |
| 10/20/2017 | 1.400% | | 2,680,000 | 2,678,765 |
| 10/21/2019 | 2.200% | | 4,175,000 | 4,201,866 |
| Grupo Bimbo SAB de CV(a) |
| 01/25/2022 | 4.500% | | 3,303,000 | 3,521,001 |
| JM Smucker Co. (The) |
| 03/15/2020 | 2.500% | | 1,445,000 | 1,457,468 |
| Molson Coors Brewing Co.(a) |
| 03/15/2019 | 1.900% | | 11,445,000 | 11,431,918 |
| Mondelez International, Inc.(a) |
| 10/28/2019 | 1.625% | | 12,373,000 | 12,246,721 |
| PepsiCo, Inc. |
| 05/02/2019 | 1.550% | | 5,280,000 | 5,278,157 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017
| 5 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Sysco Corp. |
| 07/15/2021 | 2.500% | | 3,125,000 | 3,133,685 |
| Tyson Foods, Inc. |
| 08/15/2019 | 2.650% | | 4,631,000 | 4,689,318 |
| 06/15/2022 | 4.500% | | 1,189,000 | 1,287,500 |
| 08/15/2024 | 3.950% | | 5,111,000 | 5,358,020 |
| Wm. Wrigley Jr., Co.(a) |
| 10/21/2018 | 2.400% | | 12,264,000 | 12,343,115 |
| 10/21/2019 | 2.900% | | 8,149,000 | 8,288,014 |
| Total | 103,881,827 |
| Health Care 2.6% |
| Becton Dickinson and Co. |
| 12/15/2019 | 2.675% | | 5,690,000 | 5,758,047 |
| 06/05/2020 | 2.404% | | 2,105,000 | 2,108,138 |
| Express Scripts Holding Co. |
| 07/15/2023 | 3.000% | | 6,656,000 | 6,643,993 |
| Medtronic Global Holdings SCA |
| 03/28/2019 | 1.700% | | 6,930,000 | 6,933,888 |
| Total | 21,444,066 |
| Independent Energy 0.4% |
| Continental Resources, Inc. |
| 06/01/2024 | 3.800% | | 2,000,000 | 1,832,802 |
| Woodside Finance Ltd.(a) |
| 03/05/2025 | 3.650% | | 1,820,000 | 1,811,603 |
| Total | 3,644,405 |
| Integrated Energy 0.9% |
| Cenovus Energy, Inc. |
| 09/15/2043 | 5.200% | | 8,045,000 | 7,279,655 |
| Life Insurance 10.7% |
| AIG Global Funding(a),(b) |
| 07/02/2020 | 2.150% | | 2,500,000 | 2,498,803 |
| Five Corners Funding Trust(a) |
| 11/15/2023 | 4.419% | | 9,870,000 | 10,613,862 |
| Guardian Life Global Funding(a) |
| 05/08/2022 | 2.500% | | 10,500,000 | 10,473,183 |
| MassMutual Global Funding II(a) |
| 06/22/2024 | 2.750% | | 8,605,000 | 8,542,949 |
| MetLife Global Funding I(a) |
| 04/10/2019 | 2.300% | | 4,460,000 | 4,491,617 |
| Metropolitan Life Global Funding I(a) |
| 06/12/2020 | 2.050% | | 10,240,000 | 10,221,926 |
| Nuveen Finance LLC(a) |
| 11/01/2019 | 2.950% | | 24,372,000 | 24,725,638 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Peachtree Corners Funding Trust(a) |
| 02/15/2025 | 3.976% | | 16,984,000 | 17,223,254 |
| Total | 88,791,232 |
| Media and Entertainment 3.5% |
| Scripps Networks Interactive, Inc. |
| 11/15/2019 | 2.750% | | 12,296,000 | 12,432,424 |
| 06/15/2020 | 2.800% | | 9,772,000 | 9,881,202 |
| Thomson Reuters Corp. |
| 10/15/2019 | 4.700% | | 6,234,000 | 6,557,520 |
| Total | 28,871,146 |
| Midstream 6.9% |
| Enterprise Products Operating LLC |
| 04/15/2021 | 2.850% | | 2,485,000 | 2,509,641 |
| Kinder Morgan Energy Partners LP |
| 05/01/2024 | 4.300% | | 15,030,000 | 15,547,483 |
| Panhandle Eastern Pipeline Co. LP |
| 11/01/2017 | 6.200% | | 21,772,000 | 22,023,532 |
| Plains All American Pipeline LP/Finance Corp. |
| 11/01/2024 | 3.600% | | 9,606,000 | 9,366,311 |
| Southern Natural Gas Co. LLC/Issuing Corp. |
| 06/15/2021 | 4.400% | | 7,592,000 | 8,050,329 |
| Total | 57,497,296 |
| Natural Gas 1.4% |
| CenterPoint Energy Resources Corp. |
| 11/01/2017 | 6.125% | | 680,000 | 689,042 |
| NiSource Finance Corp. |
| 02/15/2023 | 3.850% | | 3,713,000 | 3,858,835 |
| Sempra Energy |
| 12/01/2023 | 4.050% | | 5,827,000 | 6,159,553 |
| 06/15/2024 | 3.550% | | 770,000 | 788,650 |
| Total | 11,496,080 |
| Pharmaceuticals 3.7% |
| Allergan Funding SCS |
| 03/12/2018 | 2.350% | | 10,005,000 | 10,047,952 |
| Amgen, Inc. |
| 05/22/2019 | 2.200% | | 10,244,000 | 10,305,648 |
| 05/11/2022 | 2.650% | | 10,010,000 | 10,039,369 |
| Total | 30,392,969 |
| Property & Casualty 4.9% |
| Alleghany Corp. |
| 06/27/2022 | 4.950% | | 7,555,000 | 8,268,789 |
| Berkshire Hathaway, Inc. |
| 08/15/2018 | 1.150% | | 5,130,000 | 5,108,033 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CNA Financial Corp. |
| 05/15/2024 | 3.950% | | 12,802,000 | 13,276,020 |
| Liberty Mutual Group, Inc.(a) |
| 06/15/2023 | 4.250% | | 6,677,000 | 7,118,176 |
| Liberty Mutual Insurance Co.(a) |
| Subordinated |
| 10/15/2026 | 7.875% | | 5,535,000 | 7,301,290 |
| Total | 41,072,308 |
| Railroads 1.6% |
| Union Pacific Corp. |
| 06/19/2020 | 2.250% | | 12,950,000 | 13,029,448 |
| Restaurants 1.0% |
| McDonald’s Corp. |
| 12/09/2020 | 2.750% | | 8,052,000 | 8,205,004 |
| Retailers 1.4% |
| CVS Health Corp. |
| 06/01/2021 | 2.125% | | 5,275,000 | 5,216,152 |
| 07/20/2022 | 3.500% | | 6,230,000 | 6,468,964 |
| Total | 11,685,116 |
| Technology 1.7% |
| Broadcom Corp./Cayman Finance Ltd.(a) |
| 01/15/2022 | 3.000% | | 8,715,000 | 8,802,603 |
| Cisco Systems, Inc. |
| 09/20/2019 | 1.400% | | 5,580,000 | 5,537,570 |
| Total | 14,340,173 |
| Transportation Services 2.6% |
| ERAC U.S.A. Finance LLC(a) |
| 11/01/2023 | 2.700% | | 1,210,000 | 1,179,536 |
| 11/15/2024 | 3.850% | | 14,129,000 | 14,503,786 |
| 11/01/2025 | 3.800% | | 5,830,000 | 5,928,912 |
| Total | 21,612,234 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Wireless 0.3% |
| Rogers Communications, Inc. |
| 08/15/2018 | 6.800% | | 2,453,000 | 2,587,866 |
| 03/15/2023 | 3.000% | | 235,000 | 236,445 |
| Total | 2,824,311 |
| Wirelines 2.1% |
| AT&T, Inc. |
| 06/30/2022 | 3.000% | | 17,668,000 | 17,683,742 |
Total Corporate Bonds & Notes
(Cost $695,569,070) | 697,938,482 |
|
| U.S. Treasury Obligations 5.8% |
| | | | |
| U.S. Treasury |
| 11/15/2019 | 1.000% | | 9,045,000 | 8,950,512 |
| 12/15/2019 | 1.375% | | 37,000,000 | 36,928,268 |
| 07/31/2021 | 1.125% | | 1,900,000 | 1,852,138 |
Total U.S. Treasury Obligations
(Cost $47,625,551) | 47,730,918 |
| Money Market Funds 9.7% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(c),(d) | 80,496,910 | 80,496,910 |
Total Money Market Funds
(Cost $80,494,845) | 80,496,910 |
Total Investments
(Cost: $823,689,466) | 826,166,310 |
| Other Assets & Liabilities, Net | | 3,600,471 |
| Net Assets | 829,766,781 |
At June 30, 2017, securities and/or cash totaling $1,684,634 were pledged as collateral.
Investments in derivatives
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| U.S. Treasury 2-Year Note | 358 | USD | 77,367,157 | 09/2017 | — | (118,202) |
| U.S. Treasury 5-Year Note | 763 | USD | 89,908,821 | 09/2017 | — | (162,424) |
| Total | | | 167,275,978 | | — | (280,626) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017
| 7 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Short futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| U.S. Treasury 10-Year Note | (1,198) | USD | (150,386,438) | 09/2017 | 347,051 | — |
| U.S. Treasury Ultra 10-Year Note | (230) | USD | (31,006,875) | 09/2017 | 27,630 | — |
| U.S. Ultra Bond | (31) | USD | (5,142,125) | 09/2017 | — | (78,124) |
| Total | | | (186,535,438) | | 374,681 | (78,124) |
Notes to Portfolio of Investments
| (a) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At June 30, 2017, the value of these securities amounted to $204,795,005, which represents 24.68% of net assets. |
| (b) | Represents a security purchased on a when-issued basis. |
| (c) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (d) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 31,480,880 | 368,212,449 | (319,196,419) | 80,496,910 | (5,190) | 196,002 | 80,496,910 |
Currency Legend
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Corporate Bonds & Notes | — | 697,938,482 | — | — | 697,938,482 |
| U.S. Treasury Obligations | 47,730,918 | — | — | — | 47,730,918 |
| Money Market Funds | — | — | — | 80,496,910 | 80,496,910 |
| Total Investments | 47,730,918 | 697,938,482 | — | 80,496,910 | 826,166,310 |
| Derivatives | | | | | |
| Asset | | | | | |
| Futures Contracts | 374,681 | — | — | — | 374,681 |
| Liability | | | | | |
| Futures Contracts | (358,750) | — | — | — | (358,750) |
| Total | 47,746,849 | 697,938,482 | — | 80,496,910 | 826,182,241 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
Derivative instruments are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017
| 9 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $743,194,621 |
| Affiliated issuers, at cost | 80,494,845 |
| Total investments, at cost | 823,689,466 |
| Investments, at value | |
| Unaffiliated issuers, at value | 745,669,400 |
| Affiliated issuers, at value | 80,496,910 |
| Total investments, at value | 826,166,310 |
| Margin deposits | 1,648,634 |
| Receivable for: | |
| Investments sold | 5,887,454 |
| Capital shares sold | 62,631 |
| Dividends | 75,435 |
| Interest | 4,334,101 |
| Variation margin for futures contracts | 428,647 |
| Expense reimbursement due from Investment Manager | 9,191 |
| Prepaid expenses | 1 |
| Total assets | 838,612,404 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 4,614,328 |
| Investments purchased on a delayed delivery basis | 2,498,425 |
| Capital shares purchased | 1,074,099 |
| Variation margin for futures contracts | 146,442 |
| Management services fees | 327,355 |
| Distribution and/or service fees | 7,666 |
| Transfer agent fees | 41,090 |
| Compensation of board members | 103,330 |
| Compensation of chief compliance officer | 97 |
| Other expenses | 32,791 |
| Total liabilities | 8,845,623 |
| Net assets applicable to outstanding capital stock | $829,766,781 |
| Represented by | |
| Paid in capital | 856,113,726 |
| Undistributed net investment income | 7,148,089 |
| Accumulated net realized loss | (35,987,809) |
| Unrealized appreciation (depreciation) on: | |
| Investments - unaffiliated issuers | 2,474,779 |
| Investments - affiliated issuers | 2,065 |
| Futures contracts | 15,931 |
| Total - representing net assets applicable to outstanding capital stock | $829,766,781 |
| Class 1 | |
| Net assets | $792,531,741 |
| Shares outstanding | 84,501,784 |
| Net asset value per share | $9.38 |
| Class 2 | |
| Net assets | $37,235,040 |
| Shares outstanding | 3,981,560 |
| Net asset value per share | $9.35 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $196,002 |
| Interest | 9,661,540 |
| Total income | 9,857,542 |
| Expenses: | |
| Management services fees | 2,035,278 |
| Distribution and/or service fees | |
| Class 2 | 45,626 |
| Transfer agent fees | |
| Class 1 | 244,557 |
| Class 2 | 10,950 |
| Compensation of board members | 18,243 |
| Custodian fees | 4,888 |
| Printing and postage fees | 15,987 |
| Audit fees | 16,938 |
| Legal fees | 6,311 |
| Compensation of chief compliance officer | 93 |
| Other | 10,096 |
| Total expenses | 2,408,967 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (11,490) |
| Total net expenses | 2,397,477 |
| Net investment income | 7,460,065 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 2,708,956 |
| Investments — affiliated issuers | (5,190) |
| Futures contracts | (2,052,419) |
| Net realized gain | 651,347 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 4,550,741 |
| Investments — affiliated issuers | 3,217 |
| Futures contracts | (728,939) |
| Net change in unrealized appreciation (depreciation) | 3,825,019 |
| Net realized and unrealized gain | 4,476,366 |
| Net increase in net assets resulting from operations | $11,936,431 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017
| 11 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment income | $7,460,065 | $19,271,807 |
| Net realized gain (loss) | 651,347 | (5,892,546) |
| Net change in unrealized appreciation (depreciation) | 3,825,019 | 35,453,625 |
| Net increase in net assets resulting from operations | 11,936,431 | 48,832,886 |
| Distributions to shareholders | | |
| Net investment income | | |
| Class 1 | (18,436,074) | (34,867,916) |
| Class 2 | (778,122) | (1,100,650) |
| Total distributions to shareholders | (19,214,196) | (35,968,566) |
| Decrease in net assets from capital stock activity | (44,204,844) | (41,220,496) |
| Total decrease in net assets | (51,482,609) | (28,356,176) |
| Net assets at beginning of period | 881,249,390 | 909,605,566 |
| Net assets at end of period | $829,766,781 | $881,249,390 |
| Undistributed net investment income | $7,148,089 | $18,902,220 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 1,626,422 | 15,525,417 | 3,272,790 | 30,854,037 |
| Distributions reinvested | 1,965,466 | 18,436,074 | 3,733,182 | 34,867,916 |
| Redemptions | (8,407,158) | (80,160,508) | (12,643,977) | (119,493,410) |
| Net decrease | (4,815,270) | (46,199,017) | (5,638,005) | (53,771,457) |
| Class 2 | | | | |
| Subscriptions | 639,460 | 6,075,081 | 1,933,410 | 18,116,762 |
| Distributions reinvested | 83,133 | 778,122 | 118,095 | 1,100,650 |
| Redemptions | (511,331) | (4,859,030) | (707,791) | (6,666,451) |
| Net increase | 211,262 | 1,994,173 | 1,343,714 | 12,550,961 |
| Total net decrease | (4,604,008) | (44,204,844) | (4,294,291) | (41,220,496) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017
| 13 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income | Distributions
from net
realized
gains |
| Class 1 |
| 6/30/2017 (c) | $9.47 | 0.08 | 0.05 | 0.13 | (0.22) | — |
| 12/31/2016 | $9.34 | 0.20 | 0.31 | 0.51 | (0.38) | — |
| 12/31/2015 | $10.12 | 0.25 | (0.47) | (0.22) | (0.56) | — |
| 12/31/2014 | $10.45 | 0.21 | (0.14) | 0.07 | (0.19) | (0.21) |
| 12/31/2013 | $10.68 | 0.19 | (0.04) | 0.15 | (0.26) | (0.12) |
| 12/31/2012 | $10.35 | 0.26 | 0.38 | 0.64 | (0.31) | — |
| Class 2 |
| 6/30/2017 (c) | $9.43 | 0.07 | 0.05 | 0.12 | (0.20) | — |
| 12/31/2016 | $9.30 | 0.17 | 0.32 | 0.49 | (0.36) | — |
| 12/31/2015 | $10.07 | 0.22 | (0.45) | (0.23) | (0.54) | — |
| 12/31/2014 | $10.41 | 0.19 | (0.15) | 0.04 | (0.17) | (0.21) |
| 12/31/2013 | $10.64 | 0.16 | (0.04) | 0.12 | (0.23) | (0.12) |
| 12/31/2012 | $10.31 | 0.22 | 0.39 | 0.61 | (0.28) | — |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| (0.22) | $9.38 | 1.40% | 0.55% (d) | 0.55% (d) | 1.76% (d) | 49% | $792,532 |
| (0.38) | $9.47 | 5.53% | 0.55% | 0.55% | 2.14% | 102% | $845,695 |
| (0.56) | $9.34 | (2.31%) | 0.54% | 0.54% | 2.46% | 78% | $887,028 |
| (0.40) | $10.12 | 0.66% | 0.56% | 0.55% | 1.97% | 78% | $2,450,406 |
| (0.38) | $10.45 | 1.44% | 0.59% | 0.56% | 1.76% | 89% | $2,929,154 |
| (0.31) | $10.68 | 6.25% | 0.59% | 0.53% | 2.43% | 117% | $2,725,076 |
| |
| (0.20) | $9.35 | 1.26% | 0.81% (d) | 0.80% (d) | 1.52% (d) | 49% | $37,235 |
| (0.36) | $9.43 | 5.28% | 0.81% | 0.80% | 1.85% | 102% | $35,554 |
| (0.54) | $9.30 | (2.49%) | 0.80% | 0.79% | 2.29% | 78% | $22,577 |
| (0.38) | $10.07 | 0.31% | 0.81% | 0.80% | 1.83% | 78% | $20,712 |
| (0.35) | $10.41 | 1.19% | 0.84% | 0.81% | 1.51% | 89% | $9,481 |
| (0.28) | $10.64 | 6.05% | 0.84% | 0.78% | 2.13% | 117% | $6,521 |
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017
| 15 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Limited Duration Credit Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers Class 1 and Class 2 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Fund directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to the Fund. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Debt securities generally are valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized cost value, unless this method results in a valuation that management believes does not approximate market value.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
Futures and options on futures contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of transactions, at the mean of the latest quoted bid and ask prices.
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
| 16 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Derivative instruments
The Fund invests in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract; therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
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| 17 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In addition to considering counterparty credit risk, the Fund would consider terminating the derivatives contracts based on whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage the duration and yield curve exposure of the Fund versus the benchmark and to manage exposure to movements in interest rates. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Interest rate risk | Net assets — unrealized appreciation on futures contracts | 374,681* |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Interest rate risk | Net assets — unrealized depreciation on futures contracts | 358,750* |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
| 18 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Interest rate risk | (2,052,419) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Interest rate risk | (728,939) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 187,373,228 |
| Futures contracts — short | 175,228,751 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2017. |
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Interest income is recorded on an accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted.
The Fund may place a debt security on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Dividend income is recorded on the ex-dividend date.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its taxable income, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, because the Fund meets the exception under Internal Revenue Code Section 4982(f), the Fund expects not to be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
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| 19 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Distributions to subaccounts
Distributions to the subaccounts of Contracts, Qualified Plans and Qualified Investors are recorded at the close of business on the record date and are payable on the first business day following the record date. Dividends from net investment income, if any, are declared and distributed annually. Capital gains distributions, when available, will be made annually. However, an additional capital gain distribution may be made during the fiscal year in order to comply with the Internal Revenue Code, as applicable to registered investment companies. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. All dividends and distributions are reinvested in additional shares of the applicable share class of the Fund at the net asset value as of the ex-dividend date of the distribution.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.48% to 0.33% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2017 was 0.48% of the Fund’s average daily net assets.
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
| 20 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of the Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, the Fund no longer pays a transfer agency fee.
Distribution fees
The Fund has an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, the Fund pays a fee at an annual rate of up to 0.25% of the Fund’s average daily net assets attributable to Class 2 shares. The Fund pays no distribution and service fees for Class 1 shares.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | May 1, 2017
through
April 30, 2018 | Prior to
May 1, 2017 |
| Class 1 | 0.55% | 0.56% |
| Class 2 | 0.80 | 0.81 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
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| 21 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At June 30, 2017, the approximate cost of investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($) | Gross unrealized
appreciation ($) | Gross unrealized
(depreciation) ($) | Net unrealized
appreciation ($) |
| 823,689,000 | 4,280,000 | (1,803,000) | 2,477,000 |
The following capital loss carryforwards, determined at December 31, 2016, may be available to reduce taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. Capital loss carryforwards with no expiration are required to be utilized prior to any capital losses which carry an expiration date. As a result of this ordering rule, capital loss carryforwards which carry an expiration date may be more likely to expire unused.
| 2017 ($) | 2018 ($) | 2019 ($) | No expiration
short-term ($) | No expiration
long-term ($) | Total ($) |
| — | — | — | 19,996,692 | 16,020,062 | 36,016,754 |
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $394,002,044 and $498,611,015, respectively, for the six months ended June 30, 2017, of which $0 and $34,679,102, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
| 22 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Note 8. Significant risks
Credit risk
Credit risk is the risk that the value of debt securities in the Fund’s portfolio may decline because the issuer may default and fail to pay interest or repay principal when due. Rating agencies assign credit ratings to debt securities to indicate their credit risk. Lower rated or unrated debt securities held by the Fund may present increased credit risk as compared to higher-rated debt securities.
Interest rate risk
Interest rate risk is the risk of losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise. Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates.
Liquidity risk
Liquidity risk is the risk associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another, more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Shareholder concentration risk
At June 30, 2017, affiliated shareholders of record owned 100.0% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 9. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Note 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates
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| 23 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
| 24 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio - Limited Duration Credit Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as their history, reputation, expertise, resources and capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, the relatively recent change in the leadership of equity department oversight, and the various technological enhancements that had been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
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| 25 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed that the Fund’s investment performance met expectations.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by Columbia Threadneedle and discussed differences in how the products are managed and operated, noting no unreasonable differences in the levels of contractual management fees.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was somewhat higher than the median ratio, but lower than the 60th percentile of the Fund’s peer universe. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
| 26 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as the Fund grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017
| 27 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
| 28 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2017 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – Limited Duration Credit Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio – Emerging Markets Bond Fund
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 Insured • No bank guarantee • May lose value
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017
Fund at a Glance
(Unaudited)
Investment objective
Columbia Variable Portfolio – Emerging Markets Bond Fund (the Fund) seeks to provide shareholders with high total return through current income and, secondarily, through capital appreciation.
Portfolio management
Jim Carlen, CFA
Lead manager
Managed Fund since 2012
Christopher Cooke
Co-manager
Managed Fund since May 2017
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 1 | 04/30/12 | 7.36 | 7.89 | 4.75 | 4.29 |
| Class 2 | 04/30/12 | 7.35 | 7.67 | 4.51 | 4.06 |
| JPMorgan Emerging Markets Bond Index-Global | | 6.20 | 5.52 | 5.20 | 5.17 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The JPMorgan Emerging Markets Bond Index — Global is based on U.S. dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities, such as Brady bonds, Eurobonds and loans, and reflects reinvestment of all distributions and changes in market prices.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index
| 2 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
(Unaudited)
| Quality breakdown (%) (at June 30, 2017) |
| A rating | 7.3 |
| BBB rating | 20.9 |
| BB rating | 35.9 |
| B rating | 32.0 |
| CCC rating | 0.7 |
| CC rating | 3.2 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments (excluding Money Market Funds).
Bond ratings apply to the underlying holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the middle rating of Moody’s, S&P and Fitch, after dropping the highest and lowest available ratings. When ratings are available from only two rating agencies, the lower rating is used. When a rating is available from only one rating agency, that rating is used. When a bond is not rated by any rating agency, it is designated as “Not rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other country-specific factors as the direction and stance of fiscal policy, balance of payment trends and commodity prices, the level and structure of public debt as well as political stability and commitment to strong macroeconomic policies.
| Country breakdown (%) (at June 30, 2017) |
| Angola | 0.3 |
| Argentina | 7.6 |
| Azerbaijan | 1.0 |
| Belarus | 1.1 |
| Brazil | 6.2 |
| Chile | 0.5 |
| Colombia | 2.1 |
| Costa Rica | 1.1 |
| Croatia | 1.2 |
| Dominican Republic | 6.4 |
| Ecuador | 1.7 |
| Egypt | 2.7 |
| El Salvador | 0.7 |
| Gabon | 0.7 |
| Georgia | 0.5 |
| Ghana | 1.8 |
| Guatemala | 2.3 |
| Honduras | 0.8 |
| Hungary | 1.2 |
| India | 0.4 |
| Indonesia | 5.9 |
| Ivory Coast | 2.7 |
| Jamaica | 1.1 |
| Kazakhstan | 1.2 |
| Kuwait | 0.8 |
| Mexico | 14.7 |
| Morocco | 0.2 |
| Namibia | 0.5 |
| Nigeria | 0.5 |
| Pakistan | 1.3 |
| Paraguay | 0.9 |
| Peru | 3.6 |
| Russian Federation | 5.2 |
| Senegal | 1.1 |
| Serbia | 0.7 |
| Sri Lanka | 0.8 |
| Trinidad and Tobago | 1.0 |
| Tunisia | 0.3 |
| Turkey | 4.6 |
| Ukraine | 1.9 |
| United States(a) | 6.2 |
| Venezuela | 3.0 |
| Virgin Islands | 1.5 |
| Total | 100.0 |
| (a) | Includes investments in Money Market Funds. |
Country breakdown is based primarily on issuer’s place of organization/incorporation. Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Class 1 | 1,000.00 | 1,000.00 | 1,073.60 | 1,021.24 | 3.83 | 3.73 | 0.74 |
| Class 2 | 1,000.00 | 1,000.00 | 1,073.50 | 1,020.00 | 5.12 | 4.99 | 0.99 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
| 4 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017 |
Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Corporate Bonds & Notes(a) 14.0% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Brazil 0.8% |
| MARB BondCo PLC(b) |
| 03/15/2024 | 7.000% | | 800,000 | 773,150 |
| Marfrig Holdings Europe BV(b) |
| 06/08/2023 | 8.000% | | 600,000 | 609,566 |
| Total | 1,382,716 |
| Chile 0.5% |
| Cencosud SA(b) |
| 02/12/2045 | 6.625% | | 846,000 | 922,707 |
| Colombia 1.1% |
| Banco de Bogota SA(b) |
| Subordinated |
| 05/12/2026 | 6.250% | | 1,800,000 | 1,916,683 |
| Ghana 0.6% |
| Kosmos Energy Ltd.(b) |
| 08/01/2021 | 7.875% | | 575,000 | 583,423 |
| 08/01/2021 | 7.875% | | 487,000 | 495,602 |
| Total | 1,079,025 |
| Guatemala 1.8% |
| Agromercantil Senior Trust(b) |
| 04/10/2019 | 6.250% | | 246,000 | 254,531 |
| Comcel Trust(b) |
| 02/06/2024 | 6.875% | | 1,106,000 | 1,181,219 |
| Energuate Trust(b) |
| 05/03/2027 | 5.875% | | 1,100,000 | 1,132,518 |
| Industrial Senior Trust(b) |
| 11/01/2022 | 5.500% | | 543,000 | 553,613 |
| Total | 3,121,881 |
| India 0.4% |
| Adani Ports & Special Economic Zone Ltd.(b) |
| 07/30/2027 | 4.000% | | 650,000 | 644,008 |
| Mexico 5.8% |
| America Movil SAB de CV |
| 12/05/2022 | 6.450% | MXN | 10,860,000 | 565,351 |
| Banco Mercantil del Norte SA(b),(c) |
| Subordinated |
| 10/04/2031 | 5.750% | | 1,200,000 | 1,197,865 |
| BBVA Bancomer SA(b),(c) |
| Subordinated |
| 11/12/2029 | 5.350% | | 1,180,000 | 1,200,054 |
| Cemex SAB de CV(b) |
| 04/16/2026 | 7.750% | | 1,450,000 | 1,659,782 |
| Corporate Bonds & Notes(a) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Concesionaria Mexiquense SA de CV(b) |
| (linked to Mexican Unidad de Inversion Index) |
| 12/15/2035 | 5.950% | MXN | 9,984,455 | 531,534 |
| Elementia SAB de CV(b) |
| 01/15/2025 | 5.500% | | 1,280,000 | 1,302,351 |
| Grupo Posadas SAB de CV(b) |
| 06/30/2022 | 7.875% | | 1,376,000 | 1,423,593 |
| Grupo Televisa SAB |
| 05/14/2043 | 7.250% | MXN | 7,940,000 | 348,125 |
| Mexichem SAB de CV(b) |
| 09/17/2044 | 5.875% | | 326,000 | 326,216 |
| Unifin Financiera SAB de CV SOFOM ENR(b) |
| 01/15/2025 | 7.000% | | 1,600,000 | 1,579,622 |
| Total | 10,134,493 |
| Peru 1.2% |
| Cementos Pacasmayo SAA(b) |
| 02/08/2023 | 4.500% | | 150,000 | 153,241 |
| Union Andina de Cementos SAA(b) |
| 10/30/2021 | 5.875% | | 184,000 | 191,113 |
| Volcan Cia Minera SAA(b) |
| 02/02/2022 | 5.375% | | 1,800,000 | 1,851,712 |
| Total | 2,196,066 |
| Russian Federation 0.3% |
| Lukoil International Finance BV(b) |
| 11/02/2026 | 4.750% | | 600,000 | 614,448 |
| Ukraine 1.5% |
| Kernel Holding SA(b) |
| 01/31/2022 | 8.750% | | 1,150,000 | 1,232,754 |
| MHP SA(b) |
| 04/02/2020 | 8.250% | | 1,011,000 | 1,069,523 |
| 04/02/2020 | 8.250% | | 250,000 | 264,471 |
| Total | 2,566,748 |
Total Corporate Bonds & Notes
(Cost $24,556,128) | 24,578,775 |
|
| Foreign Government Obligations(a),(d) 78.2% |
| | | | |
| Angola 0.3% |
| Angolan Government International Bond(b) |
| 11/12/2025 | 9.500% | | 500,000 | 525,852 |
| Argentina 7.5% |
| Argentine Republic Government International Bond |
| 04/22/2021 | 6.875% | | 1,030,000 | 1,101,761 |
| 01/26/2022 | 5.625% | | 231,000 | 236,658 |
| 04/22/2026 | 7.500% | | 520,000 | 559,635 |
| 01/26/2027 | 6.875% | | 831,000 | 859,735 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017
| 5 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Foreign Government Obligations(a),(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 07/06/2028 | 6.625% | | 700,000 | 702,986 |
| 07/06/2036 | 7.125% | | 500,000 | 496,546 |
| Argentine Republic Government International Bond(c) |
| 12/31/2033 | 8.280% | | 1,219,774 | 1,326,358 |
| Argentine Republic Government International Bond(b) |
| 06/28/2117 | 7.125% | | 1,100,000 | 999,399 |
| Provincia de Buenos Aires(b) |
| 06/15/2027 | 7.875% | | 2,535,000 | 2,627,401 |
| Provincia de Cordoba(b) |
| 06/10/2021 | 7.125% | | 286,000 | 301,074 |
| 09/01/2024 | 7.450% | | 2,150,000 | 2,242,198 |
| Provincia de Cordoba(b),(e) |
| 08/01/2027 | 7.125% | | 1,800,000 | 1,794,555 |
| Total | 13,248,306 |
| Azerbaijan 1.0% |
| Southern Gas Corridor CJSC(b) |
| 03/24/2026 | 6.875% | | 1,600,000 | 1,735,070 |
| Belarus 1.0% |
| Republic of Belarus International Bond(b) |
| 02/28/2023 | 6.875% | | 700,000 | 713,764 |
| 06/29/2027 | 7.625% | | 1,100,000 | 1,122,308 |
| Total | 1,836,072 |
| Brazil 5.4% |
| Brazil Minas SPE via State of Minas Gerais(b) |
| 02/15/2028 | 5.333% | | 300,000 | 292,832 |
| Brazil Notas do Tesouro Nacional Series F |
| 01/01/2025 | 10.000% | BRL | 8,000,000 | 2,361,799 |
| Brazilian Government International Bond |
| 01/07/2041 | 5.625% | | 2,750,000 | 2,639,791 |
| Petrobras Global Finance BV |
| 01/27/2021 | 5.375% | | 1,175,000 | 1,196,798 |
| 05/23/2021 | 8.375% | | 1,700,000 | 1,906,021 |
| 05/23/2026 | 8.750% | | 600,000 | 690,898 |
| 01/17/2027 | 7.375% | | 360,000 | 381,353 |
| Total | 9,469,492 |
| Colombia 1.0% |
| Colombia Government International Bond |
| 02/26/2044 | 5.625% | | 336,000 | 367,299 |
| Ecopetrol SA |
| 01/16/2025 | 4.125% | | 326,000 | 319,648 |
| 09/18/2043 | 7.375% | | 920,000 | 993,615 |
| Total | 1,680,562 |
| Foreign Government Obligations(a),(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Costa Rica 1.1% |
| Costa Rica Government International Bond(b) |
| 03/12/2045 | 7.158% | | 1,774,000 | 1,861,902 |
| Croatia 1.2% |
| Croatia Government International Bond(b) |
| 01/26/2024 | 6.000% | | 1,361,000 | 1,524,455 |
| Hrvatska Elektroprivreda(b) |
| 10/23/2022 | 5.875% | | 600,000 | 651,919 |
| Total | 2,176,374 |
| Dominican Republic 6.4% |
| Banco de Reservas de la Republica Dominicana(b) |
| Subordinated |
| 02/01/2023 | 7.000% | | 1,287,000 | 1,341,130 |
| Dominican Republic International Bond(b) |
| 07/05/2019 | 14.500% | DOP | 37,990,000 | 872,605 |
| 01/08/2021 | 14.000% | DOP | 29,158,000 | 678,318 |
| 01/29/2026 | 6.875% | | 1,600,000 | 1,783,336 |
| 01/25/2027 | 5.950% | | 2,025,000 | 2,113,006 |
| 04/20/2027 | 8.625% | | 2,410,000 | 2,863,764 |
| 04/30/2044 | 7.450% | | 1,086,000 | 1,239,449 |
| 01/27/2045 | 6.850% | | 271,000 | 289,022 |
| Total | 11,180,630 |
| Ecuador 1.7% |
| Ecuador Government International Bond(b) |
| 03/24/2020 | 10.500% | | 1,021,000 | 1,071,972 |
| 03/28/2022 | 10.750% | | 1,300,000 | 1,385,798 |
| 12/13/2026 | 9.650% | | 500,000 | 500,637 |
| Total | 2,958,407 |
| Egypt 1.9% |
| Egypt Government International Bond(b) |
| 06/11/2025 | 5.875% | | 400,000 | 390,679 |
| 01/31/2027 | 7.500% | | 1,000,000 | 1,061,552 |
| 04/30/2040 | 6.875% | | 900,000 | 853,451 |
| 01/31/2047 | 8.500% | | 900,000 | 970,402 |
| Total | 3,276,084 |
| El Salvador 0.7% |
| El Salvador Government International Bond(b) |
| 01/18/2027 | 6.375% | | 598,000 | 540,345 |
| 04/10/2032 | 8.250% | | 412,000 | 409,824 |
| 06/15/2035 | 7.650% | | 270,000 | 253,663 |
| Total | 1,203,832 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Foreign Government Obligations(a),(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Gabon 0.7% |
| Gabon Government International Bond(b) |
| 12/12/2024 | 6.375% | | 783,882 | 762,471 |
| 06/16/2025 | 6.950% | | 500,000 | 496,342 |
| Total | 1,258,813 |
| Georgia 0.5% |
| Georgian Railway JSC(b) |
| 07/11/2022 | 7.750% | | 789,000 | 866,282 |
| Ghana 1.2% |
| Ghana Government International Bond(b) |
| 10/14/2030 | 10.750% | | 1,700,000 | 2,103,565 |
| Guatemala 0.5% |
| Guatemala Government Bond(b) |
| 05/03/2026 | 4.500% | | 650,000 | 657,189 |
| 02/13/2028 | 4.875% | | 200,000 | 206,219 |
| Total | 863,408 |
| Honduras 0.8% |
| Honduras Government International Bond(b) |
| 03/15/2024 | 7.500% | | 800,000 | 885,062 |
| 01/19/2027 | 6.250% | | 500,000 | 515,948 |
| Total | 1,401,010 |
| Hungary 1.2% |
| Hungary Government International Bond |
| 11/22/2023 | 5.750% | | 284,000 | 324,644 |
| 03/29/2041 | 7.625% | | 868,000 | 1,292,762 |
| Magyar Export-Import Bank Zrt.(b) |
| 02/12/2018 | 5.500% | | 508,000 | 519,053 |
| Total | 2,136,459 |
| Indonesia 5.8% |
| Indonesia Government International Bond(b) |
| 01/08/2026 | 4.750% | | 1,300,000 | 1,397,025 |
| 01/17/2038 | 7.750% | | 1,986,000 | 2,747,407 |
| 01/17/2038 | 7.750% | | 500,000 | 691,694 |
| 01/15/2045 | 5.125% | | 300,000 | 320,878 |
| PT Pertamina Persero(b) |
| 05/03/2042 | 6.000% | | 1,335,000 | 1,443,418 |
| PT Perusahaan Listrik Negara(b) |
| 11/22/2021 | 5.500% | | 3,311,000 | 3,613,082 |
| Total | 10,213,504 |
| Foreign Government Obligations(a),(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Ivory Coast 2.7% |
| Ivory Coast Government International Bond(b) |
| 07/23/2024 | 5.375% | | 946,000 | 922,593 |
| 07/23/2024 | 5.375% | | 300,000 | 292,577 |
| 06/15/2025 | 5.125% | EUR | 367,000 | 423,361 |
| 03/03/2028 | 6.375% | | 2,272,000 | 2,292,936 |
| 06/15/2033 | 6.125% | | 487,000 | 468,379 |
| Ivory Coast Government International Bond(b),(c) |
| 12/31/2032 | 5.750% | | 319,480 | 306,731 |
| Total | 4,706,577 |
| Jamaica 1.1% |
| Jamaica Government International Bond |
| 04/28/2028 | 6.750% | | 750,000 | 849,837 |
| 03/15/2039 | 8.000% | | 300,000 | 353,456 |
| 07/28/2045 | 7.875% | | 600,000 | 706,510 |
| Total | 1,909,803 |
| Kazakhstan 1.2% |
| Kazakhstan Government International Bond(b) |
| 07/21/2025 | 5.125% | | 450,000 | 488,428 |
| 07/21/2045 | 6.500% | | 300,000 | 355,665 |
| KazMunayGas National Co. JSC(b) |
| 07/02/2018 | 9.125% | | 154,000 | 162,985 |
| 05/05/2020 | 7.000% | | 1,062,000 | 1,154,782 |
| Total | 2,161,860 |
| Kuwait 0.7% |
| Equate Petrochemical BV(b) |
| 11/03/2026 | 4.250% | | 1,300,000 | 1,317,042 |
| Mexico 8.8% |
| Banco Nacional de Comercio Exterior SNC(b) |
| 10/14/2025 | 4.375% | | 1,100,000 | 1,139,078 |
| Banco Nacional de Comercio Exterior SNC(b),(c) |
| Subordinated |
| 08/11/2026 | 3.800% | | 600,000 | 601,436 |
| Comision Federal de Electricidad(b) |
| 06/16/2045 | 6.125% | | 700,000 | 747,984 |
| Mexican Bonos |
| 06/09/2022 | 6.500% | MXN | 92,415,900 | 5,063,391 |
| Mexico City Airport Trust(b) |
| 10/31/2026 | 4.250% | | 900,000 | 920,956 |
| Mexico Government International Bond |
| 01/23/2046 | 4.600% | | 543,000 | 530,465 |
| Petroleos Mexicanos(b) |
| 09/12/2024 | 7.190% | MXN | 600,000 | 29,633 |
| 03/13/2027 | 6.500% | | 900,000 | 966,744 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017
| 7 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Foreign Government Obligations(a),(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Petroleos Mexicanos |
| 01/23/2026 | 4.500% | | 299,000 | 290,378 |
| 08/04/2026 | 6.875% | | 1,000,000 | 1,106,892 |
| 11/12/2026 | 7.470% | MXN | 4,700,000 | 228,915 |
| 06/02/2041 | 6.500% | | 3,844,000 | 3,827,167 |
| Total | 15,453,039 |
| Morocco 0.3% |
| Morocco Government International Bond(b) |
| 12/11/2022 | 4.250% | | 418,000 | 437,166 |
| Namibia 0.5% |
| Namibia International Bonds(b) |
| 11/03/2021 | 5.500% | | 885,000 | 953,087 |
| Nigeria 0.5% |
| Nigeria Government International Bond(b) |
| 02/16/2032 | 7.875% | | 800,000 | 867,716 |
| Pakistan 1.2% |
| Pakistan Government International Bond(b) |
| 04/15/2024 | 8.250% | | 800,000 | 907,532 |
| 03/31/2036 | 7.875% | | 700,000 | 727,589 |
| Second Pakistan International Sukuk Co., Ltd. (The)(b) |
| 12/03/2019 | 6.750% | | 532,000 | 561,089 |
| Total | 2,196,210 |
| Paraguay 0.9% |
| Paraguay Government International Bond(b) |
| 03/27/2027 | 4.700% | | 424,000 | 435,013 |
| 08/11/2044 | 6.100% | | 1,007,000 | 1,119,526 |
| Total | 1,554,539 |
| Peru 2.3% |
| Corporacion Financiera de Desarrollo SA(b) |
| 07/15/2019 | 3.250% | | 400,000 | 407,387 |
| Peruvian Government International Bond(b) |
| 08/12/2028 | 6.350% | PEN | 11,300,000 | 3,689,080 |
| Total | 4,096,467 |
| Russian Federation 4.8% |
| Gazprom Neft OAO Via GPN Capital SA(b) |
| 09/19/2022 | 4.375% | | 1,266,000 | 1,288,358 |
| Gazprom OAO Via Gaz Capital SA(b) |
| 03/07/2022 | 6.510% | | 400,000 | 441,930 |
| 02/06/2028 | 4.950% | | 600,000 | 603,422 |
| 08/16/2037 | 7.288% | | 1,096,000 | 1,301,550 |
| Russian Agricultural Bank OJSC Via RSHB Capital SA(b) |
| 12/27/2017 | 5.298% | | 814,000 | 824,526 |
| Russian Federal Bond - OFZ |
| 01/19/2028 | 7.050% | RUB | 106,000,000 | 1,712,083 |
| Foreign Government Obligations(a),(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Russian Foreign Bond - Eurobond(b) |
| 04/04/2022 | 4.500% | | 200,000 | 211,018 |
| 04/04/2042 | 5.625% | | 800,000 | 866,160 |
| Vnesheconombank Via VEB Finance PLC(b) |
| 11/21/2023 | 5.942% | | 800,000 | 857,138 |
| 11/22/2025 | 6.800% | | 354,000 | 392,823 |
| Total | 8,499,008 |
| Senegal 1.1% |
| Senegal Government International Bond(b) |
| 07/30/2024 | 6.250% | | 1,019,000 | 1,074,720 |
| 05/23/2033 | 6.250% | | 900,000 | 911,761 |
| Total | 1,986,481 |
| Serbia 0.7% |
| Serbia International Bond(b) |
| 12/03/2018 | 5.875% | | 342,000 | 358,210 |
| 09/28/2021 | 7.250% | | 700,000 | 807,140 |
| Total | 1,165,350 |
| Sri Lanka 0.8% |
| Sri Lanka Government International Bond(b) |
| 07/18/2026 | 6.825% | | 800,000 | 841,676 |
| 05/11/2027 | 6.200% | | 550,000 | 548,970 |
| Total | 1,390,646 |
| Trinidad and Tobago 0.9% |
| Petroleum Co. of Trinidad & Tobago Ltd.(b) |
| 08/14/2019 | 9.750% | | 1,611,000 | 1,663,254 |
| Tunisia 0.3% |
| Banque Centrale de Tunisie International Bond(b) |
| 01/30/2025 | 5.750% | | 597,000 | 572,681 |
| Turkey 4.6% |
| Export Credit Bank of Turkey(b) |
| 04/24/2019 | 5.875% | | 467,000 | 484,739 |
| 09/23/2021 | 5.000% | | 418,000 | 424,716 |
| Turkey Government International Bond |
| 03/30/2021 | 5.625% | | 1,655,000 | 1,754,777 |
| 03/25/2022 | 5.125% | | 250,000 | 259,415 |
| 09/26/2022 | 6.250% | | 250,000 | 271,570 |
| 04/14/2026 | 4.250% | | 247,000 | 234,215 |
| 03/25/2027 | 6.000% | | 2,600,000 | 2,764,375 |
| 03/17/2036 | 6.875% | | 1,132,000 | 1,270,775 |
| 02/17/2045 | 6.625% | | 560,000 | 617,143 |
| Total | 8,081,725 |
| Ukraine 0.4% |
| Ukraine Government International Bond(b) |
| 09/01/2024 | 7.750% | | 800,000 | 783,578 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Foreign Government Obligations(a),(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Venezuela 3.0% |
| Petroleos de Venezuela SA(b) |
| 11/17/2021 | 9.000% | | 2,619,769 | 1,280,412 |
| 05/16/2024 | 6.000% | | 9,359,928 | 3,509,973 |
| 11/15/2026 | 6.000% | | 1,106,640 | 406,690 |
| Total | 5,197,075 |
| Virgin Islands 1.5% |
| State Grid Overseas Investment 2016 Ltd.(b) |
| 05/04/2027 | 3.500% | | 2,700,000 | 2,693,879 |
Total Foreign Government Obligations
(Cost $134,527,066) | 137,682,807 |
|
| Treasury Bills(a) 0.8% |
| Issuer | Effective
Yield | | Principal
Amount ($) | Value ($) |
| Egypt 0.8% |
| Egypt Treasury Bills |
| 06/12/2018 | 20.570% | EGP | 32,000,000 | 1,477,178 |
Total Treasury Bills
(Cost $1,480,892) | 1,477,178 |
| Money Market Funds 6.1% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(f),(g) | 10,774,122 | 10,774,122 |
Total Money Market Funds
(Cost $10,773,698) | 10,774,122 |
Total Investments
(Cost $171,337,784) | 174,512,882 |
| Other Assets & Liabilities, Net | | 1,614,009 |
| Net Assets | $176,126,891 |
At June 30, 2017, securities and/or cash totaling $115,100 were pledged as collateral.
Investments in derivatives
| Forward foreign currency exchange contracts open at June 30, 2017 |
| Counterparty | Exchange
date | Currency to
be delivered | Currency to
be received | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Citi | 7/3/2017 | 11,790,000 CNH | 1,720,502 USD | — | (18,397) |
| Citi | 7/3/2017 | 1,734,206 USD | 11,790,000 CNH | 4,694 | — |
| Credit Suisse | 7/31/2017 | 367,000 EUR | 411,115 USD | — | (8,668) |
| Standard Chartered | 8/2/2017 | 7,830,000 BRL | 2,345,505 USD | — | (2,807) |
| Total | | | | 4,694 | (29,872) |
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| U.S. Treasury 10-Year Note | 31 | USD | 3,891,469 | 09/2017 | — | (9,256) |
| U.S. Ultra Bond | 17 | USD | 2,819,875 | 09/2017 | 42,740 | — |
| Total | | | 6,711,344 | | 42,740 | (9,256) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017
| 9 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Notes to Portfolio of Investments
| (a) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
| (b) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At June 30, 2017, the value of these securities amounted to $121,748,435, which represents 69.13% of net assets. |
| (c) | Variable rate security. |
| (d) | Principal and interest may not be guaranteed by the government. |
| (e) | Represents a security purchased on a when-issued basis. |
| (f) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (g) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 12,146,215 | 36,924,663 | (38,296,756) | 10,774,122 | (314) | 42,064 | 10,774,122 |
Currency Legend
| BRL | Brazilian Real |
| CNH | Yuan Offshore Renminbi |
| DOP | Dominican Republic Peso |
| EGP | Egyptian Pound |
| EUR | Euro |
| MXN | Mexican Peso |
| PEN | Peruvian New Sol |
| RUB | Russia Ruble |
| USD | US Dollar |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Corporate Bonds & Notes | — | 24,578,775 | — | — | 24,578,775 |
| Foreign Government Obligations | — | 137,682,807 | — | — | 137,682,807 |
| Treasury Bills | — | 1,477,178 | — | — | 1,477,178 |
| Money Market Funds | — | — | — | 10,774,122 | 10,774,122 |
| Total Investments | — | 163,738,760 | — | 10,774,122 | 174,512,882 |
| Derivatives | | | | | |
| Asset | | | | | |
| Forward Foreign Currency Exchange Contracts | — | 4,694 | — | — | 4,694 |
| Futures Contracts | 42,740 | — | — | — | 42,740 |
| Liability | | | | | |
| Forward Foreign Currency Exchange Contracts | — | (29,872) | — | — | (29,872) |
| Futures Contracts | (9,256) | — | — | — | (9,256) |
| Total | 33,484 | 163,713,582 | — | 10,774,122 | 174,521,188 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
Derivative instruments are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between Levels 1 and 2 during the period.
Financial assets were transferred from Level 3 to Level 2 as observable market inputs were utilized and management determined that there was sufficient, reliable and observable market data to value these assets as of period end.
Transfers between Levels are determined based on the fair value at the beginning of the period for security positions held throughout the period.
The following table is a reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
| Investments in securities | Balance
as of
12/31/2016
($) | Increase
(decrease)
in accrued
discounts/
premiums
($) | Realized
gain (loss)
($) | Change
in unrealized
appreciation
(depreciation)
($) | Purchases
($) | Sales
($) | Transfers
into
Level 3
($) | Transfers
out of
Level 3
($) | Balance
as of
06/30/2017
($) |
| Foreign Government Obligations | 1,596,794 | — | — | — | — | — | | (1,596,794) | — |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017
| 11 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $160,564,086 |
| Affiliated issuers, at cost | 10,773,698 |
| Total investments, at cost | 171,337,784 |
| Investments, at value | |
| Unaffiliated issuers, at value | 163,738,760 |
| Affiliated issuers, at value | 10,774,122 |
| Total investments, at value | 174,512,882 |
| Cash | 59,683 |
| Foreign currency (identified cost $8,151) | 8,175 |
| Margin deposits | 115,100 |
| Unrealized appreciation on forward foreign currency exchange contracts | 4,694 |
| Receivable for: | |
| Investments sold | 2,391,201 |
| Capital shares sold | 118,194 |
| Dividends | 8,365 |
| Interest | 2,705,695 |
| Foreign tax reclaims | 12,847 |
| Prepaid expenses | 1 |
| Total assets | 179,936,837 |
| Liabilities | |
| Unrealized depreciation on forward foreign currency exchange contracts | 29,872 |
| Payable for: | |
| Investments purchased | 1,764,588 |
| Investments purchased on a delayed delivery basis | 1,799,838 |
| Capital shares purchased | 29,296 |
| Variation margin for futures contracts | 20,406 |
| Management services fees | 85,906 |
| Distribution and/or service fees | 14,154 |
| Transfer agent fees | 8,590 |
| Compensation of board members | 26,623 |
| Compensation of chief compliance officer | 19 |
| Other expenses | 30,654 |
| Total liabilities | 3,809,946 |
| Net assets applicable to outstanding capital stock | $176,126,891 |
| Represented by | |
| Paid in capital | 183,610,634 |
| Undistributed net investment income | 1,681,860 |
| Accumulated net realized loss | (12,341,412) |
| Unrealized appreciation (depreciation) on: | |
| Investments - unaffiliated issuers | 3,174,674 |
| Investments - affiliated issuers | 424 |
| Foreign currency translations | (7,595) |
| Forward foreign currency exchange contracts | (25,178) |
| Futures contracts | 33,484 |
| Total - representing net assets applicable to outstanding capital stock | $176,126,891 |
| Class 1 | |
| Net assets | $105,004,314 |
| Shares outstanding | 10,547,942 |
| Net asset value per share | $9.95 |
| Class 2 | |
| Net assets | $71,122,577 |
| Shares outstanding | 7,149,908 |
| Net asset value per share | $9.95 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $42,064 |
| Interest | 5,130,170 |
| Foreign taxes withheld | (16,542) |
| Total income | 5,155,692 |
| Expenses: | |
| Management services fees | 473,371 |
| Distribution and/or service fees | |
| Class 2 | 68,899 |
| Transfer agent fees | |
| Class 1 | 30,801 |
| Class 2 | 16,535 |
| Compensation of board members | 7,744 |
| Custodian fees | 13,867 |
| Printing and postage fees | 6,787 |
| Audit fees | 20,819 |
| Legal fees | 3,634 |
| Compensation of chief compliance officer | 15 |
| Other | 10,497 |
| Total expenses | 652,969 |
| Net investment income | 4,502,723 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (361,808) |
| Investments — affiliated issuers | (314) |
| Foreign currency translations | 13,623 |
| Forward foreign currency exchange contracts | (429,120) |
| Futures contracts | 132,852 |
| Net realized loss | (644,767) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 7,049,309 |
| Investments — affiliated issuers | 510 |
| Foreign currency translations | (6,879) |
| Forward foreign currency exchange contracts | 3,048 |
| Futures contracts | 66,241 |
| Net change in unrealized appreciation (depreciation) | 7,112,229 |
| Net realized and unrealized gain | 6,467,462 |
| Net increase in net assets resulting from operations | $10,970,185 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017
| 13 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment income | $4,502,723 | $7,115,913 |
| Net realized loss | (644,767) | (3,545,559) |
| Net change in unrealized appreciation (depreciation) | 7,112,229 | 8,073,823 |
| Net increase in net assets resulting from operations | 10,970,185 | 11,644,177 |
| Distributions to shareholders | | |
| Net investment income | | |
| Class 1 | (2,559,689) | (2,557,962) |
| Class 2 | (1,401,447) | (615,207) |
| Total distributions to shareholders | (3,961,136) | (3,173,169) |
| Increase in net assets from capital stock activity | 29,562,819 | 26,771,759 |
| Total increase in net assets | 36,571,868 | 35,242,767 |
| Net assets at beginning of period | 139,555,023 | 104,312,256 |
| Net assets at end of period | $176,126,891 | $139,555,023 |
| Undistributed net investment income | $1,681,860 | $1,140,273 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 60,026 | 590,953 | 157,021 | 1,505,646 |
| Distributions reinvested | 260,143 | 2,559,689 | 279,720 | 2,557,962 |
| Redemptions | (177,388) | (1,753,277) | (26,331) | (249,244) |
| Net increase | 142,781 | 1,397,365 | 410,410 | 3,814,364 |
| Class 2 | | | | |
| Subscriptions | 2,840,069 | 27,983,002 | 3,007,172 | 28,848,042 |
| Distributions reinvested | 142,461 | 1,401,447 | 66,808 | 615,207 |
| Redemptions | (124,238) | (1,218,995) | (682,475) | (6,505,854) |
| Net increase | 2,858,292 | 28,165,454 | 2,391,505 | 22,957,395 |
| Total net increase | 3,001,073 | 29,562,819 | 2,801,915 | 26,771,759 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017
| 15 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income | Distributions
from net
realized
gains |
| Class 1 |
| 6/30/2017 (c) | $9.50 | 0.28 | 0.42 | 0.70 | (0.25) | — |
| 12/31/2016 | $8.77 | 0.55 | 0.43 | 0.98 | (0.25) | — |
| 12/31/2015 | $9.01 | 0.52 | (0.61) | (0.09) | (0.15) | — |
| 12/31/2014 | $9.41 | 0.57 | (0.39) | 0.18 | (0.53) | (0.05) |
| 12/31/2013 | $10.88 | 0.56 | (1.37) | (0.81) | (0.60) | (0.06) |
| 12/31/2012 (e) | $10.00 | 0.35 | 0.80 | 1.15 | (0.27) | — |
| Class 2 |
| 6/30/2017 (c) | $9.49 | 0.27 | 0.42 | 0.69 | (0.23) | — |
| 12/31/2016 | $8.76 | 0.53 | 0.43 | 0.96 | (0.23) | — |
| 12/31/2015 | $9.02 | 0.49 | (0.60) | (0.11) | (0.15) | — |
| 12/31/2014 | $9.43 | 0.55 | (0.40) | 0.15 | (0.51) | (0.05) |
| 12/31/2013 | $10.88 | 0.54 | (1.36) | (0.82) | (0.57) | (0.06) |
| 12/31/2012 (e) | $10.00 | 0.32 | 0.81 | 1.13 | (0.25) | — |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests, if any. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Based on operations from April 30, 2012 (fund commencement of operations) through the stated period end. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| (0.25) | $9.95 | 7.36% | 0.74% (d) | 0.74% (d) | 5.78% (d) | 20% | $105,004 |
| (0.25) | $9.50 | 11.34% | 0.75% | 0.75% | 5.92% | 26% | $98,824 |
| (0.15) | $8.77 | (1.03%) | 0.75% | 0.75% | 5.77% | 64% | $87,659 |
| (0.58) | $9.01 | 1.81% | 0.71% | 0.71% | 5.93% | 30% | $184,984 |
| (0.66) | $9.41 | (7.54%) | 0.69% | 0.69% | 5.50% | 21% | $287,061 |
| (0.27) | $10.88 | 11.58% | 0.70% (d) | 0.70% (d) | 5.09% (d) | 21% | $416,903 |
| |
| (0.23) | $9.95 | 7.35% | 0.99% (d) | 0.99% (d) | 5.58% (d) | 20% | $71,123 |
| (0.23) | $9.49 | 11.07% | 1.01% | 1.01% | 5.63% | 26% | $40,731 |
| (0.15) | $8.76 | (1.31%) | 1.01% | 1.01% | 5.49% | 64% | $16,653 |
| (0.56) | $9.02 | 1.44% | 0.96% | 0.96% | 5.75% | 30% | $11,708 |
| (0.63) | $9.43 | (7.65%) | 0.95% | 0.95% | 5.68% | 21% | $4,249 |
| (0.25) | $10.88 | 11.42% | 0.95% (d) | 0.95% (d) | 4.64% (d) | 21% | $3 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017
| 17 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Emerging Markets Bond Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a non-diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers Class 1 and Class 2 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Fund directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to the Fund. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Debt securities generally are valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized cost value, unless this method results in a valuation that management believes does not approximate market value.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
Forward foreign currency exchange contracts are marked-to-market based upon foreign currency exchange rates provided by a pricing service.
Futures and options on futures contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of transactions, at the mean of the latest quoted bid and ask prices.
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
| 18 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Foreign currency transactions and translations
The values of all assets and liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains (losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes, the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Derivative instruments
The Fund invests in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract; therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instrument’s payables and/or receivables
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017
| 19 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In addition to considering counterparty credit risk, the Fund would consider terminating the derivatives contracts based on whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Forward foreign currency exchange contracts
Forward foreign currency exchange contracts are over-the-counter agreements between two parties to buy and sell a currency at a set price on a future date. The Fund utilized forward foreign currency exchange contracts to hedge the currency exposure associated with some or all of the Fund’s securities, to shift foreign currency exposure back to U.S. dollars and to shift investment exposure from one currency to another. These instruments may be used for other purposes in future periods.
The values of forward foreign currency exchange contracts fluctuate daily with changes in foreign currency exchange rates. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract is exercised or has expired. The Fund will realize a gain or loss when the forward foreign currency exchange contract is closed or expires.
The use of forward foreign currency exchange contracts does not eliminate fluctuations in the prices of the Fund’s portfolio securities. The risks of forward foreign currency exchange contracts include movement in the values of the foreign currencies relative to the U.S. dollar (or other foreign currencies) and the possibility that counterparties will not complete their contractual obligations, which may be in excess of the amount reflected, if any, in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage the duration and yield curve exposure of the Fund versus the benchmark and to manage exposure to movements in interest rates. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
| 20 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Upon entering into a futures contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 4,694 |
| Interest rate risk | Net assets — unrealized appreciation on futures contracts | 42,740* |
| Total | | 47,434 |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 29,872 |
| Interest rate risk | Net assets — unrealized depreciation on futures contracts | 9,256* |
| Total | | 39,128 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017
| 21 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Total
($) |
| Foreign exchange risk | (429,120) | — | (429,120) |
| Interest rate risk | — | 132,852 | 132,852 |
| Total | (429,120) | 132,852 | (296,268) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Total
($) |
| Foreign exchange risk | 3,048 | — | 3,048 |
| Interest rate risk | — | 66,241 | 66,241 |
| Total | 3,048 | 66,241 | 69,289 |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 6,713,985 |
| Derivative instrument | Average unrealized
appreciation ($)* | Average unrealized
depreciation ($)* |
| Forward foreign currency exchange contracts | 85,962 | (230,529) |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2017. |
Delayed delivery securities
The Fund may trade securities on other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
Treasury inflation protected securities
The Fund may invest in treasury inflation protected securities (TIPS). The principal amount of TIPS is adjusted periodically and is increased for inflation or decreased for deflation based on a monthly published index. These adjustments are recorded as interest income in the Statement of Operations. Coupon payments are based on the adjusted principal at the time the interest is paid.
| 22 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Offsetting of assets and liabilities
The following table presents the Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of June 30, 2017:
| | Citi ($) | Credit
Suisse ($) | Standard
Chartered ($) | Total ($) |
| Assets | | | | |
| Forward foreign currency exchange contracts | 4,694 | - | - | 4,694 |
| Liabilities | | | | |
| Forward foreign currency exchange contracts | 18,397 | 8,668 | 2,807 | 29,872 |
| Total financial and derivative net assets | (13,703) | (8,668) | (2,807) | (25,178) |
| Total collateral received (pledged) (a) | - | - | - | - |
| Net amount (b) | (13,703) | (8,668) | (2,807) | (25,178) |
| (a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (b) | Represents the net amount due from/(to) counterparties in the event of default. |
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Interest income is recorded on an accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted.
The Fund may place a debt security on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Dividend income is recorded on the ex-dividend date.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its taxable income, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, because the Fund meets the exception under Internal Revenue Code Section 4982(f), the Fund expects not to be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017
| 23 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Distributions to subaccounts
Distributions to the subaccounts of Contracts, Qualified Plans and Qualified Investors are recorded at the close of business on the record date and are payable on the first business day following the record date. Dividends from net investment income, if any, are declared and distributed quarterly. Capital gains distributions, when available, will be made annually. However, an additional capital gain distribution may be made during the fiscal year in order to comply with the Internal Revenue Code, as applicable to registered investment companies. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. All dividends and distributions are reinvested in additional shares of the applicable share class of the Fund at the net asset value as of the ex-dividend date of the distribution.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.600% to 0.393% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2017 was 0.600% of the Fund’s average daily net assets.
Participating Affiliates
The Investment Manager and its investment advisory affiliates (Participating Affiliates) around the world may coordinate in providing services to their clients. From time to time the Investment Manager (or any affiliated investment subadviser to the Fund, as the case may be) may engage its Participating Affiliates to provide a variety of services such as investment research, investment monitoring, trading and discretionary investment management (including portfolio management) to certain accounts managed by the Investment Manager, including the Fund. These Participating Affiliates will provide services to the Investment Manager (or any affiliated investment subadviser to the Fund as the case may be) either pursuant to subadvisory agreements, personnel-sharing agreements or similar inter-company arrangements and the Fund will pay no additional fees and expenses as a result of any such arrangements.
These Participating Affiliates, like the Investment Manager, are direct or indirect subsidiaries of Ameriprise Financial and are registered with appropriate respective regulators in their home jurisdictions and, where required, the Securities and Exchange Commission and the Commodity Futures Trading Commission in the United States.
| 24 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Pursuant to some of these arrangements, certain employees of these Participating Affiliates may serve as "associated persons" of the Investment Manager and, in this capacity, subject to the oversight and supervision of the Investment Manager and consistent with the investment objectives, policies and limitations set forth in the Fund’s prospectus and Statement of Additional Information (SAI), may provide such services to the Fund on behalf of the Investment Manager.
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of the Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, the Fund no longer pays a transfer agency fee.
Distribution fees
The Fund has an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, the Fund pays a fee at an annual rate of up to 0.25% of the Fund’s average daily net assets attributable to Class 2 shares. The Fund pays no distribution and service fees for Class 1 shares.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017
| 25 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | Fee rates contractual
through
April 30, 2018 |
| Class 1 | 0.89% |
| Class 2 | 1.14 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At June 30, 2017, the approximate cost of investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($) | Gross unrealized
appreciation ($) | Gross unrealized
(depreciation) ($) | Net unrealized
appreciation ($) |
| 171,338,000 | 6,227,000 | (3,052,000) | 3,175,000 |
The following capital loss carryforwards, determined at December 31, 2016, may be available to reduce taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. Capital loss carryforwards with no expiration are required to be utilized prior to any capital losses which carry an expiration date. As a result of this ordering rule, capital loss carryforwards which carry an expiration date may be more likely to expire unused.
| 2017 ($) | 2018 ($) | 2019 ($) | No expiration
short-term ($) | No expiration
long-term ($) | Total ($) |
| — | — | — | 1,417,058 | 10,191,548 | 11,608,606 |
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $61,453,345 and $29,605,246, respectively, for the six months ended June 30, 2017. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
| 26 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
Note 8. Significant risks
Credit risk
Credit risk is the risk that the value of debt securities in the Fund’s portfolio may decline because the issuer may default and fail to pay interest or repay principal when due. Rating agencies assign credit ratings to debt securities to indicate their credit risk. Lower rated or unrated debt securities held by the Fund may present increased credit risk as compared to higher-rated debt securities.
Foreign securities and emerging market countries risk
Investing in foreign securities may include certain risks and considerations not typically associated with investing in U.S. securities, such as fluctuating currency values and changing local and regional economic, political and social conditions, which may result in greater market volatility. In addition, certain foreign securities may not be as liquid as U.S. securities. Investing in emerging markets may accentuate these risks. These countries are also more likely to experience high levels of inflation, deflation or currency devaluation which could hurt their economies and securities markets. To the extent that the Fund concentrates its investment exposure to any one or a few specific countries, the Fund will be particularly susceptible to the various conditions, events or other factors impacting those countries and may, therefore, have a greater risk than that of a fund which is more geographically diversified.
High-yield investments risk
Securities and other debt instruments held by the Fund that are rated below investment grade (commonly called "high-yield" or "junk" bonds) and unrated debt instruments of comparable quality expose the Fund to a greater risk of loss of principal and income than a fund that invests solely or primarily in investment grade securities. In addition, these investments have greater price fluctuations, are less liquid and are more likely to experience a default than higher-rated debt instruments. High-yield debt instruments are considered to be predominantly speculative with respect to the issuer’s capacity to pay interest and repay principal.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017
| 27 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Interest rate risk
Interest rate risk is the risk of losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise. Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates.
Liquidity risk
Liquidity risk is the risk associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another, more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Non-diversification risk
A non-diversified fund is permitted to invest a greater percentage of its total assets in fewer issuers than a diversified fund. The Fund may, therefore, have a greater risk of loss from a few issuers than a similar fund that invests more broadly.
Shareholder concentration risk
At June 30, 2017, one unaffiliated shareholder of record owned 28.1% of the outstanding shares of the Fund in one or more accounts. The Fund has no knowledge about whether any portion of those shares was owned beneficially. Affiliated shareholders of record owned 66.3% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 9. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Note 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable
| 28 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017
| 29 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio – Emerging Markets Bond Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as their history, reputation, expertise, resources and capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, the relatively recent change in the leadership of equity department oversight, and the various technological enhancements that had been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
| 30 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed that the Fund’s investment performance met expectations.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017
| 31 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as the Fund grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
| 32 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2017
| 33 |
Columbia Variable Portfolio – Emerging Markets Bond Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio – Commodity Strategy Fund
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 Insured • No bank guarantee • May lose value
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017
Investment objective
Columbia Variable Portfolio – Commodity Strategy Fund (the Fund) seeks to provide shareholders with total return.
Portfolio management
Threadneedle International Limited
David Donora
Nicolas Robin
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | Life |
| Class 1 | 04/30/13 | -5.44 | -6.76 | -11.29 |
| Class 2 | 04/30/13 | -5.41 | -6.90 | -11.48 |
| Bloomberg Commodity Index Total Return | | -5.26 | -6.50 | -10.72 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Bloomberg Commodity Index Total Return is composed of futures contracts and reflects the returns on a fully collateralized investment in the Bloomberg Commodity Index. This combines the returns of the Bloomberg Commodity Index with the returns on cash collateral invested in 13 week (3 Month) U.S. Treasury Bills.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
Commodities market exposure (%)
(at June 30, 2017) |
| Commodities futures contracts(a) |
| Agriculture | 38.0 |
| Energy | 28.2 |
| Industrial Metals | 18.0 |
| Precious Metals | 15.8 |
Total notional market value of
commodities futures contracts | 100.0 |
(a) Reflects notional market value of commodities futures contracts. The notional exposure of a financial instrument is the nominal or face amount that is used to calculate payments made on that instrument and/or changes in value for the instrument. The notional exposure is a hypothetical underlying quantity upon which payment obligations are computed. Notional exposures provide a gauge for how the Fund may behave given changes in individual markets. Notional amounts for each commodities futures contract are shown in the Consolidated Portfolio of Investments. The notional amount of all outstanding commodities futures contracts is $469,505,922. For a description of the Fund’s investments in derivatives, see Investments in Derivatives following the Consolidated Portfolio of Investments and Note 2 to the Notes to Consolidated Financial Statements.
Portfolio Holdings (%)
(at June 30, 2017) |
| Money Market Funds | 17.6 |
| Treasury Bills | 28.9 |
| U.S. Government & Agency Obligations | 46.3 |
| Other Assets | 7.2 |
| Total | 100.0 |
Percentages indicated are based upon net assets. At period end, the Fund held an investment in affiliated money market fund, U.S. Treasury Bills and U.S. Government & Agency Obligations, which have been segregated to cover obligations relating to the Fund’s investments in open futures contracts which provide exposure to the commodities market. For a description of the Fund’s investment in derivatives, see Investments in derivatives following the Consolidated Portfolio of Investments and Note 2 to the Notes to Consolidated Financial Statements.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Class 1 | 1,000.00 | 1,000.00 | 945.60 | 1,021.34 | 3.49 | 3.63 | 0.72 |
| Class 2 | 1,000.00 | 1,000.00 | 945.90 | 1,020.09 | 4.71 | 4.89 | 0.97 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
| 4 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017 |
Consolidated Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Treasury Bills 28.9% |
| Issuer | Effective
Yield | | Principal
Amount ($) | Value ($) |
| United States 28.9% |
| U.S. Treasury Bills |
| 08/24/2017 | 0.850% | | 41,000,000 | 40,947,654 |
| 11/09/2017 | 1.030% | | 34,000,000 | 33,873,285 |
| 12/07/2017 | 1.070% | | 61,000,000 | 60,716,461 |
| Total | | | | 135,537,400 |
| Total | 135,537,400 |
Total Treasury Bills
(Cost $135,584,362) | 135,537,400 |
|
| U.S. Government & Agency Obligations 46.3% |
| | | | |
| Federal Home Loan Banks Discount Notes |
| 08/01/2017 | 1.000% | | 41,500,000 | 41,463,620 |
| 09/21/2017 | 1.060% | | 56,500,000 | 56,363,609 |
| Federal Home Loan Mortgage Corp. Discount Notes |
| 12/01/2017 | 1.140% | | 40,000,000 | 39,809,080 |
| U.S. Government & Agency Obligations (continued) |
| Issuer | Effective
Yield | | Principal
Amount ($) | Value ($) |
| Federal National Mortgage Association Discount Notes |
| 09/11/2017 | 1.000% | | 80,000,000 | 79,840,160 |
Total U.S. Government & Agency Obligations
(Cost $217,546,096) | 217,476,469 |
| Money Market Funds 17.6% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(a),(b) | 82,412,408 | 82,412,408 |
Total Money Market Funds
(Cost $82,409,575) | 82,412,408 |
Total Investments
(Cost: $435,540,033) | 435,426,277 |
| Other Assets & Liabilities, Net | | 33,778,995 |
| Net Assets | 469,205,272 |
At June 30, 2017, securities and/or cash totaling $26,178,508 were pledged as collateral.
Investments in derivatives
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Brent Crude | 269 | USD | 13,119,130 | 07/2017 | — | (392,976) |
| Coffee C | 209 | USD | 9,851,738 | 09/2017 | — | (244,377) |
| Copper | 574 | USD | 38,902,850 | 09/2017 | 1,362,774 | — |
| Corn | 1,995 | USD | 38,004,750 | 09/2017 | — | (1,006,472) |
| Cotton | 123 | USD | 4,218,285 | 12/2017 | 57,496 | — |
| Cotton | 61 | USD | 2,091,995 | 12/2017 | — | (10,887) |
| Gold 100 oz. | 418 | USD | 51,928,140 | 08/2017 | 670,734 | — |
| Gold 100 oz. | 18 | USD | 2,236,140 | 08/2017 | — | (4,028) |
| HRW Wheat | 450 | USD | 11,913,750 | 09/2017 | 995,826 | — |
| Lead | 212 | USD | 12,156,875 | 09/2017 | 595,863 | — |
| Lean Hogs | 152 | USD | 5,092,000 | 08/2017 | 476,402 | — |
| Lean Hogs | 148 | USD | 4,958,000 | 08/2017 | 295,894 | — |
| Live Cattle | 349 | USD | 16,235,480 | 08/2017 | 1,353,362 | — |
| Live Cattle | 70 | USD | 3,256,400 | 08/2017 | — | (187,766) |
| Natural Gas | 891 | USD | 27,781,380 | 10/2017 | — | (1,975,584) |
| NY Harbor ULSD | 249 | USD | 15,768,572 | 10/2017 | 12,005 | — |
| Primary Aluminum | 508 | USD | 24,377,650 | 09/2017 | 239,286 | — |
| RBOB Gasoline | 736 | USD | 46,791,494 | 07/2017 | 2,049,345 | — |
| Silver | 238 | USD | 19,786,130 | 09/2017 | — | (762,394) |
| Soybean | 281 | USD | 13,414,238 | 11/2017 | 564,177 | — |
| Soybean | 281 | USD | 13,414,238 | 11/2017 | 492,355 | — |
| Soybean Meal | 383 | USD | 11,918,960 | 12/2017 | 458,864 | — |
| Soybean Meal | 218 | USD | 6,784,160 | 12/2017 | 241,009 | — |
| Soybean Oil | 398 | USD | 7,961,592 | 12/2017 | 238,340 | — |
| Sugar #11 | 841 | USD | 13,007,915 | 09/2017 | 939,021 | — |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017
| 5 |
Consolidated Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Long futures contracts outstanding (continued) |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Wheat | 627 | USD | 16,490,100 | 09/2017 | 2,128,430 | — |
| WTI Crude | 624 | USD | 28,728,960 | 07/2017 | — | (93,226) |
| Zinc | 135 | USD | 9,315,000 | 09/2017 | 989,204 | — |
| Total | | | 469,505,922 | | 14,160,387 | (4,677,710) |
Notes to Consolidated Portfolio of Investments
| (a) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (b) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 103,480,690 | 268,500,827 | (289,569,109) | 82,412,408 | (2,410) | 367,396 | 82,412,408 |
Currency Legend
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Consolidated Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017 |
Consolidated Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Treasury Bills | 135,537,400 | — | — | — | 135,537,400 |
| U.S. Government & Agency Obligations | — | 217,476,469 | — | — | 217,476,469 |
| Money Market Funds | — | — | — | 82,412,408 | 82,412,408 |
| Total Investments | 135,537,400 | 217,476,469 | — | 82,412,408 | 435,426,277 |
| Derivatives | | | | | |
| Asset | | | | | |
| Futures Contracts | 14,160,387 | — | — | — | 14,160,387 |
| Liability | | | | | |
| Futures Contracts | (4,677,710) | — | — | — | (4,677,710) |
| Total | 145,020,077 | 217,476,469 | — | 82,412,408 | 444,908,954 |
See the Consolidated Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
Derivative instruments are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017
| 7 |
Consolidated Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $353,130,458 |
| Affiliated issuers, at cost | 82,409,575 |
| Total investments, at cost | 435,540,033 |
| Investments, at value | |
| Unaffiliated issuers, at value | 353,013,869 |
| Affiliated issuers, at value | 82,412,408 |
| Total investments, at value | 435,426,277 |
| Cash | 157,444 |
| Margin deposits | 26,178,508 |
| Receivable for: | |
| Dividends | 59,866 |
| Variation margin for futures contracts | 7,910,533 |
| Total assets | 469,732,628 |
| Liabilities | |
| Payable for: | |
| Capital shares purchased | 14,238 |
| Variation margin for futures contracts | 452,898 |
| Management services fees | 7,483 |
| Distribution and/or service fees | 88 |
| Transfer agent fees | 713 |
| Compensation of board members | 17,813 |
| Compensation of chief compliance officer | 81 |
| Other expenses | 34,042 |
| Total liabilities | 527,356 |
| Net assets applicable to outstanding capital stock | $469,205,272 |
| Represented by | |
| Paid in capital | 546,926,876 |
| Excess of distributions over net investment income | (38,148,388) |
| Accumulated net realized loss | (48,942,137) |
| Unrealized appreciation (depreciation) on: | |
| Investments - unaffiliated issuers | (116,589) |
| Investments - affiliated issuers | 2,833 |
| Futures contracts | 9,482,677 |
| Total - representing net assets applicable to outstanding capital stock | $469,205,272 |
| Class 1 | |
| Net assets | $455,343,250 |
| Shares outstanding | 81,013,075 |
| Net asset value per share | $5.62 |
| Class 2 | |
| Net assets | $13,862,022 |
| Shares outstanding | 2,485,240 |
| Net asset value per share | $5.58 |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017 |
Consolidated Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $367,396 |
| Interest | 1,139,938 |
| Total income | 1,507,334 |
| Expenses: | |
| Management services fees | 1,511,983 |
| Distribution and/or service fees | |
| Class 2 | 15,942 |
| Transfer agent fees | |
| Class 1 | 140,174 |
| Class 2 | 3,826 |
| Compensation of board members | 9,178 |
| Custodian fees | 16,121 |
| Printing and postage fees | 4,812 |
| Audit fees | 18,294 |
| Legal fees | 4,907 |
| Compensation of chief compliance officer | 24 |
| Other | 8,710 |
| Total expenses | 1,733,971 |
| Net investment loss | (226,637) |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (42,871) |
| Investments — affiliated issuers | (2,410) |
| Futures contracts | (35,236,906) |
| Net realized loss | (35,282,187) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (98,763) |
| Investments — affiliated issuers | 2,833 |
| Futures contracts | 8,902,177 |
| Net change in unrealized appreciation (depreciation) | 8,806,247 |
| Net realized and unrealized loss | (26,475,940) |
| Net decrease in net assets resulting from operations | $(26,702,577) |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017
| 9 |
Consolidated Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment loss | $(226,637) | $(889,368) |
| Net realized gain (loss) | (35,282,187) | 23,061,465 |
| Net change in unrealized appreciation (depreciation) | 8,806,247 | 1,065,794 |
| Net increase (decrease) in net assets resulting from operations | (26,702,577) | 23,237,891 |
| Distributions to shareholders | | |
| Net investment income | | |
| Class 1 | (27,382,146) | — |
| Class 2 | (806,582) | — |
| Total distributions to shareholders | (28,188,728) | — |
| Increase in net assets from capital stock activity | 32,446,587 | 422,535,665 |
| Total increase (decrease) in net assets | (22,444,718) | 445,773,556 |
| Net assets at beginning of period | 491,649,990 | 45,876,434 |
| Net assets at end of period | $469,205,272 | $491,649,990 |
| Excess of distributions over net investment income | $(38,148,388) | $(9,733,023) |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017 |
Consolidated Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 35,346 | 214,158 | 68,498,849 | 416,133,163 |
| Distributions reinvested | 4,951,564 | 27,382,146 | — | — |
| Redemptions | (5,997) | (36,782) | (6,484) | (36,963) |
| Net increase | 4,980,913 | 27,559,522 | 68,492,365 | 416,096,200 |
| Class 2 | | | | |
| Subscriptions | 851,908 | 5,248,103 | 1,543,078 | 9,409,591 |
| Distributions reinvested | 146,918 | 806,582 | — | — |
| Redemptions | (193,579) | (1,167,620) | (499,273) | (2,970,126) |
| Net increase | 805,247 | 4,887,065 | 1,043,805 | 6,439,465 |
| Total net increase | 5,786,160 | 32,446,587 | 69,536,170 | 422,535,665 |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017
| 11 |
Consolidated Financial Highlights
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income |
| Class 1 |
| 6/30/2017 (c) | $6.33 | (0.00) (d) | (0.35) | (0.35) | (0.36) |
| 12/31/2016 | $5.61 | (0.02) | 0.74 | 0.72 | — |
| 12/31/2015 | $7.34 | (0.05) | (1.68) | (1.73) | — |
| 12/31/2014 | $9.32 | (0.07) | (1.91) | (1.98) | — |
| 12/31/2013 (f) | $9.86 | (0.05) | (0.49) | (0.54) | — |
| Class 2 |
| 6/30/2017 (c) | $6.27 | (0.01) | (0.34) | (0.35) | (0.34) |
| 12/31/2016 | $5.58 | (0.04) | 0.73 | 0.69 | — |
| 12/31/2015 | $7.32 | (0.07) | (1.67) | (1.74) | — |
| 12/31/2014 | $9.32 | (0.09) | (1.91) | (2.00) | — |
| 12/31/2013 (f) | $9.86 | (0.06) | (0.48) | (0.54) | — |
| Notes to Consolidated Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Rounds to zero. |
| (e) | Annualized. |
| (f) | Based on operations from April 30, 2013 (fund commencement of operations) through the stated period end. |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income (loss)
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| (0.36) | $5.62 | (5.44%) | 0.72% (e) | 0.72% (e) | (0.09%) (e) | 0% | $455,343 |
| — | $6.33 | 12.83% | 0.74% | 0.74% | (0.39%) | 0% | $481,110 |
| — | $5.61 | (23.57%) | 0.88% | 0.88% | (0.77%) | 0% | $42,326 |
| — | $7.34 | (21.24%) | 0.78% | 0.78% | (0.71%) | 0% | $66,873 |
| — | $9.32 | (5.48%) | 0.85% (e) | 0.85% (e) | (0.77%) (e) | 449% | $120,651 |
| |
| (0.34) | $5.58 | (5.41%) | 0.97% (e) | 0.97% (e) | (0.33%) (e) | 0% | $13,862 |
| — | $6.27 | 12.37% | 0.99% | 0.99% | (0.63%) | 0% | $10,540 |
| — | $5.58 | (23.77%) | 1.15% | 1.15% | (1.02%) | 0% | $3,550 |
| — | $7.32 | (21.46%) | 1.03% | 1.03% | (0.96%) | 0% | $1,492 |
| — | $9.32 | (5.48%) | 1.09% (e) | 1.09% (e) | (1.02%) (e) | 449% | $664 |
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017
| 13 |
Notes to Consolidated Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Commodity Strategy Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Basis for consolidation
CVPCSF Offshore Fund, Ltd. (the Subsidiary) is a Cayman Islands exempted company and wholly-owned subsidiary of the Fund. The Subsidiary acts as an investment vehicle in order to effect certain investment strategies consistent with the Fund’s investment objective and policies as stated in its current prospectus and statement of additional information. In accordance with the Memorandum and Articles of Association of the Subsidiary (the Articles), the Fund owns the sole issued share of the Subsidiary and retains all rights associated with such share, including the right to receive notice of, attend and vote at general meetings of the Subsidiary, rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary. The consolidated financial statements (financial statements) include the accounts of the consolidated Fund and the respective Subsidiary. Subsequent references to the Fund within the Notes to Consolidated Financial Statements collectively refer to the Fund and the Subsidiary. All intercompany transactions and balances have been eliminated in the consolidation process.
At June 30, 2017, the Subsidiary financial statement information is as follows:
| | CVPCSF Offshore Fund, Ltd. |
| % of consolidated fund net assets | 15.00% |
| Net assets | $70,384,299 |
| Net investment loss | (68,845) |
| Net realized loss | (35,237,383) |
| Net change in unrealized appreciation (depreciation) | 8,902,974 |
The financial statements present the portfolio holdings, financial position and results of operations of the Fund and the Subsidiary on a consolidated basis.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers Class 1 and Class 2 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Fund directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to the Fund. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
| 14 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017 |
Notes to Consolidated Financial Statements (continued)
June 30, 2017 (Unaudited)
Security valuation
Debt securities generally are valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized cost value, unless this method results in a valuation that management believes does not approximate market value.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
Futures and options on futures contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of transactions, at the mean of the latest quoted bid and ask prices.
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Consolidated Portfolio of Investments.
Derivative instruments
The Fund invests in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Consolidated Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract; therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers (including the Fund), potentially resulting in losses to the Fund.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017
| 15 |
Notes to Consolidated Financial Statements (continued)
June 30, 2017 (Unaudited)
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In addition to considering counterparty credit risk, the Fund would consider terminating the derivatives contracts based on whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statement of Assets and Liabilities.
Futures contracts
Futures contracts are exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage exposure to commodities market. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Consolidated Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Consolidated Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Consolidated Statement of Assets and Liabilities.
| 16 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017 |
Notes to Consolidated Financial Statements (continued)
June 30, 2017 (Unaudited)
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Consolidated Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Consolidated Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Consolidated Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Asset derivatives | |
Risk exposure
category | Consolidated statement
of assets and liabilities
location | Fair value ($) |
| Commodity-related investment risk | Net assets — unrealized appreciation on futures contracts | 14,160,387* |
| | Liability derivatives | |
Risk exposure
category | Consolidated statement
of assets and liabilities
location | Fair value ($) |
| Commodity-related investment risk | Net assets — unrealized depreciation on futures contracts | 4,677,710* |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Consolidated Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Commodity-related investment risk | (35,236,906) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Commodity-related investment risk | 8,902,177 |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 477,460,932 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2017. |
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Interest income is recorded on an accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017
| 17 |
Notes to Consolidated Financial Statements (continued)
June 30, 2017 (Unaudited)
The Fund may place a debt security on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Dividend income is recorded on the ex-dividend date.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Consolidated Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its taxable income, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, because the Fund meets the exception under Internal Revenue Code Section 4982(f), the Fund expects not to be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Distributions to subaccounts
Distributions to the subaccounts of Contracts, Qualified Plans and Qualified Investors are recorded at the close of business on the record date and are payable on the first business day following the record date. Dividends from net investment income, if any, are declared and distributed annually. Capital gains distributions, when available, will be made annually. However, an additional capital gain distribution may be made during the fiscal year in order to comply with the Internal Revenue Code, as applicable to registered investment companies. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. All dividends and distributions are reinvested in additional shares of the applicable share class of the Fund at the net asset value as of the ex-dividend date of the distribution.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
| 18 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017 |
Notes to Consolidated Financial Statements (continued)
June 30, 2017 (Unaudited)
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.63% to 0.49% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2017 was 0.63% of the Fund’s average daily net assets.
Subadvisory agreement
The Investment Manager has entered into a Subadvisory Agreement with Threadneedle International Limited (Threadneedle), an affiliate of the Investment Manager and an indirect wholly-owned subsidiary of Ameriprise Financial, to serve as the subadviser to the Fund. The Investment Manager compensates Threadneedle to manage the investment of the Fund’s assets.
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Consolidated Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of the Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, the Fund no longer pays a transfer agency fee.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017
| 19 |
Notes to Consolidated Financial Statements (continued)
June 30, 2017 (Unaudited)
Distribution fees
The Fund has an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, the Fund pays a fee at an annual rate of up to 0.25% of the Fund’s average daily net assets attributable to Class 2 shares. The Fund pays no distribution and service fees for Class 1 shares.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | May 1, 2017
through
April 30, 2018 | Prior to
May 1, 2017 |
| Class 1 | 1.01% | 1.12% |
| Class 2 | 1.26 | 1.37 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At June 30, 2017, the approximate cost of investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($) | Gross unrealized
appreciation ($) | Gross unrealized
(depreciation) ($) | Net unrealized
(depreciation) ($) |
| 435,540,000 | 3,000 | (117,000) | (114,000) |
The following capital loss carryforwards, determined at December 31, 2016, may be available to reduce taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. Capital loss carryforwards with no expiration are required to be utilized prior to any capital losses which carry an expiration date. As a result of this ordering rule, capital loss carryforwards which carry an expiration date may be more likely to expire unused.
| 2017 ($) | 2018 ($) | 2019 ($) | No expiration
short-term ($) | No expiration
long-term ($) | Total ($) |
| — | — | — | 484 | — | 484 |
| 20 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017 |
Notes to Consolidated Financial Statements (continued)
June 30, 2017 (Unaudited)
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio information
For the six months ended June 30, 2017, there were no purchases or proceeds from the sale of securities other than short-term investment transactions and derivative activity, if any. Only the amount of long-term security purchases and sales activity, excluding derivatives, impacts the portfolio turnover reported in the Consolidated Financial Highlights.
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Consolidated Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Consolidated Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
Note 8. Significant risks
Commodity-related investment risk
The value of commodities investments will generally be affected by overall market movements and factors specific to a particular industry or commodity, which may include demand for the commodity, weather, embargoes, tariffs, and economic health, political, international, regulatory and other developments. Exposure to commodities and commodities markets may subject the value of the Fund’s investments to greater volatility than other types of investments. Commodities investments may also subject the Fund to counterparty risk and liquidity risk. The Fund may make commodity-related investments through one or more wholly-owned subsidiaries organized outside the U.S. that are generally not subject to U.S. laws (including securities laws) and their protections.
Credit risk
Credit risk is the risk that the value of debt securities in the Fund’s portfolio may decline because the issuer may default and fail to pay interest or repay principal when due. Rating agencies assign credit ratings to debt securities to indicate their credit risk. Lower rated or unrated debt securities held by the Fund may present increased credit risk as compared to higher-rated debt securities.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017
| 21 |
Notes to Consolidated Financial Statements (continued)
June 30, 2017 (Unaudited)
Derivatives risk
Losses involving derivative instruments may be substantial, because a relatively small price movement in the underlying security(ies), commodity, currency or index or other instrument or asset may result in a substantial loss for the Fund. In addition to the potential for increased losses, the use of derivative instruments may lead to increased volatility within the Fund. Derivatives will typically increase the Fund’s exposure to principal risks to which it is otherwise exposed, and may expose the Fund to additional risks, including correlation risk, counterparty risk, hedging risk, leverage risk and liquidity risk.
Interest rate risk
Interest rate risk is the risk of losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise. Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates.
Liquidity risk
Liquidity risk is the risk associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another, more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Shareholder concentration risk
At June 30, 2017, affiliated shareholders of record owned 97.8% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 9. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Note 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable
| 22 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017 |
Notes to Consolidated Financial Statements (continued)
June 30, 2017 (Unaudited)
to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017
| 23 |
Approval of Management and Subadvisory
Agreements
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio – Commodity Strategy Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds). In addition, under a subadvisory agreement (the Subadvisory Agreement) between Columbia Threadneedle and Threadneedle International Limited (the Subadviser), an affiliate of Columbia Threadneedle, the Subadviser has provided portfolio management and related services for the Fund.
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement and the Subadvisory Agreement (together, the Advisory Agreements). Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge) and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Advisory Agreements for additional one-year terms. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of advisory and subadvisory agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of each of the Advisory Agreements.
Nature, extent and quality of services provided by Columbia Threadneedle and the Subadviser
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle and the Subadviser, as well as their history, reputation, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, detailed information regarding the process employed for overseeing affiliated and unaffiliated Subadvisers. With respect to Columbia Threadneedle, the Board also noted the relatively recent change in the leadership of equity department oversight and the various technological enhancements that have been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Advisory Agreements, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed
| 24 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017 |
Approval of Management and Subadvisory
Agreements (continued)
the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its strong cash position and solid balance sheet.
In addition, the Board discussed the acceptability of the terms of the Advisory Agreements (including the relatively broad scope of services required to be performed by Columbia Threadneedle and each Subadviser), noting that no material changes are proposed from the form of agreements previously approved The Board also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Advisory Agreements were of a reasonably high quality.
With respect to the Subadviser, the Board observed that it had previously approved the Subadviser’s code of ethics and compliance program, that the Chief Compliance Officer of the Fund continues to monitor the code and the program, and that no material concerns have been reported. The Board also considered the Subadviser’s organizational strength and resources, portfolio management team depth and capabilities and investment process. The Board also considered the Subadviser’s capability and wherewithal to carry out its responsibilities under the Subadvisory Agreement. In addition, the Board discussed the acceptability of the terms of the Subadvisory Agreement, including the scope of services required to be performed. The Board noted that the terms of the Subadvisory Agreement are generally consistent with the terms of other subadviser agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no material changes were recommended to the Subadvisory Agreement. The Board took into account Columbia Threadneedle’s representation that the Subadviser was in a position to provide quality services to the Fund.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that the Subadviser is in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Advisory Agreements, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed that the Fund’s investment performance was understandable in light of the particular management style involved and the particular market environment.
Additionally, the Board reviewed the performance of the Subadviser. The Board considered, in particular, management’s rationale for recommending the continued retention of the Subadviser.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle, its affiliates and the Subadviser from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under each of the Advisory Agreements. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017
| 25 |
Approval of Management and Subadvisory
Agreements (continued)
Additionally, the Board reviewed the level of subadvisory fees paid to the Subadviser, noting that the fees are paid by the Investment Manager and do not impact the fees paid by the Fund. The Board also reviewed the fees charged by the Subadviser to other mutual funds employing similar investment strategies where the Subadviser serves as investment adviser or subadviser. Based on its reviews, including recommendations from JDL, the Board concluded that the Fund’s investment management and subadvisory fees were fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as the Fund grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that fees payable under the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Advisory Agreements.
| 26 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
You may obtain the current net asset value (NAV) of Fund shares at no cost by calling 800.345.6611 or by sending an e-mail to serviceinquiries@columbiathreadneedle.com.
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2017
| 27 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – Commodity Strategy Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio – Disciplined Core Fund
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 Insured • No bank guarantee • May lose value
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017
Fund at a Glance
(Unaudited)
Investment objective
Columbia Variable Portfolio – Disciplined Core Fund (the Fund) seeks to provide shareholders with capital appreciation.
Portfolio management
Brian Condon, CFA
Co-manager
Managed Fund since 2010
Peter Albanese
Co-manager
Managed Fund since 2014
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 * | 05/03/10 | 9.13 | 17.48 | 14.06 | 6.07 |
| Class 2 * | 05/03/10 | 8.97 | 17.19 | 13.77 | 5.83 |
| Class 3 | 10/13/81 | 9.05 | 17.35 | 13.92 | 5.97 |
| S&P 500 Index | | 9.34 | 17.90 | 14.63 | 7.18 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit investor.columbiathreadneedleus.com/investment-products/variable-products/appended-performance for more information. |
The S&P 500 Index, an unmanaged index, measures the performance of 500 widely held, large-capitalization U.S. stocks and is frequently used as a general measure of market performance.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at June 30, 2017) |
| Microsoft Corp. | 3.8 |
| JPMorgan Chase & Co. | 3.2 |
| Facebook, Inc., Class A | 3.1 |
| Bank of America Corp. | 2.8 |
| Apple, Inc. | 2.8 |
| Pfizer, Inc. | 2.6 |
| Boeing Co. (The) | 2.4 |
| Merck & Co., Inc. | 2.4 |
| AT&T, Inc. | 2.4 |
| Cisco Systems, Inc. | 2.3 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 99.8 |
| Money Market Funds | 0.2 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 11.9 |
| Consumer Staples | 9.4 |
| Energy | 6.1 |
| Financials | 14.2 |
| Health Care | 14.7 |
| Industrials | 10.1 |
| Information Technology | 22.5 |
| Materials | 2.6 |
| Real Estate | 2.7 |
| Telecommunication Services | 2.4 |
| Utilities | 3.4 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Class 1 | 1,000.00 | 1,000.00 | 1,091.30 | 1,021.39 | 3.70 | 3.58 | 0.71 |
| Class 2 | 1,000.00 | 1,000.00 | 1,089.70 | 1,020.14 | 5.00 | 4.84 | 0.96 |
| Class 3 | 1,000.00 | 1,000.00 | 1,090.50 | 1,020.79 | 4.33 | 4.18 | 0.83 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
| 4 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017 |
Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 99.8% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 11.9% |
| Diversified Consumer Services 0.2% |
| H&R Block, Inc. | 281,900 | 8,713,529 |
| Hotels, Restaurants & Leisure 2.1% |
| Darden Restaurants, Inc. | 1,059,400 | 95,812,136 |
| Hilton Worldwide Holdings, Inc. | 160,300 | 9,914,555 |
| Total | | 105,726,691 |
| Household Durables 0.2% |
| Newell Brands, Inc. | 185,900 | 9,967,958 |
| Internet & Direct Marketing Retail 0.5% |
| Amazon.com, Inc.(a) | 26,000 | 25,168,000 |
| Leisure Products 0.5% |
| Hasbro, Inc. | 246,500 | 27,487,215 |
| Media 2.7% |
| Comcast Corp., Class A | 2,564,800 | 99,822,016 |
| News Corp., Class A | 2,690,600 | 36,861,220 |
| Total | | 136,683,236 |
| Multiline Retail 0.7% |
| Kohl’s Corp. | 864,600 | 33,434,082 |
| Specialty Retail 5.0% |
| Best Buy Co., Inc. | 1,707,300 | 97,879,509 |
| Ross Stores, Inc. | 1,383,600 | 79,875,228 |
| TJX Companies, Inc. (The) | 1,072,700 | 77,416,759 |
| Total | | 255,171,496 |
| Total Consumer Discretionary | 602,352,207 |
| Consumer Staples 9.4% |
| Food & Staples Retailing 3.9% |
| CVS Health Corp. | 276,700 | 22,263,282 |
| SYSCO Corp. | 1,357,100 | 68,302,843 |
| Wal-Mart Stores, Inc. | 1,438,400 | 108,858,112 |
| Total | | 199,424,237 |
| Food Products 1.8% |
| Tyson Foods, Inc., Class A | 1,451,300 | 90,894,919 |
| Household Products 0.5% |
| Procter & Gamble Co. (The) | 270,900 | 23,608,935 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Tobacco 3.2% |
| Altria Group, Inc. | 1,347,300 | 100,333,431 |
| Philip Morris International, Inc. | 551,800 | 64,808,910 |
| Total | | 165,142,341 |
| Total Consumer Staples | 479,070,432 |
| Energy 6.1% |
| Energy Equipment & Services 1.3% |
| Baker Hughes, Inc. | 1,220,200 | 66,513,102 |
| Oil, Gas & Consumable Fuels 4.8% |
| Chevron Corp. | 458,600 | 47,845,738 |
| ConocoPhillips | 1,794,400 | 78,881,824 |
| Exxon Mobil Corp. | 52,300 | 4,222,179 |
| HollyFrontier Corp. | 426,000 | 11,702,220 |
| Marathon Petroleum Corp. | 95,300 | 4,987,049 |
| Valero Energy Corp. | 1,387,500 | 93,600,750 |
| Total | | 241,239,760 |
| Total Energy | 307,752,862 |
| Financials 14.2% |
| Banks 6.4% |
| Bank of America Corp. | 5,836,700 | 141,598,342 |
| Fifth Third Bancorp | 896,500 | 23,273,140 |
| JPMorgan Chase & Co. | 1,772,500 | 162,006,500 |
| Total | | 326,877,982 |
| Capital Markets 3.4% |
| CME Group, Inc. | 39,500 | 4,946,980 |
| Franklin Resources, Inc. | 285,500 | 12,787,545 |
| Morgan Stanley | 1,062,900 | 47,362,824 |
| S&P Global, Inc. | 707,200 | 103,244,128 |
| T. Rowe Price Group, Inc. | 61,500 | 4,563,915 |
| Total | | 172,905,392 |
| Consumer Finance 0.3% |
| Navient Corp. | 903,800 | 15,048,270 |
| Insurance 4.1% |
| Allstate Corp. (The) | 597,300 | 52,825,212 |
| Marsh & McLennan Companies, Inc. | 820,800 | 63,989,568 |
| Prudential Financial, Inc. | 820,000 | 88,674,800 |
| Total | | 205,489,580 |
| Total Financials | 720,321,224 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017
| 5 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Health Care 14.7% |
| Biotechnology 3.0% |
| Alexion Pharmaceuticals, Inc.(a) | 197,800 | 24,066,326 |
| Biogen, Inc.(a) | 110,800 | 30,066,688 |
| BioMarin Pharmaceutical, Inc.(a) | 133,800 | 12,151,716 |
| Celgene Corp.(a) | 337,100 | 43,779,177 |
| TESARO, Inc.(a) | 74,800 | 10,461,528 |
| Vertex Pharmaceuticals, Inc.(a) | 245,600 | 31,650,472 |
| Total | | 152,175,907 |
| Health Care Equipment & Supplies 2.1% |
| Baxter International, Inc. | 1,723,000 | 104,310,420 |
| Becton Dickinson and Co. | 26,100 | 5,092,371 |
| Total | | 109,402,791 |
| Health Care Providers & Services 2.6% |
| Centene Corp.(a) | 605,800 | 48,391,304 |
| Express Scripts Holding Co.(a) | 659,300 | 42,089,712 |
| McKesson Corp. | 242,000 | 39,818,680 |
| Total | | 130,299,696 |
| Pharmaceuticals 7.0% |
| Johnson & Johnson | 601,600 | 79,585,664 |
| Mallinckrodt PLC(a) | 471,300 | 21,118,953 |
| Merck & Co., Inc. | 1,899,600 | 121,745,364 |
| Pfizer, Inc. | 3,928,600 | 131,961,674 |
| Total | | 354,411,655 |
| Total Health Care | 746,290,049 |
| Industrials 10.0% |
| Aerospace & Defense 3.8% |
| Boeing Co. (The) | 623,600 | 123,316,900 |
| Lockheed Martin Corp. | 244,700 | 67,931,167 |
| Total | | 191,248,067 |
| Airlines 1.8% |
| Southwest Airlines Co. | 1,521,500 | 94,546,010 |
| Commercial Services & Supplies 0.2% |
| Waste Management, Inc. | 129,800 | 9,520,830 |
| Electrical Equipment 0.6% |
| Rockwell Automation, Inc. | 190,700 | 30,885,772 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Industrial Conglomerates 2.1% |
| Honeywell International, Inc. | 794,000 | 105,832,260 |
| Machinery 0.6% |
| Ingersoll-Rand PLC | 332,800 | 30,414,592 |
| Professional Services 0.5% |
| Nielsen Holdings PLC | 696,700 | 26,934,422 |
| Road & Rail 0.1% |
| Union Pacific Corp. | 54,000 | 5,881,140 |
| Trading Companies & Distributors 0.3% |
| WW Grainger, Inc. | 82,100 | 14,821,513 |
| Total Industrials | 510,084,606 |
| Information Technology 22.4% |
| Communications Equipment 2.9% |
| Cisco Systems, Inc. | 3,775,200 | 118,163,760 |
| F5 Networks, Inc.(a) | 246,700 | 31,345,702 |
| Total | | 149,509,462 |
| Internet Software & Services 5.8% |
| Alphabet, Inc., Class A(a) | 61,000 | 56,710,480 |
| Facebook, Inc., Class A(a) | 1,033,600 | 156,052,928 |
| VeriSign, Inc.(a) | 906,700 | 84,286,832 |
| Total | | 297,050,240 |
| IT Services 1.9% |
| MasterCard, Inc., Class A | 813,400 | 98,787,430 |
| Semiconductors & Semiconductor Equipment 2.5% |
| Applied Materials, Inc. | 122,100 | 5,043,951 |
| Broadcom Ltd. | 412,500 | 96,133,125 |
| Intel Corp. | 694,200 | 23,422,308 |
| Total | | 124,599,384 |
| Software 6.3% |
| Adobe Systems, Inc.(a) | 323,500 | 45,755,840 |
| Electronic Arts, Inc.(a) | 740,600 | 78,296,232 |
| Microsoft Corp.(b) | 2,819,500 | 194,348,135 |
| Total | | 318,400,207 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Technology Hardware, Storage & Peripherals 3.0% |
| Apple, Inc. | 968,800 | 139,526,576 |
| HP, Inc. | 694,000 | 12,131,120 |
| Total | | 151,657,696 |
| Total Information Technology | 1,140,004,419 |
| Materials 2.6% |
| Chemicals 1.8% |
| LyondellBasell Industries NV, Class A | 1,102,400 | 93,031,536 |
| Containers & Packaging 0.4% |
| International Paper Co. | 326,600 | 18,488,826 |
| Metals & Mining 0.4% |
| Newmont Mining Corp.(a) | 649,400 | 21,034,066 |
| Total Materials | 132,554,428 |
| Real Estate 2.7% |
| Equity Real Estate Investment Trusts (REITS) 2.7% |
| American Tower Corp. | 740,100 | 97,930,032 |
| Host Hotels & Resorts, Inc. | 1,459,300 | 26,661,411 |
| SL Green Realty Corp. | 107,800 | 11,405,240 |
| Total | | 135,996,683 |
| Total Real Estate | 135,996,683 |
| Telecommunication Services 2.4% |
| Diversified Telecommunication Services 2.4% |
| AT&T, Inc. | 3,186,400 | 120,222,872 |
| Total Telecommunication Services | 120,222,872 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Utilities 3.4% |
| Electric Utilities 1.7% |
| Entergy Corp. | 1,084,800 | 83,280,096 |
| Multi-Utilities 1.7% |
| Ameren Corp. | 418,200 | 22,862,994 |
| CenterPoint Energy, Inc. | 2,373,100 | 64,975,478 |
| Total | | 87,838,472 |
| Total Utilities | 171,118,568 |
Total Common Stocks
(Cost $4,445,151,862) | 5,065,768,350 |
|
| Money Market Funds 0.3% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(c),(d) | 12,619,904 | 12,619,904 |
Total Money Market Funds
(Cost $12,619,890) | 12,619,904 |
Total Investments
(Cost: $4,457,771,752) | 5,078,388,254 |
| Other Assets & Liabilities, Net | | (2,942,580) |
| Net Assets | 5,075,445,674 |
At June 30, 2017, securities and/or cash totaling $1,483,406 were pledged as collateral.
Investments in derivatives
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| S&P 500 E-mini | 146 | USD | 17,672,570 | 09/2017 | — | (40,512) |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (c) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017
| 7 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| (d) | As defined in the Investment Company Act of 1940, 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. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 19,792,593 | 164,060,336 | (171,233,025) | 12,619,904 | (2,728) | 143,474 | 12,619,904 |
Currency Legend
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 602,352,207 | — | — | — | 602,352,207 |
| Consumer Staples | 479,070,432 | — | — | — | 479,070,432 |
| Energy | 307,752,862 | — | — | — | 307,752,862 |
| Financials | 720,321,224 | — | — | — | 720,321,224 |
| Health Care | 746,290,049 | — | — | — | 746,290,049 |
| Industrials | 510,084,606 | — | — | — | 510,084,606 |
| Information Technology | 1,140,004,419 | — | — | — | 1,140,004,419 |
| Materials | 132,554,428 | — | — | — | 132,554,428 |
| Real Estate | 135,996,683 | — | — | — | 135,996,683 |
| Telecommunication Services | 120,222,872 | — | — | — | 120,222,872 |
| Utilities | 171,118,568 | — | — | — | 171,118,568 |
| Total Common Stocks | 5,065,768,350 | — | — | — | 5,065,768,350 |
| Money Market Funds | — | — | — | 12,619,904 | 12,619,904 |
| Total Investments | 5,065,768,350 | — | — | 12,619,904 | 5,078,388,254 |
| Derivatives | | | | | |
| Liability | | | | | |
| Futures Contracts | (40,512) | — | — | — | (40,512) |
| Total | 5,065,727,838 | — | — | 12,619,904 | 5,078,347,742 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
Derivative instruments are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017
| 9 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $4,445,151,862 |
| Affiliated issuers, at cost | 12,619,890 |
| Total investments, at cost | 4,457,771,752 |
| Investments, at value | |
| Unaffiliated issuers, at value | 5,065,768,350 |
| Affiliated issuers, at value | 12,619,904 |
| Total investments, at value | 5,078,388,254 |
| Receivable for: | |
| Capital shares sold | 373,227 |
| Dividends | 5,083,357 |
| Foreign tax reclaims | 26,624 |
| Variation margin for futures contracts | 24,775 |
| Total assets | 5,083,896,237 |
| Liabilities | |
| Due to custodian | 26,624 |
| Payable for: | |
| Capital shares purchased | 5,064,212 |
| Management services fees | 2,661,145 |
| Distribution and/or service fees | 132,914 |
| Transfer agent fees | 251,931 |
| Compensation of board members | 137,298 |
| Compensation of chief compliance officer | 593 |
| Other expenses | 175,846 |
| Total liabilities | 8,450,563 |
| Net assets applicable to outstanding capital stock | $5,075,445,674 |
| Represented by | |
| Trust capital | $5,075,445,674 |
| Total - representing net assets applicable to outstanding capital stock | $5,075,445,674 |
| Class 1 | |
| Net assets | $3,813,830,871 |
| Shares outstanding | 89,363,826 |
| Net asset value per share | $42.68 |
| Class 2 | |
| Net assets | $20,311,903 |
| Shares outstanding | 484,372 |
| Net asset value per share | $41.93 |
| Class 3 | |
| Net assets | $1,241,302,900 |
| Shares outstanding | 29,359,285 |
| Net asset value per share | $42.28 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $56,322,051 |
| Dividends — affiliated issuers | 143,474 |
| Total income | 56,465,525 |
| Expenses: | |
| Management services fees | 15,822,388 |
| Distribution and/or service fees | |
| Class 2 | 24,236 |
| Class 3 | 773,847 |
| Transfer agent fees | |
| Class 1 | 1,118,943 |
| Class 2 | 5,816 |
| Class 3 | 371,434 |
| Compensation of board members | 46,113 |
| Custodian fees | 19,134 |
| Printing and postage fees | 140,794 |
| Audit fees | 15,457 |
| Legal fees | 21,701 |
| Compensation of chief compliance officer | 515 |
| Other | 40,227 |
| Total expenses | 18,400,605 |
| Net investment income | 38,064,920 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 168,569,724 |
| Investments — affiliated issuers | (2,728) |
| Futures contracts | 4,637,145 |
| Net realized gain | 173,204,141 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 221,887,253 |
| Investments — affiliated issuers | 807 |
| Futures contracts | 82,842 |
| Net change in unrealized appreciation (depreciation) | 221,970,902 |
| Net realized and unrealized gain | 395,175,043 |
| Net increase in net assets resulting from operations | $433,239,963 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017
| 11 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment income | $38,064,920 | $74,866,001 |
| Net realized gain | 173,204,141 | 68,665,506 |
| Net change in unrealized appreciation (depreciation) | 221,970,902 | 215,238,565 |
| Net increase in net assets resulting from operations | 433,239,963 | 358,770,072 |
| Increase (decrease) in net assets from capital stock activity | (173,711,307) | 218,229,689 |
| Total increase in net assets | 259,528,656 | 576,999,761 |
| Net assets at beginning of period | 4,815,917,018 | 4,238,917,257 |
| Net assets at end of period | $5,075,445,674 | $4,815,917,018 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 1,448,134 | 59,535,029 | 17,756,272 | 647,064,431 |
| Redemptions | (3,709,774) | (153,462,005) | (7,393,873) | (270,736,434) |
| Net increase (decrease) | (2,261,640) | (93,926,976) | 10,362,399 | 376,327,997 |
| Class 2 | | | | |
| Subscriptions | 37,377 | 1,519,427 | 73,246 | 2,649,143 |
| Redemptions | (31,250) | (1,257,837) | (68,933) | (2,476,419) |
| Net increase | 6,127 | 261,590 | 4,313 | 172,724 |
| Class 3 | | | | |
| Subscriptions | 6,111 | 245,800 | 25,204 | 863,396 |
| Redemptions | (1,959,763) | (80,291,721) | (4,373,318) | (159,134,428) |
| Net decrease | (1,953,652) | (80,045,921) | (4,348,114) | (158,271,032) |
| Total net increase (decrease) | (4,209,165) | (173,711,307) | 6,018,598 | 218,229,689 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017
| 13 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| 6/30/2017 (c) | $39.11 | 0.32 | 3.25 | 3.57 |
| 12/31/2016 | $36.19 | 0.62 | 2.30 | 2.92 |
| 12/31/2015 | $35.87 | 0.57 | (0.25) | 0.32 |
| 12/31/2014 | $31.09 | 0.48 | 4.30 | 4.78 |
| 12/31/2013 | $23.24 | 0.39 | 7.46 | 7.85 |
| 12/31/2012 | $20.38 | 0.38 | 2.48 | 2.86 |
| Class 2 |
| 6/30/2017 (c) | $38.48 | 0.26 | 3.19 | 3.45 |
| 12/31/2016 | $35.69 | 0.52 | 2.27 | 2.79 |
| 12/31/2015 | $35.47 | 0.47 | (0.25) | 0.22 |
| 12/31/2014 | $30.82 | 0.38 | 4.27 | 4.65 |
| 12/31/2013 | $23.09 | 0.33 | 7.40 | 7.73 |
| 12/31/2012 | $20.30 | 0.34 | 2.45 | 2.79 |
| Class 3 |
| 6/30/2017 (c) | $38.77 | 0.29 | 3.22 | 3.51 |
| 12/31/2016 | $35.92 | 0.57 | 2.28 | 2.85 |
| 12/31/2015 | $35.65 | 0.52 | (0.25) | 0.27 |
| 12/31/2014 | $30.94 | 0.42 | 4.29 | 4.71 |
| 12/31/2013 | $23.15 | 0.35 | 7.44 | 7.79 |
| 12/31/2012 | $20.33 | 0.35 | 2.47 | 2.82 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $42.68 | 9.13% | 0.71% (d) | 0.71% (d) | 1.56% (d) | 37% | $3,813,831 |
| $39.11 | 8.07% | 0.71% | 0.71% | 1.70% | 80% | $3,583,512 |
| $36.19 | 0.89% | 0.73% | 0.73% | 1.58% | 78% | $2,941,017 |
| $35.87 | 15.38% | 0.74% | 0.74% | 1.45% | 76% | $1,399,482 |
| $31.09 | 33.78% | 0.79% | 0.79% | 1.37% | 69% | $618,147 |
| $23.24 | 14.03% | 0.80% | 0.77% | 1.68% | 87% | $6 |
| |
| $41.93 | 8.97% | 0.96% (d) | 0.96% (d) | 1.31% (d) | 37% | $20,312 |
| $38.48 | 7.82% | 0.96% | 0.96% | 1.45% | 80% | $18,402 |
| $35.69 | 0.62% | 0.98% | 0.98% | 1.31% | 78% | $16,917 |
| $35.47 | 15.09% | 1.00% | 1.00% | 1.17% | 76% | $9,531 |
| $30.82 | 33.48% | 1.04% | 1.04% | 1.21% | 69% | $3,723 |
| $23.09 | 13.74% | 1.05% | 1.04% | 1.51% | 87% | $1,101 |
| |
| $42.28 | 9.05% | 0.83% (d) | 0.83% (d) | 1.43% (d) | 37% | $1,241,303 |
| $38.77 | 7.94% | 0.83% | 0.83% | 1.58% | 80% | $1,214,003 |
| $35.92 | 0.76% | 0.85% | 0.85% | 1.44% | 78% | $1,280,983 |
| $35.65 | 15.22% | 0.87% | 0.87% | 1.30% | 76% | $1,411,277 |
| $30.94 | 33.65% | 0.92% | 0.92% | 1.31% | 69% | $1,404,866 |
| $23.15 | 13.87% | 0.93% | 0.90% | 1.54% | 87% | $1,211,173 |
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017
| 15 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Disciplined Core Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers Class 1, Class 2 and Class 3 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Fund directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to the Fund. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are generally determined at 4:00 p.m. Eastern (U.S.) time. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees, including, if available, utilizing a third party pricing service to determine these fair values. The third party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
Futures and options on futures contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of transactions, at the mean of the latest quoted bid and ask prices.
| 16 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Derivative instruments
The Fund invests in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract; therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017
| 17 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In addition to considering counterparty credit risk, the Fund would consider terminating the derivatives contracts based on whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to maintain appropriate equity market exposure while keeping sufficient cash to accommodate daily redemptions. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital - unrealized depreciation on futures | 40,512 |
| 18 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Equity risk | 4,637,145 |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Equity risk | 82,842 |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 28,712,545 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2017. |
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds, other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information on the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by the Fund’s management. Management’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities, the proceeds are recorded as realized gains.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017
| 19 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Federal income tax status
The Fund is treated as a partnership for federal income tax purposes, and the Fund does not expect to make regular distributions. The Fund will not be subject to federal income tax, and therefore, there is no provision for federal income taxes. The partners of the Fund are subject to tax on their distributive share of the Fund’s income and loss. The components of the Fund’s net assets are reported at the partner-level for federal income tax purposes, and therefore, are not presented in the Statement of Assets and Liabilities.
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.77% to 0.57% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2017 was 0.63% of the Fund’s average daily net assets.
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by
| 20 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of the Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, the Fund no longer pays a transfer agency fee.
Distribution fees
The Fund has an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, the Fund pays a fee at an annual rate of up to 0.25% of the Fund’s average daily net assets attributable to Class 2 shares and an annual rate of up to 0.125% of the Fund’s average daily net assets attributable to Class 3 shares. The Fund pays no distribution and service fees for Class 1 shares.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | Fee rates contractual
through
April 30, 2018 |
| Class 1 | 0.75% |
| Class 2 | 1.00 |
| Class 3 | 0.875 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017
| 21 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $1,808,775,564 and $1,930,556,063, respectively, for the six months ended June 30, 2017. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 5. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 6. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
Note 7. Significant risks
Shareholder concentration risk
At June 30, 2017, affiliated shareholders of record owned 100.0% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Technology and technology-related investment risk
The Fund may be more susceptible to the particular risks that may affect companies in the information technology sector, as well as other technology-related sectors (collectively, the technology sectors) than if it were invested in a wider variety of companies in unrelated sectors. Companies in the technology sectors are subject to certain risks, including the risk that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete. Performance of such companies may be affected by factors including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for market share and short product cycles due to an accelerated rate of technological developments. Such
| 22 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their securities may fall or fail to rise. In addition, many technology sector companies have limited operating histories and prices of these companies’ securities historically have been more volatile than other securities, especially over the short term.
Note 8. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Note 9. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017
| 23 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio – Disciplined Core Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as their history, reputation, expertise, resources and capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, the relatively recent change in the leadership of equity department oversight, and the various technological enhancements that had been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
| 24 | | Semiannual Report 2017 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed certain periods of underperformance, but noted that longer term performance has met expectations.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by Columbia Threadneedle and discussed differences in how the products are managed and operated, noting no unreasonable differences in the levels of contractual management fees.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
| Semiannual Report 2017
| 25 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as the Fund grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
| 26 | | Semiannual Report 2017 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2017
| 27 |
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[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – Disciplined Core Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio – Balanced Fund
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 Insured • No bank guarantee • May lose value
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
Fund at a Glance
(Unaudited)
Investment objective
Columbia Variable Portfolio – Balanced Fund (the Fund) seeks maximum total investment return through a combination of capital growth and current income.
Portfolio management
Guy Pope, CFA
Co-lead manager
Managed Fund since 2011
Leonard Aplet, CFA
Co-lead manager
Managed Fund since 2011
Brian Lavin, CFA
Co-manager
Managed Fund since 2011
Gregory Liechty
Co-manager
Managed Fund since 2011
Ronald Stahl, CFA
Co-manager
Managed Fund since 2011
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 * | 06/25/14 | 7.63 | 11.28 | 10.78 | 5.75 |
| Class 2 * | 06/25/14 | 7.51 | 10.99 | 10.53 | 5.55 |
| Class 3 | 04/30/86 | 7.56 | 11.07 | 10.66 | 5.70 |
| Blended Benchmark | | 6.48 | 10.33 | 9.64 | 6.40 |
| S&P 500 Index | | 9.34 | 17.90 | 14.63 | 7.18 |
| Bloomberg Barclays U.S. Aggregate Bond Index | | 2.27 | -0.31 | 2.21 | 4.48 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit investor.columbiathreadneedleus.com/investment-products/variable-products/appended-performance for more information. |
The Blended Benchmark consists of 60% S&P 500 Index and 40% Bloomberg Barclays U.S. Aggregate Bond Index.
The S&P 500 Index, an unmanaged index, measures the performance of 500 widely held, large-capitalization U.S. stocks and is frequently used as a general measure of market performance.
The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage passthroughs), asset-backed securities, and commercial mortgage-backed securities.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at June 30, 2017) |
| Apple, Inc. | 2.8 |
| Philip Morris International, Inc. | 2.2 |
| JPMorgan Chase & Co. | 2.1 |
| Citigroup, Inc. | 2.1 |
| Facebook, Inc., Class A | 2.1 |
| Berkshire Hathaway, Inc., Class B | 2.0 |
| Microsoft Corp. | 2.0 |
| Alphabet, Inc., Class C | 1.8 |
| Johnson & Johnson | 1.8 |
| Comcast Corp., Class A | 1.7 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Portfolio breakdown (%) (at June 30, 2017) |
| Asset-Backed Securities — Non-Agency | 3.3 |
| Commercial Mortgage-Backed Securities - Agency | 2.1 |
| Commercial Mortgage-Backed Securities - Non-Agency | 2.0 |
| Common Stocks | 60.8 |
| Corporate Bonds & Notes | 12.0 |
| Foreign Government Obligations | 0.5 |
| Inflation-Indexed Bonds | 0.7 |
| Money Market Funds | 5.7 |
| Residential Mortgage-Backed Securities - Agency | 7.8 |
| Residential Mortgage-Backed Securities - Non-Agency | 1.5 |
| Senior Loans | 0.0 (a) |
| U.S. Government & Agency Obligations | 1.3 |
| U.S. Treasury Obligations | 2.3 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 13.1 |
| Consumer Staples | 7.0 |
| Energy | 6.5 |
| Financials | 18.1 |
| Health Care | 16.6 |
| Industrials | 8.5 |
| Information Technology | 22.5 |
| Materials | 2.3 |
| Real Estate | 1.6 |
| Telecommunication Services | 2.5 |
| Utilities | 1.3 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Class 1 | 1,000.00 | 1,000.00 | 1,076.30 | 1,021.34 | 3.73 | 3.63 | 0.72 |
| Class 2 | 1,000.00 | 1,000.00 | 1,075.10 | 1,020.09 | 5.02 | 4.89 | 0.97 |
| Class 3 | 1,000.00 | 1,000.00 | 1,075.60 | 1,020.44 | 4.66 | 4.53 | 0.90 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
| 4 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Asset-Backed Securities — Non-Agency 3.3% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Ally Master Owner Trust |
| Series 2012-5 Class A |
| 09/15/2019 | 1.540% | | 775,000 | 775,136 |
| American Credit Acceptance Receivables Trust(a) |
| Series 2015-3 Class A |
| 09/12/2019 | 1.950% | | 13,253 | 13,252 |
| Series 2016-1A Class A |
| 05/12/2020 | 2.370% | | 62,969 | 62,997 |
| Series 2016-3 Class A |
| 11/12/2020 | 1.700% | | 440,493 | 439,856 |
| Series 2016-4 Class A |
| 06/12/2020 | 1.500% | | 974,328 | 973,431 |
| ARI Fleet Lease Trust(a) |
| Series 2015-A Class A2 |
| 11/15/2018 | 1.110% | | 152,075 | 151,834 |
| Avis Budget Rental Car Funding AESOP LLC(a) |
| Series 2016-2A Class A |
| 11/20/2022 | 2.720% | | 800,000 | 792,377 |
| BMW Vehicle Lease Trust |
| Series 2016-2 Class A2 |
| 01/22/2019 | 1.230% | | 358,649 | 358,209 |
| California Republic Auto Receivables Trust |
| Series 2015-1 Class A3 |
| 04/15/2019 | 1.330% | | 55,816 | 55,808 |
| CarFinance Capital Auto Trust(a) |
| Series 2015-1A Class A |
| 06/15/2021 | 1.750% | | 141,528 | 141,414 |
| CCG Receivables Trust(a) |
| Series 2015-1 Class A2 |
| 11/14/2018 | 1.460% | | 573,298 | 572,443 |
| Chrysler Capital Auto Receivables Trust(a) |
| Series 2016-BA Class A3 |
| 07/15/2021 | 1.640% | | 1,850,000 | 1,844,774 |
| Conn’s Receivables Funding LLC(a) |
| Series 2016-B Class A |
| 10/15/2018 | 3.730% | | 267,436 | 267,861 |
| Diamond Resorts Owner Trust(a) |
| Series 2013-2 Class A |
| 05/20/2026 | 2.270% | | 166,638 | 165,758 |
| DT Auto Owner Trust(a) |
| Series 2016-4A Class A |
| 11/15/2019 | 1.440% | | 589,241 | 588,362 |
| Exeter Automobile Receivables Trust(a) |
| Series 2015-2A Class A |
| 11/15/2019 | 1.540% | | 87,130 | 87,118 |
| Series 2015-3A Class A |
| 03/16/2020 | 2.000% | | 222,518 | 222,563 |
| Series 2016-1A Class A |
| 07/15/2020 | 2.350% | | 186,965 | 186,921 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2016-3A Class A |
| 11/16/2020 | 1.840% | | 407,203 | 406,059 |
| Ford Credit Auto Owner Trust(a) |
| Series 2017-1 Class A |
| 08/15/2028 | 2.620% | | 2,600,000 | 2,630,464 |
| Ford Credit Floorplan Master Owner Trust |
| Series 2015-1 Class A1 |
| 01/15/2020 | 1.420% | | 937,000 | 936,606 |
| Ford Credit Floorplan Master Owner Trust A |
| Series 2016-5 Class 1A |
| 11/15/2021 | 1.950% | | 1,375,000 | 1,376,237 |
| Series 2017-1 Class A1 |
| 05/15/2022 | 2.070% | | 1,650,000 | 1,647,976 |
| GM Financial Automobile Leasing Trust |
| Series 2016-3 Class A3 |
| 12/20/2019 | 1.610% | | 460,000 | 458,635 |
| Series 2017-2 Class A3 |
| 09/21/2020 | 2.020% | | 725,000 | 723,604 |
| GMF Floorplan Owner Revolving Trust(a) |
| Series 2017-1 Class A1 |
| 01/18/2022 | 2.220% | | 900,000 | 900,219 |
| Hertz Vehicle Financing LLC(a) |
| Series 2016-3A Class A |
| 07/25/2020 | 2.270% | | 1,025,000 | 1,016,638 |
| Hilton Grand Vacations Trust(a) |
| Series 2013-A Class A |
| 01/25/2026 | 2.280% | | 338,202 | 336,055 |
| Series 2014-AA Class A |
| 11/25/2026 | 1.770% | | 492,016 | 482,906 |
| Hyundai Auto Lease Securitization Trust(a) |
| Series 2017-A Class A2A |
| 07/15/2019 | 1.560% | | 700,000 | 699,796 |
| Hyundai Floorplan Master Owner Trust(a) |
| Series 2016-1A Class A2 |
| 03/15/2021 | 1.810% | | 1,815,000 | 1,813,381 |
| Kubota Credit Owner Trust(a) |
| Series 2016-1A Class A3 |
| 07/15/2020 | 1.500% | | 675,000 | 670,379 |
| MVW Owner Trust(a) |
| Series 2015-1A Class A |
| 12/20/2032 | 2.520% | | 318,842 | 316,109 |
| Series 2016-1A Class A |
| 12/20/2033 | 2.250% | | 792,920 | 776,749 |
| Navitas Equipment Receivables LLC(a) |
| Series 2016-1 Class A2 |
| 06/15/2021 | 2.200% | | 695,162 | 695,208 |
| New York City Tax Lien Trust(a) |
| Series 2016-A Class A |
| 11/10/2029 | 1.470% | | 254,864 | 253,268 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
| 5 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Nissan Auto Lease Trust |
| Series 2017-A Class A3 |
| 04/15/2020 | 1.910% | | 650,000 | 649,140 |
| OneMain Direct Auto Receivables Trust(a) |
| Series 2016-1A Class A |
| 01/15/2021 | 2.040% | | 153,012 | 153,194 |
| PFS Tax Lien Trust(a) |
| Series 2014-1 Class NOTE |
| 05/15/2029 | 1.440% | | 75,926 | 75,345 |
| Santander Drive Auto Receivables Trust |
| Series 2016-3 Class A2 |
| 11/15/2019 | 1.340% | | 685,241 | 684,990 |
| Sierra Timeshare Receivables Funding LLC(a) |
| Series 2016-3A Class A |
| 10/20/2033 | 2.430% | | 915,361 | 900,043 |
| SLM Private Education Loan Trust(a) |
| Series 2012-A Class A2 |
| 01/17/2045 | 3.830% | | 1,187,022 | 1,208,577 |
| SLM Private Education Loan Trust(a),(b) |
| Series 2014-A Class A1 |
| 07/15/2022 | 1.759% | | 31,096 | 31,093 |
| SLM Student Loan Trust(b) |
| Series 2005-4 Class A3 |
| 01/25/2027 | 1.276% | | 1,899,442 | 1,889,191 |
| Series 2006-5 Class A5 |
| 01/25/2027 | 1.266% | | 608,763 | 607,461 |
| SMART ABS Trust |
| Series 2015-1US Class A3A |
| 09/14/2018 | 1.500% | | 176,564 | 176,390 |
| SMB Private Education Loan Trust(a),(b) |
| Series 2015-B Class A1 |
| 02/15/2023 | 1.859% | | 56,844 | 56,847 |
| SoFi Consumer Loan Program LLC(a),(c) |
| Series 2017-4 Class A |
| 05/26/2026 | 2.500% | | 975,000 | 974,824 |
| TAL Advantage V LLC(a) |
| Series 2014-2A Class A1 |
| 05/20/2039 | 1.700% | | 181,053 | 180,674 |
| Verizon Owner Trust(a) |
| Series 2016-1A Class A |
| 01/20/2021 | 1.420% | | 1,550,000 | 1,542,083 |
| Series 2016-2A Class A |
| 05/20/2021 | 1.680% | | 2,000,000 | 1,994,537 |
| Series 2017-1A Class A |
| 09/20/2021 | 2.060% | | 875,000 | 878,664 |
| Series 2017-2A Class A |
| 12/20/2021 | 1.920% | | 475,000 | 475,228 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Westlake Automobile Receivables Trust(a) |
| Series 2016-3A Class A2 |
| 10/15/2019 | 1.420% | | 891,981 | 891,059 |
Total Asset-Backed Securities — Non-Agency
(Cost $37,260,149) | 37,209,743 |
|
| Commercial Mortgage-Backed Securities - Agency 2.1% |
| | | | |
| Government National Mortgage Association |
| Series 2011-161 Class A |
| 01/16/2034 | 1.738% | | 27,073 | 27,051 |
| Series 2012-111 Class AC |
| 04/16/2047 | 2.211% | | 19,902 | 19,887 |
| Series 2012-25 Class A |
| 11/16/2042 | 2.575% | | 1,096,789 | 1,099,916 |
| Series 2013-12 Class A |
| 10/16/2042 | 1.410% | | 1,578,526 | 1,546,361 |
| Series 2013-126 Class AB |
| 04/16/2038 | 1.540% | | 842,230 | 831,572 |
| Series 2013-146 Class AH |
| 08/16/2040 | 2.000% | | 776,600 | 772,367 |
| Series 2013-17 Class AH |
| 10/16/2043 | 1.558% | | 769,128 | 752,431 |
| Series 2013-194 Class AB |
| 05/16/2038 | 2.250% | | 509,785 | 507,700 |
| Series 2013-2 Class AB |
| 12/16/2042 | 1.600% | | 512,293 | 508,255 |
| Series 2013-30 Class A |
| 05/16/2042 | 1.500% | | 1,506,133 | 1,475,980 |
| Series 2013-32 Class AB |
| 01/16/2042 | 1.900% | | 529,352 | 522,050 |
| Series 2013-33 Class A |
| 07/16/2038 | 1.061% | | 1,641,666 | 1,602,885 |
| Series 2013-40 Class A |
| 10/16/2041 | 1.511% | | 800,746 | 787,374 |
| Series 2013-45 Class A |
| 10/16/2040 | 1.450% | | 1,438,498 | 1,418,380 |
| Series 2013-50 Class AH |
| 06/16/2039 | 2.100% | | 951,133 | 946,403 |
| Series 2013-57 Class A |
| 06/16/2037 | 1.350% | | 2,127,345 | 2,082,966 |
| Series 2013-61 Class A |
| 01/16/2043 | 1.450% | | 1,034,534 | 1,005,062 |
| Series 2013-73 Class AE |
| 01/16/2039 | 1.350% | | 1,564,740 | 1,538,217 |
| Series 2013-78 Class AB |
| 07/16/2039 | 1.624% | | 951,802 | 935,336 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Commercial Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2014-24 Class BA |
| 07/16/2038 | 2.100% | | 685,989 | 683,805 |
| Series 2014-47 Class AB |
| 08/16/2040 | 2.250% | | 75,029 | 75,011 |
| Series 2014-64 Class A |
| 02/16/2045 | 2.200% | | 562,206 | 561,279 |
| Series 2014-67 Class AE |
| 05/16/2039 | 2.150% | | 311,738 | 313,562 |
| Series 2015-109 Class A |
| 02/16/2040 | 2.528% | | 490,359 | 490,703 |
| Series 2015-21 Class A |
| 11/16/2042 | 2.600% | | 733,413 | 736,122 |
| Series 2015-5 Class KA |
| 11/16/2039 | 2.500% | | 420,347 | 419,607 |
| Series 2015-78 Class A |
| 06/16/2040 | 2.918% | | 1,003,252 | 1,010,897 |
| Series 2015-85 Class AF |
| 05/16/2044 | 2.400% | | 381,374 | 381,754 |
Total Commercial Mortgage-Backed Securities - Agency
(Cost $23,494,840) | 23,052,933 |
|
| Commercial Mortgage-Backed Securities - Non-Agency 2.0% |
| | | | |
| American Homes 4 Rent(a) |
| Series 2015-SFR1 Class A |
| 04/17/2052 | 3.467% | | 1,272,977 | 1,308,614 |
| American Homes 4 Rent Trust(a) |
| Series 2014-SFR2 Class A |
| 10/17/2036 | 3.786% | | 1,241,354 | 1,301,323 |
| Series 2014-SFR3 Class A |
| 12/17/2036 | 3.678% | | 1,380,228 | 1,437,956 |
| Series 2015-SFR2 Class A |
| 10/17/2045 | 3.732% | | 753,084 | 786,384 |
| Americold 2010 LLC Trust(a) |
| Series 2010-ARTA Class A1 |
| 01/14/2029 | 3.847% | | 270,582 | 278,831 |
| CD Mortgage Trust |
| Series 2007-CD5 Class A4 |
| 11/15/2044 | 5.886% | | 74,516 | 74,577 |
| CGGS Commercial Mortgage Trust(a) |
| Series 2016-RNDA Class AFX |
| 02/10/2033 | 2.757% | | 2,148,063 | 2,152,714 |
| Colony Multifamily Mortgage Trust(a) |
| Series 2014-1 Class A |
| 04/20/2050 | 2.543% | | 226,767 | 225,591 |
| Commercial Mortgage Pass-Through Certificates |
| Series 2014-CR14 Class A2 |
| 02/10/2047 | 3.147% | | 1,675,000 | 1,704,189 |
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Commercial Mortgage Trust |
| Series 2013-CR6 Class A2 |
| 03/10/2046 | 2.122% | | 1,482,590 | 1,485,183 |
| Series 2013-LC13 Class A2 |
| 08/10/2046 | 3.009% | | 2,725,000 | 2,763,224 |
| DBUBS Mortgage Trust(a) |
| Series 2011-LC1A Class A3 |
| 11/10/2046 | 5.002% | | 225,000 | 241,881 |
| General Electric Capital Assurance Co.(a) |
| Series 2003-1 Class A5 |
| 05/12/2035 | 5.743% | | 181,218 | 186,086 |
| JPMBB Commercial Mortgage Securities Trust |
| Series 2013-C14 Class A2 |
| 08/15/2046 | 3.019% | | 869,841 | 883,605 |
| JPMorgan Chase Commercial Mortgage Securities Trust(a) |
| Series 2009-IWST Class A2 |
| 12/05/2027 | 5.633% | | 500,000 | 534,392 |
| Series 2010-CNTR Class A2 |
| 08/05/2032 | 4.311% | | 700,000 | 733,051 |
| Series 2011-C3 Class A4 |
| 02/15/2046 | 4.717% | | 650,000 | 695,835 |
| LB-UBS Commercial Mortgage Trust |
| Series 2007-C7 Class A3 |
| 09/15/2045 | 5.866% | | 398,607 | 401,758 |
| Morgan Stanley Bank of America Merrill Lynch Trust |
| Series 2014-C17 Class A1 |
| 08/15/2047 | 1.551% | | 607,127 | 605,923 |
| Morgan Stanley Capital I Trust(a) |
| Series 2011-C1 Class A4 |
| 09/15/2047 | 5.033% | | 450,000 | 487,215 |
| Morgan Stanley Capital I Trust |
| Series 2016-BNK2 Class A2 |
| 11/15/2049 | 2.454% | | 975,000 | 976,062 |
| UBS-Barclays Commercial Mortgage Trust |
| Series 2012-C4 Class A5 |
| 12/10/2045 | 2.850% | | 2,498,366 | 2,519,384 |
| WF-RBS Commercial Mortgage Trust |
| Series 2012-C9 Class A3 |
| 11/15/2045 | 2.870% | | 925,000 | 937,374 |
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $22,579,657) | 22,721,152 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
| 7 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks 60.5% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 7.9% |
| Hotels, Restaurants & Leisure 1.7% |
| Marriott International, Inc., Class A | 16,796 | 1,684,807 |
| McDonald’s Corp. | 51,530 | 7,892,335 |
| Royal Caribbean Cruises Ltd. | 15,840 | 1,730,203 |
| Starbucks Corp. | 123,350 | 7,192,538 |
| Total | | 18,499,883 |
| Household Durables 0.3% |
| Newell Brands, Inc. | 68,530 | 3,674,578 |
| Internet & Direct Marketing Retail 0.6% |
| Expedia, Inc. | 26,110 | 3,889,085 |
| Liberty Interactive Corp., Class A(d) | 132,030 | 3,240,016 |
| Total | | 7,129,101 |
| Media 2.3% |
| Comcast Corp., Class A | 456,254 | 17,757,406 |
| Walt Disney Co. (The) | 79,825 | 8,481,406 |
| Total | | 26,238,812 |
| Multiline Retail 0.4% |
| Dollar General Corp. | 56,885 | 4,100,840 |
| Specialty Retail 1.3% |
| Lowe’s Companies, Inc. | 180,544 | 13,997,576 |
| Textiles, Apparel & Luxury Goods 1.3% |
| Coach, Inc. | 165,295 | 7,825,065 |
| PVH Corp. | 61,831 | 7,079,650 |
| Total | | 14,904,715 |
| Total Consumer Discretionary | 88,545,505 |
| Consumer Staples 4.2% |
| Beverages 1.0% |
| PepsiCo, Inc. | 97,075 | 11,211,192 |
| Food & Staples Retailing 0.7% |
| CVS Health Corp. | 35,006 | 2,816,582 |
| Kroger Co. (The) | 94,240 | 2,197,677 |
| SYSCO Corp. | 59,206 | 2,979,838 |
| Total | | 7,994,097 |
| Food Products 0.5% |
| Kellogg Co. | 76,500 | 5,313,690 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Tobacco 2.0% |
| Philip Morris International, Inc. | 194,560 | 22,851,072 |
| Total Consumer Staples | 47,370,051 |
| Energy 3.9% |
| Energy Equipment & Services 0.6% |
| Halliburton Co. | 175,735 | 7,505,642 |
| Oil, Gas & Consumable Fuels 3.3% |
| Canadian Natural Resources Ltd.(d) | 262,884 | 7,581,575 |
| Chevron Corp. | 104,271 | 10,878,593 |
| EOG Resources, Inc. | 63,228 | 5,723,399 |
| Exxon Mobil Corp. | 155,980 | 12,592,265 |
| Total | | 36,775,832 |
| Total Energy | 44,281,474 |
| Financials 10.9% |
| Banks 5.4% |
| Citigroup, Inc. | 328,798 | 21,990,010 |
| JPMorgan Chase & Co. | 244,445 | 22,342,273 |
| Wells Fargo & Co. | 300,721 | 16,662,951 |
| Total | | 60,995,234 |
| Capital Markets 2.8% |
| Bank of New York Mellon Corp. (The) | 295,206 | 15,061,410 |
| BlackRock, Inc. | 4,338 | 1,832,414 |
| Invesco Ltd. | 48,962 | 1,722,973 |
| Morgan Stanley | 234,825 | 10,463,802 |
| S&P Global, Inc. | 19,130 | 2,792,789 |
| Total | | 31,873,388 |
| Diversified Financial Services 1.9% |
| Berkshire Hathaway, Inc., Class B(d) | 123,152 | 20,858,254 |
| Insurance 0.8% |
| Aon PLC | 67,730 | 9,004,704 |
| Total Financials | 122,731,580 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Health Care 10.1% |
| Biotechnology 2.0% |
| Alexion Pharmaceuticals, Inc.(d) | 24,900 | 3,029,583 |
| Biogen, Inc.(d) | 19,475 | 5,284,736 |
| Celgene Corp.(d) | 85,200 | 11,064,924 |
| Vertex Pharmaceuticals, Inc.(d) | 23,989 | 3,091,463 |
| Total | | 22,470,706 |
| Health Care Equipment & Supplies 1.7% |
| Abbott Laboratories | 163,229 | 7,934,562 |
| Medtronic PLC | 63,546 | 5,639,707 |
| Zimmer Biomet Holdings, Inc. | 42,080 | 5,403,072 |
| Total | | 18,977,341 |
| Health Care Providers & Services 2.3% |
| Anthem, Inc. | 44,360 | 8,345,447 |
| Cardinal Health, Inc. | 91,199 | 7,106,226 |
| CIGNA Corp. | 63,070 | 10,557,287 |
| Total | | 26,008,960 |
| Pharmaceuticals 4.1% |
| Allergan PLC | 36,620 | 8,901,956 |
| Bristol-Myers Squibb Co. | 101,730 | 5,668,396 |
| Johnson & Johnson | 144,401 | 19,102,808 |
| Pfizer, Inc. | 350,080 | 11,759,187 |
| Total | | 45,432,347 |
| Total Health Care | 112,889,354 |
| Industrials 5.2% |
| Air Freight & Logistics 1.5% |
| FedEx Corp. | 76,950 | 16,723,544 |
| Building Products 0.5% |
| Johnson Controls International PLC | 138,786 | 6,017,761 |
| Electrical Equipment 0.5% |
| Eaton Corp. PLC | 71,999 | 5,603,682 |
| Industrial Conglomerates 2.2% |
| General Electric Co. | 297,538 | 8,036,501 |
| Honeywell International, Inc. | 123,206 | 16,422,128 |
| Total | | 24,458,629 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Professional Services 0.5% |
| Nielsen Holdings PLC | 129,470 | 5,005,310 |
| Total Industrials | 57,808,926 |
| Information Technology 13.6% |
| Communications Equipment 0.2% |
| Palo Alto Networks, Inc.(d) | 14,705 | 1,967,676 |
| Internet Software & Services 4.5% |
| Alphabet, Inc., Class A(d) | 10,574 | 9,830,436 |
| Alphabet, Inc., Class C(d) | 21,193 | 19,258,715 |
| Facebook, Inc., Class A(d) | 143,355 | 21,643,738 |
| Total | | 50,732,889 |
| IT Services 2.2% |
| Fidelity National Information Services, Inc. | 92,120 | 7,867,048 |
| FleetCor Technologies, Inc.(d) | 6,800 | 980,628 |
| MasterCard, Inc., Class A | 103,486 | 12,568,375 |
| Total System Services, Inc. | 67,420 | 3,927,215 |
| Total | | 25,343,266 |
| Semiconductors & Semiconductor Equipment 1.3% |
| Broadcom Ltd. | 60,659 | 14,136,580 |
| Software 2.8% |
| Activision Blizzard, Inc. | 142,440 | 8,200,270 |
| Electronic Arts, Inc.(d) | 22,918 | 2,422,891 |
| Microsoft Corp. | 300,888 | 20,740,210 |
| Total | | 31,363,371 |
| Technology Hardware, Storage & Peripherals 2.6% |
| Apple, Inc. | 202,147 | 29,113,211 |
| Total Information Technology | 152,656,993 |
| Materials 1.4% |
| Chemicals 0.9% |
| Sherwin-Williams Co. (The) | 29,053 | 10,196,441 |
| Containers & Packaging 0.5% |
| Ball Corp. | 47,820 | 2,018,482 |
| Sealed Air Corp. | 78,010 | 3,491,728 |
| Total | | 5,510,210 |
| Total Materials | 15,706,651 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
| 9 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Real Estate 1.0% |
| Equity Real Estate Investment Trusts (REITS) 1.0% |
| American Tower Corp. | 82,374 | 10,899,728 |
| Total Real Estate | 10,899,728 |
| Telecommunication Services 1.5% |
| Diversified Telecommunication Services 1.5% |
| AT&T, Inc. | 325,805 | 12,292,622 |
| Verizon Communications, Inc. | 96,630 | 4,315,496 |
| Total | | 16,608,118 |
| Total Telecommunication Services | 16,608,118 |
| Utilities 0.8% |
| Electric Utilities 0.8% |
| Edison International | 30,242 | 2,364,622 |
| Southern Co. (The) | 139,500 | 6,679,260 |
| Total | | 9,043,882 |
| Total Utilities | 9,043,882 |
Total Common Stocks
(Cost $551,448,715) | 678,542,262 |
| Corporate Bonds & Notes 12.0% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Aerospace & Defense 0.3% |
| BAE Systems Holdings, Inc.(a) |
| 10/07/2024 | 3.800% | | 840,000 | 875,682 |
| Bombardier, Inc.(a) |
| 12/01/2021 | 8.750% | | 26,000 | 28,904 |
| L-3 Communications Corp. |
| 12/15/2026 | 3.850% | | 1,075,000 | 1,104,564 |
| Lockheed Martin Corp. |
| 05/15/2036 | 4.500% | | 1,125,000 | 1,233,049 |
| TransDigm, Inc. |
| 05/15/2025 | 6.500% | | 148,000 | 151,169 |
| Total | 3,393,368 |
| Automotive 0.0% |
| Gates Global LLC/Co.(a) |
| 07/15/2022 | 6.000% | | 59,000 | 59,176 |
| IHO Verwaltungs GmbH PIK(a) |
| 09/15/2026 | 4.750% | | 31,000 | 31,335 |
| Total | 90,511 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Banking 2.4% |
| Ally Financial, Inc. |
| 03/30/2025 | 4.625% | | 65,000 | 66,428 |
| Bank of America Corp. |
| 01/24/2022 | 5.700% | | 2,025,000 | 2,281,630 |
| Bank of New York Mellon Corp. (The) |
| 05/15/2024 | 3.400% | | 1,000,000 | 1,029,656 |
| Barclays Bank PLC |
| 05/15/2024 | 3.750% | | 1,000,000 | 1,036,944 |
| BB&T Corp.(b) |
| 05/01/2019 | 1.700% | | 1,000,000 | 1,004,265 |
| Capital One Financial Corp. |
| 03/09/2027 | 3.750% | | 1,300,000 | 1,299,455 |
| Citigroup, Inc. |
| 10/21/2026 | 3.200% | | 1,900,000 | 1,848,238 |
| Credit Suisse AG |
| 09/09/2024 | 3.625% | | 750,000 | 773,345 |
| Discover Financial Services |
| 02/09/2027 | 4.100% | | 1,085,000 | 1,089,650 |
| Fifth Third Bancorp |
| 03/15/2022 | 3.500% | | 890,000 | 921,472 |
| Goldman Sachs Group, Inc. (The) |
| 07/08/2024 | 3.850% | | 2,000,000 | 2,075,502 |
| HSBC Holdings PLC |
| 05/25/2026 | 3.900% | | 1,400,000 | 1,444,528 |
| Huntington National Bank (The) |
| 06/30/2018 | 2.000% | | 955,000 | 958,214 |
| ING Bank NV(a),(b) |
| 03/22/2019 | 2.417% | | 900,000 | 911,904 |
| JPMorgan Chase & Co. |
| 08/15/2021 | 4.350% | | 2,175,000 | 2,325,797 |
| Morgan Stanley |
| 01/20/2027 | 3.625% | | 1,250,000 | 1,259,862 |
| PNC Bank NA |
| Subordinated |
| 01/30/2023 | 2.950% | | 950,000 | 958,482 |
| Regions Financial Corp. |
| 02/08/2021 | 3.200% | | 995,000 | 1,017,850 |
| State Street Corp. |
| 11/20/2023 | 3.700% | | 850,000 | 897,478 |
| Toronto-Dominion Bank (The) |
| 07/02/2019 | 2.125% | | 703,000 | 706,357 |
| U.S. Bancorp |
| Subordinated |
| 04/27/2026 | 3.100% | | 775,000 | 766,501 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Wells Fargo & Co. |
| Subordinated |
| 02/13/2023 | 3.450% | | 1,700,000 | 1,737,293 |
| Total | 26,410,851 |
| Brokerage/Asset Managers/Exchanges 0.0% |
| NFP Corp.(a),(c) |
| 07/15/2025 | 6.875% | | 25,000 | 25,284 |
| Virtu Financial(a) |
| 06/15/2022 | 6.750% | | 11,000 | 11,331 |
| Total | 36,615 |
| Building Materials 0.0% |
| American Builders & Contractors Supply Co., Inc.(a) |
| 12/15/2023 | 5.750% | | 62,000 | 65,473 |
| Beacon Roofing Supply, Inc. |
| 10/01/2023 | 6.375% | | 53,000 | 57,074 |
| HD Supply, Inc.(a) |
| 04/15/2024 | 5.750% | | 22,000 | 23,475 |
| US Concrete, Inc.(a) |
| 06/01/2024 | 6.375% | | 26,000 | 27,365 |
| Total | 173,387 |
| Cable and Satellite 0.3% |
| Altice US Finance I Corp.(a) |
| 05/15/2026 | 5.500% | | 68,000 | 71,466 |
| CCO Holdings LLC/Capital Corp.(a) |
| 05/01/2025 | 5.375% | | 97,000 | 103,243 |
| 02/15/2026 | 5.750% | | 33,000 | 35,294 |
| 05/01/2027 | 5.875% | | 22,000 | 23,439 |
| Cequel Communications Holdings I LLC/Capital Corp.(a) |
| 07/15/2025 | 7.750% | | 42,000 | 46,641 |
| CSC Holdings LLC |
| 06/01/2024 | 5.250% | | 34,000 | 34,699 |
| CSC Holdings LLC(a) |
| 10/15/2025 | 6.625% | | 52,000 | 57,234 |
| 10/15/2025 | 10.875% | | 64,000 | 76,909 |
| DISH DBS Corp. |
| 11/15/2024 | 5.875% | | 71,000 | 75,581 |
| 07/01/2026 | 7.750% | | 79,000 | 93,471 |
| NBCUniversal Media LLC |
| 04/01/2041 | 5.950% | | 750,000 | 957,590 |
| Sirius XM Radio, Inc.(a) |
| 04/15/2025 | 5.375% | | 40,000 | 41,423 |
| 07/15/2026 | 5.375% | | 31,000 | 32,168 |
| Sirius XM Radio, Inc.(a),(c) |
| 08/01/2027 | 5.000% | | 40,000 | 40,306 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Sky PLC(a) |
| 09/16/2024 | 3.750% | | 1,075,000 | 1,105,162 |
| Time Warner Cable LLC |
| 05/01/2037 | 6.550% | | 415,000 | 496,896 |
| Unitymedia Hessen GmbH & Co. KG NRW(a) |
| 01/15/2025 | 5.000% | | 86,000 | 90,128 |
| Videotron Ltd. |
| 07/15/2022 | 5.000% | | 55,000 | 58,355 |
| Virgin Media Finance PLC(a) |
| 01/15/2025 | 5.750% | | 105,000 | 108,619 |
| Ziggo Secured Finance BV(a) |
| 01/15/2027 | 5.500% | | 66,000 | 67,838 |
| Total | 3,616,462 |
| Chemicals 0.4% |
| Angus Chemical Co.(a) |
| 02/15/2023 | 8.750% | | 31,000 | 31,933 |
| Atotech USA, Inc.(a) |
| 02/01/2025 | 6.250% | | 55,000 | 56,563 |
| Axalta Coating Systems LLC(a) |
| 08/15/2024 | 4.875% | | 41,000 | 42,477 |
| Celanese U.S. Holdings LLC |
| 11/15/2022 | 4.625% | | 1,200,000 | 1,292,431 |
| Chemours Co. (The) |
| 05/15/2025 | 7.000% | | 50,000 | 54,430 |
| 05/15/2027 | 5.375% | | 10,000 | 10,287 |
| Dow Chemical Co. (The) |
| 11/01/2029 | 7.375% | | 475,000 | 637,887 |
| Eastman Chemical Co. |
| 01/15/2020 | 2.700% | | 625,000 | 632,976 |
| Eco Services Operations LLC/Finance Corp.(a) |
| 11/01/2022 | 8.500% | | 34,000 | 35,700 |
| INEOS Group Holdings SA(a) |
| 08/01/2024 | 5.625% | | 33,000 | 34,094 |
| Koppers, Inc.(a) |
| 02/15/2025 | 6.000% | | 14,000 | 14,881 |
| LYB International Finance BV |
| 03/15/2044 | 4.875% | | 1,000,000 | 1,061,643 |
| Platform Specialty Products Corp.(a) |
| 05/01/2021 | 10.375% | | 28,000 | 30,969 |
| 02/01/2022 | 6.500% | | 42,000 | 43,394 |
| PQ Corp.(a) |
| 11/15/2022 | 6.750% | | 48,000 | 51,666 |
| Venator Finance SARL/Materials Corp.(a),(c) |
| 07/15/2025 | 5.750% | | 8,000 | 8,094 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
| 11 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| WR Grace & Co.(a) |
| 10/01/2021 | 5.125% | | 29,000 | 31,058 |
| Total | 4,070,483 |
| Construction Machinery 0.2% |
| Caterpillar Financial Services Corp. |
| 06/01/2022 | 2.850% | | 1,000,000 | 1,016,170 |
| John Deere Capital Corp. |
| 03/10/2020 | 2.050% | | 700,000 | 702,664 |
| Ritchie Bros. Auctioneers, Inc.(a) |
| 01/15/2025 | 5.375% | | 46,000 | 48,219 |
| United Rentals North America, Inc. |
| 09/15/2026 | 5.875% | | 77,000 | 81,925 |
| 05/15/2027 | 5.500% | | 33,000 | 34,004 |
| Total | 1,882,982 |
| Consumer Cyclical Services 0.0% |
| APX Group, Inc. |
| 12/01/2020 | 8.750% | | 28,000 | 28,884 |
| 12/01/2022 | 7.875% | | 94,000 | 102,015 |
| Interval Acquisition Corp. |
| 04/15/2023 | 5.625% | | 52,000 | 53,912 |
| Total | 184,811 |
| Consumer Products 0.1% |
| Prestige Brands, Inc.(a) |
| 03/01/2024 | 6.375% | | 62,000 | 66,121 |
| Procter & Gamble Co. (The) |
| 02/02/2026 | 2.700% | | 900,000 | 896,401 |
| Scotts Miracle-Gro Co. (The) |
| 10/15/2023 | 6.000% | | 51,000 | 54,884 |
| Spectrum Brands, Inc. |
| 07/15/2025 | 5.750% | | 31,000 | 33,246 |
| Springs Industries, Inc. |
| 06/01/2021 | 6.250% | | 40,000 | 41,328 |
| Tempur Sealy International, Inc. |
| 10/15/2023 | 5.625% | | 18,000 | 18,675 |
| 06/15/2026 | 5.500% | | 15,000 | 15,247 |
| Valvoline, Inc.(a) |
| 07/15/2024 | 5.500% | | 41,000 | 43,602 |
| Total | 1,169,504 |
| Diversified Manufacturing 0.0% |
| Entegris, Inc.(a) |
| 04/01/2022 | 6.000% | | 39,000 | 40,799 |
| SPX FLOW, Inc.(a) |
| 08/15/2026 | 5.875% | | 38,000 | 39,383 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| WESCO Distribution, Inc. |
| 06/15/2024 | 5.375% | | 15,000 | 15,651 |
| Zekelman Industries, Inc.(a) |
| 06/15/2023 | 9.875% | | 20,000 | 22,469 |
| Total | 118,302 |
| Electric 1.1% |
| AES Corp. (The) |
| 07/01/2021 | 7.375% | | 50,000 | 57,225 |
| Arizona Public Service Co. |
| 04/01/2042 | 4.500% | | 325,000 | 354,586 |
| Calpine Corp. |
| 01/15/2025 | 5.750% | | 40,000 | 37,621 |
| CMS Energy Corp. |
| 03/01/2024 | 3.875% | | 950,000 | 993,365 |
| Consolidated Edison Co. of New York, Inc. |
| 12/01/2045 | 4.500% | | 550,000 | 604,400 |
| Dominion Energy, Inc. |
| 10/01/2025 | 3.900% | | 800,000 | 828,928 |
| DTE Energy Co. |
| 04/15/2033 | 6.375% | | 610,000 | 765,901 |
| Dynegy, Inc. |
| 11/01/2024 | 7.625% | | 23,000 | 22,310 |
| Emera US Finance LP |
| 06/15/2026 | 3.550% | | 750,000 | 752,788 |
| Indiana Michigan Power Co. |
| 03/15/2037 | 6.050% | | 585,000 | 723,963 |
| Nevada Power Co. |
| 08/01/2018 | 6.500% | | 650,000 | 682,915 |
| NextEra Energy Capital Holdings, Inc. |
| 06/15/2023 | 3.625% | | 725,000 | 740,346 |
| NRG Energy, Inc. |
| 05/01/2024 | 6.250% | | 21,000 | 21,272 |
| 05/15/2026 | 7.250% | | 8,000 | 8,300 |
| 01/15/2027 | 6.625% | | 28,000 | 28,059 |
| NRG Yield Operating LLC |
| 08/15/2024 | 5.375% | | 71,000 | 74,453 |
| 09/15/2026 | 5.000% | | 21,000 | 21,319 |
| Pacific Gas & Electric Co. |
| 03/01/2037 | 5.800% | | 700,000 | 888,658 |
| Pattern Energy Group, Inc.(a) |
| 02/01/2024 | 5.875% | | 47,000 | 49,423 |
| PPL Capital Funding, Inc. |
| 06/01/2023 | 3.400% | | 1,000,000 | 1,027,852 |
| Progress Energy, Inc. |
| 03/01/2031 | 7.750% | | 500,000 | 701,741 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Public Service Co. of Colorado |
| 05/15/2025 | 2.900% | | 650,000 | 643,357 |
| Southern California Edison Co. |
| 09/01/2040 | 4.500% | | 350,000 | 385,383 |
| Southern Co. (The) |
| 07/01/2046 | 4.400% | | 1,100,000 | 1,125,912 |
| WEC Energy Group, Inc. |
| 06/15/2025 | 3.550% | | 950,000 | 979,630 |
| Total | 12,519,707 |
| Finance Companies 0.2% |
| Aircastle Ltd. |
| 02/15/2022 | 5.500% | | 15,000 | 16,257 |
| GE Capital International Funding Co. Unlimited Co. |
| 11/15/2020 | 2.342% | | 1,500,000 | 1,512,236 |
| iStar, Inc. |
| 04/01/2022 | 6.000% | | 27,000 | 27,618 |
| Navient Corp. |
| 06/15/2022 | 6.500% | | 20,000 | 21,219 |
| 01/25/2023 | 5.500% | | 53,000 | 53,782 |
| 10/25/2024 | 5.875% | | 7,000 | 7,101 |
| OneMain Financial Holdings LLC(a) |
| 12/15/2021 | 7.250% | | 76,000 | 80,063 |
| Park Aerospace Holdings Ltd.(a) |
| 08/15/2022 | 5.250% | | 19,000 | 19,889 |
| 02/15/2024 | 5.500% | | 19,000 | 19,855 |
| Provident Funding Associates LP/Finance Corp.(a) |
| 06/15/2025 | 6.375% | | 25,000 | 25,625 |
| Quicken Loans, Inc.(a) |
| 05/01/2025 | 5.750% | | 48,000 | 49,642 |
| Total | 1,833,287 |
| Food and Beverage 0.6% |
| Anheuser-Busch InBev Worldwide, Inc. |
| 01/15/2042 | 4.950% | | 1,825,000 | 2,049,720 |
| B&G Foods, Inc. |
| 04/01/2025 | 5.250% | | 52,000 | 53,054 |
| Chobani LLC/Finance Corp., Inc.(a) |
| 04/15/2025 | 7.500% | | 32,000 | 33,857 |
| ConAgra Foods, Inc. |
| 01/25/2023 | 3.200% | | 750,000 | 755,779 |
| Constellation Brands, Inc. |
| 11/15/2024 | 4.750% | | 390,000 | 425,685 |
| Diageo Investment Corp. |
| 05/11/2022 | 2.875% | | 864,000 | 884,064 |
| FAGE International SA/USA Dairy Industry, Inc.(a) |
| 08/15/2026 | 5.625% | | 29,000 | 29,893 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Kraft Heinz Foods Co. |
| 07/15/2022 | 3.500% | | 905,000 | 933,153 |
| Lamb Weston Holdings, Inc.(a) |
| 11/01/2026 | 4.875% | | 65,000 | 67,308 |
| Molson Coors Brewing Co. |
| 05/01/2042 | 5.000% | | 700,000 | 772,028 |
| PepsiCo, Inc. |
| 03/05/2022 | 2.750% | | 560,000 | 572,278 |
| Pinnacle Foods Finance LLC/Corp. |
| 01/15/2024 | 5.875% | | 21,000 | 22,448 |
| Post Holdings, Inc.(a) |
| 03/01/2025 | 5.500% | | 22,000 | 22,704 |
| 08/15/2026 | 5.000% | | 48,000 | 47,855 |
| 03/01/2027 | 5.750% | | 36,000 | 37,106 |
| Total | 6,706,932 |
| Gaming 0.0% |
| Boyd Gaming Corp. |
| 05/15/2023 | 6.875% | | 17,000 | 18,206 |
| 04/01/2026 | 6.375% | | 16,000 | 17,338 |
| Eldorado Resorts, Inc.(a) |
| 04/01/2025 | 6.000% | | 16,000 | 16,942 |
| GLP Capital LP/Financing II, Inc. |
| 04/15/2026 | 5.375% | | 4,000 | 4,358 |
| International Game Technology PLC(a) |
| 02/15/2022 | 6.250% | | 21,000 | 22,955 |
| 02/15/2025 | 6.500% | | 48,000 | 52,933 |
| Jack Ohio Finance LLC/1 Corp.(a) |
| 11/15/2021 | 6.750% | | 33,000 | 34,463 |
| MGM Resorts International |
| 03/15/2023 | 6.000% | | 54,000 | 59,711 |
| 09/01/2026 | 4.625% | | 44,000 | 44,444 |
| Penn National Gaming, Inc.(a) |
| 01/15/2027 | 5.625% | | 13,000 | 13,219 |
| Rivers Pittsburgh Borrower LP/Finance Corp.(a) |
| 08/15/2021 | 6.125% | | 11,000 | 11,149 |
| Scientific Games International, Inc.(a) |
| 01/01/2022 | 7.000% | | 51,000 | 54,312 |
| Scientific Games International, Inc. |
| 12/01/2022 | 10.000% | | 52,000 | 57,012 |
| Seminole Tribe of Florida, Inc.(a) |
| 10/01/2020 | 6.535% | | 35,000 | 35,700 |
| Tunica-Biloxi Gaming Authority(a),(e) |
| 11/15/2016 | 0.000% | | 27,000 | 10,058 |
| Wynn Las Vegas LLC/Capital Corp.(a) |
| 05/15/2027 | 5.250% | | 24,000 | 24,604 |
| Total | 477,404 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
| 13 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Health Care 0.4% |
| Acadia Healthcare Co., Inc. |
| 03/01/2024 | 6.500% | | 40,000 | 42,824 |
| Amsurg Corp. |
| 07/15/2022 | 5.625% | | 22,000 | 22,837 |
| Cardinal Health, Inc. |
| 06/15/2024 | 3.079% | | 725,000 | 726,420 |
| Change Healthcare Holdings LLC/Finance, Inc.(a) |
| 03/01/2025 | 5.750% | | 46,000 | 47,000 |
| CHS/Community Health Systems, Inc. |
| 02/01/2022 | 6.875% | | 38,000 | 33,197 |
| 03/31/2023 | 6.250% | | 66,000 | 68,259 |
| Covidien International Finance SA |
| 06/15/2022 | 3.200% | | 700,000 | 722,631 |
| Envision Healthcare Corp.(a) |
| 12/01/2024 | 6.250% | | 17,000 | 18,100 |
| Express Scripts Holding Co. |
| 02/25/2026 | 4.500% | | 1,175,000 | 1,246,152 |
| HCA, Inc. |
| 03/15/2024 | 5.000% | | 56,000 | 59,205 |
| 04/15/2025 | 5.250% | | 89,000 | 95,988 |
| 02/15/2026 | 5.875% | | 30,000 | 32,400 |
| 06/15/2026 | 5.250% | | 15,000 | 16,158 |
| Hill-Rom Holdings, Inc.(a) |
| 02/15/2025 | 5.000% | | 26,000 | 26,533 |
| McKesson Corp. |
| 12/15/2022 | 2.700% | | 650,000 | 648,029 |
| MEDNAX, Inc.(a) |
| 12/01/2023 | 5.250% | | 61,000 | 62,921 |
| MPH Acquisition Holdings LLC(a) |
| 06/01/2024 | 7.125% | | 68,000 | 72,496 |
| Quintiles IMS, Inc.(a) |
| 05/15/2023 | 4.875% | | 24,000 | 24,730 |
| 10/15/2026 | 5.000% | | 33,000 | 34,022 |
| Sterigenics-Nordion Holdings LLC(a) |
| 05/15/2023 | 6.500% | | 40,000 | 41,176 |
| Surgery Center Holdings, Inc.(a) |
| 07/01/2025 | 6.750% | | 32,000 | 32,417 |
| Team Health Holdings, Inc.(a) |
| 02/01/2025 | 6.375% | | 32,000 | 30,996 |
| Tenet Healthcare Corp.(a) |
| 01/01/2022 | 7.500% | | 43,000 | 46,610 |
| 07/15/2024 | 4.625% | | 22,000 | 21,830 |
| Tenet Healthcare Corp. |
| 06/15/2023 | 6.750% | | 29,000 | 28,972 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| THC Escrow Corp. III(a) |
| 07/15/2024 | 4.625% | | 27,000 | 27,070 |
| 05/01/2025 | 5.125% | | 40,000 | 40,144 |
| 08/01/2025 | 7.000% | | 27,000 | 26,933 |
| Total | 4,296,050 |
| Healthcare Insurance 0.2% |
| Aetna, Inc. |
| 06/15/2023 | 2.800% | | 1,100,000 | 1,098,223 |
| Anthem, Inc. |
| 08/15/2021 | 3.700% | | 400,000 | 415,931 |
| Centene Corp. |
| 02/15/2024 | 6.125% | | 62,000 | 66,967 |
| 01/15/2025 | 4.750% | | 27,000 | 27,832 |
| Molina Healthcare, Inc.(a) |
| 06/15/2025 | 4.875% | | 16,000 | 16,119 |
| UnitedHealth Group, Inc. |
| 01/15/2027 | 3.450% | | 1,000,000 | 1,027,176 |
| WellCare Health Plans, Inc. |
| 04/01/2025 | 5.250% | | 51,000 | 53,564 |
| Total | 2,705,812 |
| Home Construction 0.0% |
| CalAtlantic Group, Inc. |
| 12/15/2021 | 6.250% | | 36,000 | 40,312 |
| 11/15/2024 | 5.875% | | 27,000 | 29,224 |
| Lennar Corp. |
| 04/30/2024 | 4.500% | | 28,000 | 28,940 |
| Meritage Homes Corp. |
| 06/01/2025 | 6.000% | | 19,000 | 20,388 |
| Taylor Morrison Communities, Inc./Holdings II(a) |
| 03/01/2024 | 5.625% | | 46,000 | 48,203 |
| Total | 167,067 |
| Independent Energy 0.4% |
| Anadarko Petroleum Corp. |
| 09/15/2036 | 6.450% | | 900,000 | 1,059,112 |
| Callon Petroleum Co. |
| 10/01/2024 | 6.125% | | 22,000 | 22,253 |
| Callon Petroleum Co.(a) |
| 10/01/2024 | 6.125% | | 10,000 | 10,138 |
| Canadian Natural Resources Ltd. |
| 04/15/2024 | 3.800% | | 1,150,000 | 1,161,711 |
| Carrizo Oil & Gas, Inc. |
| 04/15/2023 | 6.250% | | 36,000 | 34,593 |
| Continental Resources, Inc. |
| 04/15/2023 | 4.500% | | 12,000 | 11,459 |
| 06/01/2024 | 3.800% | | 12,000 | 10,997 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CrownRock LP/Finance, Inc.(a) |
| 02/15/2023 | 7.750% | | 53,000 | 55,735 |
| Diamondback Energy, Inc.(a) |
| 05/31/2025 | 5.375% | | 105,000 | 106,420 |
| Extraction Oil & Gas, Inc./Finance Corp.(a) |
| 07/15/2021 | 7.875% | | 65,000 | 66,745 |
| Halcon Resources Corp.(a) |
| 02/15/2025 | 6.750% | | 20,000 | 18,027 |
| Laredo Petroleum, Inc. |
| 01/15/2022 | 5.625% | | 29,000 | 28,262 |
| 03/15/2023 | 6.250% | | 42,000 | 41,468 |
| Noble Energy, Inc. |
| 03/01/2041 | 6.000% | | 700,000 | 784,600 |
| Parsley Energy LLC/Finance Corp.(a) |
| 01/15/2025 | 5.375% | | 59,000 | 59,399 |
| 08/15/2025 | 5.250% | | 56,000 | 56,029 |
| PDC Energy, Inc.(a) |
| 09/15/2024 | 6.125% | | 53,000 | 53,786 |
| RSP Permian, Inc.(a) |
| 01/15/2025 | 5.250% | | 94,000 | 94,152 |
| SM Energy Co. |
| 09/15/2026 | 6.750% | | 60,000 | 57,230 |
| Whiting Petroleum Corp. |
| 04/01/2023 | 6.250% | | 30,000 | 27,602 |
| Woodside Finance Ltd.(a) |
| 03/05/2025 | 3.650% | | 1,000,000 | 995,386 |
| WPX Energy, Inc. |
| 01/15/2022 | 6.000% | | 68,000 | 67,246 |
| Total | 4,822,350 |
| Integrated Energy 0.3% |
| BP Capital Markets PLC |
| 02/10/2024 | 3.814% | | 1,000,000 | 1,044,330 |
| Cenovus Energy, Inc.(a) |
| 04/15/2027 | 4.250% | | 1,295,000 | 1,236,528 |
| Suncor Energy, Inc. |
| 12/01/2024 | 3.600% | | 750,000 | 766,927 |
| Total | 3,047,785 |
| Leisure 0.0% |
| AMC Entertainment Holdings, Inc.(a) |
| 05/15/2027 | 6.125% | | 15,000 | 15,863 |
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millenium Operations LLC(a) |
| 04/15/2027 | 5.375% | | 32,000 | 33,879 |
| Live Nation Entertainment, Inc.(a) |
| 11/01/2024 | 4.875% | | 23,000 | 23,327 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| LTF Merger Sub, Inc.(a) |
| 06/15/2023 | 8.500% | | 21,000 | 22,563 |
| Total | 95,632 |
| Life Insurance 0.7% |
| American International Group, Inc. |
| 02/15/2024 | 4.125% | | 1,200,000 | 1,265,374 |
| Brighthouse Financial, Inc.(a) |
| 06/22/2027 | 3.700% | | 1,834,000 | 1,811,845 |
| Five Corners Funding Trust(a) |
| 11/15/2023 | 4.419% | | 1,075,000 | 1,156,018 |
| MetLife Global Funding I(a) |
| 12/18/2026 | 3.450% | | 900,000 | 921,229 |
| Peachtree Corners Funding Trust(a) |
| 02/15/2025 | 3.976% | | 1,100,000 | 1,115,496 |
| Principal Financial Group, Inc. |
| 05/15/2025 | 3.400% | | 1,100,000 | 1,119,973 |
| Total | 7,389,935 |
| Media and Entertainment 0.3% |
| 21st Century Fox America, Inc. |
| 03/15/2033 | 6.550% | | 600,000 | 756,157 |
| AMC Networks, Inc. |
| 04/01/2024 | 5.000% | | 24,000 | 24,585 |
| Match Group, Inc. |
| 06/01/2024 | 6.375% | | 42,000 | 45,810 |
| MDC Partners, Inc.(a) |
| 05/01/2024 | 6.500% | | 57,000 | 56,758 |
| Netflix, Inc. |
| 02/15/2025 | 5.875% | | 35,000 | 38,729 |
| Netflix, Inc.(a) |
| 11/15/2026 | 4.375% | | 136,000 | 136,126 |
| Nielsen Luxembourg SARL(a) |
| 02/01/2025 | 5.000% | | 56,000 | 57,661 |
| Outfront Media Capital LLC/Corp. |
| 03/15/2025 | 5.875% | | 84,000 | 88,184 |
| RELX Capital, Inc. |
| 10/15/2022 | 3.125% | | 700,000 | 704,290 |
| Scripps Networks Interactive, Inc. |
| 11/15/2024 | 3.900% | | 875,000 | 906,505 |
| Thomson Reuters Corp. |
| 05/23/2043 | 4.500% | | 700,000 | 700,115 |
| Univision Communications, Inc.(a) |
| 02/15/2025 | 5.125% | | 31,000 | 30,703 |
| Total | 3,545,623 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
| 15 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Metals and Mining 0.1% |
| Constellium NV(a) |
| 05/15/2024 | 5.750% | | 76,000 | 70,185 |
| Freeport-McMoRan, Inc. |
| 11/14/2024 | 4.550% | | 72,000 | 67,982 |
| Grinding Media, Inc./MC Canada, Inc.(a) |
| 12/15/2023 | 7.375% | | 45,000 | 48,729 |
| HudBay Minerals, Inc.(a) |
| 01/15/2025 | 7.625% | | 43,000 | 45,146 |
| Novelis Corp.(a) |
| 09/30/2026 | 5.875% | | 82,000 | 84,552 |
| Teck Resources Ltd.(a) |
| 06/01/2024 | 8.500% | | 30,000 | 34,662 |
| Teck Resources Ltd. |
| 07/15/2041 | 6.250% | | 81,000 | 84,375 |
| Vale Overseas Ltd. |
| 01/11/2022 | 4.375% | | 875,000 | 891,516 |
| Total | 1,327,147 |
| Midstream 0.6% |
| Delek Logistics Partners LP(a) |
| 05/15/2025 | 6.750% | | 31,000 | 31,296 |
| Energy Transfer Equity LP |
| 06/01/2027 | 5.500% | | 111,000 | 114,929 |
| Enterprise Products Operating LLC |
| 02/01/2041 | 5.950% | | 825,000 | 980,069 |
| Holly Energy Partners LP/Finance Corp.(a) |
| 08/01/2024 | 6.000% | | 54,000 | 56,361 |
| Kinder Morgan Energy Partners LP |
| 03/01/2044 | 5.500% | | 1,175,000 | 1,218,004 |
| MPLX LP |
| 03/01/2027 | 4.125% | | 890,000 | 895,779 |
| NuStar Logistics LP |
| 04/28/2027 | 5.625% | | 33,000 | 34,683 |
| Plains All American Pipeline LP/Finance Corp. |
| 01/15/2037 | 6.650% | | 900,000 | 1,016,028 |
| Southern Natural Gas Co. LLC(a) |
| 03/15/2047 | 4.800% | | 625,000 | 660,600 |
| Tallgrass Energy Partners LP/Finance Corp.(a) |
| 09/15/2024 | 5.500% | | 14,000 | 14,206 |
| Targa Resources Partners LP/Finance Corp. |
| 03/15/2024 | 6.750% | | 28,000 | 30,197 |
| Targa Resources Partners LP/Finance Corp.(a) |
| 02/01/2027 | 5.375% | | 79,000 | 81,683 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Tesoro Logistics LP/Finance Corp. |
| 05/01/2024 | 6.375% | | 20,000 | 21,624 |
| 01/15/2025 | 5.250% | | 72,000 | 75,795 |
| Williams Companies, Inc. (The) |
| 06/24/2024 | 4.550% | | 116,000 | 118,980 |
| Williams Partners LP |
| 03/04/2024 | 4.300% | | 1,125,000 | 1,173,435 |
| Total | 6,523,669 |
| Natural Gas 0.2% |
| NiSource Finance Corp. |
| 02/15/2044 | 4.800% | | 800,000 | 868,906 |
| Sempra Energy |
| 06/15/2027 | 3.250% | | 1,300,000 | 1,281,049 |
| Total | 2,149,955 |
| Office REIT 0.1% |
| Boston Properties LP |
| 02/01/2026 | 3.650% | | 900,000 | 912,353 |
| Oil Field Services 0.0% |
| Precision Drilling Corp.(a) |
| 12/15/2023 | 7.750% | | 4,000 | 4,037 |
| Trinidad Drilling Ltd.(a) |
| 02/15/2025 | 6.625% | | 13,000 | 12,298 |
| Weatherford International Ltd. |
| 06/15/2021 | 7.750% | | 12,000 | 12,045 |
| 06/15/2023 | 8.250% | | 50,000 | 50,093 |
| Total | 78,473 |
| Other Financial Institutions 0.0% |
| Alpine Finance Merger Sub LLC(a),(c) |
| 08/01/2025 | 6.875% | | 13,000 | 13,266 |
| Icahn Enterprises LP/Finance Corp. |
| 02/01/2022 | 6.250% | | 23,000 | 24,033 |
| Total | 37,299 |
| Other Industry 0.0% |
| Booz Allen Hamilton, Inc.(a) |
| 05/01/2025 | 5.125% | | 5,000 | 4,903 |
| KAR Auction Services, Inc.(a) |
| 06/01/2025 | 5.125% | | 26,000 | 26,519 |
| Total | 31,422 |
| Other REIT 0.1% |
| CyrusOne LP/Finance Corp.(a) |
| 03/15/2024 | 5.000% | | 14,000 | 14,424 |
| 03/15/2027 | 5.375% | | 14,000 | 14,575 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Duke Realty LP |
| 04/15/2023 | 3.625% | | 875,000 | 893,835 |
| Total | 922,834 |
| Packaging 0.0% |
| Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) |
| 05/15/2024 | 7.250% | | 62,000 | 67,863 |
| 02/15/2025 | 6.000% | | 43,000 | 45,166 |
| Berry Plastics Corp. |
| 10/15/2022 | 6.000% | | 24,000 | 25,585 |
| 07/15/2023 | 5.125% | | 36,000 | 37,486 |
| Novolex (a) |
| 01/15/2025 | 6.875% | | 16,000 | 16,624 |
| Owens-Brockway Glass Container, Inc.(a) |
| 01/15/2025 | 5.375% | | 16,000 | 17,060 |
| Reynolds Group Issuer, Inc./LLC |
| 10/15/2020 | 5.750% | | 29,000 | 29,669 |
| Reynolds Group Issuer, Inc./LLC(a) |
| 07/15/2024 | 7.000% | | 55,000 | 58,893 |
| Total | 298,346 |
| Pharmaceuticals 0.4% |
| AbbVie, Inc. |
| 05/14/2021 | 2.300% | | 625,000 | 623,129 |
| Allergan Funding SCS |
| 03/15/2035 | 4.550% | | 550,000 | 586,943 |
| Amgen, Inc. |
| 03/15/2040 | 5.750% | | 390,000 | 464,506 |
| Eagle Holding Co., II LLC PIK(a) |
| 05/15/2022 | 7.625% | | 8,000 | 8,221 |
| Endo Dac/Finance LLC/Finco, Inc.(a),(b) |
| 02/01/2025 | 6.000% | | 20,000 | 16,408 |
| Gilead Sciences, Inc. |
| 04/01/2024 | 3.700% | | 1,000,000 | 1,043,366 |
| Jaguar Holding Co. II/Pharmaceutical Product Development LLC(a) |
| 08/01/2023 | 6.375% | | 51,000 | 53,725 |
| Mallinckrodt International Finance SA/CB LLC(a) |
| 10/15/2023 | 5.625% | | 12,000 | 10,942 |
| Roche Holdings, Inc.(a) |
| 09/30/2024 | 3.350% | | 510,000 | 526,989 |
| Shire Acquisitions Investments Ireland DAC |
| 09/23/2023 | 2.875% | | 1,300,000 | 1,287,294 |
| Valeant Pharmaceuticals International, Inc.(a) |
| 03/15/2022 | 6.500% | | 13,000 | 13,635 |
| 05/15/2023 | 5.875% | | 55,000 | 47,157 |
| 03/15/2024 | 7.000% | | 54,000 | 56,966 |
| 04/15/2025 | 6.125% | | 148,000 | 125,478 |
| Total | 4,864,759 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Property & Casualty 0.5% |
| Berkshire Hathaway, Inc. |
| 03/15/2023 | 2.750% | | 825,000 | 835,959 |
| Chubb Corp. (The)(b) |
| Junior Subordinated |
| 04/15/2037 | 3.408% | | 875,000 | 872,077 |
| CNA Financial Corp. |
| 03/01/2026 | 4.500% | | 800,000 | 858,071 |
| Hartford Financial Services Group, Inc. (The) |
| 04/15/2022 | 5.125% | | 750,000 | 831,958 |
| HUB International Ltd.(a) |
| 10/01/2021 | 7.875% | | 70,000 | 72,981 |
| Loews Corp. |
| 05/15/2023 | 2.625% | | 1,150,000 | 1,141,602 |
| Transatlantic Holdings, Inc. |
| 11/30/2039 | 8.000% | | 450,000 | 607,479 |
| Total | 5,220,127 |
| Railroads 0.1% |
| Burlington Northern Santa Fe LLC |
| 09/01/2024 | 3.400% | | 700,000 | 728,235 |
| CSX Corp. |
| 03/15/2044 | 4.100% | | 800,000 | 819,590 |
| Total | 1,547,825 |
| Refining 0.0% |
| Marathon Petroleum Corp. |
| 03/01/2041 | 6.500% | | 395,000 | 455,943 |
| Restaurants 0.0% |
| 1011778 BC Unlimited Liability Co./New Red Finance, Inc.(a) |
| 05/15/2024 | 4.250% | | 57,000 | 56,638 |
| BC ULC/New Red Finance, Inc.(a) |
| 01/15/2022 | 4.625% | | 44,000 | 45,100 |
| KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(a) |
| 06/01/2026 | 5.250% | | 36,000 | 37,844 |
| Total | 139,582 |
| Retail REIT 0.2% |
| Kimco Realty Corp. |
| 06/01/2023 | 3.125% | | 1,100,000 | 1,090,565 |
| Simon Property Group LP |
| 02/01/2040 | 6.750% | | 415,000 | 552,602 |
| Total | 1,643,167 |
| Retailers 0.3% |
| Asbury Automotive Group, Inc. |
| 12/15/2024 | 6.000% | | 28,000 | 28,502 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
| 17 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CVS Health Corp. |
| 07/20/2022 | 3.500% | | 1,000,000 | 1,038,357 |
| Hanesbrands, Inc.(a) |
| 05/15/2024 | 4.625% | | 22,000 | 22,363 |
| L Brands, Inc. |
| 11/01/2035 | 6.875% | | 33,000 | 31,917 |
| Lowe’s Companies, Inc. |
| 05/03/2027 | 3.100% | | 550,000 | 547,701 |
| Penske Automotive Group, Inc. |
| 12/01/2024 | 5.375% | | 39,000 | 39,237 |
| PetSmart, Inc.(a) |
| 06/01/2025 | 5.875% | | 20,000 | 19,296 |
| Rite Aid Corp. |
| Junior Subordinated |
| 02/15/2027 | 7.700% | | 9,000 | 9,059 |
| Target Corp. |
| 07/01/2024 | 3.500% | | 1,000,000 | 1,037,561 |
| Total | 2,773,993 |
| Technology 0.5% |
| Apple, Inc. |
| 02/09/2024 | 3.000% | | 1,400,000 | 1,420,138 |
| Broadcom Corp./Cayman Finance Ltd.(a) |
| 01/15/2024 | 3.625% | | 900,000 | 922,929 |
| Camelot Finance SA(a) |
| 10/15/2024 | 7.875% | | 26,000 | 27,960 |
| CDK Global, Inc.(a) |
| 06/01/2027 | 4.875% | | 17,000 | 17,467 |
| Equinix, Inc. |
| 01/15/2026 | 5.875% | | 42,000 | 45,741 |
| 05/15/2027 | 5.375% | | 64,000 | 68,424 |
| First Data Corp.(a) |
| 08/15/2023 | 5.375% | | 37,000 | 38,665 |
| 12/01/2023 | 7.000% | | 84,000 | 89,662 |
| Gartner, Inc.(a) |
| 04/01/2025 | 5.125% | | 55,000 | 57,719 |
| Informatica LLC(a) |
| 07/15/2023 | 7.125% | | 28,000 | 28,514 |
| Microsoft Corp. |
| 02/06/2024 | 2.875% | | 1,000,000 | 1,016,404 |
| Oracle Corp. |
| 04/15/2038 | 6.500% | | 750,000 | 1,025,632 |
| PTC, Inc. |
| 05/15/2024 | 6.000% | | 49,000 | 53,485 |
| QUALCOMM, Inc. |
| 05/20/2047 | 4.300% | | 900,000 | 918,475 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Qualitytech LP/Finance Corp. |
| 08/01/2022 | 5.875% | | 31,000 | 32,390 |
| Sensata Technologies UK Financing Co. PLC(a) |
| 02/15/2026 | 6.250% | | 44,000 | 47,958 |
| Solera LLC/Finance, Inc.(a) |
| 03/01/2024 | 10.500% | | 34,000 | 39,032 |
| Symantec Corp.(a) |
| 04/15/2025 | 5.000% | | 42,000 | 43,937 |
| Tempo Acquisition LLC/Finance Corp.(a) |
| 06/01/2025 | 6.750% | | 19,000 | 19,434 |
| VeriSign, Inc.(a),(c) |
| 07/15/2027 | 4.750% | | 47,000 | 47,497 |
| Total | 5,961,463 |
| Transportation Services 0.2% |
| Avis Budget Car Rental LLC/Finance, Inc.(a) |
| 03/15/2025 | 5.250% | | 48,000 | 45,394 |
| ERAC USA Finance LLC(a) |
| 10/15/2037 | 7.000% | | 500,000 | 648,343 |
| Ford Motor Co. |
| 12/08/2026 | 4.346% | | 1,500,000 | 1,543,504 |
| Hertz Corp. (The)(a) |
| 06/01/2022 | 7.625% | | 54,000 | 53,872 |
| 10/15/2024 | 5.500% | | 35,000 | 28,698 |
| Total | 2,319,811 |
| Wireless 0.2% |
| Rogers Communications, Inc. |
| 11/15/2026 | 2.900% | | 1,200,000 | 1,154,298 |
| SBA Communications Corp.(a) |
| 09/01/2024 | 4.875% | | 155,000 | 157,523 |
| SFR Group SA(a) |
| 05/01/2026 | 7.375% | | 75,000 | 81,338 |
| Sprint Communications, Inc.(a) |
| 03/01/2020 | 7.000% | | 82,000 | 90,009 |
| Sprint Corp. |
| 06/15/2024 | 7.125% | | 51,000 | 56,694 |
| 02/15/2025 | 7.625% | | 173,000 | 199,012 |
| T-Mobile USA, Inc. |
| 01/15/2026 | 6.500% | | 94,000 | 103,724 |
| Wind Acquisition Finance SA(a) |
| 04/30/2020 | 6.500% | | 11,000 | 11,383 |
| 04/23/2021 | 7.375% | | 17,000 | 17,670 |
| Total | 1,871,651 |
| Wirelines 0.6% |
| AT&T, Inc. |
| 08/15/2040 | 6.000% | | 1,800,000 | 2,039,067 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CenturyLink, Inc. |
| 04/01/2024 | 7.500% | | 31,000 | 33,996 |
| 04/01/2025 | 5.625% | | 23,000 | 23,005 |
| Deutsche Telekom International Finance BV(a) |
| 09/19/2023 | 2.485% | | 1,000,000 | 969,868 |
| Frontier Communications Corp. |
| 04/15/2024 | 7.625% | | 67,000 | 55,225 |
| 01/15/2025 | 6.875% | | 26,000 | 20,312 |
| 09/15/2025 | 11.000% | | 30,000 | 27,730 |
| Level 3 Financing, Inc. |
| 02/01/2023 | 5.625% | | 19,000 | 19,755 |
| 01/15/2024 | 5.375% | | 10,000 | 10,448 |
| 03/15/2026 | 5.250% | | 40,000 | 41,476 |
| Orange SA |
| 07/08/2019 | 5.375% | | 875,000 | 931,620 |
| Telecom Italia SpA(a) |
| 05/30/2024 | 5.303% | | 27,000 | 29,093 |
| Telefonica Emisiones SAU |
| 06/20/2036 | 7.045% | | 550,000 | 724,359 |
| Verizon Communications, Inc. |
| 03/15/2034 | 5.050% | | 1,500,000 | 1,586,476 |
| Zayo Group LLC/Capital, Inc. |
| 04/01/2023 | 6.000% | | 21,000 | 22,106 |
| 05/15/2025 | 6.375% | | 54,000 | 58,356 |
| Zayo Group LLC/Capital, Inc.(a) |
| 01/15/2027 | 5.750% | | 32,000 | 33,528 |
| Total | 6,626,420 |
Total Corporate Bonds & Notes
(Cost $131,345,913) | 134,461,099 |
|
| Foreign Government Obligations(f) 0.5% |
| | | | |
| Canada 0.3% |
| NOVA Chemicals Corp.(a) |
| 06/01/2024 | 4.875% | | 32,000 | 31,834 |
| Province of Ontario |
| 05/21/2020 | 1.875% | | 1,825,000 | 1,823,273 |
| Province of Quebec |
| 07/29/2020 | 3.500% | | 1,700,000 | 1,780,191 |
| Total | 3,635,298 |
| Mexico 0.2% |
| Petroleos Mexicanos(a) |
| 03/13/2027 | 6.500% | | 1,300,000 | 1,396,408 |
Total Foreign Government Obligations
(Cost $4,951,081) | 5,031,706 |
|
| Inflation-Indexed Bonds 0.7% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| United States 0.7% |
| U.S. Treasury Inflation-Indexed Bond |
| 04/15/2019 | 0.125% | | 7,304,850 | 7,309,771 |
Total Inflation-Indexed Bonds
(Cost $7,315,628) | 7,309,771 |
|
| Residential Mortgage-Backed Securities - Agency 7.7% |
| | | | |
| Federal Home Loan Mortgage Corp. |
05/01/2018-
02/01/2038 | 5.500% | | 582,017 | 644,015 |
08/01/2018-
05/01/2041 | 5.000% | | 1,247,234 | 1,358,923 |
10/01/2026-
05/01/2046 | 3.500% | | 29,021,662 | 29,887,394 |
01/01/2032-
07/01/2043 | 3.000% | | 3,264,448 | 3,289,805 |
04/01/2032-
06/01/2037 | 6.000% | | 388,480 | 438,075 |
| 04/01/2032 | 7.000% | | 58,932 | 67,468 |
05/01/2032-
07/01/2032 | 6.500% | | 514,648 | 569,221 |
05/01/2039-
08/01/2041 | 4.500% | | 3,046,942 | 3,277,111 |
01/01/2045-
12/01/2045 | 4.000% | | 9,042,469 | 9,517,268 |
| Federal National Mortgage Association |
08/01/2017-
09/01/2032 | 6.500% | | 172,829 | 193,192 |
02/01/2018-
12/01/2028 | 6.000% | | 103,314 | 116,415 |
03/01/2026-
12/01/2032 | 7.000% | | 724,555 | 778,230 |
04/01/2026-
07/01/2046 | 3.500% | | 23,973,874 | 24,737,225 |
11/01/2026-
09/01/2040 | 4.000% | | 2,612,151 | 2,747,135 |
04/01/2031-
10/01/2046 | 3.000% | | 7,912,091 | 8,104,546 |
02/01/2038-
03/01/2038 | 5.500% | | 436,436 | 487,075 |
| Federal National Mortgage Association(g) |
| 10/01/2040 | 4.500% | | 637,822 | 689,668 |
Total Residential Mortgage-Backed Securities - Agency
(Cost $86,268,402) | 86,902,766 |
|
| Residential Mortgage-Backed Securities - Non-Agency 1.5% |
| | | | |
| Angel Oak Mortgage Trust LLC(a),(b) |
| Series 2017-1 Class A1 |
| 01/25/2047 | 2.810% | | 622,892 | 624,175 |
| Bayview Opportunity Master Fund IVA Trust(a) |
| CMO Series 2016-SPL1 Class A |
| 04/28/2055 | 4.000% | | 715,472 | 742,960 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
| 19 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| COLT Mortgage Loan Trust(a) |
| CMO Series 2016-1 Class A1 |
| 05/25/2046 | 3.000% | | 212,587 | 214,792 |
| COLT Mortgage Loan Trust(a),(b) |
| CMO Series 2016-2 Class A1 |
| 09/25/2046 | 2.750% | | 627,189 | 633,398 |
| CMO Series 2017-1 Class A1 |
| 05/27/2047 | 2.614% | | 1,094,401 | 1,096,727 |
| Deephaven Residential Mortgage Trust(a),(b) |
| CMO Series 20 17-1A Class A1 |
| 12/26/2046 | 2.725% | | 1,077,325 | 1,077,662 |
| MFA Trust(a),(b) |
| CMO Series 2017-RPL1 Class A1 |
| 02/25/2057 | 2.588% | | 1,222,533 | 1,228,769 |
| Mill City Mortgage Trust(a) |
| CMO Series 2015-1 Class A1 |
| 06/25/2056 | 2.230% | | 133,785 | 133,842 |
| CMO Series 2016-1 Class A1 |
| 04/25/2057 | 2.500% | | 830,124 | 832,420 |
| Series 2015-2 Class A1 |
| 09/25/2057 | 3.000% | | 778,460 | 782,033 |
| New Residential Mortgage Loan Trust(a) |
| CMO Series 2016-3A Class A1 |
| 09/25/2056 | 3.750% | | 594,172 | 604,838 |
| New Residential Mortgage Loan Trust(a),(b) |
| CMO Series 2017-3A Class A1 |
| 04/25/2057 | 4.000% | | 855,751 | 888,808 |
| Springleaf Mortgage Loan Trust(a) |
| CMO Series 2013-2A Class A |
| 12/25/2065 | 1.780% | | 181,274 | 180,909 |
| CMO Series 2013-3A Class A |
| 09/25/2057 | 1.870% | | 491,853 | 491,650 |
| Towd Point Mortgage Trust(a) |
| CMO Series 15-5 Class A1 |
| 05/25/2055 | 3.500% | | 1,025,449 | 1,052,540 |
| CMO Series 2015-4 Class A1 |
| 04/25/2055 | 3.500% | | 711,442 | 728,797 |
| CMO Series 2015-6 Class A1 |
| 04/25/2055 | 3.500% | | 1,078,494 | 1,106,681 |
| CMO Series 2016-1 Class A1 |
| 02/25/2055 | 3.500% | | 1,056,452 | 1,083,825 |
| CMO Series 2016-2 Class A1 |
| 08/25/2055 | 3.000% | | 1,248,888 | 1,269,531 |
| CMO Series 2016-4 Class A1 |
| 07/25/2056 | 2.250% | | 391,354 | 390,272 |
| CMO Series 2017-1 Class A1 |
| 10/25/2056 | 2.750% | | 761,741 | 768,552 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2016-3 Class A1 |
| 04/25/2056 | 2.250% | | 652,207 | 650,224 |
| Verus Securitization Trust(a),(b) |
| CMO Series 2017-1A Class A1 |
| 01/25/2047 | 2.853% | | 673,624 | 677,038 |
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $17,207,016) | 17,260,443 |
|
| Senior Loans 0.0% |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Consumer Products 0.0% |
| Serta Simmons Holdings, LLC(b),(h) |
| 2nd Lien Term Loan |
| 11/08/2024 | 9.179% | | 51,954 | 51,716 |
| Diversified Manufacturing 0.0% |
| Accudyne Industries Borrower SCA/LLC(b),(h) |
| Term Loan |
| 12/13/2019 | 4.226% | | 41,000 | 40,635 |
| Oil Field Services 0.0% |
| EagleClaw Midstream Ventures(b),(h),(i) |
| Term Loan |
| 06/06/2024 | 0.000% | | 29,791 | 29,419 |
| Technology 0.0% |
| Ancestry.com Operations, Inc.(b),(h) |
| 2nd Lien Term Loan |
| 10/19/2024 | 9.460% | | 13,412 | 13,691 |
| Ascend Learning LLC(b),(h),(i) |
| Term Loan |
| 06/28/2024 | 4.545% | | 5,000 | 5,000 |
| Greeneden US Holdings I LLC(b),(h) |
| Tranche B1 Term Loan |
| 12/01/2023 | 5.296% | | 14,925 | 14,958 |
| Hyland Software, Inc.(b),(h),(i) |
| Tranche 3 Term Loan |
| 07/01/2022 | 0.000% | | 7,743 | 7,785 |
| Information Resources, Inc.(b),(h) |
| 2nd Lien Term Loan |
| 01/20/2025 | 9.466% | | 67,000 | 66,665 |
| Kronos, Inc.(b),(h) |
| 2nd Lien Term Loan |
| 11/01/2024 | 9.420% | | 21,000 | 21,779 |
| Misys Ltd.(b),(h) |
| 1st Lien Term Loan |
| 06/13/2024 | 4.736% | | 19,488 | 19,481 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| 2nd Lien Term Loan |
| 06/13/2025 | 8.459% | | 7,276 | 7,401 |
| Total | 156,760 |
Total Senior Loans
(Cost $274,430) | 278,530 |
|
| U.S. Government & Agency Obligations 1.3% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal Farm Credit Banks(b) |
| 02/10/2020 | 1.167% | | 5,800,000 | 5,813,033 |
| 02/21/2020 | 1.264% | | 8,850,000 | 8,870,204 |
Total U.S. Government & Agency Obligations
(Cost $14,650,277) | 14,683,237 |
|
| U.S. Treasury Obligations 2.2% |
| | | | |
| U.S. Treasury |
| 08/15/2040 | 3.875% | | 14,175,000 | 16,874,660 |
| 02/15/2045 | 2.500% | | 8,845,000 | 8,258,217 |
Total U.S. Treasury Obligations
(Cost $24,683,723) | 25,132,877 |
| Money Market Funds 5.7% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(j),(k) | 63,751,241 | 63,751,241 |
Total Money Market Funds
(Cost $63,750,363) | 63,751,241 |
Total Investments
(Cost: $985,230,194) | 1,116,337,760 |
| Other Assets & Liabilities, Net | | 5,799,709 |
| Net Assets | 1,122,137,469 |
At June 30, 2017, securities and/or cash totaling $130,125 were pledged as collateral.
Investments in derivatives
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| U.S. Treasury 10-Year Note | 40 | USD | 5,021,250 | 09/2017 | — | (1,317) |
| U.S. Treasury 10-Year Note | 5 | USD | 627,656 | 09/2017 | — | (2,977) |
| U.S. Treasury 10-Year Note | 10 | USD | 1,255,312 | 09/2017 | — | (9,083) |
| U.S. Treasury 5-Year Note | 35 | USD | 4,124,258 | 09/2017 | — | (3,348) |
| U.S. Treasury 5-Year Note | 20 | USD | 2,356,719 | 09/2017 | — | (7,687) |
| Total | | | 13,385,195 | | — | (24,412) |
Notes to Portfolio of Investments
| (a) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At June 30, 2017, the value of these securities amounted to $76,125,091, which represents 6.78% of net assets. |
| (b) | Variable rate security. |
| (c) | Represents a security purchased on a when-issued basis. |
| (d) | Non-income producing investment. |
| (e) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2017, the value of these securities amounted to $10,058, which represents less than 0.01% of net assets. |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
| 21 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| (f) | Principal and interest may not be guaranteed by the government. |
| (g) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (h) | Senior loans have interest rates that float periodically based primarily on the London Interbank Offered Rate (“LIBOR”) and other short-term rates. The interest rate shown reflects the weighted average coupon as of June 30, 2017. The interest rate shown for senior loans purchased on a when-issued or delayed delivery basis, if any, reflects an estimated average coupon. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted. |
| (i) | Represents a security purchased on a forward commitment basis. |
| (j) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (k) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 48,571,521 | 153,928,889 | (138,749,169) | 63,751,241 | (1,744) | 231,461 | 63,751,241 |
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
| PIK | Payment In Kind |
Currency Legend
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing
The accompanying Notes to Financial Statements are an integral part of this statement.
| 22 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Asset-Backed Securities — Non-Agency | — | 37,209,743 | — | — | 37,209,743 |
| Commercial Mortgage-Backed Securities - Agency | — | 23,052,933 | — | — | 23,052,933 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 22,721,152 | — | — | 22,721,152 |
| Common Stocks | | | | | |
| Consumer Discretionary | 88,545,505 | — | — | — | 88,545,505 |
| Consumer Staples | 47,370,051 | — | — | — | 47,370,051 |
| Energy | 44,281,474 | — | — | — | 44,281,474 |
| Financials | 122,731,580 | — | — | — | 122,731,580 |
| Health Care | 112,889,354 | — | — | — | 112,889,354 |
| Industrials | 57,808,926 | — | — | — | 57,808,926 |
| Information Technology | 152,656,993 | — | — | — | 152,656,993 |
| Materials | 15,706,651 | — | — | — | 15,706,651 |
| Real Estate | 10,899,728 | — | — | — | 10,899,728 |
| Telecommunication Services | 16,608,118 | — | — | — | 16,608,118 |
| Utilities | 9,043,882 | — | — | — | 9,043,882 |
| Total Common Stocks | 678,542,262 | — | — | — | 678,542,262 |
| Corporate Bonds & Notes | — | 134,461,099 | — | — | 134,461,099 |
| Foreign Government Obligations | — | 5,031,706 | — | — | 5,031,706 |
| Inflation-Indexed Bonds | — | 7,309,771 | — | — | 7,309,771 |
| Residential Mortgage-Backed Securities - Agency | — | 86,902,766 | — | — | 86,902,766 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 17,260,443 | — | — | 17,260,443 |
| Senior Loans | — | 278,530 | — | — | 278,530 |
| U.S. Government & Agency Obligations | — | 14,683,237 | — | — | 14,683,237 |
| U.S. Treasury Obligations | 25,132,877 | — | — | — | 25,132,877 |
| Money Market Funds | — | — | — | 63,751,241 | 63,751,241 |
| Total Investments | 703,675,139 | 348,911,380 | — | 63,751,241 | 1,116,337,760 |
| Derivatives | | | | | |
| Liability | | | | | |
| Futures Contracts | (24,412) | — | — | — | (24,412) |
| Total | 703,650,727 | 348,911,380 | — | 63,751,241 | 1,116,313,348 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
Derivative instruments are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between Levels 1 and 2 during the period.
Financial assets were transferred from Level 3 to Level 2 as observable market inputs were utilized and management determined that there was sufficient, reliable and observable market data to value these assets as of period end.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
| 23 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
Transfers between Levels are determined based on the fair value at the beginning of the period for security positions held throughout the period.
The following table(s) shows transfers between Levels of the fair value hierarchy:
| Transfers In | Transfers Out |
| Level 2 ($) | Level 3 ($) | Level 2 ($) | Level 3 ($) |
| 298,186 | — | — | 298,186 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 24 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $921,479,831 |
| Affiliated issuers, at cost | 63,750,363 |
| Total investments, at cost | 985,230,194 |
| Investments, at value | |
| Unaffiliated issuers, at value | 1,052,586,519 |
| Affiliated issuers, at value | 63,751,241 |
| Total investments, at value | 1,116,337,760 |
| Receivable for: | |
| Investments sold | 14,941,987 |
| Investments sold on a delayed delivery basis | 84,030 |
| Dividends | 733,527 |
| Interest | 2,224,298 |
| Foreign tax reclaims | 16,812 |
| Expense reimbursement due from Investment Manager | 30,447 |
| Total assets | 1,134,368,861 |
| Liabilities | |
| Due to custodian | 5,988 |
| Payable for: | |
| Investments purchased | 9,016,368 |
| Investments purchased on a delayed delivery basis | 1,168,077 |
| Capital shares purchased | 987,293 |
| Variation margin for futures contracts | 24,922 |
| Management services fees | 636,675 |
| Distribution and/or service fees | 115,935 |
| Transfer agent fees | 55,648 |
| Compensation of board members | 78,213 |
| Compensation of chief compliance officer | 129 |
| Other expenses | 142,144 |
| Total liabilities | 12,231,392 |
| Net assets applicable to outstanding capital stock | $1,122,137,469 |
| Represented by | |
| Trust capital | $1,122,137,469 |
| Total - representing net assets applicable to outstanding capital stock | $1,122,137,469 |
| Class 1 | |
| Net assets | $3,061 |
| Shares outstanding | 121 |
| Net asset value per share(a) | $25.25 |
| Class 2 | |
| Net assets | $3,038 |
| Shares outstanding | 121 |
| Net asset value per share(a) | $25.05 |
| Class 3 | |
| Net assets | $1,122,131,370 |
| Shares outstanding | 44,554,904 |
| Net asset value per share | $25.19 |
| (a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
| 25 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $6,018,796 |
| Dividends — affiliated issuers | 231,461 |
| Interest | 5,183,701 |
| Foreign taxes withheld | (8,535) |
| Total income | 11,425,423 |
| Expenses: | |
| Management services fees | 3,775,451 |
| Distribution and/or service fees | |
| Class 2 | 3 |
| Class 3 | 685,788 |
| Transfer agent fees | |
| Class 1 | 1 |
| Class 2 | 1 |
| Class 3 | 329,167 |
| Compensation of board members | 17,557 |
| Custodian fees | 27,963 |
| Printing and postage fees | 113,497 |
| Audit fees | 20,020 |
| Legal fees | 7,147 |
| Compensation of chief compliance officer | 113 |
| Other | 11,053 |
| Total expenses | 4,987,761 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (63,441) |
| Total net expenses | 4,924,320 |
| Net investment income | 6,501,103 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 21,261,175 |
| Investments — affiliated issuers | (1,744) |
| Foreign currency translations | (619) |
| Futures contracts | 229,293 |
| Net realized gain | 21,488,105 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 51,619,184 |
| Investments — affiliated issuers | 882 |
| Foreign currency translations | 1,460 |
| Futures contracts | (20,825) |
| Net change in unrealized appreciation (depreciation) | 51,600,701 |
| Net realized and unrealized gain | 73,088,806 |
| Net increase in net assets resulting from operations | $79,589,909 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 26 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment income | $6,501,103 | $12,622,546 |
| Net realized gain | 21,488,105 | 30,298,539 |
| Net change in unrealized appreciation (depreciation) | 51,600,701 | 19,099,240 |
| Net increase in net assets resulting from operations | 79,589,909 | 62,020,325 |
| Increase (decrease) in net assets from capital stock activity | (16,877,618) | 32,953,495 |
| Total increase in net assets | 62,712,291 | 94,973,820 |
| Net assets at beginning of period | 1,059,425,178 | 964,451,358 |
| Net assets at end of period | $1,122,137,469 | $1,059,425,178 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
| 27 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 3 | | | | |
| Subscriptions | 478,847 | 11,654,516 | 2,766,749 | 63,086,016 |
| Redemptions | (1,162,182) | (28,532,134) | (1,350,522) | (30,132,521) |
| Net increase (decrease) | (683,335) | (16,877,618) | 1,416,227 | 32,953,495 |
| Total net increase (decrease) | (683,335) | (16,877,618) | 1,416,227 | 32,953,495 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 28 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
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Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
| 29 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| 6/30/2017 (c) | $23.46 | 0.17 | 1.62 | 1.79 |
| 12/31/2016 | $22.00 | 0.33 | 1.13 | 1.46 |
| 12/31/2015 | $21.59 | 0.59 (e) | (0.18) | 0.41 |
| 12/31/2014 (f) | $20.62 | 0.12 | 0.85 | 0.97 |
| Class 2 |
| 6/30/2017 (c) | $23.30 | 0.14 | 1.61 | 1.75 |
| 12/31/2016 | $21.91 | 0.27 | 1.12 | 1.39 |
| 12/31/2015 | $21.56 | 0.53 (e) | (0.18) | 0.35 |
| 12/31/2014 (g) | $20.62 | 0.09 | 0.85 | 0.94 |
| Class 3 |
| 6/30/2017 (c) | $23.42 | 0.14 | 1.63 | 1.77 |
| 12/31/2016 | $22.01 | 0.29 | 1.12 | 1.41 |
| 12/31/2015 | $21.64 | 0.55 (e) | (0.18) | 0.37 |
| 12/31/2014 | $19.65 | 0.21 | 1.78 | 1.99 |
| 12/31/2013 | $16.18 | 0.19 | 3.28 | 3.47 |
| 12/31/2012 | $14.16 | 0.24 | 1.78 | 2.02 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.33 per share. |
| (f) | Class 1 shares commenced operations on June 25, 2014. Per share data and total return reflect activity from that date. |
| (g) | Class 2 shares commenced operations on June 25, 2014. Per share data and total return reflect activity from that date. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 30 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $25.25 | 7.63% | 0.77% (d) | 0.72% (d) | 1.37% (d) | 31% | $3 |
| $23.46 | 6.64% | 0.79% | 0.79% | 1.40% | 65% | $3 |
| $22.00 | 1.90% | 0.76% | 0.76% | 2.69% | 89% | $3 |
| $21.59 | 4.71% | 0.78% (d) | 0.78% (d) | 1.04% (d) | 94% | $3 |
| |
| $25.05 | 7.51% | 1.02% (d) | 0.97% (d) | 1.12% (d) | 31% | $3 |
| $23.30 | 6.34% | 1.04% | 1.04% | 1.16% | 65% | $3 |
| $21.91 | 1.62% | 1.01% | 1.01% | 2.43% | 89% | $3 |
| $21.56 | 4.56% | 1.03% (d) | 1.03% (d) | 0.78% (d) | 94% | $3 |
| |
| $25.19 | 7.56% | 0.91% (d) | 0.90% (d) | 1.18% (d) | 31% | $1,122,131 |
| $23.42 | 6.41% | 0.91% | 0.91% | 1.27% | 65% | $1,059,420 |
| $22.01 | 1.71% | 0.94% | 0.92% | 2.51% | 89% | $964,446 |
| $21.64 | 10.13% | 0.92% | 0.92% | 1.02% | 94% | $972,972 |
| $19.65 | 21.45% | 0.93% | 0.89% | 1.08% | 129% | $948,462 |
| $16.18 | 14.26% | 0.92% | 0.80% | 1.57% | 127% | $847,579 |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
| 31 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Balanced Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers Class 1, Class 2 and Class 3 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Fund directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to the Fund. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Debt securities generally are valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized cost value, unless this method results in a valuation that management believes does not approximate market value.
Asset- and mortgage-backed securities are generally valued by pricing services, which utilize pricing models that incorporate the securities’ cash flow and loan performance data. These models also take into account available market data, including trades, market quotations, and benchmark yield curves for identical or similar securities. Factors used to identify similar securities may include, but are not limited to, issuer, collateral type, vintage, prepayment speeds, collateral performance, credit ratings, credit enhancement and expected life. Asset-backed securities for which quotations are readily available may also be valued based upon an over-the-counter or exchange bid quote from an approved independent broker-dealer.
Senior loan securities for which reliable market quotations are readily available are generally valued by pricing services at the average of the bids received.
| 32 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are generally determined at 4:00 p.m. Eastern (U.S.) time. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees, including, if available, utilizing a third party pricing service to determine these fair values. The third party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
Futures and options on futures contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of transactions, at the mean of the latest quoted bid and ask prices.
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Foreign currency transactions and translations
The values of all assets and liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains (losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes, the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Derivative instruments
The Fund invests in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
| 33 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract; therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In addition to considering counterparty credit risk, the Fund would consider terminating the derivatives contracts based on whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
| 34 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Futures contracts
Futures contracts are exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to manage the duration and yield curve exposure of the Fund versus the benchmark and to manage exposure to movements in interest rates. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Interest rate risk | Component of trust capital - unrealized depreciation on futures | 24,412* |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Interest rate risk | 229,293 |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Interest rate risk | (20,825) |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
| 35 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 11,538,379 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2017. |
Investments in senior loans
The Fund may invest in senior loan assignments. When the Fund purchases an assignment of a senior loan, the Fund typically has direct rights against the borrower; provided, however, that the Fund’s rights may be more limited than the lender from which it acquired the assignment and the Fund may be able to enforce its rights only through an administrative agent. Although certain senior loan assignments are secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor. In the event that the administrator or collateral agent of a loan becomes insolvent or enters into receivership or bankruptcy, the Fund may incur costs and delays in realizing payment or may suffer a loss of principal and/or interest. The risk of loss is greater for unsecured or subordinated loans. In addition, senior loan assignments are vulnerable to market, economic or other conditions or events that may reduce the demand for senior loan assignments and certain senior loan assignments which were liquid when purchased, may become illiquid.
The Fund may enter into senior loan assignments where all or a portion of the loan may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments are generally traded and priced in the same manner as other senior loan securities and are disclosed as unfunded senior loan commitments in the Fund’s Portfolio of Investments with a corresponding payable for investments purchased. The Fund designates cash or liquid securities to cover these commitments.
Asset- and mortgage-backed securities
The Fund may invest in asset-backed and mortgage-backed securities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. All, or a portion, of the obligation may be prepaid at any time because the underlying asset may be prepaid. As a result, decreasing market interest rates could result in an increased level of prepayment. An increased prepayment rate will have the effect of shortening the maturity of the security. Unless otherwise noted, the coupon rates presented are fixed rates.
Delayed delivery securities
The Fund may trade securities on other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
Treasury inflation protected securities
The Fund may invest in treasury inflation protected securities (TIPS). The principal amount of TIPS is adjusted periodically and is increased for inflation or decreased for deflation based on a monthly published index. These adjustments are recorded as interest income in the Statement of Operations. Coupon payments are based on the adjusted principal at the time the interest is paid.
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
The trade date for senior loans purchased in the primary market is the date on which the loan is allocated. The trade date for senior loans purchased in the secondary market is the date on which the transaction is entered into.
| 36 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Income recognition
Interest income is recorded on an accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income.
The Fund may place a debt security on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds, other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information on the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by the Fund’s management. Management’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities, the proceeds are recorded as realized gains.
The value of additional securities received as an income payment is recorded as income and increases the cost basis of such securities.
The Fund may receive other income from senior loans, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income in the Statement of Operations.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund is treated as a partnership for federal income tax purposes, and the Fund does not expect to make regular distributions. The Fund will not be subject to federal income tax, and therefore, there is no provision for federal income taxes. The partners of the Fund are subject to tax on their distributive share of the Fund’s income and loss. The components of the Fund’s net assets are reported at the partner-level for federal income tax purposes, and therefore, are not presented in the Statement of Assets and Liabilities.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
| 37 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.72% to 0.52% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2017 was 0.69% of the Fund’s average daily net assets.
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by
| 38 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of the Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, the Fund no longer pays a transfer agency fee.
Distribution fees
The Fund has an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, the Fund pays a fee at an annual rate of up to 0.25% of the Fund’s average daily net assets attributable to Class 2 shares and an annual rate of up to 0.125% of the Fund’s average daily net assets attributable to Class 3 shares. The Fund pays no distribution and service fees for Class 1 shares.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | May 1, 2017
through
April 30, 2018 | Prior to
May 1, 2017 |
| Class 1 | 0.75% | 0.79% |
| Class 2 | 1.00 | 1.04 |
| Class 3 | 0.875 | 0.915 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
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Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $324,522,288 and $366,836,646, respectively, for the six months ended June 30, 2017, of which $85,838,195 and $86,893,156, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 5. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 6. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
Note 7. Significant risks
Credit risk
Credit risk is the risk that the value of debt securities in the Fund’s portfolio may decline because the issuer may default and fail to pay interest or repay principal when due. Rating agencies assign credit ratings to debt securities to indicate their credit risk. Lower rated or unrated debt securities held by the Fund may present increased credit risk as compared to higher-rated debt securities.
Interest rate risk
Interest rate risk is the risk of losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise. Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by the Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates.
| 40 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Liquidity risk
Liquidity risk is the risk associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the interest rate or credit environments) may adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another, more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Shareholder concentration risk
At June 30, 2017, affiliated shareholders of record owned 100.0% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 8. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Note 9. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
| 41 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio – Balanced Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as their history, reputation, expertise, resources and capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, the relatively recent change in the leadership of equity department oversight, and the various technological enhancements that had been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
| 42 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed that the Fund’s investment performance met expectations.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
| 43 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as the Fund grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
| 44 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2017
| 45 |
Columbia Variable Portfolio – Balanced Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio – Select Smaller-Cap Value Fund
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 Insured • No bank guarantee • May lose value
Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017
Fund at a Glance
(Unaudited)
Investment objective
Columbia Variable Portfolio – Select Smaller-Cap Value Fund (the Fund) seeks to provide shareholders with long-term capital growth.
Portfolio management
Richard Rosen
Lead manager
Managed Fund since 2008
Kari Montanus
Co-manager
Managed Fund since 2014
Richard Taft, CPA
Co-manager
Managed Fund since October 2016
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 * | 05/03/10 | 4.94 | 20.66 | 14.51 | 6.81 |
| Class 2 * | 05/03/10 | 4.83 | 20.38 | 14.23 | 6.59 |
| Class 3 | 09/15/99 | 4.93 | 20.60 | 14.39 | 6.73 |
| Russell 2000 Value Index | | 0.54 | 24.86 | 13.39 | 5.92 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit investor.columbiathreadneedleus.com/investment-products/variable-products/appended-performance for more information. |
The Russell 2000 Value Index, an unmanaged index, tracks the performance of those Russell 2000 Index companies with lower price-to-book ratios and lower forecasted growth values..
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
(Unaudited)
| Top 10 holdings (%) (at June 30, 2017) |
| BroadSoft, Inc. | 4.4 |
| Telephone & Data Systems, Inc. | 3.8 |
| BofI Holding, Inc. | 3.7 |
| United Continental Holdings, Inc. | 3.5 |
| Owens-Illinois, Inc. | 3.4 |
| EPAM Systems, Inc. | 3.2 |
| Lincoln National Corp. | 3.2 |
| Hanover Insurance Group, Inc. (The) | 3.2 |
| Waste Connections, Inc. | 3.1 |
| Extreme Networks, Inc. | 3.0 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 96.6 |
| Money Market Funds | 3.4 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 12.9 |
| Consumer Staples | 2.8 |
| Energy | 5.1 |
| Financials | 21.0 |
| Health Care | 10.3 |
| Industrials | 11.6 |
| Information Technology | 22.9 |
| Materials | 6.2 |
| Real Estate | 2.2 |
| Telecommunication Services | 5.0 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Class 1 | 1,000.00 | 1,000.00 | 1,049.40 | 1,020.44 | 4.60 | 4.53 | 0.90 |
| Class 2 | 1,000.00 | 1,000.00 | 1,048.30 | 1,019.20 | 5.87 | 5.79 | 1.15 |
| Class 3 | 1,000.00 | 1,000.00 | 1,049.30 | 1,019.85 | 5.21 | 5.14 | 1.02 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
| 4 | Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017 |
Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 96.9% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 12.5% |
| Auto Components 3.6% |
| American Axle & Manufacturing Holdings, Inc.(a) | 85,000 | 1,326,000 |
| Motorcar Parts of America, Inc.(a) | 91,597 | 2,586,699 |
| Total | | 3,912,699 |
| Hotels, Restaurants & Leisure 4.5% |
| Red Robin Gourmet Burgers, Inc.(a) | 38,000 | 2,479,500 |
| Texas Roadhouse, Inc. | 47,500 | 2,420,125 |
| Total | | 4,899,625 |
| Household Durables 4.0% |
| Lennar Corp., Class A | 47,500 | 2,532,700 |
| William Lyon Homes, Inc., Class A(a) | 75,000 | 1,810,500 |
| Total | | 4,343,200 |
| Specialty Retail 0.4% |
| Vitamin Shoppe, Inc.(a) | 45,000 | 524,250 |
| Total Consumer Discretionary | 13,679,774 |
| Consumer Staples 2.7% |
| Food Products 2.7% |
| Dean Foods Co. | 172,000 | 2,924,000 |
| Total Consumer Staples | 2,924,000 |
| Energy 4.9% |
| Energy Equipment & Services 3.8% |
| Exterran Corp.(a) | 70,000 | 1,869,000 |
| Superior Energy Services, Inc.(a) | 140,000 | 1,460,200 |
| Tetra Technologies, Inc.(a) | 300,000 | 837,000 |
| Total | | 4,166,200 |
| Oil, Gas & Consumable Fuels 1.1% |
| Warrior Met Coal, Inc. | 70,000 | 1,199,100 |
| Total Energy | 5,365,300 |
| Financials 20.3% |
| Banks 2.1% |
| Opus Bank | 94,067 | 2,276,422 |
| Insurance 12.7% |
| Aspen Insurance Holdings Ltd. | 31,500 | 1,570,275 |
| Hanover Insurance Group, Inc. (The) | 38,000 | 3,367,940 |
| Lincoln National Corp. | 50,000 | 3,379,000 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| National General Holdings Corp. | 115,000 | 2,426,500 |
| State National Companies, Inc. | 167,500 | 3,078,650 |
| Total | | 13,822,365 |
| Mortgage Real Estate Investment Trusts (REITS) 1.9% |
| Ladder Capital Corp., Class A | 160,069 | 2,146,525 |
| Thrifts & Mortgage Finance 3.6% |
| BofI Holding, Inc.(a) | 165,379 | 3,922,790 |
| Total Financials | 22,168,102 |
| Health Care 10.0% |
| Biotechnology 2.3% |
| Ligand Pharmaceuticals, Inc.(a) | 21,000 | 2,549,400 |
| Health Care Equipment & Supplies 3.1% |
| Analogic Corp. | 22,000 | 1,598,300 |
| Dentsply Sirona, Inc. | 27,500 | 1,783,100 |
| Total | | 3,381,400 |
| Health Care Providers & Services 2.7% |
| WellCare Health Plans, Inc.(a) | 16,500 | 2,962,740 |
| Pharmaceuticals 1.9% |
| Impax Laboratories, Inc.(a) | 125,000 | 2,012,500 |
| Total Health Care | 10,906,040 |
| Industrials 11.2% |
| Aerospace & Defense 1.9% |
| Cubic Corp. | 45,500 | 2,106,650 |
| Airlines 3.4% |
| United Continental Holdings, Inc.(a) | 49,500 | 3,724,875 |
| Commercial Services & Supplies 3.0% |
| Waste Connections, Inc. | 50,250 | 3,237,105 |
| Road & Rail 2.9% |
| Swift Transportation Co.(a) | 120,000 | 3,180,000 |
| Total Industrials | 12,248,630 |
| Information Technology 22.2% |
| Communications Equipment 6.9% |
| Calix, Inc.(a) | 427,428 | 2,927,882 |
| Extreme Networks, Inc.(a) | 348,909 | 3,216,941 |
| Viavi Solutions, Inc.(a) | 130,000 | 1,368,900 |
| Total | | 7,513,723 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017
| 5 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Electronic Equipment, Instruments & Components 3.3% |
| Belden, Inc. | 22,000 | 1,659,460 |
| Orbotech Ltd.(a) | 59,510 | 1,941,216 |
| Total | | 3,600,676 |
| IT Services 6.0% |
| CACI International, Inc., Class A(a) | 25,000 | 3,126,250 |
| EPAM Systems, Inc.(a) | 40,688 | 3,421,454 |
| Total | | 6,547,704 |
| Software 4.3% |
| BroadSoft, Inc.(a) | 108,984 | 4,691,761 |
| Technology Hardware, Storage & Peripherals 1.7% |
| Electronics for Imaging, Inc.(a) | 38,645 | 1,831,000 |
| Total Information Technology | 24,184,864 |
| Materials 6.0% |
| Chemicals 2.7% |
| Minerals Technologies, Inc. | 40,000 | 2,928,000 |
| Containers & Packaging 3.3% |
| Owens-Illinois, Inc.(a) | 150,000 | 3,588,000 |
| Total Materials | 6,516,000 |
| Real Estate 2.2% |
| Equity Real Estate Investment Trusts (REITS) 2.2% |
| Gaming and Leisure Properties, Inc. | 62,500 | 2,354,375 |
| Total Real Estate | 2,354,375 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Telecommunication Services 4.9% |
| Diversified Telecommunication Services 1.2% |
| Globalstar, Inc.(a) | 600,000 | 1,278,000 |
| Wireless Telecommunication Services 3.7% |
| Telephone & Data Systems, Inc. | 145,000 | 4,023,750 |
| Total Telecommunication Services | 5,301,750 |
Total Common Stocks
(Cost $83,485,206) | 105,648,835 |
|
| Money Market Funds 3.4% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(b),(c) | 3,725,499 | 3,725,499 |
Total Money Market Funds
(Cost $3,725,496) | 3,725,499 |
Total Investments
(Cost: $87,210,702) | 109,374,334 |
| Other Assets & Liabilities, Net | | (298,437) |
| Net Assets | 109,075,897 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 5,366,493 | 15,235,090 | (16,876,084) | 3,725,499 | (292) | 18,120 | 3,725,499 |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 13,679,774 | — | — | — | 13,679,774 |
| Consumer Staples | 2,924,000 | — | — | — | 2,924,000 |
| Energy | 5,365,300 | — | — | — | 5,365,300 |
| Financials | 22,168,102 | — | — | — | 22,168,102 |
| Health Care | 10,906,040 | — | — | — | 10,906,040 |
| Industrials | 12,248,630 | — | — | — | 12,248,630 |
| Information Technology | 24,184,864 | — | — | — | 24,184,864 |
| Materials | 6,516,000 | — | — | — | 6,516,000 |
| Real Estate | 2,354,375 | — | — | — | 2,354,375 |
| Telecommunication Services | 5,301,750 | — | — | — | 5,301,750 |
| Total Common Stocks | 105,648,835 | — | — | — | 105,648,835 |
| Money Market Funds | — | — | — | 3,725,499 | 3,725,499 |
| Total Investments | 105,648,835 | — | — | 3,725,499 | 109,374,334 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017
| 7 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
See the Portfolio of Investments for all investment classifications not indicated in the table.
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $83,485,206 |
| Affiliated issuers, at cost | 3,725,496 |
| Total investments, at cost | 87,210,702 |
| Investments, at value | |
| Unaffiliated issuers, at value | 105,648,835 |
| Affiliated issuers, at value | 3,725,499 |
| Total investments, at value | 109,374,334 |
| Receivable for: | |
| Capital shares sold | 204 |
| Dividends | 70,110 |
| Foreign tax reclaims | 1,259 |
| Expense reimbursement due from Investment Manager | 13,048 |
| Total assets | 109,458,955 |
| Liabilities | |
| Payable for: | |
| Capital shares purchased | 219,156 |
| Management services fees | 78,610 |
| Distribution and/or service fees | 12,660 |
| Transfer agent fees | 5,421 |
| Compensation of board members | 29,186 |
| Compensation of chief compliance officer | 8 |
| Other expenses | 38,017 |
| Total liabilities | 383,058 |
| Net assets applicable to outstanding capital stock | $109,075,897 |
| Represented by | |
| Trust capital | $109,075,897 |
| Total - representing net assets applicable to outstanding capital stock | $109,075,897 |
| Class 1 | |
| Net assets | $13,236,057 |
| Shares outstanding | 582,463 |
| Net asset value per share | $22.72 |
| Class 2 | |
| Net assets | $26,705,792 |
| Shares outstanding | 1,195,728 |
| Net asset value per share | $22.33 |
| Class 3 | |
| Net assets | $69,134,048 |
| Shares outstanding | 3,067,456 |
| Net asset value per share | $22.54 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017
| 9 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $433,120 |
| Dividends — affiliated issuers | 18,120 |
| Foreign taxes withheld | (2,417) |
| Total income | 448,823 |
| Expenses: | |
| Management services fees | 481,515 |
| Distribution and/or service fees | |
| Class 2 | 32,152 |
| Class 3 | 43,911 |
| Transfer agent fees | |
| Class 1 | 4,414 |
| Class 2 | 7,716 |
| Class 3 | 21,077 |
| Compensation of board members | 7,710 |
| Custodian fees | 2,012 |
| Printing and postage fees | 16,647 |
| Audit fees | 15,461 |
| Legal fees | 3,484 |
| Compensation of chief compliance officer | 15 |
| Other | 4,121 |
| Total expenses | 640,235 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (66,026) |
| Total net expenses | 574,209 |
| Net investment loss | (125,386) |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 8,117,827 |
| Investments — affiliated issuers | (292) |
| Foreign currency translations | 2 |
| Net realized gain | 8,117,537 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (2,758,492) |
| Investments — affiliated issuers | 22 |
| Foreign currency translations | 43 |
| Net change in unrealized appreciation (depreciation) | (2,758,427) |
| Net realized and unrealized gain | 5,359,110 |
| Net increase in net assets resulting from operations | $5,233,724 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment loss | $(125,386) | $(108,097) |
| Net realized gain | 8,117,537 | 28,263,318 |
| Net change in unrealized appreciation (depreciation) | (2,758,427) | (13,342,695) |
| Net increase in net assets resulting from operations | 5,233,724 | 14,812,526 |
| Decrease in net assets from capital stock activity | (8,758,966) | (58,507,372) |
| Total decrease in net assets | (3,525,242) | (43,694,846) |
| Net assets at beginning of period | 112,601,139 | 156,295,985 |
| Net assets at end of period | $109,075,897 | $112,601,139 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017
| 11 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 48,792 | 1,072,523 | 205,850 | 4,139,401 |
| Redemptions | (206,022) | (4,495,999) | (2,659,069) | (51,834,799) |
| Net decrease | (157,230) | (3,423,476) | (2,453,219) | (47,695,398) |
| Class 2 | | | | |
| Subscriptions | 82,555 | 1,790,824 | 166,864 | 3,211,973 |
| Redemptions | (71,356) | (1,546,634) | (173,380) | (3,293,204) |
| Net increase (decrease) | 11,199 | 244,190 | (6,516) | (81,231) |
| Class 3 | | | | |
| Subscriptions | 19,948 | 433,047 | 58,675 | 1,131,311 |
| Redemptions | (273,878) | (6,012,727) | (621,902) | (11,862,054) |
| Net decrease | (253,930) | (5,579,680) | (563,227) | (10,730,743) |
| Total net decrease | (399,961) | (8,758,966) | (3,022,962) | (58,507,372) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017 |
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Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017
| 13 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| 6/30/2017 (c) | $21.65 | (0.01) | 1.08 | 1.07 |
| 12/31/2016 | $19.00 | 0.00 (e) | 2.65 | 2.65 |
| 12/31/2015 | $19.60 | 0.00 (e) | (0.60) | (0.60) |
| 12/31/2014 | $18.48 | 0.08 | 1.04 | 1.12 |
| 12/31/2013 | $12.44 | (0.06) | 6.10 | 6.04 |
| 12/31/2012 | $10.55 | (0.02) | 1.91 | 1.89 |
| Class 2 |
| 6/30/2017 (c) | $21.30 | (0.04) | 1.07 | 1.03 |
| 12/31/2016 | $18.74 | (0.04) | 2.60 | 2.56 |
| 12/31/2015 | $19.38 | (0.04) | (0.60) | (0.64) |
| 12/31/2014 | $18.32 | 0.02 | 1.04 | 1.06 |
| 12/31/2013 | $12.36 | (0.10) | 6.06 | 5.96 |
| 12/31/2012 | $10.50 | (0.05) | 1.91 | 1.86 |
| Class 3 |
| 6/30/2017 (c) | $21.48 | (0.02) | 1.08 | 1.06 |
| 12/31/2016 | $18.87 | (0.02) | 2.63 | 2.61 |
| 12/31/2015 | $19.50 | (0.02) | (0.61) | (0.63) |
| 12/31/2014 | $18.40 | 0.05 | 1.05 | 1.10 |
| 12/31/2013 | $12.40 | (0.08) | 6.08 | 6.00 |
| 12/31/2012 | $10.53 | (0.04) | 1.91 | 1.87 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Rounds to zero. |
| (f) | Ratios include line of credit interest expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income (loss)
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $22.72 | 4.94% | 1.02% (d) | 0.90% (d) | (0.10%) (d) | 12% | $13,236 |
| $21.65 | 13.95% | 1.00% (f) | 0.91% (f) | 0.02% | 32% | $16,013 |
| $19.00 | (3.06%) | 0.99% | 0.91% | 0.01% | 27% | $60,663 |
| $19.60 | 6.06% | 0.98% | 0.93% | 0.44% | 27% | $70,315 |
| $18.48 | 48.55% | 0.99% | 0.93% | (0.40%) | 16% | $80,983 |
| $12.44 | 17.92% | 1.01% | 0.94% | (0.21%) | 6% | $63,490 |
| |
| $22.33 | 4.83% | 1.27% (d) | 1.15% (d) | (0.33%) (d) | 12% | $26,706 |
| $21.30 | 13.66% | 1.27% (f) | 1.16% (f) | (0.22%) | 32% | $25,233 |
| $18.74 | (3.30%) | 1.24% | 1.16% | (0.22%) | 27% | $22,315 |
| $19.38 | 5.79% | 1.23% | 1.18% | 0.13% | 27% | $22,376 |
| $18.32 | 48.22% | 1.24% | 1.18% | (0.64%) | 16% | $21,186 |
| $12.36 | 17.71% | 1.26% | 1.19% | (0.46%) | 6% | $14,236 |
| |
| $22.54 | 4.93% | 1.14% (d) | 1.02% (d) | (0.21%) (d) | 12% | $69,134 |
| $21.48 | 13.83% | 1.14% (f) | 1.03% (f) | (0.10%) | 32% | $71,355 |
| $18.87 | (3.23%) | 1.11% | 1.04% | (0.11%) | 27% | $73,318 |
| $19.50 | 5.98% | 1.11% | 1.05% | 0.28% | 27% | $87,610 |
| $18.40 | 48.39% | 1.11% | 1.05% | (0.52%) | 16% | $91,762 |
| $12.40 | 17.76% | 1.13% | 1.06% | (0.34%) | 6% | $65,937 |
Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017
| 15 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Select Smaller-Cap Value Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers Class 1, Class 2 and Class 3 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Fund directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to the Fund. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are generally determined at 4:00 p.m. Eastern (U.S.) time. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees, including, if available, utilizing a third party pricing service to determine these fair values. The third party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
| 16 | Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Foreign currency transactions and translations
The values of all assets and liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains (losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes, the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds, other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information on the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by the Fund’s management. Management’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities, the proceeds are recorded as realized gains.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017
| 17 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund is treated as a partnership for federal income tax purposes. The Fund will not be subject to federal income tax, and therefore, there is no provision for federal income taxes. The partners of the Fund are subject to tax on their distributive share of the Fund’s income and loss. The components of the Fund’s net assets are reported at the partner-level for federal income tax purposes, and therefore, are not presented in the Statement of Assets and Liabilities.
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.87% to 0.75% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2017 was 0.87% of the Fund’s average daily net assets.
| 18 | Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of the Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, the Fund no longer pays a transfer agency fee.
Distribution fees
The Fund has an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, the Fund pays a fee at an annual rate of up to 0.25% of the Fund’s average daily net assets attributable to Class 2 shares and an annual rate of up to 0.125% of the Fund’s average daily net assets attributable to Class 3 shares. The Fund pays no distribution and service fees for Class 1 shares.
Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017
| 19 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | May 1, 2017
through
April 30, 2018 | Prior to
May 1, 2017 |
| Class 1 | 0.88% | 0.91% |
| Class 2 | 1.13 | 1.16 |
| Class 3 | 1.005 | 1.035 |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $12,731,540 and $20,145,932, respectively, for the six months ended June 30, 2017. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 5. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 6. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
| 20 | Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Note 7. Significant risks
Financial sector risk
The Fund may be more susceptible to the particular risks that may affect companies in the financial services sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the financial services sector are subject to certain risks, including the risk of regulatory change, decreased liquidity in credit markets and unstable interest rates. Such companies may have concentrated portfolios, such as a high level of loans to real estate developers, which makes them vulnerable to economic conditions that affect that industry. Performance of such companies may be affected by competitive pressures and exposure to investments or agreements that, under certain circumstances, may lead to losses (e.g., subprime loans). Companies in the financial services sector are subject to extensive governmental regulation that may limit the amount and types of loans and other financial commitments they can make, and interest rates and fees that they may charge. In addition, profitability of such companies is largely dependent upon the availability and the cost of capital.
Shareholder concentration risk
At June 30, 2017, affiliated shareholders of record owned 75.5% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Technology and technology-related investment risk
The Fund may be more susceptible to the particular risks that may affect companies in the information technology sector, as well as other technology-related sectors (collectively, the technology sectors) than if it were invested in a wider variety of companies in unrelated sectors. Companies in the technology sectors are subject to certain risks, including the risk that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete. Performance of such companies may be affected by factors including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for market share and short product cycles due to an accelerated rate of technological developments. Such competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their securities may fall or fail to rise. In addition, many technology sector companies have limited operating histories and prices of these companies’ securities historically have been more volatile than other securities, especially over the short term.
Note 8. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Note 9. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates
Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017
| 21 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
| 22 | Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017 |
Approval of Management
Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio – Select Smaller-Cap Value Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as their history, reputation, expertise, resources and capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, the relatively recent change in the leadership of equity department oversight, and the various technological enhancements that had been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017
| 23 |
Approval of Management
Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed the Fund’s underperformance for certain periods, noting that appropriate steps (such as a recent change to the management team) had been taken or are contemplated to help improve the Fund’s performance.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
| 24 | Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017 |
Approval of Management
Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as the Fund grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017
| 25 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
| 26 | Columbia Variable Portfolio – Select Smaller-Cap Value Fund | Semiannual Report 2017 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – Select Smaller-Cap Value Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund
Please remember that you may not buy (nor will you own) shares of the Fund directly. The Fund is available through variable annuity contracts or life insurance policies offered by the separate accounts of affiliated insurance companies and other qualified institutional investors authorized by Columbia Management Investment Distributors, Inc. Please contact your financial advisor or insurance representative for more information.
Not FDIC Insured • No bank guarantee • May lose value
Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017
Fund at a Glance
(Unaudited)
Investment objective
Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund (the Fund) pursues total return while seeking to manage the Fund’s exposure to equity market volatility.
Portfolio management
Jeffrey Knight, CFA
Lead manager
Managed Fund since 2013
Anwiti Bahuguna, Ph.D.
Co-manager
Managed Fund since 2015
David Weiss, CFA
Co-manager
Managed Fund since 2016
Brian Virginia
Co-manager
Managed Fund since 2014
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 2 | 04/19/12 | 6.85 | 8.60 | 6.06 | 5.58 |
| Blended Benchmark | | 6.28 | 9.05 | 7.55 | 7.19 |
| Bloomberg Barclays U.S. Aggregate Bond Index | | 2.27 | -0.31 | 2.21 | 2.34 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Blended Benchmark consists of 50% Bloomberg Barclays U.S. Aggregate Bond Index, 35% Russell 3000 Index and 15% MSCI EAFE Index (Net).
The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage passthroughs), asset-backed securities, and commercial mortgage-backed securities.
The Russell 3000 Index, an unmanaged index, measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
The MSCI EAFE Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The index is compiled from a composite of securities markets of Europe, Australasia and the Far East and is widely recognized by investors in foreign markets as the measurement index for portfolios of non-North American securities.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI EAFE Index (Net), which reflects reinvested dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio Allocation (%) (at June 30, 2017) |
| Allocations to Underlying Funds |
| Underlying Funds: Equity Funds | 46.2 |
| International | 12.2 |
| U.S. Large Cap | 28.1 |
| U.S. Mid Cap | 2.8 |
| U.S. Small Cap | 3.1 |
| Underlying Funds: Fixed-Income Funds | 23.0 |
| Investment Grade | 23.0 |
| Allocations to Tactical Assets |
| Corporate Bonds & Notes | 1.6 |
| Exchange-Traded Funds | 6.4 |
| Foreign Government Obligations | 0.0 (a) |
| Money Market Fund Shares Held to Cover Open Derivatives Instruments(b) | 16.6 |
| Options Purchased Puts | 0.5 |
| Residential Mortgage-Backed Securities - Agency | 5.7 |
| U.S. Treasury Obligations | 0.0 (a) |
| Total | 100.0 |
| (a) | Rounds to zero. |
| (b) | Includes investments in an Affiliated Money Market Fund (amounting to $2,390.6 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of it’s tactical allocation strategy. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments, and Note 2 to the Notes to Financial Statements. |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017
| 3 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in Class 2 shares of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
In addition to the ongoing expenses which the Fund bears directly, the Fund’s shareholders indirectly bear the Fund’s allocable share of the costs and expenses of each underlying fund in which the Fund invests. You can estimate the effective expenses paid during the period, which includes the indirect fees associated with investing in the underlying funds, by using the amounts listed in the "Effective expenses paid during the period" column.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) | Effective expenses
paid during the
period ($) | Fund’s effective
annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual |
| Class 2 | 1,000.00 | 1,000.00 | 1,068.50 | 1,022.69 | 2.32 | 2.27 | 0.45 | 5.11 | 4.99 | 0.99 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Effective expenses paid during the period and the Fund’s effective annualized expense ratio include expenses borne directly to the class plus the Fund’s pro rata portion of the ongoing expenses charged by the underlying funds using the expense ratio of each class of the underlying funds as of the underlying fund’s most recent shareholder report.
| 4 | Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017 |
Portfolio of Investments
June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Corporate Bonds & Notes(a) 1.6% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Aerospace & Defense 0.1% |
| BAE Systems Holdings, Inc.(b) |
| 10/07/2024 | 3.800% | | 950,000 | 990,355 |
| L-3 Communications Corp. |
| 05/28/2024 | 3.950% | | 1,463,000 | 1,513,769 |
| Lockheed Martin Corp. |
| 11/23/2018 | 1.850% | | 565,000 | 566,112 |
| 09/15/2021 | 3.350% | | 1,310,000 | 1,361,849 |
| 01/15/2023 | 3.100% | | 60,000 | 61,390 |
| Northrop Grumman Corp. |
| 06/01/2018 | 1.750% | | 2,155,000 | 2,157,325 |
| Total | 6,650,800 |
| Apartment REIT 0.0% |
| Grand City Properties SA(b) |
| 04/17/2025 | 1.500% | EUR | 700,000 | 800,239 |
| Banking 0.1% |
| Bank of America Corp.(c) |
| 01/20/2028 | 3.824% | | 2,915,000 | 2,967,834 |
| Bank of America Corp. |
| 04/01/2044 | 4.875% | | 105,000 | 117,385 |
| Bank of Nova Scotia (The) |
| 06/11/2018 | 1.700% | | 1,180,000 | 1,181,470 |
| Citigroup, Inc. |
| 05/01/2026 | 3.400% | | 1,535,000 | 1,519,055 |
| 10/21/2026 | 3.200% | | 1,460,000 | 1,420,225 |
| Goldman Sachs Group, Inc. (The) |
| 02/25/2026 | 3.750% | | 1,508,000 | 1,534,318 |
| 01/26/2027 | 3.850% | | 695,000 | 707,479 |
| 07/08/2044 | 4.800% | | 455,000 | 504,945 |
| JPMorgan Chase & Co. |
| 03/01/2018 | 1.700% | | 780,000 | 780,377 |
| 03/22/2019 | 1.850% | | 725,000 | 724,342 |
| 10/01/2026 | 2.950% | | 824,000 | 795,241 |
| Morgan Stanley |
| 07/27/2026 | 3.125% | | 990,000 | 961,188 |
| 01/20/2027 | 3.625% | | 1,525,000 | 1,537,032 |
| Wells Fargo & Co. |
| 10/23/2026 | 3.000% | | 1,455,000 | 1,416,982 |
| Subordinated |
| 11/04/2044 | 4.650% | | 295,000 | 309,573 |
| Total | 16,477,446 |
| Cable and Satellite 0.1% |
| Comcast Corp. |
| 02/15/2018 | 5.875% | | 970,000 | 995,552 |
| 07/15/2046 | 3.400% | | 405,000 | 368,322 |
| Corporate Bonds & Notes(a) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| NBCUniversal Media LLC |
| 01/15/2043 | 4.450% | | 314,000 | 333,629 |
| Sky PLC(b) |
| 11/24/2023 | 1.875% | EUR | 2,315,000 | 2,771,992 |
| 09/16/2024 | 3.750% | | 1,195,000 | 1,228,529 |
| Total | 5,698,024 |
| Chemicals 0.0% |
| Dow Chemical Co. (The) |
| 11/15/2042 | 4.375% | | 170,000 | 175,420 |
| LYB International Finance BV |
| 03/15/2044 | 4.875% | | 635,000 | 674,143 |
| LyondellBasell Industries NV |
| 04/15/2019 | 5.000% | | 504,000 | 526,879 |
| Total | 1,376,442 |
| Consumer Cyclical Services 0.0% |
| Motability Operations Group PLC(b) |
| 07/16/2026 | 3.750% | GBP | 810,000 | 1,208,575 |
| Consumer Products 0.0% |
| Reckitt Benckiser Treasury Services PLC(b) |
| 06/26/2024 | 2.750% | | 855,000 | 847,564 |
| Diversified Manufacturing 0.1% |
| General Electric Co. |
| 05/26/2023 | 1.250% | EUR | 2,120,000 | 2,501,998 |
| 03/11/2044 | 4.500% | | 590,000 | 655,548 |
| Honeywell International, Inc. |
| 10/30/2019 | 1.400% | | 1,355,000 | 1,343,877 |
| 02/22/2023 | 1.300% | EUR | 1,585,000 | 1,864,001 |
| United Technologies Corp. |
| 05/04/2020 | 1.900% | | 965,000 | 966,545 |
| 05/22/2023 | 1.250% | EUR | 970,000 | 1,141,991 |
| 06/01/2042 | 4.500% | | 160,000 | 174,627 |
| 11/01/2046 | 3.750% | | 455,000 | 445,495 |
| Total | 9,094,082 |
| Electric 0.4% |
| Appalachian Power Co. |
| 05/15/2044 | 4.400% | | 830,000 | 880,600 |
| Arizona Public Service Co. |
| 05/15/2046 | 3.750% | | 640,000 | 627,777 |
| Berkshire Hathaway Energy Co. |
| 11/15/2023 | 3.750% | | 780,000 | 819,843 |
| 02/01/2045 | 4.500% | | 1,412,000 | 1,531,519 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017
| 5 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes(a) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMS Energy Corp. |
| 03/01/2024 | 3.875% | | 1,035,000 | 1,082,245 |
| 11/15/2025 | 3.600% | | 2,659,000 | 2,705,876 |
| 02/15/2027 | 2.950% | | 605,000 | 579,243 |
| 03/31/2043 | 4.700% | | 195,000 | 206,415 |
| Consolidated Edison Co. of New York, Inc. |
| 06/15/2046 | 3.850% | | 730,000 | 729,411 |
| Dominion Energy, Inc. |
| 06/15/2018 | 1.900% | | 1,560,000 | 1,563,338 |
| DTE Energy Co. |
| 06/01/2024 | 3.500% | | 1,255,000 | 1,275,478 |
| 10/01/2026 | 2.850% | | 5,600,000 | 5,324,519 |
| Duke Energy Corp. |
| 10/15/2023 | 3.950% | | 4,344,000 | 4,594,497 |
| 04/15/2024 | 3.750% | | 750,000 | 783,095 |
| 09/01/2046 | 3.750% | | 655,000 | 622,684 |
| Duke Energy Florida LLC |
| 01/15/2027 | 3.200% | | 460,000 | 466,071 |
| Duke Energy Progress LLC |
| 10/15/2046 | 3.700% | | 585,000 | 575,243 |
| Emera US Finance LP |
| 06/15/2046 | 4.750% | | 1,587,000 | 1,669,516 |
| Eversource Energy |
| 01/15/2018 | 1.600% | | 395,000 | 394,448 |
| 05/01/2018 | 1.450% | | 2,724,000 | 2,719,094 |
| 03/15/2022 | 2.750% | | 195,000 | 196,049 |
| FirstEnergy Corp. |
| 07/15/2047 | 4.850% | | 460,000 | 466,588 |
| Indiana Michigan Power Co. |
| 03/15/2023 | 3.200% | | 1,685,000 | 1,717,352 |
| 07/01/2047 | 3.750% | | 960,000 | 930,026 |
| innogy Finance II BV(b) |
| 02/14/2033 | 5.750% | EUR | 585,000 | 985,176 |
| MidAmerican Energy Co. |
| 08/01/2047 | 3.950% | | 315,000 | 323,377 |
| NextEra Energy Capital Holdings, Inc. |
| 04/01/2019 | 2.300% | | 235,000 | 236,086 |
| 05/01/2027 | 3.550% | | 2,275,000 | 2,307,405 |
| Northern States Power Co. |
| 05/15/2044 | 4.125% | | 115,000 | 121,485 |
| Oncor Electric Delivery Co. LLC |
| 09/30/2017 | 5.000% | | 2,758,000 | 2,778,917 |
| Pacific Gas & Electric Co. |
| 02/15/2024 | 3.750% | | 1,270,000 | 1,334,032 |
| 03/15/2027 | 3.300% | | 195,000 | 197,248 |
| 08/15/2042 | 3.750% | | 165,000 | 161,773 |
| 02/15/2044 | 4.750% | | 1,230,000 | 1,400,083 |
| PPL Capital Funding, Inc. |
| 03/15/2024 | 3.950% | | 200,000 | 210,342 |
| Corporate Bonds & Notes(a) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Progress Energy, Inc. |
| 04/01/2022 | 3.150% | | 420,000 | 427,961 |
| Public Service Electric & Gas Co. |
| 05/15/2027 | 3.000% | | 1,405,000 | 1,408,560 |
| Public Service Enterprise Group, Inc. |
| 11/15/2019 | 1.600% | | 535,000 | 527,825 |
| Sierra Pacific Power Co. |
| 05/01/2026 | 2.600% | | 160,000 | 154,274 |
| Southern California Edison Co. |
| 10/01/2043 | 4.650% | | 280,000 | 318,892 |
| 02/01/2045 | 3.600% | | 140,000 | 135,952 |
| Southern Co. (The) |
| 07/01/2046 | 4.400% | | 2,535,000 | 2,594,714 |
| Virginia Electric & Power Co. |
| 11/15/2046 | 4.000% | | 200,000 | 205,409 |
| WEC Energy Group, Inc. |
| 06/15/2018 | 1.650% | | 655,000 | 655,114 |
| 06/15/2025 | 3.550% | | 1,291,000 | 1,331,265 |
| Western Power Distribution PLC(b) |
| 11/06/2023 | 3.625% | GBP | 2,255,000 | 3,172,332 |
| Xcel Energy, Inc. |
| 05/15/2020 | 4.700% | | 1,365,000 | 1,445,437 |
| 12/01/2026 | 3.350% | | 2,015,000 | 2,033,419 |
| 09/15/2041 | 4.800% | | 157,000 | 167,244 |
| Total | 57,095,249 |
| Food and Beverage 0.2% |
| Anheuser-Busch InBev Finance, Inc. |
| 02/01/2026 | 3.650% | | 4,005,000 | 4,125,042 |
| 02/01/2046 | 4.900% | | 650,000 | 733,544 |
| Anheuser-Busch InBev Worldwide, Inc. |
| 07/15/2017 | 1.375% | | 2,135,000 | 2,135,176 |
| ConAgra Foods, Inc. |
| 01/25/2023 | 3.200% | | 2,890,000 | 2,912,267 |
| Diageo Capital PLC |
| 07/15/2020 | 4.828% | | 1,000,000 | 1,078,893 |
| General Mills, Inc. |
| 10/20/2017 | 1.400% | | 747,000 | 746,656 |
| 11/16/2020 | 2.100% | EUR | 1,594,000 | 1,918,598 |
| Heineken NV(b) |
| 03/29/2047 | 4.350% | | 125,000 | 130,707 |
| Kellogg Co. |
| 12/01/2023 | 2.650% | | 45,000 | 44,311 |
| 04/01/2046 | 4.500% | | 90,000 | 92,541 |
| Kraft Heinz Co. (The)(b) |
| 07/01/2027 | 4.125% | GBP | 930,000 | 1,337,176 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes(a) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Kraft Heinz Foods Co. |
| 06/04/2042 | 5.000% | | 185,000 | 195,403 |
| 06/01/2046 | 4.375% | | 190,000 | 185,736 |
| Molson Coors Brewing Co.(b) |
| 03/15/2019 | 1.900% | | 620,000 | 619,291 |
| Molson Coors Brewing Co. |
| 07/15/2024 | 1.250% | EUR | 1,805,000 | 2,051,825 |
| 07/15/2046 | 4.200% | | 796,000 | 782,875 |
| Mondelez International, Inc.(b) |
| 10/28/2019 | 1.625% | | 1,225,000 | 1,212,498 |
| PepsiCo, Inc. |
| 02/22/2019 | 1.500% | | 1,595,000 | 1,591,367 |
| 05/02/2019 | 1.550% | | 520,000 | 519,818 |
| 05/02/2047 | 4.000% | | 740,000 | 754,781 |
| Sysco Corp. |
| 07/15/2021 | 2.500% | | 295,000 | 295,820 |
| 07/15/2027 | 3.250% | | 1,025,000 | 1,011,746 |
| 04/01/2046 | 4.500% | | 155,000 | 162,746 |
| Tyson Foods, Inc. |
| 08/15/2019 | 2.650% | | 960,000 | 972,089 |
| 06/02/2047 | 4.550% | | 210,000 | 220,682 |
| Wm. Wrigley Jr., Co.(b) |
| 10/21/2018 | 2.400% | | 244,000 | 245,574 |
| 10/21/2019 | 2.900% | | 2,190,000 | 2,227,359 |
| Total | 28,304,521 |
| Health Care 0.0% |
| Abbott Laboratories |
| 11/30/2046 | 4.900% | | 155,000 | 170,814 |
| Becton Dickinson and Co. |
| 06/06/2027 | 3.700% | | 1,230,000 | 1,234,106 |
| 12/15/2044 | 4.685% | | 685,000 | 710,710 |
| 06/06/2047 | 4.669% | | 40,000 | 41,509 |
| Cardinal Health, Inc. |
| 06/15/2027 | 3.410% | | 865,000 | 866,064 |
| 06/15/2047 | 4.368% | | 155,000 | 160,077 |
| Express Scripts Holding Co. |
| 07/15/2046 | 4.800% | | 805,000 | 822,844 |
| Medtronic Global Holdings SCA |
| 03/28/2019 | 1.700% | | 1,590,000 | 1,590,892 |
| Medtronic, Inc. |
| 03/15/2045 | 4.625% | | 19,000 | 21,390 |
| Total | 5,618,406 |
| Healthcare Insurance 0.0% |
| Anthem, Inc. |
| 08/15/2044 | 4.650% | | 135,000 | 146,642 |
| Corporate Bonds & Notes(a) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| UnitedHealth Group, Inc. |
| 12/15/2017 | 1.400% | | 1,265,000 | 1,264,672 |
| 04/15/2047 | 4.250% | | 825,000 | 880,062 |
| Total | 2,291,376 |
| Independent Energy 0.0% |
| Anadarko Petroleum Corp. |
| 03/15/2040 | 6.200% | | 165,000 | 188,537 |
| 07/15/2044 | 4.500% | | 775,000 | 734,306 |
| Apache Corp. |
| 04/15/2043 | 4.750% | | 130,000 | 130,386 |
| 01/15/2044 | 4.250% | | 210,000 | 197,041 |
| Canadian Natural Resources Ltd. |
| 06/01/2047 | 4.950% | | 945,000 | 958,513 |
| ConocoPhillips Co. |
| 11/15/2044 | 4.300% | | 220,000 | 224,534 |
| Continental Resources, Inc. |
| 06/01/2044 | 4.900% | | 135,000 | 113,247 |
| Hess Corp. |
| 04/01/2047 | 5.800% | | 710,000 | 716,791 |
| Noble Energy, Inc. |
| 11/15/2043 | 5.250% | | 619,000 | 641,763 |
| Woodside Finance Ltd.(b) |
| 03/05/2025 | 3.650% | | 611,000 | 608,181 |
| Total | 4,513,299 |
| Integrated Energy 0.0% |
| Cenovus Energy, Inc. |
| 09/15/2042 | 4.450% | | 1,578,000 | 1,304,534 |
| 09/15/2043 | 5.200% | | 1,150,000 | 1,040,597 |
| Shell International Finance BV |
| 05/11/2045 | 4.375% | | 320,000 | 333,495 |
| Total | 2,678,626 |
| Life Insurance 0.1% |
| American International Group, Inc. |
| 07/10/2025 | 3.750% | | 445,000 | 453,959 |
| 07/16/2044 | 4.500% | | 135,000 | 137,854 |
| Brighthouse Financial, Inc.(b) |
| 06/22/2047 | 4.700% | | 1,585,000 | 1,566,646 |
| Five Corners Funding Trust(b) |
| 11/15/2023 | 4.419% | | 3,390,000 | 3,645,491 |
| Guardian Life Insurance Co. of America (The)(b) |
| Subordinated |
| 06/19/2064 | 4.875% | | 1,529,000 | 1,698,101 |
| Massachusetts Mutual Life Insurance Co.(b) |
| Subordinated |
| 04/01/2077 | 4.900% | | 895,000 | 958,146 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017
| 7 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes(a) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| MetLife, Inc. |
| 12/15/2017 | 1.756% | | 200,000 | 200,242 |
| 03/01/2045 | 4.050% | | 260,000 | 261,758 |
| Northwestern Mutual Life Insurance Co. (The)(b) |
| Subordinated |
| 03/30/2040 | 6.063% | | 630,000 | 819,345 |
| Nuveen Finance LLC(b) |
| 11/01/2019 | 2.950% | | 640,000 | 649,286 |
| Peachtree Corners Funding Trust(b) |
| 02/15/2025 | 3.976% | | 2,233,000 | 2,264,456 |
| Prudential Financial, Inc. |
| 05/15/2044 | 4.600% | | 15,000 | 16,442 |
| Teachers Insurance & Annuity Association of America(b) |
| Subordinated |
| 09/15/2044 | 4.900% | | 2,140,000 | 2,401,585 |
| 05/15/2047 | 4.270% | | 666,000 | 681,804 |
| Voya Financial, Inc. |
| 06/15/2046 | 4.800% | | 750,000 | 780,182 |
| Total | 16,535,297 |
| Media and Entertainment 0.0% |
| 21st Century Fox America, Inc. |
| 09/15/2044 | 4.750% | | 1,199,000 | 1,272,399 |
| 11/15/2046 | 4.750% | | 45,000 | 47,921 |
| Scripps Networks Interactive, Inc. |
| 11/15/2024 | 3.900% | | 567,000 | 587,416 |
| Thomson Reuters Corp. |
| 10/15/2019 | 4.700% | | 510,000 | 536,467 |
| 05/23/2043 | 4.500% | | 250,000 | 250,041 |
| Time Warner, Inc. |
| 09/15/2023 | 1.950% | EUR | 402,000 | 478,747 |
| 12/15/2043 | 5.350% | | 210,000 | 231,072 |
| Total | 3,404,063 |
| Midstream 0.1% |
| Enterprise Products Operating LLC |
| 05/07/2018 | 1.650% | | 618,000 | 617,505 |
| 02/15/2045 | 5.100% | | 1,031,000 | 1,126,388 |
| 05/15/2046 | 4.900% | | 287,000 | 309,346 |
| Kinder Morgan Energy Partners LP |
| 11/01/2042 | 4.700% | | 190,000 | 179,251 |
| 03/01/2043 | 5.000% | | 2,046,000 | 1,992,902 |
| Kinder Morgan, Inc. |
| 02/15/2046 | 5.050% | | 770,000 | 772,864 |
| Plains All American Pipeline LP/Finance Corp. |
| 11/01/2024 | 3.600% | | 110,000 | 107,255 |
| 06/15/2044 | 4.700% | | 1,561,000 | 1,420,543 |
| Southern Natural Gas Co. LLC(b) |
| 03/15/2047 | 4.800% | | 819,000 | 865,650 |
| Corporate Bonds & Notes(a) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Williams Partners LP |
| 09/15/2045 | 5.100% | | 1,467,000 | 1,519,839 |
| Total | 8,911,543 |
| Natural Gas 0.1% |
| NiSource Finance Corp. |
| 02/15/2043 | 5.250% | | 730,000 | 835,216 |
| 05/15/2047 | 4.375% | | 2,175,000 | 2,236,250 |
| Sempra Energy |
| 12/01/2023 | 4.050% | | 580,000 | 613,101 |
| 06/15/2024 | 3.550% | | 3,815,000 | 3,907,403 |
| 06/15/2027 | 3.250% | | 1,980,000 | 1,951,136 |
| Total | 9,543,106 |
| Pharmaceuticals 0.1% |
| AbbVie, Inc. |
| 05/14/2046 | 4.450% | | 180,000 | 186,180 |
| Allergan Funding SCS |
| 03/15/2045 | 4.750% | | 287,000 | 309,604 |
| Amgen Inc. |
| 06/15/2051 | 4.663% | | 1,071,000 | 1,135,522 |
| Gilead Sciences, Inc. |
| 03/01/2047 | 4.150% | | 640,000 | 642,587 |
| Pfizer, Inc. |
| 06/01/2018 | 1.200% | | 2,260,000 | 2,255,839 |
| 12/15/2046 | 4.125% | | 175,000 | 185,392 |
| Shire Acquisitions Investments Ireland DAC |
| 09/23/2019 | 1.900% | | 1,350,000 | 1,343,779 |
| Total | 6,058,903 |
| Property & Casualty 0.0% |
| Berkshire Hathaway Finance Corp. |
| 05/15/2042 | 4.400% | | 530,000 | 573,659 |
| Berkshire Hathaway, Inc. |
| 03/16/2035 | 1.625% | EUR | 490,000 | 515,557 |
| CNA Financial Corp. |
| 05/15/2024 | 3.950% | | 859,000 | 890,806 |
| 03/01/2026 | 4.500% | | 475,000 | 509,480 |
| Liberty Mutual Group, Inc.(b) |
| 05/04/2026 | 2.750% | EUR | 1,595,000 | 1,948,437 |
| 08/01/2044 | 4.850% | | 250,000 | 268,320 |
| Travelers Companies, Inc. (The) |
| 05/30/2047 | 4.000% | | 155,000 | 158,156 |
| Total | 4,864,415 |
| Railroads 0.0% |
| CSX Corp. |
| 11/01/2046 | 3.800% | | 745,000 | 728,789 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Corporate Bonds & Notes(a) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Union Pacific Corp. |
| 04/15/2047 | 4.000% | | 100,000 | 102,811 |
| 10/01/2051 | 3.799% | | 195,000 | 190,733 |
| Total | 1,022,333 |
| Restaurants 0.0% |
| McDonald’s Corp. |
| 03/01/2018 | 5.350% | | 1,835,000 | 1,879,697 |
| 12/09/2045 | 4.875% | | 546,000 | 607,011 |
| Total | 2,486,708 |
| Retailers 0.0% |
| CVS Health Corp. |
| 06/01/2021 | 2.125% | | 1,090,000 | 1,077,840 |
| 07/20/2022 | 3.500% | | 450,000 | 467,260 |
| 06/01/2026 | 2.875% | | 365,000 | 353,614 |
| Lowe’s Companies, Inc. |
| 05/03/2047 | 4.050% | | 220,000 | 224,429 |
| Target Corp. |
| 04/15/2046 | 3.625% | | 400,000 | 372,967 |
| Wal-Mart Stores, Inc. |
| 04/11/2018 | 1.125% | | 540,000 | 538,928 |
| 04/22/2044 | 4.300% | | 405,000 | 447,377 |
| Total | 3,482,415 |
| Supermarkets 0.0% |
| Kroger Co. (The) |
| 02/01/2047 | 4.450% | | 325,000 | 313,585 |
| Technology 0.1% |
| Apple, Inc. |
| 02/23/2018 | 1.300% | | 1,230,000 | 1,229,654 |
| 01/17/2024 | 1.375% | EUR | 505,000 | 599,496 |
| 02/09/2045 | 3.450% | | 845,000 | 794,256 |
| Broadcom Corp./Cayman Finance Ltd.(b) |
| 01/15/2027 | 3.875% | | 1,185,000 | 1,216,717 |
| Cisco Systems, Inc. |
| 09/20/2019 | 1.400% | | 1,190,000 | 1,180,951 |
| Intel Corp. |
| 05/11/2047 | 4.100% | | 115,000 | 119,433 |
| International Business Machine Corp. |
| 11/19/2019 | 1.375% | EUR | 1,672,000 | 1,967,656 |
| Microsoft Corp. |
| 11/03/2018 | 1.300% | | 405,000 | 404,184 |
| 08/08/2046 | 3.700% | | 720,000 | 711,395 |
| 02/06/2047 | 4.250% | | 795,000 | 858,485 |
| Oracle Corp. |
| 01/10/2021 | 2.250% | EUR | 1,251,000 | 1,527,498 |
| 09/15/2021 | 1.900% | | 740,000 | 733,589 |
| 07/15/2046 | 4.000% | | 440,000 | 444,855 |
| Corporate Bonds & Notes(a) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| QUALCOMM, Inc. |
| 05/20/2047 | 4.300% | | 285,000 | 290,850 |
| Total | 12,079,019 |
| Tobacco 0.0% |
| Philip Morris International, Inc. |
| 03/04/2043 | 4.125% | | 145,000 | 146,513 |
| Transportation Services 0.1% |
| ERAC U.S.A. Finance LLC(b) |
| 11/01/2023 | 2.700% | | 1,305,000 | 1,272,144 |
| 11/15/2024 | 3.850% | | 570,000 | 585,120 |
| 12/01/2026 | 3.300% | | 2,605,000 | 2,510,011 |
| 11/01/2046 | 4.200% | | 340,000 | 321,000 |
| FedEx Corp. |
| 04/01/2046 | 4.550% | | 930,000 | 975,753 |
| Heathrow Funding Ltd.(b) |
| 02/15/2023 | 5.225% | GBP | 841,000 | 1,289,435 |
| Total | 6,953,463 |
| Wireless 0.0% |
| Rogers Communications, Inc. |
| 08/15/2018 | 6.800% | | 230,000 | 242,646 |
| 03/15/2023 | 3.000% | | 1,309,000 | 1,317,050 |
| Total | 1,559,696 |
| Wirelines 0.0% |
| AT&T, Inc. |
| 06/15/2045 | 4.350% | | 2,638,000 | 2,446,953 |
| 03/01/2047 | 5.450% | | 405,000 | 436,099 |
| Verizon Communications, Inc. |
| 11/01/2042 | 3.850% | | 2,239,000 | 1,950,608 |
| 03/15/2055 | 4.672% | | 621,000 | 582,814 |
| Total | 5,416,474 |
Total Corporate Bonds & Notes
(Cost $222,868,559) | 225,432,182 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017
| 9 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Equity Funds 48.8% |
| | Shares | Value ($) |
| International 12.9% |
| Variable Portfolio – DFA International Value Fund, Class 1 Shares(d) | 34,837,464 | 354,297,004 |
| Variable Portfolio – Lazard International Equity Advantage Fund, Class 1 Shares(d) | 47,509,272 | 524,977,452 |
| Variable Portfolio – Oppenheimer International Growth Fund, Class 1 Shares(d) | 31,252,165 | 350,649,296 |
| Variable Portfolio – Pyramis® International Equity Fund, Class 1 Shares(d) | 47,030,775 | 524,393,147 |
| Total | 1,754,316,899 |
| U.S. Large Cap 29.6% |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(d),(e) | 17,071,463 | 342,965,692 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(d),(e) | 25,165,855 | 1,074,078,707 |
| Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(d),(e) | 14,926,375 | 347,038,208 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(d),(e) | 21,321,799 | 326,436,747 |
| Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares(d),(e) | 10,154,720 | 221,271,346 |
| Variable Portfolio – Loomis Sayles Growth Fund, Class 1 Shares(d),(e) | 11,622,632 | 300,328,802 |
| Variable Portfolio – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(d),(e) | 12,890,164 | 304,723,471 |
| Variable Portfolio – MFS Value Fund, Class 1 Shares(d),(e) | 9,612,950 | 222,443,667 |
| Variable Portfolio – MFS® Blended Research® Core Equity Fund, Class 1 Shares(d),(e) | 20,956,320 | 386,644,111 |
| Variable Portfolio – Morgan Stanley Advantage Fund, Class 1 Shares(d),(e) | 12,686,929 | 302,710,120 |
| Variable Portfolio – T. Rowe Price Large Cap Value Fund, Class 1 Shares(d),(e) | 10,186,053 | 212,990,376 |
| Total | 4,041,631,247 |
| U.S. Mid Cap 3.0% |
| Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares(d),(e) | 3,701,838 | 86,808,098 |
| Columbia Variable Portfolio – Mid Cap Value Fund, Class 1 Shares(d),(e) | 4,060,019 | 85,625,799 |
| Variable Portfolio – Jennison Mid Cap Growth Fund, Class 1 Shares(d),(e) | 5,548,867 | 117,802,442 |
| Variable Portfolio – Victory Sycamore Established Value Fund, Class 1 Shares(d),(e) | 4,790,638 | 114,496,257 |
| Total | 404,732,596 |
| Equity Funds (continued) |
| | Shares | Value ($) |
| U.S. Small Cap 3.3% |
| Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares(d),(e) | 7,153,303 | 153,509,889 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(d),(e) | 7,273,299 | 146,047,835 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(d),(e) | 5,560,820 | 146,138,351 |
| Total | 445,696,075 |
Total Equity Funds
(Cost $5,644,631,294) | 6,646,376,817 |
|
| Exchange-Traded Funds 6.8% |
| | |
| iShares MSCI EAFE ETF | 6,049,292 | 394,413,838 |
| SPDR S&P 500 ETF Trust | 2,190,200 | 529,590,360 |
Total Exchange-Traded Funds
(Cost $781,135,047) | 924,004,198 |
|
| Fixed-Income Funds 24.3% |
| | |
| Investment Grade 24.3% |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(d) | 62,731,836 | 642,374,001 |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(d) | 20,059,390 | 188,157,075 |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(d) | 33,322,607 | 338,890,915 |
| Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(d) | 18,508,526 | 189,897,472 |
| Variable Portfolio – American Century Diversified Bond Fund, Class 1 Shares(d) | 57,581,223 | 629,362,771 |
| Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(d) | 51,819,350 | 559,648,983 |
| Variable Portfolio – TCW Core Plus Bond Fund, Class 1 Shares(d) | 58,549,237 | 614,181,497 |
| Variable Portfolio – Wells Fargo Short Duration Government Fund, Class 1 Shares(d) | 14,787,394 | 148,465,441 |
| Total | 3,310,978,155 |
Total Fixed-Income Funds
(Cost $3,358,974,498) | 3,310,978,155 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Foreign Government Obligations(a),(f) 0.0% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Netherlands 0.0% |
| Enexis Holding NV(b) |
| 10/20/2023 | 1.500% | EUR | 1,475,000 | 1,764,199 |
| 04/28/2026 | 0.875% | EUR | 1,100,000 | 1,230,534 |
| Total | 2,994,733 |
| Norway 0.0% |
| Avinor AS(b) |
| 04/29/2025 | 1.000% | EUR | 800,000 | 916,171 |
Total Foreign Government Obligations
(Cost $3,666,989) | 3,910,904 |
|
| Residential Mortgage-Backed Securities - Agency 6.0% |
| | | | |
| Federal National Mortgage Association(g) |
| 07/18/2032 | 2.500% | | 63,725,000 | 64,056,070 |
| 07/18/2032 | 3.000% | | 80,785,000 | 82,911,916 |
07/18/2032-
07/13/2047 | 3.500% | | 591,000,000 | 609,343,285 |
| 07/13/2047 | 4.000% | | 60,000,000 | 63,072,654 |
Total Residential Mortgage-Backed Securities - Agency
(Cost $821,943,924) | 819,383,925 |
|
| U.S. Treasury Obligations 0.0% |
| | | | |
| U.S. Treasury |
| 05/15/2045 | 3.000% | | 365,000 | 376,285 |
Total U.S. Treasury Obligations
(Cost $357,458) | 376,285 |
| Options Purchased Puts 0.5% |
| Issuer | Notional ($)/Contracts | Exercise
Price/Rate | Expiration
Date | Value ($) |
| S&P 500 Index |
| | 1,250 | 1,700.00 | 06/15/2018 | 1,837,500 |
| | 4,000 | 1,800.00 | 06/15/2018 | 8,080,000 |
| | 4,900 | 1,850.00 | 06/15/2018 | 11,711,000 |
| | 5,570 | 1,800.00 | 12/21/2018 | 20,859,650 |
| | 4,650 | 1,850.00 | 12/21/2018 | 19,925,250 |
Total Options Purchased Puts
(Cost $192,464,821) | 62,413,400 |
| Money Market Funds 17.5% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(d),(h) | 2,390,638,965 | 2,390,638,965 |
Total Money Market Funds
(Cost $2,390,619,068) | 2,390,638,965 |
Total Investments
(Cost: $13,416,661,658) | 14,383,514,831 |
| Other Assets & Liabilities, Net | | (752,986,406) |
| Net Assets | 13,630,528,425 |
At June 30, 2017, securities and/or cash totaling $68,549,940 were pledged as collateral.
Investments in derivatives
| Forward foreign currency exchange contracts open at June 30, 2017 |
| Counterparty | Exchange
date | Currency to
be delivered | Currency to
be received | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Standard Chartered | 8/2/2017 | 5,536,000 GBP | 7,067,922 USD | — | (149,468) |
| Standard Chartered | 8/2/2017 | 40,129 USD | 31,000 GBP | 286 | — |
| UBS | 8/2/2017 | 22,630,000 EUR | 25,270,921 USD | — | (616,690) |
| UBS | 8/2/2017 | 142,512 USD | 125,000 EUR | 482 | — |
| Total | | | | 768 | (766,158) |
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| 10-Year Mini JGB | 12 | JPY | 1,602,810 | 09/2017 | — | (6,103) |
| AUD/USD Currency | 200 | USD | 15,350,000 | 09/2017 | 198,480 | — |
| BP Currency | 1,300 | USD | 105,990,625 | 09/2017 | 2,050,897 | — |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017
| 11 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
| Long futures contracts outstanding (continued) |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Canadian Government 10-Year Bond | 32 | CAD | 3,468,229 | 09/2017 | — | (105,315) |
| DAX Index | 44 | EUR | 15,478,412 | 09/2017 | — | (456,558) |
| Euro FX | 300 | USD | 43,001,250 | 09/2017 | 750,765 | — |
| Euro-Bobl | 25 | EUR | 3,760,528 | 09/2017 | — | (42,315) |
| Euro-Bund | 23 | EUR | 4,252,235 | 09/2017 | — | (77,649) |
| Euro-Buxl 30-Year | 4 | EUR | 747,057 | 09/2017 | — | (18,430) |
| Euro-Schatz | 15 | EUR | 1,916,242 | 09/2017 | — | (5,165) |
| FTSE 100 Index | 110 | GBP | 10,376,291 | 09/2017 | — | (297,405) |
| FTSE/MIB Index | 109 | EUR | 12,760,045 | 09/2017 | — | (252,982) |
| JPY Currency | 1,265 | USD | 140,889,375 | 09/2017 | — | (3,751,969) |
| Long Gilt | 28 | GBP | 4,579,361 | 09/2017 | — | (67,155) |
| Mini MSCI EAFE Index | 35 | USD | 3,306,800 | 09/2017 | — | (14,081) |
| S&P 500 E-mini | 6,636 | USD | 803,254,620 | 09/2017 | — | (2,673,787) |
| S&P 500 Index | 244 | USD | 147,674,900 | 09/2017 | — | (461,465) |
| SPI 200 Index | 450 | AUD | 48,845,486 | 09/2017 | 298,824 | — |
| TOPIX Index | 1,200 | JPY | 171,931,540 | 09/2017 | 615,400 | — |
| U.S. Long Bond | 407 | USD | 62,550,813 | 09/2017 | 676,480 | — |
| U.S. Long Bond | 80 | USD | 12,295,000 | 09/2017 | — | (7,664) |
| U.S. Treasury 10-Year Note | 4,074 | USD | 511,414,313 | 09/2017 | — | (673,408) |
| U.S. Treasury 2-Year Note | 750 | USD | 162,082,032 | 09/2017 | — | (270,881) |
| U.S. Treasury 2-Year Note | 3,134 | USD | 677,286,784 | 09/2017 | — | (545,078) |
| U.S. Treasury 5-Year Note | 98 | USD | 11,547,922 | 09/2017 | — | (26,155) |
| U.S. Treasury 5-Year Note | 3,880 | USD | 457,203,439 | 09/2017 | — | (651,060) |
| U.S. Ultra Bond | 116 | USD | 19,241,500 | 09/2017 | 287,575 | — |
| Total | | | 3,452,807,609 | | 4,878,421 | (10,404,625) |
| Short futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| EURO STOXX 50 | (559) | EUR | (21,905,620) | 09/2017 | 621,202 | — |
| Russell 2000 Mini | (725) | USD | (51,268,375) | 09/2017 | — | (344,738) |
| S&P/TSE 60 Index | (340) | CAD | (46,626,774) | 09/2017 | 895,917 | — |
| U.S. Long Bond | (211) | USD | (32,428,063) | 09/2017 | — | (209,129) |
| U.S. Treasury 10-Year Note | (10) | USD | (1,255,313) | 09/2017 | 7,171 | — |
| U.S. Treasury 2-Year Note | (3,847) | USD | (831,372,769) | 09/2017 | 653,890 | — |
| U.S. Treasury 2-Year Note | (16) | USD | (3,457,750) | 09/2017 | 4,967 | — |
| U.S. Treasury 5-Year Note | (1) | USD | (117,836) | 09/2017 | 260 | — |
| U.S. Treasury Ultra 10-Year Note | (156) | USD | (21,030,750) | 09/2017 | 46,985 | — |
| Total | | | (1,009,463,250) | | 2,230,392 | (553,867) |
Notes to Portfolio of Investments
| (a) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
| (b) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At June 30, 2017, the value of these securities amounted to $66,364,472, which represents 0.49% of net assets. |
| (c) | Variable rate security. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| (d) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Capital gain
distributions ($) | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 2,334,055,682 | 824,128,071 | (767,544,788) | 2,390,638,965 | — | (7,242) | 9,019,641 | 2,390,638,965 |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | 17,500,539 | — | (429,076) | 17,071,463 | — | 3,306,644 | — | 342,965,692 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | 25,545,532 | — | (379,677) | 25,165,855 | — | 5,017,115 | — | 1,074,078,707 |
| Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | 15,229,314 | — | (302,939) | 14,926,375 | — | 2,859,478 | — | 347,038,208 |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | 59,622,130 | 3,109,706 | — | 62,731,836 | 5,415,886 | — | 17,884,273 | 642,374,001 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | 21,878,484 | — | (556,685) | 21,321,799 | — | 3,265,402 | — | 326,436,747 |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | 19,353,075 | 706,315 | — | 20,059,390 | — | — | 4,368,410 | 188,157,075 |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | 31,565,180 | 1,757,427 | — | 33,322,607 | 1,315,430 | — | 11,468,807 | 338,890,915 |
| Columbia Variable Portfolio – Mid Cap Growth Fund, Class 1 Shares | 3,759,480 | — | (57,642) | 3,701,838 | — | 144,667 | ��� | 86,808,098 |
| Columbia Variable Portfolio – Mid Cap Value Fund, Class 1 Shares | 4,147,608 | — | (87,589) | 4,060,019 | — | 243,265 | — | 85,625,799 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017
| 13 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Capital gain
distributions ($) | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares | 9,215,115 | 1,472,469 | (532,864) | 10,154,720 | — | 4,221,214 | — | 221,271,346 |
| Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | 10,604,664 | 13,457 | (3,464,818) | 7,153,303 | — | 4,478,384 | — | 153,509,889 |
| Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | 17,741,717 | 766,809 | — | 18,508,526 | 127,051 | — | 5,399,390 | 189,897,472 |
| Variable Portfolio – American Century Diversified Bond Fund, Class 1 Shares | 55,117,626 | 2,463,597 | — | 57,581,223 | 3,851,880 | — | 14,587,508 | 629,362,771 |
| Variable Portfolio – DFA International Value Fund, Class 1 Shares | 47,598,672 | 586,165 | (13,347,373) | 34,837,464 | — | (877,155) | 5,852,251 | 354,297,004 |
| Variable Portfolio – Jennison Mid Cap Growth Fund, Class 1 Shares | 5,608,485 | 54 | (59,672) | 5,548,867 | — | 189,416 | — | 117,802,442 |
| Variable Portfolio – Lazard International Equity Advantage Fund, Class 1 Shares | 21,026,523 | 26,809,227 | (326,478) | 47,509,272 | — | 141,461 | 4,381,601 | 524,977,452 |
| Variable Portfolio – Loomis Sayles Growth Fund, Class 1 Shares | 21,321,352 | 13,147 | (9,711,867) | 11,622,632 | — | 75,030,943 | — | 300,328,802 |
| Variable Portfolio – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | 8,743,502 | 4,256,944 | (110,282) | 12,890,164 | — | 1,213,090 | — | 304,723,471 |
| Variable Portfolio – MFS Value Fund, Class 1 Shares | 8,401,054 | 1,400,924 | (189,028) | 9,612,950 | — | 1,036,399 | — | 222,443,667 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Capital gain
distributions ($) | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Variable Portfolio – MFS® Blended Research® Core Equity Fund, Class 1 Shares | 21,270,969 | — | (314,649) | 20,956,320 | — | 2,461,608 | — | 386,644,111 |
| Variable Portfolio – Morgan Stanley Advantage Fund, Class 1 Shares | 6,953,436 | 5,867,099 | (133,606) | 12,686,929 | — | 1,364,114 | — | 302,710,120 |
| Variable Portfolio – Oppenheimer International Growth Fund, Class 1 Shares | 42,939,783 | 2,970,803 | (14,658,421) | 31,252,165 | 30,812,881 | (9,118,933) | 1,654,975 | 350,649,296 |
| Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | 49,878,883 | 1,940,467 | — | 51,819,350 | 446,650 | — | 12,928,064 | 559,648,983 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | 9,073,175 | 12,892 | (1,812,768) | 7,273,299 | — | 12,211,883 | — | 146,047,835 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | 6,896,209 | 1,221 | (1,336,610) | 5,560,820 | — | 5,609,449 | — | 146,138,351 |
| Variable Portfolio – Pyramis® International Equity Fund, Class 1 Shares | 46,605,304 | 720,565 | (295,094) | 47,030,775 | — | 388,877 | 7,674,614 | 524,393,147 |
| Variable Portfolio – T. Rowe Price Large Cap Value Fund, Class 1 Shares | 8,896,273 | 1,551,488 | (261,708) | 10,186,053 | — | 1,164,848 | — | 212,990,376 |
| Variable Portfolio – TCW Core Plus Bond Fund, Class 1 Shares | 56,516,534 | 2,032,703 | — | 58,549,237 | 2,129,950 | — | 10,145,950 | 614,181,497 |
| Variable Portfolio – Victory Sycamore Established Value Fund, Class 1 Shares | 4,866,408 | 3,314 | (79,084) | 4,790,638 | — | 362,749 | — | 114,496,257 |
| Variable Portfolio – Wells Fargo Short Duration Government Fund, Class 1 Shares | 14,416,424 | 370,970 | — | 14,787,394 | 8,345 | — | 1,461,624 | 148,465,441 |
| Total | 3,006,349,132 | 882,955,834 | (815,992,718) | 3,073,312,248 | 44,108,073 | 114,707,676 | 106,827,108 | 12,347,993,937 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017
| 15 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| (e) | Non-income producing investment. |
| (f) | Principal and interest may not be guaranteed by the government. |
| (g) | Represents a security purchased on a when-issued basis. |
| (h) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
Currency Legend
| AUD | Australian Dollar |
| CAD | Canada Dollar |
| EUR | Euro |
| GBP | British Pound |
| JPY | Japanese Yen |
| USD | US Dollar |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Variable Portfolios serve as investment vehicles for variable annuity contracts and variable life insurance policies. Principle investment strategies within these Variable Portfolios vary based on the Portfolios investment objective. Investments in the Variable Portfolios may be redeemed on a daily basis without restriction. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017 |
Portfolio of Investments (continued)
June 30, 2017 (Unaudited)
Fair value measurements (continued)
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Corporate Bonds & Notes | — | 225,432,182 | — | — | 225,432,182 |
| Equity Funds | — | — | — | 6,646,376,817 | 6,646,376,817 |
| Exchange-Traded Funds | 924,004,198 | — | — | — | 924,004,198 |
| Fixed-Income Funds | — | — | — | 3,310,978,155 | 3,310,978,155 |
| Foreign Government Obligations | — | 3,910,904 | — | — | 3,910,904 |
| Residential Mortgage-Backed Securities - Agency | — | 819,383,925 | — | — | 819,383,925 |
| U.S. Treasury Obligations | 376,285 | — | — | — | 376,285 |
| Options Purchased Puts | 62,413,400 | — | — | — | 62,413,400 |
| Money Market Funds | — | — | — | 2,390,638,965 | 2,390,638,965 |
| Total Investments | 986,793,883 | 1,048,727,011 | — | 12,347,993,937 | 14,383,514,831 |
| Derivatives | | | | | |
| Asset | | | | | |
| Forward Foreign Currency Exchange Contracts | — | 768 | — | — | 768 |
| Futures Contracts | 7,108,813 | — | — | — | 7,108,813 |
| Liability | | | | | |
| Forward Foreign Currency Exchange Contracts | — | (766,158) | — | — | (766,158) |
| Futures Contracts | (10,958,492) | — | — | — | (10,958,492) |
| Total | 982,944,204 | 1,047,961,621 | — | 12,347,993,937 | 14,378,899,762 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
Forward foreign currency exchange contracts and futures contracts are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017
| 17 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| Assets | |
| Investments, at cost | |
| Unaffiliated issuers, at cost | $1,829,971,977 |
| Affiliated issuers, at cost | 11,394,224,860 |
| Options purchased, at cost | 192,464,821 |
| Total investments, at cost | 13,416,661,658 |
| Investments, at value | |
| Unaffiliated issuers, at value | 1,973,107,494 |
| Affiliated issuers, at value | 12,347,993,937 |
| Options purchased, at value | 62,413,400 |
| Total investments, at value | 14,383,514,831 |
| Foreign currency (identified cost $1,086,664) | 1,108,085 |
| Cash collateral held at broker | 1,379,000 |
| Margin deposits | 67,170,940 |
| Unrealized appreciation on forward foreign currency exchange contracts | 768 |
| Receivable for: | |
| Investments sold | 9,242,267 |
| Dividends | 4,499,219 |
| Interest | 3,026,754 |
| Foreign tax reclaims | 1,396 |
| Variation margin for futures contracts | 1,616,084 |
| Total assets | 14,471,559,344 |
| Liabilities | |
| Unrealized depreciation on forward foreign currency exchange contracts | 766,158 |
| Payable for: | |
| Investments purchased | 397,883 |
| Investments purchased on a delayed delivery basis | 822,988,169 |
| Capital shares purchased | 10,453,922 |
| Variation margin for futures contracts | 5,967,062 |
| Management services fees | 68,602 |
| Distribution and/or service fees | 93,474 |
| Transfer agent fees | 6,268 |
| Compensation of board members | 211,724 |
| Compensation of chief compliance officer | 1,570 |
| Other expenses | 76,087 |
| Total liabilities | 841,030,919 |
| Net assets applicable to outstanding capital stock | $13,630,528,425 |
| Represented by | |
| Trust capital | $13,630,528,425 |
| Total - representing net assets applicable to outstanding capital stock | $13,630,528,425 |
| Class 2 | |
| Net assets | $13,630,528,425 |
| Shares outstanding | 1,027,803,842 |
| Net asset value per share | $13.26 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $11,276,682 |
| Dividends — affiliated issuers | 106,827,108 |
| Interest | 3,655,954 |
| Total income | 121,759,744 |
| Expenses: | |
| Management services fees | 11,918,826 |
| Distribution and/or service fees | |
| Class 2 | 16,566,111 |
| Transfer agent fees | |
| Class 2 | 1,080,726 |
| Compensation of board members | 102,598 |
| Custodian fees | 29,800 |
| Printing and postage fees | 84,248 |
| Audit fees | 14,423 |
| Legal fees | 52,128 |
| Compensation of chief compliance officer | 1,350 |
| Other | 91,113 |
| Total expenses | 29,941,323 |
| Net investment income | 91,818,421 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 39,373,720 |
| Investments — affiliated issuers | 114,707,676 |
| Capital gain distributions from underlying affiliated funds | 44,108,073 |
| Foreign currency translations | (275,630) |
| Forward foreign currency exchange contracts | (1,030,754) |
| Futures contracts | 162,472,542 |
| Net realized gain | 359,355,627 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | 66,977,224 |
| Investments — affiliated issuers | 484,822,752 |
| Foreign currency translations | 985,932 |
| Forward foreign currency exchange contracts | (1,062,234) |
| Futures contracts | (15,502,686) |
| Options purchased | (106,516,947) |
| Net change in unrealized appreciation (depreciation) | 429,704,041 |
| Net realized and unrealized gain | 789,059,668 |
| Net increase in net assets resulting from operations | $880,878,089 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017
| 19 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment income | $91,818,421 | $68,509,935 |
| Net realized gain (loss) | 359,355,627 | (118,150,821) |
| Net change in unrealized appreciation (depreciation) | 429,704,041 | 460,020,956 |
| Net increase in net assets resulting from operations | 880,878,089 | 410,380,070 |
| Increase (decrease) in net assets from capital stock activity | (128,185,199) | 1,189,273,313 |
| Total increase in net assets | 752,692,890 | 1,599,653,383 |
| Net assets at beginning of period | 12,877,835,535 | 11,278,182,152 |
| Net assets at end of period | $13,630,528,425 | $12,877,835,535 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 2 | | | | |
| Subscriptions | 8,319,215 | 108,600,338 | 108,177,189 | 1,312,493,150 |
| Redemptions | (18,469,653) | (236,785,537) | (10,023,288) | (123,219,837) |
| Net increase (decrease) | (10,150,438) | (128,185,199) | 98,153,901 | 1,189,273,313 |
| Total net increase (decrease) | (10,150,438) | (128,185,199) | 98,153,901 | 1,189,273,313 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017
| 21 |
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Class 2 | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended December 31, |
| 2016 | 2015 | 2014 | 2013 | 2012 (a) |
| Per share data | | | | | | |
| Net asset value, beginning of period | $12.41 | $12.00 | $12.31 | $11.74 | $10.27 | $10.00 |
| Income from investment operations: | | | | | | |
| Net investment income | 0.09 | 0.07 | 0.08 | 0.06 | 0.10 | 0.05 |
| Net realized and unrealized gain (loss) | 0.76 | 0.34 | (0.39) | 0.51 | 1.37 | 0.22 |
| Total from investment operations | 0.85 | 0.41 | (0.31) | 0.57 | 1.47 | 0.27 |
| Net asset value, end of period | $13.26 | $12.41 | $12.00 | $12.31 | $11.74 | $10.27 |
| Total return | 6.85% | 3.42% | (2.52%) | 4.86% | 14.31% | 2.70% |
| Ratios to average net assets | | | | | | |
| Total gross expenses(b) | 0.45% (c) | 0.46% | 0.47% | 0.47% | 0.50% | 0.56% (c) |
| Total net expenses(b),(d) | 0.45% (c) | 0.46% | 0.47% | 0.47% | 0.49% | 0.53% (c) |
| Net investment income | 1.39% (c) | 0.57% | 0.64% | 0.46% | 0.94% | 0.74% (c) |
| Supplemental data | | | | | | |
| Net assets, end of period (in thousands) | $13,630,528 | $12,877,836 | $11,278,182 | $9,917,511 | $6,022,065 | $2,136,697 |
| Portfolio turnover | 52% | 112% | 119% | 107% | 125% | 117% |
| Notes to Financial Highlights |
| (a) | Class 2 shares commenced operations on April 19, 2012. Per share data and total return reflect activity from that date. |
| (b) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (c) | Annualized. |
| (d) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 22 | Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund (the Fund), a series of Columbia Funds Variable Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
The Fund is a “fund-of-funds”, investing significantly in affiliated funds managed by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), its affiliates, or third-party advised (unaffiliated) funds, including exchange-traded funds (collectively, Underlying Funds).
For information on the Underlying Funds, please refer to the Fund’s current prospectus and the prospectuses of the Underlying Funds, which are available, free of charge, from the Securities and Exchange Commission website, www.sec.gov.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund offers Class 2 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated life insurance companies as well as other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Fund directly. You may invest by buying a Contract.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
All equity securities and exchange-traded funds are valued at the close of business of the New York Stock Exchange. Equity securities and exchange-traded funds are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Debt securities generally are valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized cost value, unless this method results in a valuation that management believes does not approximate market value.
Asset- and mortgage-backed securities are generally valued by pricing services, which utilize pricing models that incorporate the securities’ cash flow and loan performance data. These models also take into account available market data, including trades, market quotations, and benchmark yield curves for identical or similar securities. Factors used to identify similar securities may include, but are not limited to, issuer, collateral type, vintage, prepayment speeds, collateral performance, credit ratings, credit enhancement and expected life. Asset-backed securities for which quotations are readily available may also be valued based upon an over-the-counter or exchange bid quote from an approved independent broker-dealer.
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Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Investments in the Underlying Funds are valued at the net asset value of the applicable class of the Underlying Fund determined as of the close of the New York Stock Exchange on the valuation date.
Forward foreign currency exchange contracts are marked-to-market based upon foreign currency exchange rates provided by a pricing service.
Futures and options on futures contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of transactions, at the mean of the latest quoted bid and ask prices.
Option contracts are valued at the mean of the latest quoted bid and ask prices on their primary exchanges. Option contracts, including over-the-counter option contracts, with no readily available market quotations are valued using quotes obtained from independent brokers as of the close of the New York Stock Exchange.
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Foreign currency transactions and translations
The values of all assets and liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains (losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes, the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Derivative instruments
The Fund invests in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives
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Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract; therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In addition to considering counterparty credit risk, the Fund would consider terminating the derivatives contracts based on whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Forward foreign currency exchange contracts
Forward foreign currency exchange contracts are over-the-counter agreements between two parties to buy and sell a currency at a set price on a future date. The Fund utilized forward foreign currency exchange contracts to hedge the currency exposure associated with some or all of the Fund’s securities, to shift U.S. dollar exposure to achieve a representative weighted mix of major currencies in its benchmark and/or to recover an underweight country exposure in its portfolio. These instruments may be used for other purposes in future periods.
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Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The values of forward foreign currency exchange contracts fluctuate daily with changes in foreign currency exchange rates. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract is exercised or has expired. The Fund will realize a gain or loss when the forward foreign currency exchange contract is closed or expires.
The use of forward foreign currency exchange contracts does not eliminate fluctuations in the prices of the Fund’s portfolio securities. The risks of forward foreign currency exchange contracts include movement in the values of the foreign currencies relative to the U.S. dollar (or other foreign currencies) and the possibility that counterparties will not complete their contractual obligations, which may be in excess of the amount reflected, if any, in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to produce incremental earnings, to manage the duration and yield curve exposure of the Fund versus the benchmark, to manage exposure to movements in interest rates, to manage exposure to the securities market and to maintain appropriate equity market exposure while keeping sufficient cash to accommodate daily redemptions. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Options contracts
Options are contracts which entitle the holder to purchase or sell securities or other identified assets at a specified price, or in the case of index option contracts, to receive or pay the difference between the index value and the strike price of the index option contract. Option contracts can be either exchange-traded or over-the-counter. The Fund purchased and wrote option contracts to produce incremental earnings, to decrease the Fund’s exposure to equity market risk and to increase return on investments and to facilitate buying and selling of securities for investments. These instruments may be used for other purposes in future periods. Completion of transactions for option contracts traded in the over-the-counter market depends upon the performance of the other party. Cash collateral may be collected or posted by the Fund to secure certain over-the-counter option contract trades. Cash collateral held or posted by the Fund for such option contract trades must be returned to the broker or the Fund upon closure, exercise or expiration of the contract.
Options contracts purchased are recorded as investments. When the Fund writes an options contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and Liabilities and is subsequently adjusted to reflect the current fair value of the option written. Changes in the fair value of the written option are recorded as unrealized appreciation or depreciation until the contract is exercised or has expired. The Fund will realize a gain or loss when the option contract is closed or expires. When option contracts are exercised, the proceeds on sales for a written call or purchased put option contract, or the purchase cost for a written put or purchased call option contract, is adjusted by the amount of premium received or paid.
For over-the-counter options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Option contracts written by the Fund do not typically give rise to significant counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform. The risk in writing a call option contract is that the Fund
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Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
gives up the opportunity for profit if the market price of the security increases above the strike price and the option contract is exercised. The risk in writing a put option contract is that the Fund may incur a loss if the market price of the security decreases below the strike price and the option contract is exercised. Exercise of a written option could result in the Fund purchasing or selling a security or foreign currency when it otherwise would not, or at a price different from the current market value. In purchasing and writing options, the Fund bears the risk of an unfavorable change in the value of the underlying instrument or the risk that the Fund may not be able to enter into a closing transaction due to an illiquid market.
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 2,431,343* |
| Equity risk | Investments, at value — Options Purchased | 62,413,400 |
| Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 768 |
| Foreign exchange risk | Component of trust capital — unrealized appreciation on futures contracts | 3,000,142* |
| Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 1,677,328* |
| Total | | 69,522,981 |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital - unrealized depreciation on futures | 4,501,016* |
| Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 766,158 |
| Foreign exchange risk | Component of trust capital - unrealized depreciation on futures | 3,751,969* |
| Interest rate risk | Component of trust capital - unrealized depreciation on futures | 2,705,507* |
| Total | | 11,724,650 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Total
($) |
| Equity risk | — | 142,085,863 | 142,085,863 |
| Foreign exchange risk | (1,030,754) | 12,074,626 | 11,043,872 |
| Interest rate risk | — | 8,312,053 | 8,312,053 |
| Total | (1,030,754) | 162,472,542 | 161,441,788 |
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Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Options
contracts
purchased
($) | Total
($) |
| Equity risk | — | (23,348,628) | (106,516,947) | (129,865,575) |
| Foreign exchange risk | (1,062,234) | 5,785,974 | — | 4,723,740 |
| Interest rate risk | — | 2,059,968 | — | 2,059,968 |
| Total | (1,062,234) | (15,502,686) | (106,516,947) | (123,081,867) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 3,501,352,722 |
| Futures contracts — short | 988,516,756 |
| Derivative instrument | Average market
value ($)* |
| Options contracts — purchased | 75,848,850 |
| Derivative instrument | Average unrealized
appreciation ($)* | Average unrealized
depreciation ($)* |
| Forward foreign currency exchange contracts | 28,035 | (460,388) |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2017. |
Asset- and mortgage-backed securities
The Fund may invest in asset-backed and mortgage-backed securities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. All, or a portion, of the obligation may be prepaid at any time because the underlying asset may be prepaid. As a result, decreasing market interest rates could result in an increased level of prepayment. An increased prepayment rate will have the effect of shortening the maturity of the security. Unless otherwise noted, the coupon rates presented are fixed rates.
Delayed delivery securities
The Fund may trade securities on other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
To be announced securities
The Fund may trade securities on a To Be Announced (TBA) basis. As with other delayed-delivery transactions, a seller agrees to issue a TBA security at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Fund agrees to accept any security that meets specified terms.
In some cases, Master Securities Forward Transaction Agreements (MSFTAs) may be used to govern transactions of certain forward-settling agency mortgage-backed securities, such as delayed-delivery and TBAs, between the Fund and counterparty. The MSFTA maintains provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral relating to such transactions.
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Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Mortgage dollar roll transactions
The Fund may enter into mortgage “dollar rolls” in which the Fund sells securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar but not identical securities (same type, coupon and maturity) on a specified future date. During the roll period, the Fund loses the right to receive principal and interest paid on the securities sold. However, the Fund will benefit because it receives negotiated amounts in the form of reductions of the purchase price for the future purchase plus the interest earned on the cash proceeds of the securities sold until the settlement date of the forward purchase. The Fund records the incremental difference between the forward purchase and sale of each forward roll as a realized gain or loss. Unless any realized gains exceed the income, capital appreciation, and gain or loss due to mortgage prepayments that would have been realized on the securities sold as part of the mortgage dollar roll, the use of this technique will diminish the investment performance of the Fund compared to what the performance would have been without the use of mortgage dollar rolls. All cash proceeds will be invested in instruments that are permissible investments for the Fund. The Fund identifies cash or liquid securities in an amount equal to the forward purchase price.
For financial reporting and tax purposes, the Fund treats “to be announced” mortgage dollar rolls as two separate transactions, one involving the purchase of a security and a separate transaction involving a sale. These transactions may increase the Fund’s portfolio turnover rate. The Fund does not currently enter into mortgage dollar rolls that are accounted for as financing transactions.
Mortgage dollar rolls involve the risk that the market value of the securities the Fund is obligated to repurchase may decline below the repurchase price, or that the counterparty may default on its obligations.
Offsetting of assets and liabilities
The following table presents the Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of June 30, 2017:
| | Deutsche
Bank ($) | Standard
Chartered ($) | UBS ($) | Total ($) | | | | | |
| Assets | | | | | | | | | |
| Forward foreign currency exchange contracts | - | 286 | 482 | 768 | | | | | |
| Options purchased puts | 62,413,400 | - | - | 62,413,400 | | | | | |
| Total assets | 62,413,400 | 286 | 482 | 62,414,168 | | | | | |
| Liabilities | | | | | | | | | |
| Forward foreign currency exchange contracts | - | 149,468 | 616,690 | 766,158 | | | | | |
| Total liabilities | - | 149,468 | 616,690 | 766,158 | | | | | |
| Total financial and derivative net assets | 62,413,400 | (149,182) | (616,208) | 61,648,010 | | | | | |
| Total collateral received (pledged) (a) | - | - | - | - | | | | | |
| Net amount (b) | 62,413,400 | (149,182) | (616,208) | 61,648,010 | | | | | |
| (a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (b) | Represents the net amount due from/(to) counterparties in the event of default. |
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Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Interest income is recorded on an accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income.
The Fund may place a debt security on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Corporate actions and dividend income are recorded on the ex-dividend date.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds, other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information on the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by the Fund’s management. Management’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities, the proceeds are recorded as realized gains.
Interest income is recorded on an accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income.
The Fund may place a debt security on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund.
Federal income tax status
The Fund is treated as a partnership for federal income tax purposes, and the Fund does not expect to make regular distributions. The Fund will not be subject to federal income tax, and therefore, there is no provision for federal income taxes. The partners of the Fund are subject to tax on their distributive share of the Fund’s income and loss. The components of the Fund’s net assets are reported at the partner-level for federal income tax purposes, and therefore, are not presented in the Statement of Assets and Liabilities.
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Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees and underlying fund fees
The Fund entered into a Management Agreement with the Investment Manager. Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is a blend of (i) 0.02% on assets invested in affiliated underlying funds (including exchange-traded funds and closed-end funds) that pay a management services fee (or investment advisory services fee, as applicable) to the Investment Manager and (ii) a fee that declines from 0.72% to 0.52%, depending on asset levels, on assets invested in securities (other than affiliated underlying funds (including exchange-traded funds and closed-end funds) that pay a management services fee (or investment advisory services fee, as applicable) to the Investment Manager) including other funds advised by the Investment Manager that do not pay a management services fee to the Investment Manager, third party funds, derivatives and individual securities. The annualized effective management services fee rate for the six months ended June 30, 2017 was 0.18% of the Fund’s average daily net assets.
In addition to the fees and expenses which the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of the Underlying Funds in which the Fund invests. Because the Underlying Funds have varied expense and fee levels and the Fund may own different proportions of Underlying Funds at different times, the amount of fees and expenses incurred indirectly by the Fund will vary. These expenses are not reflected in the expenses shown in Statement of Operations and are not included in the ratios to average net assets shown in the Financial Highlights.
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Fund or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Fund and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by
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Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Fund.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Fund in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Service fees
Effective July 1, 2017, the Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, the Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to the Fund.
Transfer agency fees
Prior to July 1, 2017, the Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.00% on assets invested in Underlying Funds that pay a transfer agency fee to the Transfer Agent and 0.06% of the Fund’s average daily net assets on assets invested in securities (other than Underlying Funds that paid a transfer agency fee to the Transfer Agent), including other funds that did not pay a transfer agency fee to the Transfer Agent, exchange-traded funds, derivatives and individual securities. Effective July 1, 2017, the Fund no longer pays a transfer agency fee.
For the six months ended June 30, 2017, the Fund’s annualized effective transfer agency fee rate as a percentage of average daily net assets of Class 2 shares was 0.02%.
Distribution fees
The Fund has an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. The Board of Trustees has approved, and the Fund has adopted, a distribution plan (the Plan) which sets the distribution fees for the Fund. These fees are calculated daily and are intended to compensate the Distributor for selling shares of the Fund. The Fund pays a monthly distribution fee to the Distributor at the maximum annual rate of 0.25% of the average daily net assets attributable to Class 2 shares of the Fund.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, so that the Fund’s net operating expenses, including indirect expenses of the Underlying Funds, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | Fee rates contractual
through
April 30, 2018 |
| Class 2 | 1.10% |
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), transaction costs and brokerage commissions, costs related to any
| 32 | Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $6,161,313,691 and $6,057,236,346, respectively, for the six months ended June 30, 2017, of which $4,905,691,798 and $4,913,232,289, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 5. Affiliated money market fund
The Fund invests significantly in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 6. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Fund and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
The Fund had no borrowings during the six months ended June 30, 2017.
Note 7. Significant risks
Shareholder concentration risk
At June 30, 2017, affiliated shareholders of record owned 100.0% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 8. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 above, there were no items requiring adjustment of the financial statements or additional disclosure.
Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017
| 33 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Note 9. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
| 34 | Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as their history, reputation, expertise, resources and capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, the relatively recent change in the leadership of equity department oversight, and the various technological enhancements that had been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Fund by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Management Agreement, the Board also took into account the organization and strength of the Fund’s and its service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017
| 35 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the Funds. It was also observed that the services being performed under the Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to the Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Management Agreement, the Board carefully reviewed the investment performance of the Fund. In this regard, the Board considered detailed reports providing the results of analyses showing, for various periods, the performance of the Fund, the performance of a benchmark index, the percentage ranking of the Fund among its comparison group and the net assets of the Fund. The Board observed the Fund’s underperformance for certain periods noting that appropriate steps (such as investment process enhancements and changes to the portfolio management team) had been taken or are contemplated to help improve the Fund’s performance.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under the Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of the Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to the Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports. Based on its review, the Board concluded that the Fund’s management fee was fair and reasonable in light of the extent and quality of services that the Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to the Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
| 36 | Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017 |
Approval of Management Agreement (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as the Fund grows and took note of the extent to which Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement.
Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017
| 37 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
| 38 | Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2017 |
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Columbia Variable Portfolio – Managed Volatility Moderate Growth Fund
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses, which contain this and other important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Columbia Variable Portfolio Funds
References to “Fund” throughout this semiannual report refer to the following individual funds, singularly or collectively as the context requires:
Columbia Variable Portfolio – Global Bond Fund
Columbia Variable Portfolio – Intermediate Bond Fund
Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund
Variable Portfolio – MFS® Blended Research® Core Equity Fund
Variable Portfolio – Partners Small Cap Value Fund
Variable Portfolio – Victory Sycamore Established Value Fund
Please remember that you may not buy (nor will you own) shares of a Fund directly. Each Fund is available through variable annuity contracts or variable life insurance policies (collectively, Contracts) offered by the separate accounts of participating insurance companies as well as qualified pension and retirement plans (Qualified Plans). Please contact your financial advisor or insurance representative for more information.
This semiannual report may contain information on a Fund not available under your Contract or Qualified Plan. Please refer to your Contract prospectus or Qualified Plan disclosure document for information regarding the investment options available to you.
Not FDIC Insured • No bank guarantee • May lose value
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Columbia Variable Portfolio Funds | Semiannual Report 2017
Fund at a Glance
Columbia Variable Portfolio – Global Bond Fund (Unaudited)
Investment objective
Columbia Variable Portfolio – Global Bond Fund (the Fund) seeks to provide shareholders with high total return through income and growth of capital.
Portfolio management
Adrian Hilton*
Lead manager
Managed Fund since March 2017
Jim Cielinski
Co-manager
Managed Fund since 2013
Gene Tannuzzo, CFA
Co-manager
Managed Fund since 2014
| * | Effective March 2017, Mr. Hilton was added as portfolio manager of the Fund. Matthew Cobon no longer manages the Fund. |
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 * | 05/03/10 | 3.75 | -3.50 | -1.27 | 2.43 |
| Class 2 * | 05/03/10 | 3.68 | -3.75 | -1.51 | 2.21 |
| Class 3 | 05/01/96 | 3.65 | -3.62 | -1.41 | 2.33 |
| Bloomberg Barclays Global Aggregate Index | | 4.41 | -2.18 | 0.78 | 3.69 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit investor.columbiathreadneedleus.com/investment-products/variable-products/appended-performance for more information. |
The Bloomberg Barclays Global Aggregate Index is a broad-based benchmark that measures the global investment grade fixed-rate debt markets.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Columbia Variable Portfolio – Global Bond Fund (Unaudited)
| Quality breakdown (%) (at June 30, 2017) |
| AAA rating | 19.3 |
| AA rating | 3.6 |
| A rating | 8.5 |
| BBB rating | 44.8 |
| BB rating | 8.2 |
| B rating | 8.7 |
| CCC rating | 1.8 |
| Not rated | 5.1 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments (excluding Money Market Funds).
Bond ratings apply to the underlying holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the middle rating of Moody’s, S&P and Fitch, after dropping the highest and lowest available ratings. When ratings are available from only two rating agencies, the lower rating is used. When a rating is available from only one rating agency, that rating is used. When a bond is not rated by any rating agency, it is designated as “Not rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other country-specific factors as the direction and stance of fiscal policy, balance of payment trends and commodity prices, the level and structure of public debt as well as political stability and commitment to strong macroeconomic policies.
| Country breakdown (%) (at June 30, 2017) |
| Argentina | 1.0 |
| Australia | 2.7 |
| Bahamas | 0.0 (a) |
| Brazil | 0.5 |
| Canada | 1.5 |
| Croatia | 0.1 |
| Dominican Republic | 0.9 |
| El Salvador | 0.2 |
| France | 0.2 |
| Georgia | 0.7 |
| Germany | 2.2 |
| Guatemala | 0.5 |
| Hungary | 1.6 |
| Indonesia | 1.5 |
| Ireland | 0.2 |
| Italy | 2.0 |
| Japan | 0.4 |
| Kazakhstan | 0.1 |
| Luxembourg | 0.0 (a) |
| Mexico | 1.4 |
| Netherlands | 0.9 |
| Panama | 0.2 |
| Philippines | 0.2 |
| Romania | 0.2 |
| Russian Federation | 16.7 |
| Serbia | 0.2 |
| South Korea | 1.1 |
| Spain | 1.9 |
| Trinidad and Tobago | 0.6 |
| Ukraine | 0.3 |
| United Kingdom | 2.5 |
| United States(b) | 57.2 |
| Virgin Islands | 0.0 (a) |
| Zambia | 0.3 |
| Total | 100.0 |
| (a) | Rounds to zero. |
| (b) | Includes investments in Money Market Funds. |
Country breakdown is based primarily on issuer’s place of organization/incorporation. Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
The Fund may use place of organization/incorporation or other factors in determining whether an issuer is domestic (U.S.) or foreign for purposes of its investment policies. At June 30, 2017, the Fund invested at least 40% of its net assets in foreign companies in accordance with its principal investment strategy.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 3 |
Fund at a Glance (continued)
Columbia Variable Portfolio – Global Bond Fund (Unaudited)
| Market exposure through derivatives investments (% of notional exposure) (at June 30, 2017)(a) |
| | Long | Short | Net |
| Fixed Income Derivative Contracts | 334.9 | (283.6) | 51.3 |
| Foreign Currency Derivative Contracts | 112.4 | (63.7) | 48.7 |
| Total Notional Market Value of Derivative Contracts | 447.3 | (347.3) | 100.0 |
(a) The Fund has market exposure (long and/or short) to fixed income and foreign currency through its investments in derivatives. The notional exposure of a financial instrument is the nominal or face amount that is used to calculate payments made on that instrument and/or changes in value for the instrument. The notional exposure is a hypothetical underlying quantity upon which payment obligations are computed. Notional exposures provide a gauge for how the Fund may behave given changes in individual markets. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments, and Note 2 to the Notes to Financial Statements.
| 4 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance
Columbia Variable Portfolio – Intermediate Bond Fund (Unaudited)
Investment objective
Columbia Variable Portfolio – Intermediate Bond Fund (the Fund) seeks to provide shareholders with a high level of current income while attempting to conserve the value of the investment for the longest period of time.
Portfolio management
Carl Pappo, CFA
Lead manager
Managed Fund since 2011
Brian Lavin, CFA
Co-manager
Managed Fund since 2011
Jason Callan
Co-manager
Managed Fund since January 2016
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 * | 05/03/10 | 2.66 | 1.48 | 2.91 | 4.47 |
| Class 2 * | 05/03/10 | 2.51 | 1.24 | 2.65 | 4.24 |
| Class 3 | 10/13/81 | 2.53 | 1.36 | 2.77 | 4.37 |
| Bloomberg Barclays U.S. Aggregate Bond Index | | 2.27 | -0.31 | 2.21 | 4.48 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit investor.columbiathreadneedleus.com/investment-products/variable-products/appended-performance for more information. |
The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage passthroughs), asset-backed securities, and commercial mortgage-backed securities.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 5 |
Fund at a Glance (continued)
Columbia Variable Portfolio – Intermediate Bond Fund (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Asset-Backed Securities — Agency | 2.4 |
| Asset-Backed Securities — Non-Agency | 15.8 |
| Commercial Mortgage-Backed Securities - Agency | 0.6 |
| Commercial Mortgage-Backed Securities - Non-Agency | 2.5 |
| Corporate Bonds & Notes | 30.6 |
| Foreign Government Obligations | 0.7 |
| Money Market Funds | 0.6 |
| Municipal Bonds | 1.2 |
| Options Purchased Calls | 0.0 (a) |
| Options Purchased Puts | 0.0 (a) |
| Preferred Debt | 0.3 |
| Preferred Stocks | 0.0 (a) |
| Residential Mortgage-Backed Securities - Agency | 25.1 |
| Residential Mortgage-Backed Securities - Non-Agency | 4.5 |
| Senior Loans | 0.1 |
| U.S. Government & Agency Obligations | 0.8 |
| U.S. Treasury Obligations | 14.8 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at June 30, 2017) |
| AAA rating | 61.7 |
| AA rating | 1.5 |
| A rating | 5.4 |
| BBB rating | 19.4 |
| BB rating | 5.3 |
| B rating | 2.5 |
| CCC rating | 0.5 |
| CC rating | 0.0 (a) |
| C rating | 0.0 (a) |
| Not rated | 3.7 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments (excluding Money Market Funds).
Bond ratings apply to the underlying holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the middle rating of Moody’s, S&P and Fitch, after dropping the highest and lowest available ratings. When ratings are available from only two rating agencies, the lower rating is used. When a rating is available from only one rating agency, that rating is used. When a bond is not rated by any rating agency, it is designated as “Not rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g., interest rate and time to maturity) and the amount and type of any collateral.
| Market exposure through derivatives investments (% of notional exposure) (at June 30, 2017)(a) |
| | Long | Short | Net |
| Fixed Income Derivative Contracts | 291.1 | (391.1) | (100.0) |
| Total Notional Market Value of Derivative Contracts | 291.1 | (391.1) | (100.0) |
(a) The Fund has market exposure (long and/or short) to fixed income through its investments in derivatives. The notional exposure of a financial instrument is the nominal or face amount that is used to calculate payments made on that instrument and/or changes in value for the instrument. The notional exposure is a hypothetical underlying quantity upon which payment obligations are computed. Notional exposures provide a gauge for how the Fund may behave given changes in individual markets. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments, and Note 2 to the Notes to Financial Statements.
| 6 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance
Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund (Unaudited)
Investment objective
Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund (the Fund) seeks to provide shareholders with total return that exceeds the rate of inflation over the long term.
Portfolio management
BlackRock Financial Management, Inc.
Martin Hegarty
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 * | 05/03/10 | -0.15 | 1.13 | 2.55 | 4.45 |
| Class 2 * | 05/03/10 | -0.21 | 1.10 | 2.33 | 4.25 |
| Class 3 | 09/13/04 | -0.28 | 1.01 | 2.42 | 4.35 |
| Bloomberg Barclays World Government Inflation-Linked Bond Index USD Hedged | | 0.28 | 1.93 | 2.97 | 5.12 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC (the Investment Manager) and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit investor.columbiathreadneedleus.com/investment-products/variable-products/appended-performance for more information. |
The Fund’s performance prior to October 2012 reflects returns achieved by the Investment Manager according to different principal investment strategies. If the Fund’s current subadviser and strategies had been in place for the prior periods, results shown may have been different.
The Bloomberg Barclays World Government Inflation-Linked Bond Index (fully hedged to the U.S. dollar) is an unmanaged index that measures the performance of the major government inflation-linked bond markets, including the United States, the United Kingdom, Australia, Canada, Sweden, France, Italy, Japan, Germany and Greece. The index reflects reinvestment of all distributions and changes in market prices.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 7 |
Fund at a Glance (continued)
Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund (Unaudited)
| Quality breakdown (%) (at June 30, 2017) |
| AAA rating | 55.5 |
| AA rating | 27.5 |
| A rating | 3.7 |
| BBB rating | 11.4 |
| CCC rating | 0.0 (a) |
| Not rated | 1.9 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments (excluding Money Market Funds).
Bond ratings apply to the underlying holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the middle rating of Moody’s, S&P and Fitch, after dropping the highest and lowest available ratings. When ratings are available from only two rating agencies, the lower rating is used. When a rating is available from only one rating agency, that rating is used. When a bond is not rated by any rating agency, it is designated as “Not rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g., interest rate and time to maturity) and the amount and type of any collateral.
| Country breakdown (%) (at June 30, 2017) |
| Australia | 1.1 |
| Canada | 2.2 |
| Denmark | 0.2 |
| France | 6.0 |
| Germany | 2.4 |
| Greece | 0.0 (a) |
| Italy | 11.3 |
| Japan | 3.6 |
| New Zealand | 1.2 |
| Spain | 1.3 |
| Sweden | 1.0 |
| United Kingdom | 18.9 |
| United States(b) | 50.8 |
| Total | 100.0 |
| (a) | Rounds to zero. |
| (b) | Includes investments in Money Market Funds. |
Country breakdown is based primarily on issuer’s place of organization/incorporation. Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
The Fund may use place of organization/incorporation or other factors in determining whether an issuer is domestic (U.S.) or foreign for purposes of its investment policies. At June 30, 2017, the Fund invested at least 40% of its net assets in foreign companies in accordance with its principal investment strategy.
| Market exposure through derivatives investments (% of notional exposure) (at June 30, 2017)(a) |
| | Long | Short | Net |
| Fixed Income Derivative Contracts | 1.2 | (0.1) | 1.1 |
| Foreign Currency Derivative Contracts | 0.3 | (101.4) | (101.1) |
| Total Notional Market Value of Derivative Contracts | 1.5 | (101.5) | (100.0) |
| (a) | The Fund has market exposure (long and/or short) to the fixed income asset class and foreign currency through its investments in derivatives. The notional exposure of a financial instrument is the nominal or face amount that is used to calculate payments made on that instrument and/or changes in value for the instrument. The notional exposure is a hypothetical underlying quantity upon which payment obligations are computed. Notional exposures provide a gauge for how the Fund may behave given changes in individual markets. For a description of the Fund’s investments in derivatives, see Investments in Derivatives following the Portfolio of Investments, and Note 2 to the financial statements. |
| 8 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance
Variable Portfolio – MFS® Blended Research® Core Equity Fund (Unaudited)
Investment objective
Variable Portfolio – MFS® Blended Research® Core Equity Fund (the Fund) seeks to provide shareholders with long-term capital growth.
Portfolio management
Massachusetts Financial Services Company
Matt Krummell, CFA
Jim Fallon
Jonathan Sage, CFA
Jed Stocks, CFA
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 * | 05/03/10 | 8.53 | 15.67 | 12.39 | 4.96 |
| Class 2 * | 05/03/10 | 8.36 | 15.38 | 12.11 | 4.79 |
| Class 3 | 05/01/06 | 8.42 | 15.54 | 12.24 | 4.87 |
| S&P 500 Index | | 9.34 | 17.90 | 14.63 | 7.18 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit investor.columbiathreadneedleus.com/investment-products/variable-products/appended-performance for more information. |
The Fund’s performance prior to May 2016 reflects returns achieved by one or more different subadviser(s) that managed the Fund according to different principal investment strategies. If the Fund’s current subadviser and strategies had been in place for the prior periods, results shown may have been different.
The S&P 500 Index, an unmanaged index, measures the performance of 500 widely held, large-capitalization U.S. stocks and is frequently used as a general measure of market performance.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 9 |
Fund at a Glance (continued)
Variable Portfolio – MFS® Blended Research® Core Equity Fund (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 99.7 |
| Money Market Funds | 0.3 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Top 10 holdings (%) (at June 30, 2017) |
| Amazon.com, Inc. | 2.9 |
| Apple, Inc. | 2.7 |
| Bank of America Corp. | 2.7 |
| Citigroup, Inc. | 2.2 |
| Cisco Systems, Inc. | 2.1 |
| Facebook, Inc., Class A | 2.1 |
| Procter & Gamble Co. (The) | 2.0 |
| Philip Morris International, Inc. | 1.9 |
| Celgene Corp. | 1.9 |
| Medtronic PLC | 1.9 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 12.4 |
| Consumer Staples | 11.1 |
| Energy | 5.5 |
| Financials | 15.8 |
| Health Care | 14.5 |
| Industrials | 9.2 |
| Information Technology | 21.6 |
| Materials | 2.8 |
| Real Estate | 2.1 |
| Telecommunication Services | 1.5 |
| Utilities | 3.5 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 10 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance
Variable Portfolio – Partners Small Cap Value Fund (Unaudited)
Investment objective
Variable Portfolio – Partners Small Cap Value Fund (the Fund) seeks to provide shareholders with long-term capital appreciation.
Portfolio management
Denver Investment Advisors LLC
Derek Anguilm, CFA
Troy Dayton, CFA
Mark Adelmann, CFA, CPA
Lisa Ramirez, CFA
Alex Ruehle, CFA
Jacobs Levy Equity Management, Inc.*
Bruce Jacobs, Ph.D.
Kenneth Levy, CFA
Nuveen Asset Management, LLC*
Karen Bowie, CFA
Segall Bryant & Hamill, LLC
Mark Dickherber, CFA, CPA
Shaun Nicholson
*Effective May 1, 2017, Jacobs Levy Equity Management, Inc. and Nuveen Asset Management, LLC each assumed day-to-day management of a portion of the Fund’s portfolio as subadvisers to the Fund.
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 * | 05/03/10 | 0.54 | 20.50 | 11.25 | 5.96 |
| Class 2 * | 05/03/10 | 0.39 | 20.22 | 10.98 | 5.74 |
| Class 3 | 08/14/01 | 0.42 | 20.35 | 11.10 | 5.85 |
| Russell 2000 Value Index | | 0.54 | 24.86 | 13.39 | 5.92 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
* The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit investor.columbiathreadneedleus.com/investment-products/variable-products/appended-performance for more information.
The Fund’s performance prior to May 2017 reflects returns achieved by one or more different subadvisers. If the Fund’s current subadvisers had been in place for the prior periods, results shown may have been different.
The Russell 2000 Value Index, an unmanaged index, tracks the performance of those Russell 2000 Index companies with lower price-to-book ratios and lower forecasted growth values.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 11 |
Fund at a Glance (continued)
Variable Portfolio – Partners Small Cap Value Fund (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 97.2 |
| Exchange-Traded Funds | 0.5 |
| Money Market Funds | 2.3 |
| Rights | 0.0 (a) |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Top 10 holdings (%) (at June 30, 2017) |
| Iberiabank Corp. | 1.4 |
| Orthofix International NV | 1.2 |
| Innophos Holdings, Inc. | 1.1 |
| Radian Group, Inc. | 1.0 |
| CNO Financial Group, Inc. | 1.0 |
| Renasant Corp. | 1.0 |
| Spire, Inc. | 0.9 |
| TiVo Corp. | 0.9 |
| Dean Foods Co. | 0.8 |
| Enerplus Corp. | 0.8 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 11.1 |
| Consumer Staples | 2.8 |
| Energy | 3.4 |
| Financials | 28.5 |
| Health Care | 7.0 |
| Industrials | 17.4 |
| Information Technology | 13.7 |
| Materials | 5.0 |
| Real Estate | 6.9 |
| Telecommunication Services | 0.4 |
| Utilities | 3.8 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 12 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance
Variable Portfolio – Victory Sycamore Established Value Fund (Unaudited)
Investment objective
Variable Portfolio – Victory Sycamore Established Value Fund (the Fund) seeks to provide shareholders with long-term growth of capital.
Portfolio management
Victory Capital Management Inc.
Gary Miller
Jeffrey Graff, CFA
Gregory Conners
James Albers, CFA
Michael Rodarte, CFA
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 * | 05/03/10 | 5.38 | 16.08 | 16.22 | 7.95 |
| Class 2 * | 05/03/10 | 5.24 | 15.77 | 15.95 | 7.72 |
| Class 3 | 02/04/04 | 5.33 | 15.94 | 16.10 | 7.86 |
| Russell Midcap Value Index | | 5.18 | 15.93 | 15.14 | 7.23 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect the effect of any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
| * | The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit investor.columbiathreadneedleus.com/investment-products/variable-products/appended-performance for more information. |
The Fund’s performance prior to November 2012 reflects returns achieved by one or more different subadvisers. If the Fund’s current subadviser had been in place for the prior periods, results shown may have been different.
The Russell Midcap Value Index, an unmanaged index, measures the performance of those Russell Midcap Index companies with lower price-to-book ratios and forecasted growth values.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 13 |
Fund at a Glance (continued)
Variable Portfolio – Victory Sycamore Established Value Fund (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 97.9 |
| Money Market Funds | 2.1 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Top 10 holdings (%) (at June 30, 2017) |
| Archer-Daniels-Midland Co. | 2.3 |
| Crown Holdings, Inc. | 2.2 |
| SunTrust Banks, Inc. | 2.1 |
| Allstate Corp. (The) | 2.1 |
| Aflac, Inc. | 2.1 |
| Citizens Financial Group, Inc. | 2.0 |
| Alleghany Corp. | 1.9 |
| Quanta Services, Inc. | 1.9 |
| Motorola Solutions, Inc. | 1.8 |
| Reliance Steel & Aluminum Co. | 1.8 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 10.4 |
| Consumer Staples | 4.4 |
| Energy | 6.9 |
| Financials | 20.8 |
| Health Care | 8.2 |
| Industrials | 17.5 |
| Information Technology | 15.0 |
| Materials | 9.5 |
| Real Estate | 3.0 |
| Utilities | 4.3 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 14 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Columbia Variable Portfolio – Global Bond Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,037.50 | 1,021.54 | 3.45 | 3.43 | 0.68 |
| Class 2 | 1,000.00 | 1,000.00 | 1,036.80 | 1,020.29 | 4.72 | 4.68 | 0.93 |
| Class 3 | 1,000.00 | 1,000.00 | 1,036.50 | 1,020.89 | 4.11 | 4.08 | 0.81 |
| Columbia Variable Portfolio – Intermediate Bond Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,026.60 | 1,022.24 | 2.73 | 2.72 | 0.54 |
| Class 2 | 1,000.00 | 1,000.00 | 1,025.10 | 1,020.99 | 3.99 | 3.98 | 0.79 |
| Class 3 | 1,000.00 | 1,000.00 | 1,025.30 | 1,021.64 | 3.33 | 3.33 | 0.66 |
| Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund |
| Class 1 | 1,000.00 | 1,000.00 | 998.50 | 1,021.74 | 3.19 | 3.23 | 0.64 |
| Class 2 | 1,000.00 | 1,000.00 | 997.90 | 1,020.49 | 4.43 | 4.48 | 0.89 |
| Class 3 | 1,000.00 | 1,000.00 | 997.20 | 1,021.14 | 3.78 | 3.83 | 0.76 |
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 15 |
Understanding Your Fund’s Expenses (continued)
(Unaudited)
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Variable Portfolio – MFS® Blended Research® Core Equity Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,085.30 | 1,021.14 | 3.95 | 3.83 | 0.76 |
| Class 2 | 1,000.00 | 1,000.00 | 1,083.60 | 1,019.90 | 5.25 | 5.09 | 1.01 |
| Class 3 | 1,000.00 | 1,000.00 | 1,084.20 | 1,020.49 | 4.62 | 4.48 | 0.89 |
| Variable Portfolio – Partners Small Cap Value Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,005.40 | 1,020.29 | 4.65 | 4.68 | 0.93 |
| Class 2 | 1,000.00 | 1,000.00 | 1,003.90 | 1,019.05 | 5.90 | 5.94 | 1.18 |
| Class 3 | 1,000.00 | 1,000.00 | 1,004.20 | 1,019.65 | 5.30 | 5.34 | 1.06 |
| Variable Portfolio – Victory Sycamore Established Value Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,053.80 | 1,020.69 | 4.35 | 4.28 | 0.85 |
| Class 2 | 1,000.00 | 1,000.00 | 1,052.40 | 1,019.45 | 5.63 | 5.54 | 1.10 |
| Class 3 | 1,000.00 | 1,000.00 | 1,053.30 | 1,020.04 | 5.02 | 4.94 | 0.98 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and nonaffiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses for Columbia Variable Portfolio – Global Bond Fund, Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund, Variable Portfolio – MFS® Blended Research® Core Equity Fund, Variable Portfolio – Partners Small Cap Value Fund and Variable Portfolio – Victory Sycamore Established Value Fund, account value at the end of the period would have been reduced.
| 16 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments
Columbia Variable Portfolio – Global Bond Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Asset-Backed Securities — Non-Agency 5.5% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| United States 5.5% |
| Centre Point Funding LLC(a) |
| Series 2012-2A Class 1 |
| 08/20/2021 | 2.610% | | 1,790,197 | 1,761,974 |
| SBA Tower Trust(a) |
| 04/16/2018 | 2.240% | | 6,500,000 | 6,495,010 |
| Total | 8,256,984 |
Total Asset-Backed Securities — Non-Agency
(Cost $8,306,304) | 8,256,984 |
|
| Commercial Mortgage-Backed Securities - Non-Agency 2.8% |
| | | | |
| United States 2.8% |
| VSD (a) |
| Series 2017-PLT1 Class A |
| 12/25/2043 | 3.600% | | 4,113,503 | 4,115,110 |
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $4,113,503) | 4,115,110 |
|
| Corporate Bonds & Notes 30.8% |
| | | | |
| Australia 1.5% |
| Woodside Finance Ltd.(a) |
| 03/05/2025 | 3.650% | | 2,220,000 | 2,209,757 |
| Bahamas 0.0% |
| Silversea Cruise Finance Ltd.(a) |
| 02/01/2025 | 7.250% | | 15,000 | 15,993 |
| Canada 1.4% |
| 1011778 BC Unlimited Liability Co./New Red Finance, Inc.(a) |
| 05/15/2024 | 4.250% | | 45,000 | 44,714 |
| Bombardier, Inc.(a) |
| 12/01/2021 | 8.750% | | 38,000 | 42,244 |
| Canadian Natural Resources Ltd. |
| 06/01/2047 | 4.950% | | 480,000 | 486,863 |
| Cenovus Energy, Inc. |
| 09/15/2043 | 5.200% | | 350,000 | 316,703 |
| HudBay Minerals, Inc.(a) |
| 01/15/2023 | 7.250% | | 12,000 | 12,399 |
| 01/15/2025 | 7.625% | | 36,000 | 37,796 |
| MDC Partners, Inc.(a) |
| 05/01/2024 | 6.500% | | 97,000 | 96,587 |
| Precision Drilling Corp.(a) |
| 12/15/2023 | 7.750% | | 4,000 | 4,037 |
| Ritchie Bros. Auctioneers, Inc.(a) |
| 01/15/2025 | 5.375% | | 12,000 | 12,579 |
| Teck Resources Ltd.(a) |
| 06/01/2024 | 8.500% | | 15,000 | 17,331 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Teck Resources Ltd. |
| 07/15/2041 | 6.250% | | 130,000 | 135,417 |
| Thomson Reuters Corp. |
| 05/23/2043 | 4.500% | | 525,000 | 525,087 |
| Trinidad Drilling Ltd.(a) |
| 02/15/2025 | 6.625% | | 12,000 | 11,353 |
| Valeant Pharmaceuticals International, Inc.(a) |
| 03/15/2022 | 6.500% | | 15,000 | 15,733 |
| 05/15/2023 | 5.875% | | 120,000 | 102,887 |
| 03/15/2024 | 7.000% | | 68,000 | 71,735 |
| 04/15/2025 | 6.125% | | 121,000 | 102,587 |
| Videotron Ltd.(a) |
| 06/15/2024 | 5.375% | | 56,000 | 59,294 |
| Videotron Ltd./Ltee(a) |
| 04/15/2027 | 5.125% | | 22,000 | 22,601 |
| Total | 2,117,947 |
| France 0.1% |
| SFR Group SA(a) |
| 05/15/2022 | 6.000% | | 82,000 | 85,684 |
| 05/01/2026 | 7.375% | | 104,000 | 112,788 |
| SPCM SA(a) |
| 09/15/2025 | 4.875% | | 26,000 | 26,520 |
| Total | 224,992 |
| Germany 0.1% |
| Unitymedia GmbH(a) |
| 01/15/2025 | 6.125% | | 14,000 | 15,019 |
| Unitymedia Hessen GmbH & Co. KG NRW(a) |
| 01/15/2025 | 5.000% | | 105,000 | 110,040 |
| Total | 125,059 |
| Ireland 0.2% |
| Allegion PLC |
| 09/15/2023 | 5.875% | | 45,000 | 48,387 |
| Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) |
| 05/15/2024 | 7.250% | | 145,000 | 158,712 |
| 02/15/2025 | 6.000% | | 13,000 | 13,655 |
| Park Aerospace Holdings Ltd.(a) |
| 08/15/2022 | 5.250% | | 18,000 | 18,842 |
| 02/15/2024 | 5.500% | | 18,000 | 18,810 |
| Total | 258,406 |
| Italy 0.0% |
| Telecom Italia Capital SA |
| 09/30/2034 | 6.000% | | 35,000 | 37,035 |
| Telecom Italia SpA(a) |
| 05/30/2024 | 5.303% | | 19,000 | 20,473 |
| Total | 57,508 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 17 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Global Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Luxembourg 0.1% |
| FAGE International SA/USA Dairy Industry, Inc.(a) |
| 08/15/2026 | 5.625% | | 34,000 | 35,047 |
| INEOS Group Holdings SA(a) |
| 08/01/2024 | 5.625% | | 44,000 | 45,459 |
| Total | 80,506 |
| Netherlands 0.8% |
| Atotech USA, Inc.(a) |
| 02/01/2025 | 6.250% | | 48,000 | 49,364 |
| Constellium NV(a) |
| 05/15/2024 | 5.750% | | 79,000 | 72,956 |
| 03/01/2025 | 6.625% | | 29,000 | 27,729 |
| LYB International Finance BV |
| 03/15/2044 | 4.875% | | 415,000 | 440,582 |
| Mondelez International, Inc.(a) |
| 10/28/2019 | 1.625% | | 525,000 | 519,642 |
| Sensata Technologies BV(a) |
| 10/01/2025 | 5.000% | | 47,000 | 49,122 |
| Ziggo Secured Finance BV(a) |
| 01/15/2027 | 5.500% | | 97,000 | 99,701 |
| Total | 1,259,096 |
| Panama 0.2% |
| Ena Norte Trust(a) |
| 04/25/2023 | 4.950% | | 257,610 | 264,233 |
| Ukraine 0.3% |
| MHP SA(a) |
| 04/02/2020 | 8.250% | | 397,000 | 419,981 |
| United Kingdom 0.9% |
| Sky PLC(a) |
| 11/26/2022 | 3.125% | | 1,125,000 | 1,143,090 |
| Virgin Media Finance PLC(a) |
| 10/15/2024 | 6.000% | | 39,000 | 41,430 |
| 01/15/2025 | 5.750% | | 93,000 | 96,205 |
| Virgin Media Secured Finance PLC(a) |
| 01/15/2026 | 5.250% | | 7,000 | 7,282 |
| Total | 1,288,007 |
| United States 25.2% |
| Acadia Healthcare Co., Inc. |
| 07/01/2022 | 5.125% | | 55,000 | 56,917 |
| 03/01/2024 | 6.500% | | 16,000 | 17,130 |
| AES Corp. (The) |
| 05/15/2026 | 6.000% | | 28,000 | 30,004 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Aircastle Ltd. |
| 02/15/2022 | 5.500% | | 17,000 | 18,424 |
| 04/01/2023 | 5.000% | | 15,000 | 16,054 |
| Allegion US Holding Co., Inc. |
| 10/01/2021 | 5.750% | | 36,000 | 37,360 |
| Allergan Funding SCS |
| 03/15/2045 | 4.750% | | 66,000 | 71,198 |
| Ally Financial, Inc. |
| 03/30/2025 | 4.625% | | 100,000 | 102,196 |
| Alpine Finance Merger Sub LLC(a),(b) |
| 08/01/2025 | 6.875% | | 13,000 | 13,266 |
| Altice US Finance I Corp.(a) |
| 07/15/2023 | 5.375% | | 39,000 | 40,651 |
| 05/15/2026 | 5.500% | | 77,000 | 80,925 |
| AMC Entertainment Holdings, Inc.(a) |
| 05/15/2027 | 6.125% | | 17,000 | 17,978 |
| AMC Networks, Inc. |
| 04/01/2024 | 5.000% | | 23,000 | 23,561 |
| American Builders & Contractors Supply Co., Inc.(a) |
| 04/15/2021 | 5.625% | | 50,000 | 51,411 |
| American Greetings Corp.(a) |
| 02/15/2025 | 7.875% | | 6,000 | 6,483 |
| Amsurg Corp. |
| 07/15/2022 | 5.625% | | 48,000 | 49,827 |
| Angus Chemical Co.(a) |
| 02/15/2023 | 8.750% | | 61,000 | 62,837 |
| Anheuser-Busch InBev Finance, Inc. |
| 02/01/2023 | 3.300% | | 700,000 | 720,124 |
| 02/01/2026 | 3.650% | | 300,000 | 308,992 |
| Appalachian Power Co. |
| 05/15/2044 | 4.400% | | 800,000 | 848,771 |
| APX Group, Inc. |
| 12/01/2020 | 8.750% | | 91,000 | 93,872 |
| 12/01/2022 | 7.875% | | 122,000 | 132,403 |
| Aramark Services, Inc. |
| 01/15/2024 | 5.125% | | 22,000 | 23,101 |
| Asbury Automotive Group, Inc. |
| 12/15/2024 | 6.000% | | 57,000 | 58,022 |
| AT&T, Inc. |
| 06/15/2045 | 4.350% | | 700,000 | 649,305 |
| Avis Budget Car Rental LLC/Finance, Inc.(a) |
| 03/15/2025 | 5.250% | | 67,000 | 63,362 |
| B&G Foods, Inc. |
| 04/01/2025 | 5.250% | | 24,000 | 24,487 |
| Ball Corp. |
| 12/15/2020 | 4.375% | | 40,000 | 42,001 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Global Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Beacon Roofing Supply, Inc. |
| 10/01/2023 | 6.375% | | 22,000 | 23,691 |
| Berkshire Hathaway Energy Co. |
| 02/01/2045 | 4.500% | | 150,000 | 162,697 |
| Berry Plastics Corp. |
| 05/15/2022 | 5.500% | | 58,000 | 60,345 |
| 10/15/2022 | 6.000% | | 26,000 | 27,717 |
| 07/15/2023 | 5.125% | | 63,000 | 65,600 |
| Booz Allen Hamilton, Inc.(a) |
| 05/01/2025 | 5.125% | | 6,000 | 5,883 |
| Boyd Gaming Corp. |
| 05/15/2023 | 6.875% | | 14,000 | 14,993 |
| 04/01/2026 | 6.375% | | 19,000 | 20,589 |
| CalAtlantic Group, Inc. |
| 11/15/2024 | 5.875% | | 34,000 | 36,800 |
| 06/01/2026 | 5.250% | | 10,000 | 10,376 |
| 06/15/2027 | 5.000% | | 16,000 | 16,022 |
| Callon Petroleum Co. |
| 10/01/2024 | 6.125% | | 22,000 | 22,253 |
| Callon Petroleum Co.(a) |
| 10/01/2024 | 6.125% | | 11,000 | 11,152 |
| Calpine Corp. |
| 01/15/2025 | 5.750% | | 83,000 | 78,063 |
| Camelot Finance SA(a) |
| 10/15/2024 | 7.875% | | 25,000 | 26,884 |
| Carlson Travel, Inc.(a) |
| 12/15/2023 | 6.750% | | 15,000 | 15,289 |
| Carrizo Oil & Gas, Inc. |
| 04/15/2023 | 6.250% | | 57,000 | 54,772 |
| CB Richard Ellis Services, Inc. |
| 03/15/2025 | 5.250% | | 137,000 | 149,274 |
| CCO Holdings LLC/Capital Corp.(a) |
| 02/15/2026 | 5.750% | | 49,000 | 52,406 |
| 05/01/2026 | 5.500% | | 2,000 | 2,118 |
| 05/01/2027 | 5.125% | | 140,000 | 143,520 |
| 05/01/2027 | 5.875% | | 38,000 | 40,486 |
| CDK Global, Inc.(a) |
| 06/01/2027 | 4.875% | | 18,000 | 18,495 |
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millenium Operations LLC(a) |
| 04/15/2027 | 5.375% | | 34,000 | 35,997 |
| Centene Corp. |
| 02/15/2024 | 6.125% | | 69,000 | 74,528 |
| 01/15/2025 | 4.750% | | 110,000 | 113,388 |
| CenturyLink, Inc. |
| 04/01/2024 | 7.500% | | 52,000 | 57,025 |
| 04/01/2025 | 5.625% | | 73,000 | 73,015 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Cequel Communications Holdings I LLC/Capital Corp.(a) |
| 09/15/2020 | 6.375% | | 62,000 | 63,355 |
| 12/15/2021 | 5.125% | | 40,000 | 40,785 |
| 07/15/2025 | 7.750% | | 30,000 | 33,315 |
| Change Healthcare Holdings LLC/Finance, Inc.(a) |
| 03/01/2025 | 5.750% | | 43,000 | 43,935 |
| Chemours Co. (The) |
| 05/15/2023 | 6.625% | | 45,000 | 47,654 |
| 05/15/2025 | 7.000% | | 45,000 | 48,987 |
| 05/15/2027 | 5.375% | | 11,000 | 11,316 |
| Cheniere Corpus Christi Holdings LLC(a) |
| 06/30/2027 | 5.125% | | 36,000 | 36,973 |
| Chobani LLC/Finance Corp., Inc.(a) |
| 04/15/2025 | 7.500% | | 45,000 | 47,611 |
| CHS/Community Health Systems, Inc. |
| 02/01/2022 | 6.875% | | 52,000 | 45,427 |
| 03/31/2023 | 6.250% | | 92,000 | 95,149 |
| CMS Energy Corp. |
| 11/15/2025 | 3.600% | | 682,000 | 694,023 |
| CNA Financial Corp. |
| 05/15/2024 | 3.950% | | 380,000 | 394,070 |
| Continental Resources, Inc. |
| 06/01/2024 | 3.800% | | 50,000 | 45,820 |
| CrownRock LP/Finance, Inc.(a) |
| 02/15/2023 | 7.750% | | 83,000 | 87,284 |
| CSC Holdings LLC |
| 11/15/2021 | 6.750% | | 95,000 | 105,167 |
| CSC Holdings LLC(a) |
| 10/15/2025 | 6.625% | | 95,000 | 104,561 |
| 10/15/2025 | 10.875% | | 81,000 | 97,338 |
| CSX Corp. |
| 11/01/2046 | 3.800% | | 225,000 | 220,104 |
| CVS Health Corp. |
| 06/01/2026 | 2.875% | | 345,000 | 334,238 |
| CyrusOne LP/Finance Corp.(a) |
| 03/15/2024 | 5.000% | | 15,000 | 15,454 |
| 03/15/2027 | 5.375% | | 15,000 | 15,616 |
| DaVita, Inc. |
| 05/01/2025 | 5.000% | | 65,000 | 65,094 |
| Delek Logistics Partners LP(a) |
| 05/15/2025 | 6.750% | | 32,000 | 32,306 |
| Diamondback Energy, Inc.(a) |
| 11/01/2024 | 4.750% | | 13,000 | 12,915 |
| 05/31/2025 | 5.375% | | 68,000 | 68,919 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 19 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Global Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| DISH DBS Corp. |
| 06/01/2021 | 6.750% | | 31,000 | 34,380 |
| 03/15/2023 | 5.000% | | 76,000 | 77,805 |
| 11/15/2024 | 5.875% | | 25,000 | 26,613 |
| 07/01/2026 | 7.750% | | 100,000 | 118,318 |
| DTE Energy Co. |
| 06/01/2024 | 3.500% | | 750,000 | 762,238 |
| 10/01/2026 | 2.850% | | 490,000 | 465,895 |
| Duke Energy Carolinas LLC |
| 03/15/2046 | 3.875% | | 505,000 | 515,006 |
| Dynegy, Inc. |
| 11/01/2024 | 7.625% | | 34,000 | 32,980 |
| Eagle Holding Co., II LLC PIK(a) |
| 05/15/2022 | 7.625% | | 8,000 | 8,221 |
| Eco Services Operations LLC/Finance Corp.(a) |
| 11/01/2022 | 8.500% | | 49,000 | 51,449 |
| Eldorado Resorts, Inc.(a) |
| 04/01/2025 | 6.000% | | 18,000 | 19,059 |
| Emera US Finance LP |
| 06/15/2046 | 4.750% | | 515,000 | 541,777 |
| Endo Dac/Finance LLC/Finco, Inc.(a),(c) |
| 02/01/2025 | 6.000% | | 40,000 | 32,816 |
| Energy Transfer Equity LP |
| 06/01/2027 | 5.500% | | 153,000 | 158,416 |
| Enterprise Products Operating LLC |
| 02/15/2045 | 5.100% | | 400,000 | 437,008 |
| 05/15/2046 | 4.900% | | 190,000 | 204,793 |
| Envision Healthcare Corp.(a) |
| 12/01/2024 | 6.250% | | 3,000 | 3,194 |
| Equinix, Inc. |
| 01/15/2026 | 5.875% | | 55,000 | 59,899 |
| 05/15/2027 | 5.375% | | 98,000 | 104,774 |
| ERAC USA Finance LLC(a) |
| 02/15/2045 | 4.500% | | 450,000 | 441,440 |
| Extraction Oil & Gas, Inc./Finance Corp.(a) |
| 07/15/2021 | 7.875% | | 100,000 | 102,685 |
| First Data Corp.(a) |
| 12/01/2023 | 7.000% | | 148,000 | 157,975 |
| 01/15/2024 | 5.750% | | 95,000 | 98,846 |
| Five Corners Funding Trust(a) |
| 11/15/2023 | 4.419% | | 1,200,000 | 1,290,439 |
| Freeport-McMoRan, Inc. |
| 03/01/2022 | 3.550% | | 17,000 | 15,955 |
| 03/15/2023 | 3.875% | | 38,000 | 35,517 |
| 11/14/2024 | 4.550% | | 94,000 | 88,754 |
| Fresenius Medical Care U.S. Finance II, Inc.(a) |
| 01/31/2022 | 5.875% | | 13,000 | 14,444 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Fresenius Medical Care US Finance II, Inc.(a) |
| 10/15/2024 | 4.750% | | 78,000 | 82,829 |
| Frontier Communications Corp. |
| 01/15/2025 | 6.875% | | 193,000 | 150,775 |
| Gartner, Inc.(a) |
| 04/01/2025 | 5.125% | | 52,000 | 54,571 |
| Gates Global LLC/Co.(a) |
| 07/15/2022 | 6.000% | | 65,000 | 65,194 |
| GLP Capital LP/Financing II, Inc. |
| 04/15/2026 | 5.375% | | 32,000 | 34,863 |
| Grinding Media, Inc./MC Canada, Inc.(a) |
| 12/15/2023 | 7.375% | | 28,000 | 30,320 |
| Group 1 Automotive, Inc.(a) |
| 12/15/2023 | 5.250% | | 39,000 | 39,073 |
| Guardian Life Insurance Co. of America (The)(a) |
| Subordinated |
| 06/19/2064 | 4.875% | | 290,000 | 322,073 |
| Halcon Resources Corp.(a) |
| 02/15/2025 | 6.750% | | 20,000 | 18,027 |
| HCA, Inc. |
| 05/01/2023 | 5.875% | | 58,000 | 63,049 |
| 02/01/2025 | 5.375% | | 136,000 | 143,249 |
| 04/15/2025 | 5.250% | | 85,000 | 91,674 |
| 02/15/2027 | 4.500% | | 53,000 | 54,422 |
| HD Supply, Inc.(a) |
| 04/15/2024 | 5.750% | | 22,000 | 23,475 |
| Hertz Corp. (The)(a) |
| 06/01/2022 | 7.625% | | 55,000 | 54,870 |
| 10/15/2024 | 5.500% | | 49,000 | 40,177 |
| Hill-Rom Holdings, Inc.(a) |
| 02/15/2025 | 5.000% | | 25,000 | 25,513 |
| Hilton Domestic Operating Co., Inc.(a) |
| 09/01/2024 | 4.250% | | 37,000 | 37,464 |
| Hilton Grand Vacations Borrower LLC/Inc.(a) |
| 12/01/2024 | 6.125% | | 18,000 | 19,609 |
| HUB International Ltd.(a) |
| 10/01/2021 | 7.875% | | 161,000 | 167,855 |
| IHS Markit Ltd.(a) |
| 11/01/2022 | 5.000% | | 35,000 | 37,799 |
| 02/15/2025 | 4.750% | | 65,000 | 69,670 |
| Informatica LLC(a) |
| 07/15/2023 | 7.125% | | 26,000 | 26,477 |
| International Game Technology PLC(a) |
| 02/15/2022 | 6.250% | | 68,000 | 74,330 |
| 02/15/2025 | 6.500% | | 42,000 | 46,317 |
| Interval Acquisition Corp. |
| 04/15/2023 | 5.625% | | 53,000 | 54,949 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Global Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| iStar, Inc. |
| 04/01/2022 | 6.000% | | 30,000 | 30,687 |
| Jack Ohio Finance LLC/1 Corp.(a) |
| 11/15/2021 | 6.750% | | 52,000 | 54,305 |
| Jaguar Holding Co. II/Pharmaceutical Product Development LLC(a) |
| 08/01/2023 | 6.375% | | 96,000 | 101,129 |
| KAR Auction Services, Inc.(a) |
| 06/01/2025 | 5.125% | | 27,000 | 27,539 |
| Kellogg Co. |
| 12/01/2023 | 2.650% | | 185,000 | 182,169 |
| KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(a) |
| 06/01/2026 | 5.250% | | 78,000 | 81,996 |
| Kinder Morgan Energy Partners LP |
| 05/01/2024 | 4.300% | | 340,000 | 351,706 |
| 03/01/2043 | 5.000% | | 385,000 | 375,009 |
| Kinder Morgan, Inc. |
| 02/15/2046 | 5.050% | | 485,000 | 486,804 |
| Koppers, Inc.(a) |
| 02/15/2025 | 6.000% | | 13,000 | 13,818 |
| L Brands, Inc. |
| 11/01/2035 | 6.875% | | 35,000 | 33,851 |
| Lamb Weston Holdings, Inc.(a) |
| 11/01/2024 | 4.625% | | 17,000 | 17,475 |
| 11/01/2026 | 4.875% | | 29,000 | 30,030 |
| Laredo Petroleum, Inc. |
| 03/15/2023 | 6.250% | | 137,000 | 135,264 |
| Lennar Corp. |
| 04/30/2024 | 4.500% | | 44,000 | 45,478 |
| Level 3 Financing, Inc. |
| 05/01/2025 | 5.375% | | 133,000 | 139,945 |
| Liberty Mutual Group, Inc.(a) |
| 06/15/2023 | 4.250% | | 1,205,000 | 1,284,619 |
| Live Nation Entertainment, Inc.(a) |
| 11/01/2024 | 4.875% | | 24,000 | 24,341 |
| LTF Merger Sub, Inc.(a) |
| 06/15/2023 | 8.500% | | 20,000 | 21,488 |
| Mallinckrodt International Finance SA/CB LLC(a) |
| 04/15/2025 | 5.500% | | 29,000 | 25,280 |
| Match Group, Inc. |
| 06/01/2024 | 6.375% | | 49,000 | 53,445 |
| MEDNAX, Inc.(a) |
| 12/01/2023 | 5.250% | | 30,000 | 30,944 |
| Meritage Homes Corp. |
| 04/01/2022 | 7.000% | | 23,000 | 26,190 |
| Meritage Homes Corp.(a) |
| 06/06/2027 | 5.125% | | 28,000 | 28,039 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| MetLife, Inc. |
| 09/15/2023 | 4.368% | | 75,000 | 82,012 |
| 03/01/2045 | 4.050% | | 645,000 | 649,362 |
| MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. |
| 05/01/2024 | 5.625% | | 19,000 | 20,684 |
| 09/01/2026 | 4.500% | | 20,000 | 20,176 |
| MGM Resorts International |
| 10/01/2020 | 6.750% | | 60,000 | 66,504 |
| 12/15/2021 | 6.625% | | 52,000 | 58,323 |
| Microsemi Corp.(a) |
| 04/15/2023 | 9.125% | | 22,000 | 25,299 |
| Molina Healthcare, Inc.(a) |
| 06/15/2025 | 4.875% | | 26,000 | 26,193 |
| Molson Coors Brewing Co. |
| 05/01/2042 | 5.000% | | 585,000 | 645,195 |
| MPH Acquisition Holdings LLC(a) |
| 06/01/2024 | 7.125% | | 70,000 | 74,628 |
| MSCI, Inc.(a) |
| 11/15/2024 | 5.250% | | 57,000 | 60,548 |
| 08/01/2026 | 4.750% | | 23,000 | 23,634 |
| Navient Corp. |
| 06/15/2022 | 6.500% | | 27,000 | 28,646 |
| 03/25/2024 | 6.125% | | 71,000 | 73,199 |
| Netflix, Inc. |
| 02/15/2025 | 5.875% | | 123,000 | 136,106 |
| Netflix, Inc.(a) |
| 11/15/2026 | 4.375% | | 104,000 | 104,096 |
| NFP Corp.(a),(b) |
| 07/15/2025 | 6.875% | | 25,000 | 25,284 |
| Nielsen Luxembourg SARL(a) |
| 02/01/2025 | 5.000% | | 82,000 | 84,432 |
| NiSource Finance Corp. |
| 05/15/2047 | 4.375% | | 425,000 | 436,968 |
| Noble Energy, Inc. |
| 11/15/2043 | 5.250% | | 150,000 | 155,516 |
| Novelis Corp.(a) |
| 08/15/2024 | 6.250% | | 21,000 | 22,042 |
| 09/30/2026 | 5.875% | | 93,000 | 95,895 |
| Novolex (a) |
| 01/15/2025 | 6.875% | | 15,000 | 15,585 |
| NPF Corp.(a) |
| 07/15/2021 | 9.000% | | 16,000 | 16,788 |
| NRG Energy, Inc. |
| 05/01/2024 | 6.250% | | 30,000 | 30,389 |
| 01/15/2027 | 6.625% | | 62,000 | 62,132 |
| NRG Yield Operating LLC |
| 08/15/2024 | 5.375% | | 115,000 | 120,594 |
| 09/15/2026 | 5.000% | | 31,000 | 31,471 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 21 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Global Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| NuStar Logistics LP |
| 04/28/2027 | 5.625% | | 35,000 | 36,786 |
| OneMain Financial Holdings LLC(a) |
| 12/15/2019 | 6.750% | | 56,000 | 58,784 |
| 12/15/2021 | 7.250% | | 22,000 | 23,176 |
| Oracle Corp. |
| 07/15/2046 | 4.000% | | 590,000 | 596,510 |
| Outfront Media Capital LLC/Corp. |
| 03/15/2025 | 5.875% | | 86,000 | 90,284 |
| Pacific Gas & Electric Co. |
| 02/15/2044 | 4.750% | | 474,000 | 539,544 |
| Parsley Energy LLC/Finance Corp.(a) |
| 06/01/2024 | 6.250% | | 24,000 | 25,131 |
| 01/15/2025 | 5.375% | | 64,000 | 64,433 |
| 08/15/2025 | 5.250% | | 52,000 | 52,027 |
| Pattern Energy Group, Inc.(a) |
| 02/01/2024 | 5.875% | | 43,000 | 45,217 |
| PDC Energy, Inc.(a) |
| 09/15/2024 | 6.125% | | 60,000 | 60,890 |
| Peachtree Corners Funding Trust(a) |
| 02/15/2025 | 3.976% | | 1,100,000 | 1,115,496 |
| Penn National Gaming, Inc.(a) |
| 01/15/2027 | 5.625% | | 12,000 | 12,202 |
| Penske Automotive Group, Inc. |
| 12/01/2024 | 5.375% | | 109,000 | 109,664 |
| PetSmart, Inc.(a) |
| 06/01/2025 | 5.875% | | 20,000 | 19,296 |
| Pinnacle Foods Finance LLC/Corp. |
| 01/15/2024 | 5.875% | | 7,000 | 7,483 |
| Plains All American Pipeline LP/Finance Corp. |
| 02/15/2045 | 4.900% | | 957,000 | 888,645 |
| Platform Specialty Products Corp.(a) |
| 05/01/2021 | 10.375% | | 43,000 | 47,560 |
| Post Holdings, Inc.(a) |
| 03/01/2025 | 5.500% | | 14,000 | 14,448 |
| 08/15/2026 | 5.000% | | 86,000 | 85,741 |
| 03/01/2027 | 5.750% | | 39,000 | 40,198 |
| PPL Capital Funding, Inc. |
| 06/01/2023 | 3.400% | | 1,287,000 | 1,322,846 |
| PQ Corp.(a) |
| 11/15/2022 | 6.750% | | 101,000 | 108,714 |
| Prestige Brands, Inc.(a) |
| 03/01/2024 | 6.375% | | 53,000 | 56,523 |
| Provident Funding Associates LP/Finance Corp.(a) |
| 06/15/2025 | 6.375% | | 25,000 | 25,625 |
| PTC, Inc. |
| 05/15/2024 | 6.000% | | 52,000 | 56,760 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Qualitytech LP/Finance Corp. |
| 08/01/2022 | 5.875% | | 84,000 | 87,766 |
| Quintiles IMS, Inc.(a) |
| 05/15/2023 | 4.875% | | 38,000 | 39,156 |
| 10/15/2026 | 5.000% | | 20,000 | 20,619 |
| Radiate HoldCo LLC/Finance, Inc.(a) |
| 02/15/2025 | 6.625% | | 19,000 | 19,089 |
| Reynolds Group Issuer, Inc./LLC |
| 10/15/2020 | 5.750% | | 120,000 | 122,768 |
| Reynolds Group Issuer, Inc./LLC(a) |
| 07/15/2024 | 7.000% | | 65,000 | 69,601 |
| Rivers Pittsburgh Borrower LP/Finance Corp.(a) |
| 08/15/2021 | 6.125% | | 13,000 | 13,176 |
| RSP Permian, Inc.(a) |
| 01/15/2025 | 5.250% | | 97,000 | 97,157 |
| SBA Communications Corp.(a) |
| 09/01/2024 | 4.875% | | 162,000 | 164,637 |
| Scientific Games International, Inc.(a) |
| 01/01/2022 | 7.000% | | 135,000 | 143,768 |
| Scientific Games International, Inc. |
| 12/01/2022 | 10.000% | | 63,000 | 69,073 |
| Scotts Miracle-Gro Co. (The) |
| 10/15/2023 | 6.000% | | 51,000 | 54,884 |
| 12/15/2026 | 5.250% | | 9,000 | 9,394 |
| Scripps Networks Interactive, Inc. |
| 06/15/2025 | 3.950% | | 1,575,000 | 1,615,415 |
| Sempra Energy |
| 10/01/2022 | 2.875% | | 660,000 | 662,670 |
| 06/15/2024 | 3.550% | | 465,000 | 476,263 |
| 06/15/2027 | 3.250% | | 260,000 | 256,210 |
| Sirius XM Radio, Inc.(a) |
| 07/15/2026 | 5.375% | | 66,000 | 68,487 |
| Sirius XM Radio, Inc.(a),(b) |
| 08/01/2027 | 5.000% | | 51,000 | 51,391 |
| SM Energy Co. |
| 06/01/2025 | 5.625% | | 14,000 | 12,562 |
| 09/15/2026 | 6.750% | | 108,000 | 103,014 |
| Solera LLC/Finance, Inc.(a) |
| 03/01/2024 | 10.500% | | 44,000 | 50,512 |
| Southern Co. (The) |
| 07/01/2046 | 4.400% | | 450,000 | 460,600 |
| Spectrum Brands, Inc. |
| 11/15/2022 | 6.625% | | 54,000 | 56,560 |
| 07/15/2025 | 5.750% | | 228,000 | 244,519 |
| Springleaf Finance Corp. |
| 05/15/2022 | 6.125% | | 54,000 | 56,977 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 22 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Global Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Springs Industries, Inc. |
| 06/01/2021 | 6.250% | | 178,000 | 183,911 |
| Sprint Corp. |
| 06/15/2024 | 7.125% | | 115,000 | 127,840 |
| 02/15/2025 | 7.625% | | 161,000 | 185,208 |
| SPX FLOW, Inc.(a) |
| 08/15/2024 | 5.625% | | 13,000 | 13,494 |
| 08/15/2026 | 5.875% | | 46,000 | 47,674 |
| Sterigenics-Nordion Holdings LLC(a) |
| 05/15/2023 | 6.500% | | 48,000 | 49,411 |
| Surgery Center Holdings, Inc.(a) |
| 07/01/2025 | 6.750% | | 32,000 | 32,417 |
| Symantec Corp.(a) |
| 04/15/2025 | 5.000% | | 39,000 | 40,798 |
| Tallgrass Energy Partners LP/Finance Corp.(a) |
| 09/15/2024 | 5.500% | | 16,000 | 16,235 |
| Targa Resources Partners LP/Finance Corp. |
| 05/01/2023 | 5.250% | | 132,000 | 135,064 |
| 03/15/2024 | 6.750% | | 52,000 | 56,080 |
| Targa Resources Partners LP/Finance Corp.(a) |
| 02/01/2027 | 5.375% | | 64,000 | 66,174 |
| Teachers Insurance & Annuity Association of America(a) |
| Subordinated |
| 09/15/2044 | 4.900% | | 700,000 | 785,565 |
| Team Health Holdings, Inc.(a) |
| 02/01/2025 | 6.375% | | 33,000 | 31,965 |
| Teleflex, Inc. |
| 06/01/2026 | 4.875% | | 11,000 | 11,205 |
| Tempo Acquisition LLC/Finance Corp.(a) |
| 06/01/2025 | 6.750% | | 20,000 | 20,457 |
| Tempur Sealy International, Inc. |
| 10/15/2023 | 5.625% | | 27,000 | 28,013 |
| Tenet Healthcare Corp. |
| 04/01/2022 | 8.125% | | 8,000 | 8,509 |
| 06/15/2023 | 6.750% | | 43,000 | 42,959 |
| Tenet Healthcare Corp.(a) |
| 07/15/2024 | 4.625% | | 22,000 | 21,830 |
| Tesoro Logistics LP/Finance Corp. |
| 10/15/2019 | 5.500% | | 38,000 | 40,046 |
| 10/15/2022 | 6.250% | | 41,000 | 43,629 |
| 05/01/2024 | 6.375% | | 30,000 | 32,436 |
| 01/15/2025 | 5.250% | | 73,000 | 76,847 |
| THC Escrow Corp. III(a) |
| 07/15/2024 | 4.625% | | 28,000 | 28,072 |
| 05/01/2025 | 5.125% | | 133,000 | 133,479 |
| 08/01/2025 | 7.000% | | 23,000 | 22,943 |
| T-Mobile USA, Inc. |
| 01/15/2026 | 6.500% | | 126,000 | 139,035 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Toll Brothers Finance Corp. |
| 11/15/2025 | 4.875% | | 29,000 | 30,148 |
| TransDigm, Inc. |
| 07/15/2022 | 6.000% | | 17,000 | 17,493 |
| 05/15/2025 | 6.500% | | 105,000 | 107,248 |
| 06/15/2026 | 6.375% | | 51,000 | 51,851 |
| United Rentals North America, Inc. |
| 09/15/2026 | 5.875% | | 79,000 | 84,053 |
| 05/15/2027 | 5.500% | | 50,000 | 51,521 |
| United Technologies Corp. |
| 11/01/2046 | 3.750% | | 100,000 | 97,911 |
| Universal Health Services, Inc.(a) |
| 08/01/2022 | 4.750% | | 58,000 | 59,921 |
| Univision Communications, Inc.(a) |
| 02/15/2025 | 5.125% | | 47,000 | 46,550 |
| US Concrete, Inc.(a) |
| 06/01/2024 | 6.375% | | 24,000 | 25,260 |
| Valvoline, Inc.(a) |
| 07/15/2024 | 5.500% | | 7,000 | 7,444 |
| Venator Finance SARL/Materials Corp.(a),(b) |
| 07/15/2025 | 5.750% | | 7,000 | 7,083 |
| VeriSign, Inc. |
| 04/01/2025 | 5.250% | | 84,000 | 89,778 |
| VeriSign, Inc.(a),(b) |
| 07/15/2027 | 4.750% | | 19,000 | 19,201 |
| Verizon Communications, Inc. |
| 11/01/2042 | 3.850% | | 469,000 | 408,591 |
| Virtu Financial(a) |
| 06/15/2022 | 6.750% | | 11,000 | 11,330 |
| Weatherford International Ltd. |
| 06/15/2021 | 7.750% | | 34,000 | 34,128 |
| 06/15/2023 | 8.250% | | 45,000 | 45,084 |
| WellCare Health Plans, Inc. |
| 04/01/2025 | 5.250% | | 58,000 | 60,915 |
| Wells Fargo & Co. |
| 10/23/2026 | 3.000% | | 160,000 | 155,819 |
| WESCO Distribution, Inc. |
| 06/15/2024 | 5.375% | | 18,000 | 18,781 |
| Whiting Petroleum Corp. |
| 03/15/2021 | 5.750% | | 13,000 | 12,251 |
| 04/01/2023 | 6.250% | | 31,000 | 28,523 |
| Williams Companies, Inc. (The) |
| 01/15/2023 | 3.700% | | 40,000 | 39,432 |
| 06/24/2024 | 4.550% | | 139,000 | 142,570 |
| Williams Partners LP |
| 09/15/2045 | 5.100% | | 400,000 | 414,407 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 23 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Global Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| WPX Energy, Inc. |
| 01/15/2022 | 6.000% | | 140,000 | 138,447 |
| Wynn Las Vegas LLC/Capital Corp.(a) |
| 05/15/2027 | 5.250% | | 25,000 | 25,629 |
| Zayo Group LLC/Capital, Inc. |
| 04/01/2023 | 6.000% | | 25,000 | 26,317 |
| 05/15/2025 | 6.375% | | 62,000 | 67,001 |
| Zayo Group LLC/Capital, Inc.(a) |
| 01/15/2027 | 5.750% | | 27,000 | 28,290 |
| Zekelman Industries, Inc.(a) |
| 06/15/2023 | 9.875% | | 20,000 | 22,469 |
| Total | 37,731,021 |
| Virgin Islands 0.0% |
| Platform Specialty Products Corp.(a) |
| 02/01/2022 | 6.500% | | 28,000 | 28,929 |
Total Corporate Bonds & Notes
(Cost $44,796,732) | 46,081,435 |
|
| Foreign Government Obligations(d),(e) 35.7% |
| | | | |
| Argentina 1.0% |
| Argentine Republic Government International Bond |
| 04/22/2021 | 6.875% | | 500,000 | 534,836 |
| 04/22/2026 | 7.500% | | 700,000 | 753,355 |
| 04/22/2046 | 7.625% | | 150,000 | 153,486 |
| Total | 1,441,677 |
| Australia 1.1% |
| Australia Government Bond(a) |
| 04/21/2027 | 4.750% | AUD | 1,819,000 | 1,656,506 |
| Brazil 0.5% |
| Petrobras Global Finance BV |
| 01/27/2021 | 5.375% | | 106,000 | 107,966 |
| 03/17/2024 | 6.250% | | 563,000 | 574,222 |
| Total | 682,188 |
| Canada 0.1% |
| NOVA Chemicals Corp.(a) |
| 06/01/2024 | 4.875% | | 19,000 | 18,902 |
| 05/01/2025 | 5.000% | | 46,000 | 45,712 |
| 06/01/2027 | 5.250% | | 20,000 | 19,919 |
| Total | 84,533 |
| Croatia 0.1% |
| Croatia Government International Bond(a) |
| 01/26/2024 | 6.000% | | 200,000 | 224,020 |
| Foreign Government Obligations(d),(e) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Dominican Republic 0.9% |
| Dominican Republic International Bond(a) |
| 04/20/2027 | 8.625% | | 1,092,000 | 1,297,606 |
| El Salvador 0.2% |
| El Salvador Government International Bond(a) |
| 01/24/2023 | 7.750% | | 252,000 | 255,117 |
| Georgia 0.7% |
| Georgian Railway JSC(a) |
| 07/11/2022 | 7.750% | | 931,000 | 1,022,192 |
| Germany 2.0% |
| Bundesobligation (a),(f) |
| 04/08/2022 | 0.000% | EUR | 1,300,000 | 1,501,026 |
| Bundesrepublik Deutschland(a),(f) |
| 08/15/2026 | 0.000% | EUR | 1,350,000 | 1,487,891 |
| Total | 2,988,917 |
| Guatemala 0.5% |
| Guatemala Government Bond(a) |
| 06/06/2022 | 5.750% | | 728,000 | 794,928 |
| Hungary 1.5% |
| Hungary Government International Bond |
| 03/25/2024 | 5.375% | | 378,000 | 425,333 |
| MFB Hungarian Development Bank(a) |
| 10/21/2020 | 6.250% | | 1,675,000 | 1,855,947 |
| Total | 2,281,280 |
| Indonesia 1.5% |
| Indonesia Government International Bond(a) |
| 05/05/2021 | 4.875% | | 364,000 | 390,960 |
| 01/15/2024 | 5.875% | | 1,324,000 | 1,510,393 |
| 01/17/2038 | 7.750% | | 202,000 | 279,444 |
| Total | 2,180,797 |
| Italy 1.9% |
| Italy Buoni Poliennali Del Tesoro |
| 11/01/2026 | 7.250% | EUR | 191 | 315 |
| Italy Buoni Poliennali Del Tesoro(a) |
| 09/01/2028 | 4.750% | EUR | 2,000,000 | 2,825,681 |
| Total | 2,825,996 |
| Japan 0.4% |
| Japan Government 30-Year Bond |
| 09/20/2046 | 0.500% | JPY | 71,000,000 | 577,329 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 24 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Global Bond Fund, June 30, 2017 (Unaudited)
| Foreign Government Obligations(d),(e) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Kazakhstan 0.1% |
| KazMunayGas National Co. JSC(a) |
| 07/02/2018 | 9.125% | | 199,000 | 210,611 |
| Mexico 1.4% |
| Mexican Bonos |
| 12/05/2024 | 10.000% | MXN | 11,720,000 | 768,333 |
| Mexico Government International Bond |
| 09/27/2034 | 6.750% | | 104,000 | 132,137 |
| Petroleos Mexicanos |
| 01/24/2022 | 4.875% | | 430,000 | 441,918 |
| 09/21/2023 | 4.625% | | 165,000 | 166,689 |
| 01/18/2024 | 4.875% | | 563,000 | 569,631 |
| Total | 2,078,708 |
| Philippines 0.2% |
| Power Sector Assets & Liabilities Management Corp.(a) |
| 05/27/2019 | 7.250% | | 232,000 | 254,825 |
| Romania 0.2% |
| Romanian Government International Bond(a) |
| 01/22/2024 | 4.875% | | 232,000 | 252,859 |
| Russian Federation 16.1% |
| Gazprom OAO Via Gaz Capital SA(a) |
| 03/07/2022 | 6.510% | | 1,274,000 | 1,407,547 |
| Russian Federal Bond - OFZ |
| 04/14/2021 | 7.600% | RUB | 1,317,000,000 | 22,163,028 |
| Russian Foreign Bond - Eurobond(a),(c) |
| 03/31/2030 | 7.500% | | 473,690 | 568,210 |
| Total | 24,138,785 |
| Serbia 0.2% |
| Serbia International Bond(a) |
| 12/03/2018 | 5.875% | | 232,000 | 242,996 |
| South Korea 1.0% |
| Korea Treasury Bond |
| 06/10/2026 | 1.875% | KRW | 1,800,000,000 | 1,532,741 |
| Spain 1.8% |
| Spain Government Bond(a) |
| 10/31/2025 | 2.150% | EUR | 1,196,000 | 1,461,920 |
| 10/31/2044 | 5.150% | EUR | 780,000 | 1,294,804 |
| Total | 2,756,724 |
| Trinidad and Tobago 0.6% |
| Petroleum Co. of Trinidad & Tobago Ltd.(a) |
| 08/14/2019 | 9.750% | | 883,000 | 911,641 |
| Foreign Government Obligations(d),(e) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| United Kingdom 1.5% |
| United Kingdom Gilt(a) |
| 01/22/2045 | 3.500% | GBP | 1,330,000 | 2,323,424 |
| Zambia 0.2% |
| Zambia Government International Bond(a) |
| 04/14/2024 | 8.500% | | 362,000 | 377,747 |
Total Foreign Government Obligations
(Cost $50,821,981) | 53,394,147 |
|
| Residential Mortgage-Backed Securities - Agency 0.1% |
| | | | |
| United States 0.1% |
| Federal Home Loan Mortgage Corp. |
| 09/01/2017 | 6.500% | | 214 | 213 |
| 05/01/2018 | 4.500% | | 5,790 | 5,919 |
| 04/01/2033 | 6.000% | | 99,651 | 113,967 |
| Total | 120,099 |
Total Residential Mortgage-Backed Securities - Agency
(Cost $108,500) | 120,099 |
|
| Residential Mortgage-Backed Securities - Non-Agency 1.9% |
| | | | |
| United States 1.9% |
| Citigroup Mortgage Loan Trust, Inc.(a),(c) |
| CMO Series 2013-2 Class 1A3 |
| 11/25/2037 | 3.139% | | 2,864,711 | 2,826,899 |
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $2,908,881) | 2,826,899 |
|
| Senior Loans 0.1% |
| Borrower | Weighted
Average
Coupon | | Principal
Amount ($) | Value ($) |
| United States 0.1% |
| Ancestry.com Operations, Inc.(c),(g) |
| 2nd Lien Term Loan |
| 10/19/2024 | 9.460% | | 14,443 | 14,744 |
| Chesapeake Energy Corp.(c),(g) |
| Tranche A Term Loan |
| 08/23/2021 | 8.686% | | 46,701 | 49,340 |
| Greeneden US Holdings I LLC(c),(g) |
| Tranche B1 Term Loan |
| 12/01/2023 | 5.296% | | 15,920 | 15,956 |
| Kronos, Inc.(c),(g) |
| 2nd Lien Term Loan |
| 11/01/2024 | 9.420% | | 23,000 | 23,853 |
| Misys Ltd.(c),(g) |
| 2nd Lien Term Loan |
| 06/13/2025 | 8.459% | | 7,593 | 7,723 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 25 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Global Bond Fund, June 30, 2017 (Unaudited)
| Senior Loans (continued) |
| Borrower | Weighted
Average
Coupon | | Principal
Amount ($) | Value ($) |
| Serta Simmons Holdings, LLC(c),(g) |
| 2nd Lien Term Loan |
| 11/08/2024 | 9.179% | | 66,472 | 66,167 |
| UFC Holdings LLC(c),(g) |
| 2nd Lien Term Loan |
| 08/18/2024 | 8.716% | | 4,000 | 4,070 |
| Total | 181,853 |
Total Senior Loans
(Cost $177,310) | 181,853 |
|
| U.S. Treasury Obligations 14.5% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| United States 14.5% |
| U.S. Treasury |
| 09/30/2018 | 0.750% | | 5,376,000 | 5,338,659 |
| 07/31/2021 | 1.125% | | 4,400,000 | 4,289,161 |
| 02/28/2022 | 1.875% | | 9,000,000 | 9,012,088 |
| 02/15/2027 | 2.250% | | 3,000,000 | 2,986,660 |
| Total | 21,626,568 |
Total U.S. Treasury Obligations
(Cost $21,735,771) | 21,626,568 |
| Money Market Funds 5.0% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(h),(i) | 7,527,698 | 7,527,698 |
Total Money Market Funds
(Cost $7,527,460) | 7,527,698 |
Total Investments
(Cost $140,496,442) | 144,130,793 |
| Other Assets & Liabilities, Net | | 5,407,852 |
| Net Assets | $149,538,645 |
At June 30, 2017, securities and/or cash totaling $3,257,713 were pledged as collateral.
Investments in derivatives
| Forward foreign currency exchange contracts open at June 30, 2017 |
| Counterparty | Exchange
date | Currency to
be delivered | Currency to
be received | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Barclays | 8/2/2017 | 4,852,000 MXN | 266,515 USD | 472 | — |
| Barclays | 8/2/2017 | 470,965 USD | 130,000,000 HUF | 10,383 | — |
| Barclays | 8/2/2017 | 672,183 USD | 5,871,000 SEK | 25,888 | — |
| BNP Paribas | 8/2/2017 | 229,597 USD | 319,000 NZD | 4,041 | — |
| Citi | 7/3/2017 | 25,700,000 CNH | 3,750,374 USD | — | (40,103) |
| Citi | 7/3/2017 | 3,780,246 USD | 25,700,000 CNH | 10,231 | — |
| Citi | 8/2/2017 | 187,010 USD | 247,000 AUD | 2,756 | — |
| Citi | 8/2/2017 | 645,687 USD | 4,297,000 DKK | 15,425 | — |
| Citi | 8/2/2017 | 333,683 USD | 1,432,000 MYR | — | (1,271) |
| Citi | 8/2/2017 | 383,247 USD | 13,000,000 THB | — | (556) |
| Credit Suisse | 8/2/2017 | 2,570,000 EUR | 2,873,723 USD | — | (66,231) |
| Credit Suisse | 8/2/2017 | 3,766,851 USD | 5,003,000 CAD | 93,329 | — |
| Credit Suisse | 8/2/2017 | 30,054,554 USD | 26,907,000 EUR | 725,736 | — |
| Credit Suisse | 8/4/2017 | 10,095,000 EUR | 11,346,770 USD | — | (202,714) |
| Credit Suisse | 8/4/2017 | 4,320,000 SEK | 513,357 USD | — | (360) |
| Credit Suisse | 8/4/2017 | 249,451 USD | 218,000 EUR | — | (41) |
| Credit Suisse | 8/4/2017 | 11,484,650 USD | 99,489,000 SEK | 346,180 | — |
| Deutsche Bank | 8/4/2017 | 2,978,000 GBP | 3,796,101 USD | — | (86,645) |
| Deutsche Bank | 8/4/2017 | 105,214 USD | 81,000 GBP | 394 | — |
| HSBC | 8/2/2017 | 1,314,362,960 RUB | 22,520,483 USD | 368,335 | — |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 26 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Global Bond Fund, June 30, 2017 (Unaudited)
Investments in derivatives (continued)
| Forward foreign currency exchange contracts open at June 30, 2017 (continued) |
| Counterparty | Exchange
date | Currency to
be delivered | Currency to
be received | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| HSBC | 8/2/2017 | 25,286,996 USD | 2,795,753,000 JPY | — | (398,350) |
| HSBC | 8/2/2017 | 327,417 USD | 4,250,000 ZAR | — | (4,254) |
| Morgan Stanley | 8/2/2017 | 252,711 USD | 960,000 PLN | 6,313 | — |
| Standard Chartered | 8/2/2017 | 981,731 USD | 955,000 CHF | 16,116 | — |
| Standard Chartered | 8/2/2017 | 5,254,980 USD | 4,116,000 GBP | 111,129 | — |
| Standard Chartered | 8/2/2017 | 291,597 USD | 330,000,000 KRW | — | (3,302) |
| Standard Chartered | 8/2/2017 | 242,247 USD | 2,060,000 NOK | 4,651 | — |
| Standard Chartered | 8/2/2017 | 318,231 USD | 440,000 SGD | 1,514 | — |
| Standard Chartered | 8/4/2017 | 840,888,000 JPY | 7,657,628 USD | 171,100 | — |
| Standard Chartered | 8/4/2017 | 7,699,382 USD | 840,888,000 JPY | — | (212,854) |
| Total | | | | 1,913,993 | (1,016,681) |
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| 90-Day Euro$ | 613 | USD | 150,989,562 | 12/2017 | 251,508 | — |
| Australian 3-Year Bond | 306 | AUD | 26,259,824 | 09/2017 | — | (218,813) |
| Euro-BTP | 17 | EUR | 2,623,952 | 09/2017 | 25,032 | — |
| Euro-Buxl 30-Year | 25 | EUR | 4,669,108 | 09/2017 | — | (132,589) |
| U.S. Treasury 10-Year Note | 348 | USD | 43,684,875 | 09/2017 | — | (371,735) |
| U.S. Treasury 5-Year Note | 94 | USD | 11,076,578 | 09/2017 | — | (25,331) |
| Total | | | 239,303,899 | | 276,540 | (748,468) |
| Short futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| 90-Day Euro$ | (614) | USD | (150,737,000) | 12/2018 | — | (615,286) |
| Euro-Bobl | (10) | EUR | (1,504,211) | 09/2017 | 16,257 | — |
| Euro-Bund | (179) | EUR | (33,093,478) | 09/2017 | 603,725 | — |
| Long Gilt | (26) | GBP | (4,252,264) | 09/2017 | 83,026 | — |
| U.S. Long Bond | (6) | USD | (922,125) | 09/2017 | — | (6,932) |
| U.S. Ultra Bond | (7) | USD | (1,161,125) | 09/2017 | — | (17,641) |
| Total | | | (191,670,203) | | 703,008 | (639,859) |
| Cleared interest rate swaps contracts outstanding at June 30, 2017 |
| Counterparty | Fund receives | Fund pays | Expiration
date | Notional
currency | Notional
amount | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Morgan Stanley | 3-Month STIBOR | Fixed rate of -0.268% | 5/8/2019 | SEK | 164,000,000 | — | (8,379) |
| Morgan Stanley | Fixed rate of 2.420% | 6-Month PLN-WIBOR | 12/5/2021 | PLN | 71,300,000 | 349,408 | — |
| Morgan Stanley | 6-Month HUF-BUBOR | Fixed rate of 1.430% | 1/11/2022 | HUF | 2,380,000,000 | — | (223,717) |
| Morgan Stanley | 6-Month HUF-BUBOR | Fixed rate of 1.409% | 1/31/2022 | HUF | 2,400,000,000 | — | (209,506) |
| Morgan Stanley | Fixed rate of 1.513% | 3-Month CAD Canadian Bankers Acceptances (BA) | 6/23/2026 | CAD | 4,850,000 | — | (159,275) |
| Morgan Stanley | Fixed rate of 2.156% | 3-Month USD LIBOR | 5/22/2027 | USD | 8,282,000 | — | (84,230) |
| Morgan Stanley | Fixed rate of 0.254% | 6-Month JPY LIBOR-BBA | 7/19/2046 | JPY | 551,441,313 | — | (772,789) |
| Total | | | | | | 349,408 | (1,457,896) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 27 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Global Bond Fund, June 30, 2017 (Unaudited)
Credit default swap contracts outstanding at June 30, 2017
| Buy protection |
| Counterparty | Reference
entity | Expiration
date | Pay
fixed
rate
(%) | Notional
currency | Notional
amount | Market
value
($) | Periodic
payments
receivable
(payable)
($) | Premium
paid
($) | Premium
received
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Barclays | Markit CDX Emerging Markets Index, Series 27 | 6/20/2022 | 1.000 | USD | 7,650,000 | 351,188 | (2,337) | 387,861 | — | — | (39,010) |
| Barclays | Republic of South Africa | 6/20/2022 | 1.000 | USD | 1,600,000 | 72,078 | (490) | 82,087 | — | — | (10,499) |
| Total | | | | | | | | 469,948 | — | — | (49,509) |
Cleared credit default swap contracts outstanding at June 30, 2017
| Buy protection |
| Counterparty | Reference
entity | Expiration
date | Pay fixed
rate (%) | Notional
currency | Notional
amount | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Morgan Stanley | Markit CDX North America High Yield Index, Series 28 | 6/20/2022 | 5.000 | USD | 11,100,000 | — | (113,823) |
| Morgan Stanley | Markit CDX North America Investment Grade Index, Series 28 | 6/20/2022 | 1.000 | USD | 46,500,000 | — | (187,973) |
| Morgan Stanley | Markit iTraxx Europe Crossover Index, Series 25 | 6/20/2022 | 5.000 | EUR | 11,700,000 | — | (392,782) |
| Total | | | | | | — | (694,578) |
Credit default swap contracts outstanding at June 30, 2017
| Sell protection |
| Counterparty | Reference
entity | Expiration
date | Receive
fixed
rate
(%) | Implied
credit
spread
(%)* | Notional
currency | Notional
amount | Market
value
($) | Periodic
payments
receivable
(payable)
($) | Premium
paid
($) | Premium
received
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Goldman Sachs International | Markit CMBX North America Index, Series 6 BBB- | 5/11/2063 | 3.000 | 5.716 | USD | 1,750,000 | (204,102) | 875 | — | (210,285) | 7,058 | — |
| * | 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 SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At June 30, 2017, the value of these securities amounted to $57,370,054, which represents 38.36% of net assets. |
| (b) | Represents a security purchased on a when-issued basis. |
| (c) | Variable rate security. |
| (d) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
| (e) | Principal and interest may not be guaranteed by the government. |
| (f) | Zero coupon bond. |
| (g) | Senior loans have interest rates that float periodically based primarily on the London Interbank Offered Rate (“LIBOR”) and other short-term rates. The interest rate shown reflects the weighted average coupon as of June 30, 2017. The interest rate shown for senior loans purchased on a when-issued or delayed delivery basis, if any, reflects an estimated average coupon. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted. |
| (h) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 28 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Global Bond Fund, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| (i) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 12,905,367 | 38,680,815 | (44,058,484) | 7,527,698 | (1,213) | 39,789 | 7,527,698 |
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
| PIK | Payment In Kind |
Currency Legend
| AUD | Australian Dollar |
| CAD | Canada Dollar |
| CHF | Swiss Franc |
| CNH | Yuan Offshore Renminbi |
| DKK | Danish Krone |
| EUR | Euro |
| GBP | British Pound |
| HUF | Hungarian Forint |
| JPY | Japanese Yen |
| KRW | South Korean Won |
| MXN | Mexican Peso |
| MYR | Malaysian Ringgit |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| PLN | Polish Zloty |
| RUB | Russia Ruble |
| SEK | Swedish Krona |
| SGD | Singapore Dollar |
| THB | Thailand Baht |
| USD | US Dollar |
| ZAR | South African Rand |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 29 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Global Bond Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Asset-Backed Securities — Non-Agency | — | 8,256,984 | — | — | 8,256,984 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 4,115,110 | — | — | 4,115,110 |
| Corporate Bonds & Notes | — | 46,081,435 | — | — | 46,081,435 |
| Foreign Government Obligations | — | 53,394,147 | — | — | 53,394,147 |
| Residential Mortgage-Backed Securities - Agency | — | 120,099 | — | — | 120,099 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 2,826,899 | — | — | 2,826,899 |
| Senior Loans | — | 181,853 | — | — | 181,853 |
| U.S. Treasury Obligations | 21,626,568 | — | — | — | 21,626,568 |
| Money Market Funds | — | — | — | 7,527,698 | 7,527,698 |
| Total Investments | 21,626,568 | 114,976,527 | — | 7,527,698 | 144,130,793 |
| Derivatives | | | | | |
| Asset | | | | | |
| Forward Foreign Currency Exchange Contracts | — | 1,913,993 | — | — | 1,913,993 |
| Futures Contracts | 979,548 | — | — | — | 979,548 |
| Swap Contracts | — | 356,466 | — | — | 356,466 |
| Liability | | | | | |
| Forward Foreign Currency Exchange Contracts | — | (1,016,681) | — | — | (1,016,681) |
| Futures Contracts | (1,388,327) | — | — | — | (1,388,327) |
| Swap Contracts | — | (2,201,983) | — | — | (2,201,983) |
| Total | 21,217,789 | 114,028,322 | — | 7,527,698 | 142,773,809 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
Derivative instruments are valued at unrealized appreciation (depreciation).
The accompanying Notes to Financial Statements are an integral part of this statement.
| 30 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Global Bond Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 31 |
Portfolio of Investments
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Asset-Backed Securities — Agency 2.8% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| United States Small Business Administration |
| Series 2011-20K Class 1 |
| 11/01/2031 | 2.870% | | 3,163,356 | 3,215,788 |
| Series 2012-20C Class 1 |
| 03/01/2032 | 2.510% | | 1,473,371 | 1,474,139 |
| Series 2012-20G Class 1 |
| 07/01/2032 | 2.380% | | 1,392,991 | 1,380,008 |
| Series 2012-20I Class 1 |
| 09/01/2032 | 2.200% | | 2,336,733 | 2,307,013 |
| Series 2012-20J Class 1 |
| 10/01/2032 | 2.180% | | 7,559,985 | 7,442,297 |
| Series 2012-20L Class 1 |
| 12/01/2032 | 1.930% | | 1,038,908 | 1,006,815 |
| Series 2013-20E Class 1 |
| 05/01/2033 | 2.070% | | 3,282,996 | 3,195,085 |
| Series 2014-20D Class 1 |
| 04/01/2034 | 3.110% | | 5,309,149 | 5,488,089 |
| Series 2014-20F Class 1 |
| 06/01/2034 | 2.990% | | 5,610,601 | 5,723,561 |
| Series 2014-20I Class 1 |
| 09/01/2034 | 2.920% | | 363,952 | 370,525 |
| Series 2015-20C Class 1 |
| 03/01/2035 | 2.720% | | 1,041,333 | 1,044,101 |
| Series 2015-20E Class 1 |
| 05/01/2035 | 2.770% | | 10,892,605 | 10,933,953 |
| Series 2016-20F Class 1 |
| 06/01/2036 | 2.180% | | 17,633,136 | 17,181,239 |
| Series 2016-20K Class 1 |
| 11/01/2036 | 2.570% | | 11,726,809 | 11,722,110 |
| Series 2016-20L Class 1 |
| 12/01/2036 | 2.810% | | 21,059,517 | 21,180,405 |
| Series 2017-20D Class 1 |
| 04/01/2037 | 2.840% | | 30,205,000 | 30,257,937 |
| Series 2017-20E Class 1 |
| 05/01/2037 | 2.880% | | 1,965,000 | 1,973,037 |
| United States Small Business Administration(a) |
| Series 2017-20F Class 1 |
| 06/01/2037 | 2.810% | | 15,330,000 | 15,093,918 |
Total Asset-Backed Securities — Agency
(Cost $140,995,140) | 140,990,020 |
|
| Asset-Backed Securities — Non-Agency 18.8% |
| | | | |
| Ally Master Owner Trust(b) |
| Series 2014-5 Class A1 |
| 10/15/2019 | 1.649% | | 2,700,000 | 2,702,059 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| AmeriCredit Automobile Receivables Trust(b) |
| Series 2016-2 Class A2B |
| 10/08/2019 | 1.789% | | 1,898,276 | 1,900,271 |
| Apidos CLO XIX(b),(c) |
| Series 2014-19A Class A2 |
| 10/17/2026 | 2.548% | | 18,500,000 | 18,500,981 |
| ARI Fleet Lease Trust(c) |
| Series 2015-A Class A2 |
| 11/15/2018 | 1.110% | | 467,923 | 467,183 |
| Series 2017-A Class A2 |
| 04/15/2026 | 1.910% | | 2,900,000 | 2,897,249 |
| Ascentium Equipment Receivables Trust(c) |
| Series 2017-1A Class A2 |
| 07/10/2019 | 1.870% | | 3,200,000 | 3,199,202 |
| Avery Point VII CLO Ltd.(b),(c) |
| 01/15/2028 | 7.758% | | 2,100,000 | 2,133,711 |
| Birchwood Park CLO Ltd.(b),(c) |
| Series 2014-1A Class AR |
| 07/15/2026 | 2.338% | | 5,500,000 | 5,503,124 |
| BMW Floorplan Master Owner Trust(b),(c) |
| Series 2015-1A Class A |
| 07/15/2020 | 1.659% | | 2,730,000 | 2,738,927 |
| BMW Vehicle Lease Trust |
| Series 2017-1 Class A2 |
| 07/22/2019 | 1.640% | | 11,970,000 | 11,979,972 |
| Cabela’s Credit Card Master Note Trust |
| Series 2015-2 Class A1 |
| 07/17/2023 | 2.250% | | 9,025,000 | 9,076,312 |
| Capital Auto Receivables Asset Trust(b) |
| Series 2016-2 Class A2B |
| 01/22/2019 | 1.802% | | 3,727,113 | 3,729,564 |
| Capital One Multi-Asset Execution Trust |
| Series 2015-A2 Class A2 |
| 03/15/2023 | 2.080% | | 22,585,000 | 22,724,228 |
| Series 2015-A4 Class A4 |
| 05/15/2025 | 2.750% | | 17,315,000 | 17,746,237 |
| Series 2017-A3 Class A3 |
| 01/15/2025 | 2.430% | | 29,345,000 | 29,705,574 |
| Carlyle Global Market Strategies CLO Ltd.(b),(c) |
| Series 2014-1A Class AR |
| 04/17/2025 | 2.180% | | 10,470,000 | 10,491,704 |
| Series 2016-1A Class D |
| 04/20/2027 | 8.756% | | 1,800,000 | 1,838,273 |
| CarMax Auto Owner Trust |
| Series 2016-4 Class A2 |
| 11/15/2019 | 1.210% | | 8,036,776 | 8,025,191 |
| Series 2017-2 Class A2 |
| 06/15/2020 | 1.630% | | 24,610,000 | 24,620,708 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 32 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Chase Issuance Trust |
| Series 2016-A7 Class A7 |
| 09/16/2019 | 1.060% | | 8,750,000 | 8,744,530 |
| Chesapeake Funding II LLC(b),(c) |
| Series 2016-2A Class A2 |
| 06/15/2028 | 2.159% | | 8,613,828 | 8,654,355 |
| Chrysler Capital Auto Receivables Trust(c) |
| Series 2016-BA Class A2 |
| 01/15/2020 | 1.360% | | 2,599,980 | 2,596,605 |
| Conn Funding II LP(c) |
| Series 2017-A Class A |
| 05/15/2020 | 2.730% | | 18,991,134 | 19,016,797 |
| Series 2017-A Class B |
| 05/15/2020 | 5.110% | | 2,500,000 | 2,508,644 |
| Conn’s Receivables Funding LLC(c) |
| Series 2016-B Class A |
| 10/15/2018 | 3.730% | | 930,211 | 931,692 |
| Series 2016-B Class B |
| 03/15/2019 | 7.340% | | 5,000,000 | 5,092,925 |
| Subordinated, Series 2016-A Class B |
| 08/15/2018 | 8.960% | | 631,144 | 634,939 |
| Dell Equipment Finance Trust(c) |
| Series 2016-1 Class A2 |
| 09/24/2018 | 1.430% | | 2,327,160 | 2,326,609 |
| Series 2017-1 Class A2 |
| 06/24/2019 | 1.860% | | 3,680,000 | 3,680,952 |
| Discover Card Execution Note Trust |
| Series 2017-A2 Class A2 |
| 07/15/2024 | 2.390% | | 49,675,000 | 50,130,485 |
| DRB Prime Student Loan Trust(c) |
| Series 2016-B Class A2 |
| 06/25/2040 | 2.890% | | 5,948,763 | 5,952,322 |
| Dryden 33 Senior Loan Fund(b),(c) |
| Series 2014-33A Class AR |
| 10/15/2028 | 2.588% | | 17,825,000 | 17,942,734 |
| Series 2014-33A Class ER |
| 10/15/2028 | 8.698% | | 2,500,000 | 2,555,773 |
| Dryden XXIV Senior Loan Fund(b),(c) |
| Series 2012-24RA Class AR |
| 11/15/2023 | 2.470% | | 6,158,074 | 6,168,401 |
| DT Auto Owner Trust(c) |
| Subordinated, Series 2014-1A Class D |
| 01/15/2021 | 3.980% | | 5,255,983 | 5,290,464 |
| Enterprise Fleet Financing LLC(c) |
| Series 2014-2 Class A2 |
| 03/20/2020 | 1.050% | | 356,021 | 355,720 |
| Series 2015-1 Class A2 |
| 09/20/2020 | 1.300% | | 1,610,021 | 1,608,862 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2015-2 Class A2 |
| 02/22/2021 | 1.590% | | 3,846,255 | 3,846,193 |
| Series 2016-2 Class A2 |
| 02/22/2022 | 1.740% | | 4,676,125 | 4,670,894 |
| Ford Credit Auto Owner Trust(c) |
| Series 2015-1 Class A |
| 07/15/2026 | 2.120% | | 21,316,000 | 21,400,243 |
| Series 2015-2 Class A |
| 01/15/2027 | 2.440% | | 8,925,000 | 9,034,570 |
| Series 2016-1 Class A |
| 08/15/2027 | 2.310% | | 21,178,000 | 21,290,720 |
| Series 2016-2 Class A |
| 12/15/2027 | 2.030% | | 34,250,000 | 34,005,657 |
| Series 2017-1 Class A |
| 08/15/2028 | 2.620% | | 29,500,000 | 29,845,652 |
| Ford Credit Auto Owner Trust |
| Series 2016-A Class A2A |
| 12/15/2018 | 1.120% | | 454,049 | 453,873 |
| Ford Credit Floorplan Master Owner Trust(c) |
| Series 2013-2 Class A |
| 03/15/2022 | 2.090% | | 7,025,000 | 7,051,891 |
| GM Financial Automobile Leasing Trust |
| Series 2015-3 Class A3 |
| 03/20/2019 | 1.690% | | 5,670,000 | 5,674,331 |
| Series 2016-3 Class A2A |
| 02/20/2019 | 1.350% | | 4,465,704 | 4,459,481 |
| GMF Floorplan Owner Revolving Trust(b),(c) |
| Series 2015-1 Class A2 |
| 05/15/2020 | 1.659% | | 13,220,000 | 13,254,245 |
| Series 2016-1 Class A2 |
| 05/17/2021 | 2.009% | | 6,075,000 | 6,125,556 |
| Golden Credit Card Trust(b),(c) |
| Series 2015-3A Class A |
| 07/15/2019 | 1.579% | | 5,640,000 | 5,640,174 |
| Goldentree Loan Opportunities VIII Ltd.(b),(c) |
| Series 2014-8A Class AR |
| 04/19/2026 | 2.368% | | 9,000,000 | 9,000,153 |
| Green Tree Agency Advance Funding Trust I(c) |
| Series 2016-T1 Class AT1 |
| 10/15/2048 | 2.380% | | 6,500,000 | 6,473,084 |
| Harley-Davidson Motorcycle Trust |
| Series 2015-1 Class A3 |
| 06/15/2020 | 1.410% | | 2,459,541 | 2,457,695 |
| Series 2015-2 Class A3 |
| 03/16/2020 | 1.300% | | 16,789,299 | 16,776,716 |
| Hertz Fleet Lease Funding LP(b),(c) |
| Series 2014-1 Class A |
| 04/10/2028 | 1.517% | | 376,721 | 376,741 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 33 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2015-1 Class A |
| 07/10/2029 | 1.687% | | 8,129,041 | 8,138,418 |
| Series 2016-1 Class A1 |
| 04/10/2030 | 2.094% | | 15,898,375 | 15,945,075 |
| Series 2017-1 Class A1 |
| 04/10/2031 | 1.767% | | 7,460,000 | 7,459,998 |
| Hertz Vehicle Financing II LP(c) |
| Series 2015-1A Class A |
| 03/25/2021 | 2.730% | | 14,200,000 | 14,119,477 |
| Series 2015-3A Class A |
| 09/25/2021 | 2.670% | | 4,490,000 | 4,466,034 |
| Subordinated, Series 2015-1A Class B |
| 03/25/2021 | 3.520% | | 1,000,000 | 1,002,102 |
| Hertz Vehicle Financing LLC(c) |
| Series 2016-1A Class A |
| 03/25/2020 | 2.320% | | 4,560,000 | 4,541,482 |
| Series 2016-2A Class A |
| 03/25/2022 | 2.950% | | 16,490,000 | 16,295,182 |
| Series 2016-4A Class A |
| 07/25/2022 | 2.650% | | 5,000,000 | 4,898,349 |
| Honda Auto Receivables Owner Trust |
| Series 2015-2 Class A3 |
| 02/21/2019 | 1.040% | | 2,478,549 | 2,474,979 |
| Hyundai Auto Lease Securitization Trust(c) |
| Series 2016-C Class A2 |
| 03/15/2019 | 1.300% | | 8,120,655 | 8,112,621 |
| Hyundai Floorplan Master Owner Trust(b),(c) |
| Series 2016-1A Class A1 |
| 03/15/2021 | 2.059% | | 2,520,000 | 2,537,010 |
| John Deere Owner Trust |
| Series 2016-A Class A2 |
| 10/15/2018 | 1.150% | | 2,086,852 | 2,085,863 |
| Kubota Credit Owner Trust(c) |
| Series 2016-1A Class A2 |
| 04/15/2019 | 1.250% | | 3,732,434 | 3,727,312 |
| Madison Park Funding XVI Ltd.(b),(c) |
| Series 2014-12A Class AR |
| 07/20/2026 | 2.416% | | 26,500,000 | 26,531,058 |
| Mercedes-Benz Auto Lease Trust |
| Series 2016-B Class A2 |
| 01/15/2019 | 1.150% | | 3,531,732 | 3,528,596 |
| Series 2017-A Class A2A |
| 08/15/2019 | 1.530% | | 21,320,000 | 21,307,583 |
| MMAF Equipment Finance LLC(c) |
| Series 2017-AA Class A2 |
| 05/18/2020 | 1.730% | | 2,780,000 | 2,778,878 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| New Residential Advance Receivables Trust Advance Receivables-Backed Notes(c) |
| Series 2017-T1 Class AT1 |
| 02/15/2051 | 3.214% | | 9,360,000 | 9,413,191 |
| New York City Tax Lien Trust(c) |
| Series 2015-A Class A |
| 11/10/2028 | 1.340% | | 541,671 | 539,117 |
| Series 2016-A Class A |
| 11/10/2029 | 1.470% | | 2,132,705 | 2,119,344 |
| Nissan Auto Lease Trust |
| Series 2016-B Class A2A |
| 12/17/2018 | 1.260% | | 5,455,555 | 5,450,192 |
| Nissan Auto Receivables Owner Trust(b) |
| Series 2015-A Class A1 |
| 01/15/2020 | 1.559% | | 1,875,000 | 1,877,233 |
| Nissan Master Owner Trust Receivables(b) |
| Series 2017-A Class A |
| 04/15/2021 | 1.469% | | 21,325,000 | 21,366,607 |
| Octagon Investment Partners 30 Ltd.(b),(c) |
| Series 2017-1A Class A1 |
| 03/17/2030 | 2.355% | | 7,000,000 | 7,016,072 |
| Octagon Investment Partners 31 LLC(b),(c) |
| Series 2017-1A Class E |
| 07/20/2030 | 0.000% | | 2,500,000 | 2,450,275 |
| Octagon Investment Partners XV Ltd.(b),(c),(d) |
| Series 2013-1A Class DR |
| 07/19/2030 | 5.500% | | 2,000,000 | 2,000,000 |
| Octagon Investment Partners XXVI Ltd.(b),(c) |
| Series 2016-1A Class E |
| 04/15/2027 | 9.008% | | 2,000,000 | 2,028,026 |
| Ocwen Master Advance Receivables Trust(c) |
| Series 2016-T1 Class AT1 |
| 08/17/2048 | 2.521% | | 13,100,000 | 13,079,531 |
| OneMain Direct Auto Receivables Trust(c) |
| Series 2016-1A Class A |
| 01/15/2021 | 2.040% | | 3,276,250 | 3,280,155 |
| OneMain Financial Issuance Trust(c) |
| Series 2015-1A Class A |
| 03/18/2026 | 3.190% | | 8,005,000 | 8,076,861 |
| Series 2015-2A Class A |
| 07/18/2025 | 2.570% | | 16,320,440 | 16,345,264 |
| OZLM Funding Ltd.(b),(c) |
| Series 2012-1A Class DR |
| 07/22/2027 | 7.853% | | 1,000,000 | 999,944 |
| Porsche Innovative Lease Owner Trust(c) |
| Series 2015-1 Class A3 |
| 07/23/2018 | 1.190% | | 3,505,289 | 3,504,065 |
| Sierra Timeshare Receivables Funding LLC(c) |
| Series 2016-2A Class A |
| 07/20/2033 | 2.330% | | 3,649,790 | 3,660,277 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 34 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| SoFi Professional Loan Program(c),(e),(f) |
| Series 2017-A Class R |
| 03/26/2040 | 0.000% | | 50,000 | 2,945,000 |
| SoFi Professional Loan Program LLC(a),(c),(e),(f) |
| Series 2015-D Class RC |
| 10/26/2037 | 0.000% | | 5 | 3,450,000 |
| Series 2016-A Class RIO |
| 01/25/2038 | 0.000% | | 8 | 3,200,000 |
| Series 2016-A Class RPO |
| 01/25/2038 | 0.000% | | 6 | 4,260,000 |
| Series 2016-B Class RC |
| 04/25/2037 | 0.000% | | 2 | 1,170,000 |
| SoFi Professional Loan Program LLC(c) |
| Series 2016-A |
| 12/26/2036 | 2.760% | | 9,161,945 | 9,245,754 |
| Springleaf Funding Trust(c) |
| Series 2016-AA Class A |
| 11/15/2029 | 2.900% | | 15,390,000 | 15,463,727 |
| SPS Servicer Advance Receivables Trust(c) |
| Series 2016-T2 Class AT2 |
| 11/15/2049 | 2.750% | | 13,100,000 | 13,076,426 |
| Symphony CLO V Ltd.(b),(c) |
| Series 2007-5A Class A1 |
| 01/15/2024 | 1.908% | | 5,143,247 | 5,152,032 |
| TAL Advantage V LLC(c) |
| Series 2014-2A Class A1 |
| 05/20/2039 | 1.700% | | 600,671 | 599,411 |
| Toyota Auto Receivables Owner Trust(b) |
| Series 2017-B Class A2B |
| 01/15/2020 | 1.219% | | 7,200,000 | 7,199,998 |
| Volvo Financial Equipment LLC(c) |
| Series 2015-1A Class A3 |
| 06/17/2019 | 1.510% | | 1,632,926 | 1,633,645 |
| Voya Ltd.(b),(c) |
| Series 2012-4A Class A1R |
| 10/15/2028 | 2.608% | | 11,000,000 | 11,029,249 |
| VSE VOI Mortgage LLC(c) |
| Series 2016-A Class A |
| 07/20/2033 | 2.540% | | 8,429,804 | 8,391,041 |
| Wells Fargo Dealer Floorplan Master Note Trust(b) |
| Series 2014-1 Class A |
| 07/20/2019 | 1.592% | | 5,970,000 | 5,970,434 |
| Series 2015-1 Class A |
| 01/20/2020 | 1.712% | | 13,625,000 | 13,649,842 |
| Wheels SPV 2 LLC(c) |
| Series 2015-1A Class A2 |
| 04/22/2024 | 1.270% | | 1,722,152 | 1,720,310 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| World Financial Network Credit Card Master Trust |
| Series 2012-D Class A |
| 04/17/2023 | 2.150% | | 7,245,000 | 7,282,085 |
| Series 2015-B Class A |
| 06/17/2024 | 2.550% | | 16,775,000 | 16,949,215 |
| World Omni Auto Receivables Trust |
| Series 2017-A Class A2A |
| 08/17/2020 | 1.500% | | 22,130,000 | 22,113,241 |
| World Omni Automobile Lease Securitization Trust |
| Series 2015-A Class A3 |
| 10/15/2018 | 1.540% | | 10,572,000 | 10,573,721 |
Total Asset-Backed Securities — Non-Agency
(Cost $939,434,723) | 944,242,450 |
|
| Commercial Mortgage-Backed Securities - Agency 0.8% |
| | | | |
| Federal Home Loan Mortgage Corp. |
| Series K026 Class A2 |
| 11/25/2022 | 2.510% | | 8,850,000 | 8,933,311 |
| Series K027 Class A2 |
| 01/25/2023 | 2.637% | | 7,212,400 | 7,320,621 |
| Series K722 Class A2 |
| 03/25/2023 | 2.406% | | 5,200,000 | 5,230,013 |
| Series K724 Class A1 |
| 03/25/2023 | 2.776% | | 9,401,059 | 9,620,284 |
| Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates |
| Series 20K720 Class A2 |
| 06/25/2022 | 2.716% | | 7,105,000 | 7,271,219 |
Total Commercial Mortgage-Backed Securities - Agency
(Cost $38,231,805) | 38,375,448 |
|
| Commercial Mortgage-Backed Securities - Non-Agency 3.0% |
| | | | |
| American Homes 4 Rent(c) |
| Series 2015-SFR1 Class F |
| 04/17/2052 | 5.885% | | 1,000,000 | 1,022,799 |
| American Homes 4 Rent Trust(c) |
| Series 2014-SFR3 Class A |
| 12/17/2036 | 3.678% | | 2,400,355 | 2,500,749 |
| Series 2015-SFR2 Class A |
| 10/17/2045 | 3.732% | | 6,952,668 | 7,260,099 |
| B2R Mortgage Trust(b),(c) |
| Series 2015-2 Class E |
| 11/15/2048 | 5.657% | | 1,000,000 | 916,044 |
| BHMS Mortgage Trust(b),(c) |
| Series 2014-ATLS Class DFX |
| 07/05/2033 | 4.847% | | 4,000,000 | 4,043,303 |
| CGGS Commercial Mortgage Trust(c) |
| Series 2016-RNDA Class AFX |
| 02/10/2033 | 2.757% | | 6,559,677 | 6,573,878 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 35 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Commercial Mortgage Trust |
| Series 2015-LC19 Class A4 |
| 02/10/2048 | 3.183% | | 710,000 | 718,715 |
| Credit Suisse Mortgage Capital Certificates Trust |
| Series 2016-NXSR Class A4 |
| 12/15/2049 | 3.795% | | 10,400,000 | 10,825,131 |
| DBUBS Mortgage Trust(c) |
| Series 2011-LC2A Class A4 |
| 07/10/2044 | 4.537% | | 17,780,000 | 19,052,275 |
| General Electric Capital Assurance Co.(c) |
| Series 2003-1 Class A5 |
| 05/12/2035 | 5.743% | | 2,195,003 | 2,253,969 |
| Hilton USA Trust(c) |
| Series 2016-HHV Class A |
| 11/05/2038 | 3.719% | | 8,300,000 | 8,570,784 |
| Subordinated, Series 2016-SFP Class E |
| 11/05/2035 | 5.519% | | 2,000,000 | 2,017,096 |
| Hilton USA Trust(b),(c) |
| Series 2016-HHV Class F |
| 11/05/2038 | 4.333% | | 7,000,000 | 5,546,592 |
| Houston Galleria Mall Trust(c) |
| Series 2015-HGLR Class A1A2 |
| 03/05/2037 | 3.087% | | 5,200,000 | 5,186,910 |
| Invitation Homes Trust(b),(c) |
| Subordinated, Series 2014-SFR3 Class F |
| 12/17/2031 | 6.159% | | 490,734 | 493,041 |
| Subordinated, Series 2015-SFR2 Class E |
| 06/17/2032 | 4.309% | | 1,250,000 | 1,263,770 |
| Subordinated, Series 2015-SFR2 Class F |
| 06/17/2032 | 4.859% | | 5,100,000 | 5,136,966 |
| JPMBB Commercial Mortgage Securities Trust |
| Series 2013-C14 Class A4 |
| 08/15/2046 | 4.133% | | 9,060,000 | 9,712,258 |
| JPMCC Re-REMIC Trust(b),(c) |
| Series 2016-GG10 Class AMA |
| 08/15/2045 | 5.979% | | 4,522,935 | 4,548,586 |
| JPMorgan Chase Commercial Mortgage Securities Trust |
| Series 2013-C13 Class A4 |
| 01/15/2046 | 3.994% | | 12,680,000 | 13,511,348 |
| JPMorgan Commercial Mortgage-Backed Securities Trust(c) |
| Series 2009-RR1 Class A4B1 |
| 03/18/2051 | 1.000% | | 707,553 | 704,968 |
| Morgan Stanley Bank of America Merrill Lynch Trust |
| Series 2013-C12 Class A4 |
| 10/15/2046 | 4.259% | | 4,857,967 | 5,251,282 |
| Morgan Stanley Capital I Trust(c) |
| Series 2014-150E Class A |
| 09/09/2032 | 3.912% | | 6,495,000 | 6,862,550 |
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Rialto Capital Management LLC(c) |
| Series 2014-LT5 Class B |
| 05/15/2024 | 5.000% | | 217,788 | 217,609 |
| Rialto Real Estate Fund LLC(c) |
| Subordinated, Series 2015-LT7 Class B |
| 12/25/2032 | 5.071% | | 4,000,000 | 4,000,000 |
| UBS-Barclays Commercial Mortgage Trust |
| Series 2012-C4 Class A5 |
| 12/10/2045 | 2.850% | | 5,350,000 | 5,395,009 |
| Series 2013-C5 Class A4 |
| 03/10/2046 | 3.185% | | 14,266,000 | 14,592,857 |
| Wells Fargo Commercial Mortgage Trust |
| Series 2015-LC20 Class A4 |
| 04/15/2050 | 2.925% | | 3,670,000 | 3,635,047 |
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $151,613,122) | 151,813,635 |
|
| Corporate Bonds & Notes 36.4% |
| | | | |
| Aerospace & Defense 0.5% |
| Bombardier, Inc.(c) |
| 12/01/2021 | 8.750% | | 344,000 | 382,417 |
| Lockheed Martin Corp. |
| 01/15/2026 | 3.550% | | 15,725,000 | 16,290,471 |
| 12/15/2042 | 4.070% | | 4,094,000 | 4,199,846 |
| TransDigm, Inc. |
| 05/15/2025 | 6.500% | | 407,000 | 415,714 |
| 06/15/2026 | 6.375% | | 1,619,000 | 1,645,998 |
| Total | 22,934,446 |
| Automotive 0.4% |
| Gates Global LLC/Co.(c) |
| 07/15/2022 | 6.000% | | 750,000 | 752,236 |
| Schaeffler Finance BV(c) |
| 05/15/2023 | 4.750% | | 15,965,000 | 16,470,372 |
| ZF North America Capital, Inc.(c) |
| 04/29/2025 | 4.750% | | 550,000 | 579,442 |
| Total | 17,802,050 |
| Banking 12.4% |
| Ally Financial, Inc. |
| 09/30/2024 | 5.125% | | 902,000 | 950,298 |
| Bank of America Corp.(b) |
| 12/31/2049 | 8.125% | | 9,500,000 | 9,869,712 |
| Junior Subordinated |
| 12/31/2049 | 8.000% | | 19,296,000 | 19,826,466 |
| Bank of America Corp. |
| Subordinated |
| 01/22/2025 | 4.000% | | 2,685,000 | 2,729,042 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 36 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Bank of New York Mellon Corp. (The) |
| 05/15/2019 | 5.450% | | 5,275,000 | 5,613,207 |
| Bank of New York Mellon Corp. (The)(b) |
| Junior Subordinated |
| 12/29/2049 | 4.500% | | 6,560,000 | 6,531,884 |
| 12/31/2049 | 4.625% | | 2,710,000 | 2,740,170 |
| BankBoston Capital Trust IV(b) |
| Junior Subordinated |
| 06/08/2028 | 1.819% | | 1,275,000 | 1,201,977 |
| Barclays PLC |
| Subordinated |
| 05/12/2026 | 5.200% | | 8,595,000 | 9,036,517 |
| Citigroup, Inc.(b) |
| 08/14/2017 | 1.672% | | 16,060,000 | 16,065,735 |
| Junior Subordinated |
| 12/31/2049 | 5.800% | | 38,610,000 | 40,300,655 |
| Citigroup, Inc. |
| Subordinated |
| 08/25/2036 | 6.125% | | 1,663,000 | 2,034,278 |
| Discover Financial Services |
| 04/27/2022 | 5.200% | | 5,900,000 | 6,400,928 |
| 11/21/2022 | 3.850% | | 9,032,000 | 9,261,404 |
| Fifth Third Bancorp(b) |
| Junior Subordinated |
| 12/31/2049 | 5.100% | | 12,082,000 | 12,293,435 |
| First Maryland Capital I(b) |
| Junior Subordinated |
| 01/15/2027 | 2.158% | | 2,244,000 | 2,125,593 |
| HBOS PLC(c) |
| Subordinated |
| 05/21/2018 | 6.750% | | 15,545,000 | 16,141,897 |
| HSBC Holdings PLC(b) |
| Junior Subordinated |
| 12/31/2049 | 6.000% | | 16,795,000 | 17,390,080 |
| 12/31/2049 | 6.375% | | 8,290,000 | 8,695,704 |
| 12/31/2049 | 6.375% | | 4,145,000 | 4,400,270 |
| Huntington Capital Trust I(b) |
| Junior Subordinated |
| 02/01/2027 | 1.870% | | 1,194,000 | 1,067,055 |
| JPMorgan Chase & Co.(b) |
| 02/01/2028 | 3.782% | | 18,365,000 | 18,784,897 |
| Junior Subordinated |
| 04/29/2049 | 7.900% | | 41,178,000 | 42,807,866 |
| 12/31/2049 | 5.300% | | 10,435,000 | 10,899,232 |
| 12/31/2049 | 6.100% | | 4,268,000 | 4,627,955 |
| JPMorgan Chase Capital XXI(b) |
| Junior Subordinated |
| 02/02/2037 | 2.120% | | 45,809,000 | 42,504,476 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| JPMorgan Chase Capital XXIII(b) |
| Junior Subordinated |
| 05/15/2047 | 2.182% | | 1,776,000 | 1,634,767 |
| KeyCorp (b) |
| Junior Subordinated |
| 12/31/2049 | 5.000% | | 18,827,000 | 19,194,258 |
| KeyCorp Capital I(b) |
| Junior Subordinated |
| 07/01/2028 | 2.039% | | 16,789,000 | 15,583,130 |
| Lloyds Banking Group PLC |
| Subordinated |
| 12/10/2025 | 4.582% | | 54,085,000 | 56,058,345 |
| M&T Bank Corp.(b) |
| Junior Subordinated |
| 12/31/2049 | 5.125% | | 5,803,000 | 6,029,253 |
| MBNA Capital B(b) |
| Junior Subordinated |
| 02/01/2027 | 1.970% | | 1,336,000 | 1,264,392 |
| Mellon Capital IV(b) |
| Junior Subordinated |
| 06/29/2049 | 4.000% | | 462,000 | 410,909 |
| NB Capital Trust III(b) |
| Junior Subordinated |
| 01/15/2027 | 1.708% | | 537,000 | 507,374 |
| NTC Capital I(b) |
| Junior Subordinated |
| 01/15/2027 | 1.678% | | 426,000 | 398,862 |
| NTC Capital II(b) |
| Junior Subordinated |
| 04/15/2027 | 1.748% | | 318,000 | 298,352 |
| PNC Bank NA |
| 06/01/2025 | 3.250% | | 4,870,000 | 4,941,297 |
| Royal Bank of Scotland Group PLC(b) |
| 05/15/2023 | 2.652% | | 56,577,000 | 56,972,190 |
| Santander Issuances SAU |
| Subordinated |
| 11/19/2025 | 5.179% | | 10,750,000 | 11,533,030 |
| Santander UK Group Holdings PLC(c) |
| Subordinated |
| 09/15/2025 | 4.750% | | 12,199,000 | 12,632,662 |
| 09/15/2045 | 5.625% | | 5,571,000 | 6,240,183 |
| State Street Corp.(b) |
| 06/15/2037 | 2.246% | | 13,370,000 | 12,319,024 |
| SunTrust Capital I(b) |
| Junior Subordinated |
| 05/15/2027 | 1.850% | | 8,580,000 | 7,948,212 |
| SunTrust Capital III(b) |
| Junior Subordinated |
| 03/15/2028 | 1.896% | | 6,157,000 | 5,638,033 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 37 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Synchrony Financial |
| 01/15/2019 | 2.600% | | 7,747,000 | 7,786,293 |
| Synovus Financial Corp.(b) |
| Subordinated |
| 12/15/2025 | 5.750% | | 14,860,000 | 15,827,148 |
| U.S. Bancorp |
| Subordinated |
| 04/27/2026 | 3.100% | | 6,900,000 | 6,824,328 |
| Wachovia Capital Trust II(b) |
| Junior Subordinated |
| 01/15/2027 | 1.658% | | 5,361,000 | 5,063,716 |
| Wells Fargo & Co. |
| 10/23/2026 | 3.000% | | 28,005,000 | 27,273,257 |
| Wells Fargo & Co.(b) |
| Junior Subordinated |
| 03/29/2049 | 7.980% | | 20,530,000 | 21,309,504 |
| 12/31/2049 | 5.900% | | 5,796,000 | 6,204,259 |
| Total | 624,193,511 |
| Brokerage/Asset Managers/Exchanges 0.0% |
| NFP Corp.(c),(d) |
| 07/15/2025 | 6.875% | | 242,000 | 244,751 |
| NPF Corp.(c) |
| 07/15/2021 | 9.000% | | 148,000 | 155,287 |
| Virtu Financial(c) |
| 06/15/2022 | 6.750% | | 106,000 | 109,183 |
| Total | 509,221 |
| Building Materials 0.2% |
| Allegion PLC |
| 09/15/2023 | 5.875% | | 1,090,000 | 1,172,049 |
| American Builders & Contractors Supply Co., Inc.(c) |
| 12/15/2023 | 5.750% | | 304,000 | 321,032 |
| Beacon Roofing Supply, Inc. |
| 10/01/2023 | 6.375% | | 689,000 | 741,965 |
| Gibraltar Industries, Inc. |
| 02/01/2021 | 6.250% | | 303,000 | 313,437 |
| HD Supply, Inc.(c) |
| 04/15/2024 | 5.750% | | 470,000 | 501,502 |
| Owens Corning |
| 07/15/2047 | 4.300% | | 7,635,000 | 7,371,745 |
| US Concrete, Inc.(c) |
| 06/01/2024 | 6.375% | | 441,000 | 464,150 |
| Total | 10,885,880 |
| Cable and Satellite 0.7% |
| Altice US Finance I Corp.(c) |
| 05/15/2026 | 5.500% | | 2,018,000 | 2,120,866 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CCO Holdings LLC/Capital Corp.(c) |
| 05/01/2027 | 5.875% | | 1,878,000 | 2,000,855 |
| Charter Communications Operating LLC/Capital |
| 10/23/2045 | 6.484% | | 745,000 | 896,451 |
| CSC Holdings LLC(c) |
| 10/15/2025 | 6.625% | | 1,441,000 | 1,586,025 |
| 10/15/2025 | 10.875% | | 624,000 | 749,863 |
| DISH DBS Corp. |
| 07/01/2026 | 7.750% | | 1,784,000 | 2,110,784 |
| NBCUniversal Enterprise Inc.(c) |
| Junior Subordinated |
| 12/31/2049 | 5.250% | | 4,809,000 | 5,109,033 |
| Radiate HoldCo LLC/Finance, Inc.(c) |
| 02/15/2025 | 6.625% | | 221,000 | 222,035 |
| Sirius XM Radio, Inc.(c) |
| 04/15/2025 | 5.375% | | 734,000 | 760,109 |
| 07/15/2026 | 5.375% | | 36,000 | 37,357 |
| Sirius XM Radio, Inc.(c),(d) |
| 08/01/2027 | 5.000% | | 407,000 | 410,117 |
| Time Warner Cable LLC |
| 05/01/2037 | 6.550% | | 5,300,000 | 6,345,897 |
| Time Warner Entertainment Co. LP |
| 07/15/2033 | 8.375% | | 4,580,000 | 6,335,519 |
| Unitymedia Hessen GmbH & Co. KG NRW(c) |
| 01/15/2025 | 5.000% | | 1,160,000 | 1,215,682 |
| Videotron Ltd./Ltee(c) |
| 04/15/2027 | 5.125% | | 320,000 | 328,740 |
| Virgin Media Finance PLC(c) |
| 01/15/2025 | 5.750% | | 290,000 | 299,995 |
| Virgin Media Secured Finance PLC(c) |
| 01/15/2026 | 5.250% | | 1,164,000 | 1,210,848 |
| 08/15/2026 | 5.500% | | 321,000 | 337,461 |
| Ziggo Secured Finance BV(c) |
| 01/15/2027 | 5.500% | | 1,115,000 | 1,146,042 |
| Total | 33,223,679 |
| Chemicals 0.5% |
| Angus Chemical Co.(c) |
| 02/15/2023 | 8.750% | | 590,000 | 607,763 |
| Atotech USA, Inc.(c) |
| 02/01/2025 | 6.250% | | 755,000 | 776,461 |
| Axalta Coating Systems LLC(c) |
| 08/15/2024 | 4.875% | | 753,000 | 780,116 |
| Celanese U.S. Holdings LLC |
| 06/15/2021 | 5.875% | | 3,531,000 | 3,954,437 |
| 11/15/2022 | 4.625% | | 3,183,000 | 3,428,174 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 38 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Chemours Co. (The) |
| 05/15/2023 | 6.625% | | 704,000 | 745,525 |
| 05/15/2027 | 5.375% | | 120,000 | 123,448 |
| Eco Services Operations LLC/Finance Corp.(c) |
| 11/01/2022 | 8.500% | | 559,000 | 586,940 |
| INEOS Group Holdings SA(c) |
| 08/01/2024 | 5.625% | | 432,000 | 446,323 |
| Koppers, Inc.(c) |
| 02/15/2025 | 6.000% | | 244,000 | 259,347 |
| LyondellBasell Industries NV |
| 02/26/2055 | 4.625% | | 10,505,000 | 10,258,899 |
| PQ Corp.(c) |
| 11/15/2022 | 6.750% | | 830,000 | 893,395 |
| SPCM SA(c) |
| 09/15/2025 | 4.875% | | 246,000 | 250,919 |
| Venator Finance SARL/Materials Corp.(c),(d) |
| 07/15/2025 | 5.750% | | 72,000 | 72,848 |
| Total | 23,184,595 |
| Construction Machinery 0.0% |
| Ritchie Bros. Auctioneers, Inc.(c) |
| 01/15/2025 | 5.375% | | 210,000 | 220,132 |
| United Rentals North America, Inc. |
| 09/15/2026 | 5.875% | | 884,000 | 940,545 |
| 05/15/2027 | 5.500% | | 554,000 | 570,857 |
| Total | 1,731,534 |
| Consumer Cyclical Services 0.0% |
| APX Group, Inc. |
| 12/01/2020 | 8.750% | | 355,000 | 366,202 |
| 12/01/2022 | 7.875% | | 962,000 | 1,044,031 |
| Carlson Travel, Inc.(c) |
| 12/15/2023 | 6.750% | | 144,000 | 146,770 |
| Interval Acquisition Corp. |
| 04/15/2023 | 5.625% | | 510,000 | 528,753 |
| Total | 2,085,756 |
| Consumer Products 0.1% |
| Prestige Brands, Inc.(c) |
| 03/01/2024 | 6.375% | | 935,000 | 997,148 |
| Scotts Miracle-Gro Co. (The) |
| 10/15/2023 | 6.000% | | 692,000 | 744,700 |
| 12/15/2026 | 5.250% | | 128,000 | 133,601 |
| Spectrum Brands, Inc. |
| 07/15/2025 | 5.750% | | 713,000 | 764,658 |
| Springs Industries, Inc. |
| 06/01/2021 | 6.250% | | 582,000 | 601,327 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Tempur Sealy International, Inc. |
| 06/15/2026 | 5.500% | | 453,000 | 460,451 |
| Total | 3,701,885 |
| Diversified Manufacturing 1.5% |
| General Electric Co.(b) |
| Junior Subordinated |
| 12/31/2049 | 5.000% | | 68,018,000 | 72,130,164 |
| SPX FLOW, Inc.(c) |
| 08/15/2024 | 5.625% | | 302,000 | 313,483 |
| Zekelman Industries, Inc.(c) |
| 06/15/2023 | 9.875% | | 387,000 | 434,782 |
| Total | 72,878,429 |
| Electric 3.3% |
| Arizona Public Service Co. |
| 11/15/2045 | 4.350% | | 2,150,000 | 2,317,896 |
| 05/15/2046 | 3.750% | | 224,000 | 219,722 |
| Calpine Corp. |
| 01/15/2025 | 5.750% | | 735,000 | 691,278 |
| Cleveland Electric Illuminating Co. (The) |
| 12/15/2036 | 5.950% | | 2,650,000 | 3,166,935 |
| Consolidated Edison Co. of New York, Inc. |
| 06/15/2046 | 3.850% | | 4,155,000 | 4,151,647 |
| 06/15/2047 | 3.875% | | 9,180,000 | 9,299,450 |
| DTE Energy Co. |
| 10/01/2026 | 2.850% | | 29,452,000 | 28,003,168 |
| Duke Energy Progress LLC |
| 03/30/2044 | 4.375% | | 2,180,000 | 2,359,069 |
| Duke Energy Progress, Inc. |
| 08/15/2045 | 4.200% | | 3,777,000 | 4,008,651 |
| Dynegy, Inc. |
| 11/01/2024 | 7.625% | | 325,000 | 315,250 |
| E.ON International Finance BV(c) |
| 04/30/2038 | 6.650% | | 3,820,000 | 4,819,213 |
| Emera, Inc.(b) |
| Subordinated |
| 06/15/2076 | 6.750% | | 28,460,000 | 32,161,849 |
| Enel Finance International NV(c) |
| 05/25/2022 | 2.875% | | 9,760,000 | 9,781,013 |
| 05/25/2047 | 4.750% | | 5,755,000 | 5,956,154 |
| Exelon Corp. |
| 04/15/2046 | 4.450% | | 3,100,000 | 3,202,322 |
| Jersey Central Power & Light Co. |
| 06/01/2037 | 6.150% | | 1,681,000 | 1,968,991 |
| NextEra Energy Capital Holdings, Inc.(b) |
| Junior Subordinated |
| 09/01/2067 | 7.300% | | 8,540,000 | 8,596,014 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 39 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| NRG Energy, Inc. |
| 05/01/2024 | 6.250% | | 45,000 | 45,583 |
| 05/15/2026 | 7.250% | | 299,000 | 310,194 |
| 01/15/2027 | 6.625% | | 388,000 | 388,824 |
| NRG Yield Operating LLC |
| 08/15/2024 | 5.375% | | 1,182,000 | 1,239,491 |
| 09/15/2026 | 5.000% | | 199,000 | 202,025 |
| Pacific Gas & Electric Co. |
| 06/15/2023 | 3.250% | | 6,396,000 | 6,577,224 |
| 03/01/2026 | 2.950% | | 5,220,000 | 5,177,071 |
| 03/01/2034 | 6.050% | | 1,840,000 | 2,374,268 |
| Pattern Energy Group, Inc.(c) |
| 02/01/2024 | 5.875% | | 811,000 | 852,813 |
| Southern Co. (The) |
| 07/01/2026 | 3.250% | | 13,151,000 | 12,892,846 |
| 07/01/2036 | 4.250% | | 2,260,000 | 2,307,071 |
| Toledo Edison Co. (The) |
| 05/15/2037 | 6.150% | | 4,615,000 | 5,731,461 |
| Xcel Energy, Inc. |
| 06/01/2025 | 3.300% | | 6,610,000 | 6,682,432 |
| Total | 165,799,925 |
| Finance Companies 0.5% |
| Aircastle Ltd. |
| 02/15/2022 | 5.500% | | 9,081,000 | 9,841,833 |
| HSBC Finance Corp. |
| Subordinated |
| 01/15/2021 | 6.676% | | 9,586,000 | 10,814,753 |
| iStar, Inc. |
| 04/01/2022 | 6.000% | | 274,000 | 280,276 |
| Navient Corp. |
| 07/26/2021 | 6.625% | | 123,000 | 132,151 |
| 06/15/2022 | 6.500% | | 784,000 | 831,793 |
| OneMain Financial Holdings LLC(c) |
| 12/15/2021 | 7.250% | | 1,075,000 | 1,132,463 |
| Park Aerospace Holdings Ltd.(c) |
| 08/15/2022 | 5.250% | | 326,000 | 341,251 |
| Provident Funding Associates LP/Finance Corp.(c) |
| 06/15/2025 | 6.375% | | 244,000 | 250,102 |
| Quicken Loans, Inc.(c) |
| 05/01/2025 | 5.750% | | 513,000 | 530,552 |
| Total | 24,155,174 |
| Food and Beverage 0.3% |
| Anheuser-Busch InBev Finance, Inc. |
| 02/01/2046 | 4.900% | | 9,750,000 | 11,003,158 |
| B&G Foods, Inc. |
| 04/01/2025 | 5.250% | | 218,000 | 222,420 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Chobani LLC/Finance Corp., Inc.(c) |
| 04/15/2025 | 7.500% | | 437,000 | 462,356 |
| FAGE International SA/USA Dairy Industry, Inc.(c) |
| 08/15/2026 | 5.625% | | 579,000 | 596,840 |
| Lamb Weston Holdings, Inc.(c) |
| 11/01/2024 | 4.625% | | 296,000 | 304,263 |
| 11/01/2026 | 4.875% | | 493,000 | 510,505 |
| Pinnacle Foods Finance LLC/Corp. |
| 01/15/2024 | 5.875% | | 70,000 | 74,828 |
| Post Holdings, Inc.(c) |
| 08/15/2026 | 5.000% | | 1,519,000 | 1,514,423 |
| Total | 14,688,793 |
| Gaming 0.1% |
| Boyd Gaming Corp. |
| 05/15/2023 | 6.875% | | 292,000 | 312,719 |
| Eldorado Resorts, Inc.(c) |
| 04/01/2025 | 6.000% | | 171,000 | 181,061 |
| GLP Capital LP/Financing II, Inc. |
| 04/15/2026 | 5.375% | | 43,000 | 46,847 |
| International Game Technology PLC(c) |
| 02/15/2022 | 6.250% | | 1,048,000 | 1,145,561 |
| Jack Ohio Finance LLC/1 Corp.(c) |
| 11/15/2021 | 6.750% | | 429,000 | 448,014 |
| MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. |
| 05/01/2024 | 5.625% | | 490,000 | 533,430 |
| 09/01/2026 | 4.500% | | 505,000 | 509,445 |
| MGM Resorts International |
| 03/15/2023 | 6.000% | | 415,000 | 458,892 |
| 09/01/2026 | 4.625% | | 719,000 | 726,255 |
| Penn National Gaming, Inc.(c) |
| 01/15/2027 | 5.625% | | 215,000 | 218,625 |
| Rivers Pittsburgh Borrower LP/Finance Corp.(c) |
| 08/15/2021 | 6.125% | | 310,000 | 314,199 |
| Scientific Games International, Inc.(c) |
| 01/01/2022 | 7.000% | | 1,055,000 | 1,123,519 |
| Scientific Games International, Inc. |
| 12/01/2022 | 10.000% | | 435,000 | 476,931 |
| Tunica-Biloxi Gaming Authority(c),(g) |
| 11/15/2016 | 0.000% | | 177,000 | 65,933 |
| Wynn Las Vegas LLC/Capital Corp.(c) |
| 05/15/2027 | 5.250% | | 239,000 | 245,009 |
| Total | 6,806,440 |
| Health Care 1.1% |
| Acadia Healthcare Co., Inc. |
| 03/01/2024 | 6.500% | | 512,000 | 548,151 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 40 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Amsurg Corp. |
| 07/15/2022 | 5.625% | | 730,000 | 757,783 |
| Becton Dickinson and Co. |
| 06/06/2022 | 2.894% | | 15,290,000 | 15,291,911 |
| Change Healthcare Holdings LLC/Finance, Inc.(c) |
| 03/01/2025 | 5.750% | | 442,000 | 451,610 |
| CHS/Community Health Systems, Inc. |
| 02/01/2022 | 6.875% | | 489,000 | 427,189 |
| 03/31/2023 | 6.250% | | 1,017,000 | 1,051,813 |
| Express Scripts Holding Co. |
| 07/15/2046 | 4.800% | | 12,639,000 | 12,919,169 |
| HCA, Inc. |
| 04/15/2025 | 5.250% | | 2,820,000 | 3,041,415 |
| Hill-Rom Holdings, Inc.(c) |
| 02/15/2025 | 5.000% | | 431,000 | 439,837 |
| MEDNAX, Inc.(c) |
| 12/01/2023 | 5.250% | | 511,000 | 527,087 |
| Memorial Sloan-Kettering Cancer Center |
| 07/01/2052 | 4.125% | | 15,770,000 | 15,986,648 |
| MPH Acquisition Holdings LLC(c) |
| 06/01/2024 | 7.125% | | 829,000 | 883,809 |
| Quintiles IMS, Inc.(c) |
| 10/15/2026 | 5.000% | | 626,000 | 645,375 |
| Sterigenics-Nordion Holdings LLC(c) |
| 05/15/2023 | 6.500% | | 717,000 | 738,075 |
| Surgery Center Holdings, Inc.(c) |
| 07/01/2025 | 6.750% | | 308,000 | 312,017 |
| Team Health Holdings, Inc.(c) |
| 02/01/2025 | 6.375% | | 390,000 | 377,767 |
| Tenet Healthcare Corp. |
| 04/01/2021 | 4.500% | | 339,000 | 345,576 |
| 04/01/2022 | 8.125% | | 463,000 | 492,478 |
| Tenet Healthcare Corp.(c) |
| 01/01/2022 | 7.500% | | 371,000 | 402,150 |
| 07/15/2024 | 4.625% | | 214,000 | 212,345 |
| THC Escrow Corp. III(c) |
| 07/15/2024 | 4.625% | | 268,000 | 268,692 |
| 05/01/2025 | 5.125% | | 397,000 | 398,430 |
| 08/01/2025 | 7.000% | | 266,000 | 265,342 |
| Total | 56,784,669 |
| Healthcare Insurance 0.0% |
| Centene Corp. |
| 02/15/2024 | 6.125% | | 420,000 | 453,648 |
| 01/15/2025 | 4.750% | | 462,000 | 476,230 |
| Molina Healthcare, Inc. |
| 11/15/2022 | 5.375% | | 87,000 | 92,437 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Molina Healthcare, Inc.(c) |
| 06/15/2025 | 4.875% | | 155,000 | 156,152 |
| WellCare Health Plans, Inc. |
| 04/01/2025 | 5.250% | | 521,000 | 547,189 |
| Total | 1,725,656 |
| Home Construction 0.5% |
| CalAtlantic Group, Inc. |
| 11/15/2024 | 5.875% | | 696,000 | 753,320 |
| 06/01/2026 | 5.250% | | 3,000 | 3,113 |
| Lennar Corp. |
| 12/15/2017 | 4.750% | | 3,180,000 | 3,197,003 |
| 04/30/2024 | 4.500% | | 417,000 | 431,006 |
| Meritage Homes Corp. |
| 04/01/2022 | 7.000% | | 659,000 | 750,402 |
| Taylor Morrison Communities, Inc./Holdings II(c) |
| 04/15/2023 | 5.875% | | 621,000 | 660,789 |
| Toll Brothers Finance Corp. |
| 10/15/2017 | 8.910% | | 21,010,000 | 21,379,713 |
| Total | 27,175,346 |
| Independent Energy 0.8% |
| Callon Petroleum Co. |
| 10/01/2024 | 6.125% | | 228,000 | 230,618 |
| Callon Petroleum Co.(c) |
| 10/01/2024 | 6.125% | | 89,000 | 90,226 |
| Canadian Natural Resources Ltd. |
| 01/15/2023 | 2.950% | | 2,300,000 | 2,280,556 |
| 06/01/2027 | 3.850% | | 6,860,000 | 6,805,525 |
| 06/01/2047 | 4.950% | | 5,035,000 | 5,106,995 |
| Carrizo Oil & Gas, Inc. |
| 04/15/2023 | 6.250% | | 487,000 | 467,964 |
| Continental Resources, Inc. |
| 04/15/2023 | 4.500% | | 476,000 | 454,549 |
| 06/01/2024 | 3.800% | | 5,785,000 | 5,301,380 |
| CrownRock LP/Finance, Inc.(c) |
| 02/15/2023 | 7.750% | | 1,046,000 | 1,099,988 |
| Diamondback Energy, Inc.(c) |
| 11/01/2024 | 4.750% | | 215,000 | 213,599 |
| 05/31/2025 | 5.375% | | 1,232,000 | 1,248,658 |
| Extraction Oil & Gas, Inc./Finance Corp.(c) |
| 07/15/2021 | 7.875% | | 1,058,000 | 1,086,404 |
| Halcon Resources Corp.(c) |
| 02/15/2025 | 6.750% | | 185,000 | 166,747 |
| Hess Corp. |
| 03/15/2033 | 7.125% | | 2,195,000 | 2,489,670 |
| 02/15/2041 | 5.600% | | 1,965,000 | 1,927,643 |
| 04/01/2047 | 5.800% | | 3,528,000 | 3,561,745 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 41 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Laredo Petroleum, Inc. |
| 03/15/2023 | 6.250% | | 1,100,000 | 1,086,060 |
| Parsley Energy LLC/Finance Corp.(c) |
| 01/15/2025 | 5.375% | | 376,000 | 378,545 |
| 08/15/2025 | 5.250% | | 1,100,000 | 1,100,571 |
| PDC Energy, Inc.(c) |
| 09/15/2024 | 6.125% | | 681,000 | 691,105 |
| RSP Permian, Inc.(c) |
| 01/15/2025 | 5.250% | | 1,487,000 | 1,489,400 |
| SM Energy Co. |
| 09/15/2026 | 6.750% | | 1,302,000 | 1,241,896 |
| Whiting Petroleum Corp. |
| 04/01/2023 | 6.250% | | 428,000 | 393,795 |
| WPX Energy, Inc. |
| 01/15/2022 | 6.000% | | 1,105,000 | 1,092,741 |
| Total | 40,006,380 |
| Integrated Energy 0.5% |
| Cenovus Energy, Inc.(c) |
| 06/15/2037 | 5.250% | | 1,095,000 | 1,024,171 |
| Cenovus Energy, Inc. |
| 11/15/2039 | 6.750% | | 22,765,000 | 23,892,573 |
| Total | 24,916,744 |
| Leisure 0.0% |
| AMC Entertainment Holdings, Inc.(c) |
| 05/15/2027 | 6.125% | | 168,000 | 177,662 |
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millenium Operations LLC(c) |
| 04/15/2027 | 5.375% | | 323,000 | 341,971 |
| Live Nation Entertainment, Inc.(c) |
| 11/01/2024 | 4.875% | | 227,000 | 230,228 |
| LTF Merger Sub, Inc.(c) |
| 06/15/2023 | 8.500% | | 204,000 | 219,179 |
| Total | 969,040 |
| Life Insurance 1.7% |
| Brighthouse Financial, Inc.(c) |
| 06/22/2027 | 3.700% | | 13,940,000 | 13,771,605 |
| 06/22/2047 | 4.700% | | 13,360,000 | 13,205,291 |
| Five Corners Funding Trust(c) |
| 11/15/2023 | 4.419% | | 5,345,000 | 5,747,831 |
| Genworth Holdings, Inc. |
| 05/22/2018 | 6.515% | | 5,485,000 | 5,503,934 |
| Massachusetts Mutual Life Insurance Co.(c) |
| Subordinated |
| 04/15/2065 | 4.500% | | 2,355,000 | 2,400,193 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| MetLife, Inc.(b),(c) |
| Junior Subordinated |
| 04/08/2068 | 9.250% | | 14,649,000 | 21,841,161 |
| Prudential Financial, Inc. |
| 12/01/2017 | 6.000% | | 145,000 | 147,486 |
| Teachers Insurance & Annuity Association of America(c) |
| Subordinated |
| 09/15/2044 | 4.900% | | 2,435,000 | 2,732,645 |
| 05/15/2047 | 4.270% | | 10,325,000 | 10,570,012 |
| Voya Financial, Inc. |
| 06/15/2026 | 3.650% | | 6,161,000 | 6,170,365 |
| 06/15/2046 | 4.800% | | 3,201,000 | 3,329,815 |
| Total | 85,420,338 |
| Lodging 0.0% |
| Hilton Domestic Operating Co., Inc.(c) |
| 09/01/2024 | 4.250% | | 663,000 | 671,320 |
| Playa Resorts Holding BV(c) |
| 08/15/2020 | 8.000% | | 537,000 | 562,925 |
| Total | 1,234,245 |
| Media and Entertainment 0.3% |
| 21st Century Fox America, Inc. |
| 03/15/2033 | 6.550% | | 3,809,000 | 4,800,338 |
| 03/01/2037 | 6.150% | | 2,815,000 | 3,514,508 |
| AMC Networks, Inc. |
| 04/01/2024 | 5.000% | | 215,000 | 220,245 |
| Match Group, Inc. |
| 06/01/2024 | 6.375% | | 695,000 | 758,039 |
| MDC Partners, Inc.(c) |
| 05/01/2024 | 6.500% | | 919,000 | 915,092 |
| Netflix, Inc.(c) |
| 11/15/2026 | 4.375% | | 2,041,000 | 2,042,886 |
| Nielsen Luxembourg SARL(c) |
| 02/01/2025 | 5.000% | | 761,000 | 783,568 |
| Outfront Media Capital LLC/Corp. |
| 03/15/2025 | 5.875% | | 837,000 | 878,693 |
| Univision Communications, Inc.(c) |
| 02/15/2025 | 5.125% | | 304,000 | 301,090 |
| Viacom, Inc. |
| 03/15/2043 | 4.375% | | 3,705,000 | 3,293,404 |
| Total | 17,507,863 |
| Metals and Mining 0.4% |
| ArcelorMittal (b) |
| 03/01/2041 | 7.250% | | 2,594,000 | 2,862,894 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 42 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| BHP Billiton Finance USA Ltd.(b),(c) |
| Junior Subordinated |
| 10/19/2075 | 6.750% | | 8,735,000 | 9,983,721 |
| Constellium NV(c) |
| 05/15/2024 | 5.750% | | 1,180,000 | 1,089,718 |
| Freeport-McMoRan, Inc. |
| 03/15/2023 | 3.875% | | 604,000 | 564,532 |
| 11/14/2024 | 4.550% | | 800,000 | 755,351 |
| Grinding Media, Inc./MC Canada, Inc.(c) |
| 12/15/2023 | 7.375% | | 479,000 | 518,695 |
| HudBay Minerals, Inc.(c) |
| 01/15/2025 | 7.625% | | 598,000 | 627,842 |
| Novelis Corp.(c) |
| 09/30/2026 | 5.875% | | 1,092,000 | 1,125,986 |
| Teck Resources Ltd. |
| 07/15/2041 | 6.250% | | 1,342,000 | 1,397,924 |
| Total | 18,926,663 |
| Midstream 1.5% |
| Cheniere Corpus Christi Holdings LLC(c) |
| 06/30/2027 | 5.125% | | 350,000 | 359,458 |
| Delek Logistics Partners LP(c) |
| 05/15/2025 | 6.750% | | 297,000 | 299,836 |
| El Paso LLC |
| 01/15/2032 | 7.750% | | 2,945,000 | 3,729,645 |
| Energy Transfer Equity LP |
| 06/01/2027 | 5.500% | | 1,421,000 | 1,471,301 |
| Enterprise Products Operating LLC(b) |
| Junior Subordinated |
| 08/01/2066 | 4.877% | | 16,176,000 | 16,244,311 |
| Kinder Morgan Energy Partners LP |
| 03/15/2032 | 7.750% | | 2,073,000 | 2,588,360 |
| 01/15/2038 | 6.950% | | 715,000 | 856,895 |
| 11/15/2040 | 7.500% | | 2,770,000 | 3,452,052 |
| Kinder Morgan, Inc. |
| 06/01/2045 | 5.550% | | 3,360,000 | 3,561,829 |
| NuStar Logistics LP |
| 04/28/2027 | 5.625% | | 328,000 | 344,733 |
| Plains All American Pipeline LP/Finance Corp. |
| 10/15/2023 | 3.850% | | 4,395,000 | 4,414,742 |
| 12/15/2026 | 4.500% | | 1,885,000 | 1,914,866 |
| 06/01/2042 | 5.150% | | 5,728,000 | 5,495,604 |
| 02/15/2045 | 4.900% | | 680,000 | 631,430 |
| Targa Resources Partners LP/Finance Corp.(c) |
| 02/01/2027 | 5.375% | | 1,460,000 | 1,509,595 |
| Tesoro Logistics LP/Finance Corp. |
| 05/01/2024 | 6.375% | | 632,000 | 683,324 |
| 01/15/2025 | 5.250% | | 798,000 | 840,057 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Transcanada Trust(b) |
| Junior Subordinated |
| 08/15/2076 | 5.875% | | 23,083,000 | 25,031,182 |
| Total | 73,429,220 |
| Natural Gas 0.9% |
| KeySpan Corp. |
| 11/15/2030 | 8.000% | | 2,020,000 | 2,720,039 |
| NiSource Finance Corp. |
| 02/15/2023 | 3.850% | | 4,755,000 | 4,941,762 |
| 05/15/2047 | 4.375% | | 7,310,000 | 7,515,857 |
| Sempra Energy |
| 11/15/2020 | 2.850% | | 10,845,000 | 10,972,299 |
| 11/15/2025 | 3.750% | | 7,365,000 | 7,584,713 |
| 06/15/2027 | 3.250% | | 11,375,000 | 11,209,175 |
| Total | 44,943,845 |
| Oil Field Services 0.6% |
| Noble Holding International Ltd.(b) |
| 03/16/2018 | 5.750% | | 30,455,000 | 30,581,145 |
| Trinidad Drilling Ltd.(c) |
| 02/15/2025 | 6.625% | | 215,000 | 203,399 |
| Weatherford International Ltd. |
| 06/15/2023 | 8.250% | | 715,000 | 716,331 |
| 08/01/2036 | 6.500% | | 65,000 | 55,112 |
| Total | 31,555,987 |
| Other Financial Institutions 0.0% |
| Alpine Finance Merger Sub LLC(c),(d) |
| 08/01/2025 | 6.875% | | 124,000 | 126,536 |
| Other Industry 0.4% |
| Booz Allen Hamilton, Inc.(c) |
| 05/01/2025 | 5.125% | | 53,000 | 51,968 |
| KAR Auction Services, Inc.(c) |
| 06/01/2025 | 5.125% | | 254,000 | 259,070 |
| Massachusetts Institute of Technology |
| 07/01/2114 | 4.678% | | 8,474,000 | 9,233,694 |
| 07/01/2116 | 3.885% | | 3,080,000 | 2,815,986 |
| President and Fellows of Harvard College |
| 07/15/2046 | 3.150% | | 2,959,000 | 2,806,943 |
| 07/15/2056 | 3.300% | | 6,615,000 | 6,304,346 |
| Total | 21,472,007 |
| Other REIT 0.0% |
| CyrusOne LP/Finance Corp.(c) |
| 03/15/2024 | 5.000% | | 276,000 | 284,361 |
| 03/15/2027 | 5.375% | | 276,000 | 287,342 |
| Total | 571,703 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 43 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Packaging 0.1% |
| ARD Finance SA PIK |
| 09/15/2023 | 7.125% | | 355,000 | 379,432 |
| Ardagh Packaging Finance PLC/Holdings USA, Inc.(c) |
| 02/15/2025 | 6.000% | | 1,090,000 | 1,144,904 |
| Berry Plastics Corp. |
| 10/15/2022 | 6.000% | | 708,000 | 754,763 |
| Novolex (c) |
| 01/15/2025 | 6.875% | | 266,000 | 276,381 |
| Reynolds Group Issuer, Inc./LLC(c) |
| 07/15/2024 | 7.000% | | 840,000 | 899,460 |
| Total | 3,454,940 |
| Pharmaceuticals 0.6% |
| Amgen, Inc. |
| 05/01/2045 | 4.400% | | 3,630,000 | 3,735,263 |
| 06/15/2048 | 4.563% | | 7,991,000 | 8,373,985 |
| Eagle Holding Co., II LLC PIK(c) |
| 05/15/2022 | 7.625% | | 81,000 | 83,238 |
| Endo Dac/Finance LLC/Finco, Inc.(b),(c) |
| 02/01/2025 | 6.000% | | 357,000 | 292,878 |
| Jaguar Holding Co. II/Pharmaceutical Product Development LLC(c) |
| 08/01/2023 | 6.375% | | 1,054,000 | 1,110,311 |
| Johnson & Johnson |
| 12/05/2033 | 4.375% | | 4,343,000 | 4,947,411 |
| 03/03/2037 | 3.625% | | 6,115,000 | 6,400,858 |
| Mallinckrodt International Finance SA/CB LLC(c) |
| 04/15/2025 | 5.500% | | 235,000 | 204,857 |
| Valeant Pharmaceuticals International, Inc.(c) |
| 03/15/2022 | 6.500% | | 133,000 | 139,498 |
| 03/15/2024 | 7.000% | | 527,000 | 555,944 |
| 04/15/2025 | 6.125% | | 2,571,000 | 2,179,766 |
| Total | 28,024,009 |
| Property & Casualty 0.7% |
| Chubb Corp. (The)(b) |
| Junior Subordinated |
| 04/15/2037 | 3.408% | | 12,096,000 | 12,055,600 |
| HUB International Ltd.(c) |
| 10/01/2021 | 7.875% | | 1,393,000 | 1,452,314 |
| Liberty Mutual Group, Inc.(c) |
| 05/01/2042 | 6.500% | | 2,447,000 | 3,163,472 |
| Loews Corp. |
| 04/01/2026 | 3.750% | | 15,864,000 | 16,458,630 |
| 05/15/2043 | 4.125% | | 4,474,000 | 4,443,505 |
| Total | 37,573,521 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Railroads 0.6% |
| BNSF Funding Trust I(b) |
| Junior Subordinated |
| 12/15/2055 | 6.613% | | 1,258,000 | 1,441,935 |
| CSX Corp. |
| 06/01/2027 | 3.250% | | 6,440,000 | 6,497,767 |
| 11/01/2066 | 4.250% | | 4,365,000 | 4,333,070 |
| Kansas City Southern |
| 05/15/2023 | 3.000% | | 5,200,000 | 5,211,211 |
| 08/15/2045 | 4.950% | | 9,736,000 | 10,596,545 |
| Total | 28,080,528 |
| Restaurants 0.0% |
| 1011778 BC Unlimited Liability Co./New Red Finance, Inc.(c) |
| 05/15/2024 | 4.250% | | 434,000 | 431,242 |
| KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(c) |
| 06/01/2026 | 5.250% | | 1,467,000 | 1,542,157 |
| Total | 1,973,399 |
| Retail REIT 0.1% |
| Kimco Realty Corp. |
| 03/01/2024 | 2.700% | | 7,029,000 | 6,713,756 |
| Retailers 0.6% |
| CVS Health Corp. |
| 12/01/2022 | 4.750% | | 10,252,000 | 11,226,545 |
| CVS Pass-Through Trust(c) |
| 01/10/2036 | 4.704% | | 3,636,090 | 3,809,499 |
| 08/11/2036 | 4.163% | | 4,519,748 | 4,550,057 |
| Hanesbrands, Inc.(c) |
| 05/15/2026 | 4.875% | | 230,000 | 233,456 |
| L Brands, Inc. |
| 11/01/2035 | 6.875% | | 455,000 | 440,063 |
| Macy’s Retail Holdings, Inc. |
| 02/15/2043 | 4.300% | | 9,487,000 | 7,346,686 |
| Penske Automotive Group, Inc. |
| 12/01/2024 | 5.375% | | 520,000 | 523,165 |
| PetSmart, Inc.(c) |
| 06/01/2025 | 5.875% | | 199,000 | 191,994 |
| Rite Aid Corp. |
| Junior Subordinated |
| 02/15/2027 | 7.700% | | 59,000 | 59,388 |
| Total | 28,380,853 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 44 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Supermarkets 0.1% |
| Kroger Co. (The) |
| 04/15/2042 | 5.000% | | 3,154,000 | 3,219,332 |
| 02/01/2047 | 4.450% | | 2,172,000 | 2,095,715 |
| Total | 5,315,047 |
| Technology 1.7% |
| Apple, Inc. |
| 05/11/2027 | 3.200% | | 7,600,000 | 7,682,452 |
| Broadcom Corp./Cayman Finance Ltd.(c) |
| 01/15/2027 | 3.875% | | 20,780,000 | 21,336,177 |
| Camelot Finance SA(c) |
| 10/15/2024 | 7.875% | | 647,000 | 695,766 |
| CDK Global, Inc.(c) |
| 06/01/2027 | 4.875% | | 168,000 | 172,619 |
| Cisco Systems, Inc.(b) |
| 09/20/2019 | 1.614% | | 12,395,000 | 12,470,114 |
| Dell International LLC/EMC Corp.(c) |
| 06/01/2019 | 3.480% | | 9,070,000 | 9,284,279 |
| 06/15/2023 | 5.450% | | 14,025,000 | 15,260,729 |
| 06/15/2026 | 6.020% | | 1,838,000 | 2,028,753 |
| Equinix, Inc. |
| 01/15/2026 | 5.875% | | 1,425,000 | 1,551,920 |
| 05/15/2027 | 5.375% | | 13,000 | 13,899 |
| First Data Corp.(c) |
| 12/01/2023 | 7.000% | | 2,315,000 | 2,471,033 |
| Gartner, Inc.(c) |
| 04/01/2025 | 5.125% | | 546,000 | 572,997 |
| Informatica LLC(c) |
| 07/15/2023 | 7.125% | | 474,000 | 482,701 |
| Oracle Corp. |
| 07/15/2036 | 3.850% | | 3,415,000 | 3,519,745 |
| 07/15/2046 | 4.000% | | 4,030,000 | 4,074,467 |
| PTC, Inc. |
| 05/15/2024 | 6.000% | | 701,000 | 765,165 |
| Qualitytech LP/Finance Corp. |
| 08/01/2022 | 5.875% | | 945,000 | 987,366 |
| Sensata Technologies UK Financing Co. PLC(c) |
| 02/15/2026 | 6.250% | | 494,000 | 538,442 |
| Solera LLC/Finance, Inc.(c) |
| 03/01/2024 | 10.500% | | 455,000 | 522,344 |
| Symantec Corp.(c) |
| 04/15/2025 | 5.000% | | 689,000 | 720,770 |
| Tempo Acquisition LLC/Finance Corp.(c) |
| 06/01/2025 | 6.750% | | 189,000 | 193,318 |
| VeriSign, Inc. |
| 05/01/2023 | 4.625% | | 735,000 | 751,911 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| VeriSign, Inc.(c),(d) |
| 07/15/2027 | 4.750% | | 457,000 | 461,829 |
| Total | 86,558,796 |
| Transportation Services 0.8% |
| Avis Budget Car Rental LLC/Finance, Inc.(c) |
| 03/15/2025 | 5.250% | | 664,000 | 627,949 |
| ERAC U.S.A. Finance LLC(c) |
| 11/01/2023 | 2.700% | | 3,780,000 | 3,684,831 |
| 12/01/2026 | 3.300% | | 8,985,000 | 8,657,371 |
| 11/01/2046 | 4.200% | | 2,711,000 | 2,559,504 |
| ERAC USA Finance LLC(c) |
| 03/15/2042 | 5.625% | | 4,395,000 | 4,966,680 |
| Ford Motor Co. |
| 02/01/2029 | 6.375% | | 4,200,000 | 4,790,301 |
| Hertz Corp. (The)(c) |
| 06/01/2022 | 7.625% | | 13,176,000 | 13,144,812 |
| 10/15/2024 | 5.500% | | 479,000 | 392,754 |
| Total | 38,824,202 |
| Wireless 0.7% |
| American Tower Corp. |
| 07/15/2027 | 3.550% | | 11,555,000 | 11,452,334 |
| SBA Communications Corp.(c) |
| 09/01/2024 | 4.875% | | 1,532,000 | 1,556,941 |
| SFR Group SA(c) |
| 05/01/2026 | 7.375% | | 1,468,000 | 1,592,050 |
| Sprint Communications, Inc.(c) |
| 03/01/2020 | 7.000% | | 553,000 | 607,013 |
| Sprint Corp. |
| 06/15/2024 | 7.125% | | 713,000 | 792,605 |
| 02/15/2025 | 7.625% | | 1,691,000 | 1,945,259 |
| Sprint Spectrum Co. I/II/III LLC(c) |
| 09/20/2021 | 3.360% | | 16,032,000 | 16,174,460 |
| T-Mobile USA, Inc. |
| 01/15/2026 | 6.500% | | 1,452,000 | 1,602,211 |
| Total | 35,722,873 |
| Wirelines 1.2% |
| AT&T, Inc. |
| 03/01/2024 | 3.800% | | 4,265,000 | 4,359,739 |
| 03/01/2037 | 5.250% | | 8,091,000 | 8,614,350 |
| 03/15/2042 | 5.150% | | 5,362,000 | 5,519,321 |
| 06/15/2044 | 4.800% | | 2,935,000 | 2,904,646 |
| 03/01/2047 | 5.450% | | 5,050,000 | 5,437,780 |
| CenturyLink, Inc. |
| 12/01/2023 | 6.750% | | 720,000 | 775,444 |
| 04/01/2025 | 5.625% | | 405,000 | 405,082 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 45 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Deutsche Telekom International Finance BV |
| 06/01/2032 | 9.250% | | 1,850,000 | 2,912,455 |
| Frontier Communications Corp. |
| 09/15/2025 | 11.000% | | 1,576,000 | 1,456,741 |
| Level 3 Financing, Inc. |
| 05/01/2025 | 5.375% | | 880,000 | 925,951 |
| Telecom Italia SpA(c) |
| 05/30/2024 | 5.303% | | 514,000 | 553,849 |
| Zayo Group LLC/Capital, Inc. |
| 04/01/2023 | 6.000% | | 915,000 | 963,214 |
| 05/15/2025 | 6.375% | | 3,374,000 | 3,646,150 |
| Zayo Group LLC/Capital, Inc.(c) |
| 01/15/2027 | 5.750% | | 18,692,000 | 19,584,711 |
| Total | 58,059,433 |
Total Corporate Bonds & Notes
(Cost $1,790,826,313) | 1,830,028,917 |
|
| Foreign Government Obligations(h) 0.8% |
| | | | |
| Canada 0.0% |
| NOVA Chemicals Corp.(c) |
| 06/01/2024 | 4.875% | | 312,000 | 310,383 |
| 06/01/2027 | 5.250% | | 323,000 | 321,692 |
| Total | 632,075 |
| Chile 0.1% |
| Chile Government International Bond |
| 10/30/2022 | 2.250% | | 4,825,000 | 4,768,026 |
| Colombia 0.1% |
| Colombia Government International Bond |
| 01/18/2041 | 6.125% | | 3,418,000 | 3,940,390 |
| France 0.1% |
| Electricite de France SA(c) |
| 10/13/2055 | 5.250% | | 4,943,000 | 5,361,109 |
| Mexico 0.3% |
| Mexico Government International Bond |
| 03/15/2022 | 3.625% | | 6,528,000 | 6,773,113 |
| 03/08/2044 | 4.750% | | 3,481,000 | 3,485,153 |
| Petroleos Mexicanos(c) |
| 03/13/2027 | 6.500% | | 3,916,000 | 4,206,411 |
| Total | 14,464,677 |
| Panama 0.0% |
| Panama Government International Bond |
| 01/26/2036 | 6.700% | | 2,370,000 | 3,049,007 |
| Foreign Government Obligations(h) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Peru 0.1% |
| Peruvian Government International Bond |
| 03/14/2037 | 6.550% | | 2,360,000 | 3,102,307 |
| Philippines 0.0% |
| Philippine Government International Bond |
| 10/23/2034 | 6.375% | | 925,000 | 1,241,154 |
| Qatar 0.1% |
| Nakilat, Inc.(c) |
| 12/31/2033 | 6.067% | | 3,926,000 | 4,408,549 |
| Ras Laffan Liquefied Natural Gas Co., Ltd. II(c) |
| 09/30/2020 | 5.298% | | 1,224,925 | 1,271,903 |
| Total | 5,680,452 |
Total Foreign Government Obligations
(Cost $40,494,495) | 42,239,197 |
|
| Municipal Bonds 1.5% |
| Issue Description | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Higher Education 0.1% |
| University of Texas System (The) |
| Revenue Bonds |
| Series 2017J |
| 08/15/2025 | 5.000% | | 2,415,000 | 2,974,725 |
| Series 2017J |
| 08/15/2026 | 5.000% | | 2,165,000 | 2,694,364 |
| Total | 5,669,089 |
| Local General Obligation 0.4% |
| City of Chicago |
| Unlimited General Obligation Bonds |
Taxable Project
Series 2011-C1 |
| 01/01/2035 | 7.781% | | 1,815,000 | 1,898,853 |
| Unlimited General Obligation Refunding Bonds |
Taxable
Series 2014B |
| 01/01/2044 | 6.314% | | 4,395,000 | 4,105,326 |
| Unlimited General Obligation Taxable Bonds |
| Series 2015B |
| 01/01/2033 | 7.375% | | 1,325,000 | 1,382,001 |
| City of New York |
| Unlimited General Obligation Bonds |
| Series 2016B-1 |
| 12/01/2041 | 5.000% | | 2,620,000 | 3,058,850 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 46 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Municipal Bonds (continued) |
| Issue Description | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Los Angeles Unified School District |
| Unlimited General Obligation Bonds |
Taxable Build America Bonds
Series 2009 |
| 07/01/2034 | 5.750% | | 6,880,000 | 8,695,219 |
| Total | 19,140,249 |
| Sales Tax 0.2% |
| Central Puget Sound Regional Transit Authority |
| Revenue Bonds |
Green Bonds
Series 2016S-1 |
| 11/01/2046 | 5.000% | | 3,890,000 | 5,100,296 |
| Puerto Rico Sales Tax Financing Corp.(g),(i) |
| Revenue Bonds |
| 1st Senior Series 2009C |
| 08/01/2057 | 5.750% | | 1,570,000 | 940,038 |
| Subordinated Revenue Bonds |
| 1st Series 2009A-1 |
| 08/01/2043 | 5.250% | | 4,470,000 | 1,156,612 |
| 1st Series 2009B |
| 08/01/2044 | 6.500% | | 685,000 | 180,669 |
| 1st Series 2010C |
| 08/01/2041 | 5.250% | | 2,240,000 | 579,600 |
| Total | 7,957,215 |
| Special Non Property Tax 0.2% |
| JobsOhio Beverage System |
| Taxable Revenue Bonds |
| Series 2013B |
| 01/01/2035 | 4.532% | | 7,830,000 | 8,632,497 |
| State General Obligation 0.6% |
| State of Texas |
| Unlimited General Obligation Refunding Bonds |
Transportation Commission Mobility Fund
Series 2017 |
| 10/01/2033 | 5.000% | | 7,520,000 | 9,052,275 |
Transportation Commission Mobility Fund
Series 2017 |
| 10/01/2034 | 5.000% | | 17,485,000 | 20,943,708 |
| Total | 29,995,983 |
| Water & Sewer 0.0% |
| City of Chicago Waterworks |
| Revenue Bonds |
Build America Bonds
Series 2010 |
| 11/01/2040 | 6.742% | | 1,510,000 | 1,923,800 |
Total Municipal Bonds
(Cost $73,469,503) | 73,318,833 |
|
| Preferred Debt 0.3% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Banking 0.3% |
| M&T Bank Corp.(b) |
| 12/31/2049 | 6.375% | | 5,904 | 6,358,815 |
| 12/31/2049 | 6.375% | | 800 | 864,300 |
| State Street Corp.(b) |
| 12/31/2049 | 5.350% | | 158,605 | 4,350,535 |
| 12/31/2049 | 5.900% | | 115,325 | 3,241,786 |
| Total | 14,815,436 |
| Property & Casualty 0.0% |
| Allstate Corp. (The)(b) |
| 01/15/2053 | 5.100% | | 50,363 | 1,410,164 |
Total Preferred Debt
(Cost $15,387,234) | 16,225,600 |
| Preferred Stocks 0.1% |
| Issuer | Coupon
Rate | Shares | Value ($) |
| Financials 0.1% |
| Banks 0.1% |
| Bank of America Corp. | 6.204% | 107,000 | 2,749,900 |
| Total Financials | 2,749,900 |
Total Preferred Stocks
(Cost $2,753,110) | 2,749,900 |
| Residential Mortgage-Backed Securities - Agency 29.9% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal Home Loan Mortgage Corp. |
| 08/01/2024 | 8.000% | | 16,306 | 17,924 |
| 01/01/2025 | 9.000% | | 5,108 | 5,650 |
09/01/2028-
07/01/2037 | 6.000% | | 6,080,948 | 7,009,266 |
04/01/2030-
04/01/2032 | 7.000% | | 178,592 | 201,904 |
| 06/01/2033 | 5.500% | | 183,777 | 206,858 |
08/01/2045-
01/01/2046 | 3.500% | | 84,830,668 | 87,793,101 |
10/01/2045-
04/01/2046 | 4.000% | | 61,621,304 | 64,945,302 |
| Federal Home Loan Mortgage Corp.(b),(j) |
| CMO Series 311 Class S1 |
| 08/15/2043 | 4.791% | | 9,388,196 | 1,943,372 |
| CMO Series 326 Class S2 |
| 03/15/2044 | 4.791% | | 18,194,009 | 3,646,152 |
| CMO Series 4097 Class ST |
| 08/15/2042 | 4.891% | | 4,068,011 | 767,240 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 47 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 4620 Class AS |
| 11/15/2042 | 1.694% | | 5,997,007 | 281,209 |
| CMO STRIPS Series 309 Class S4 |
| 08/15/2043 | 4.811% | | 3,668,355 | 762,995 |
| CMO STRIPS Series 312 Class S1 |
| 09/15/2043 | 4.791% | | 3,683,976 | 783,648 |
| Federal Home Loan Mortgage Corp.(j) |
| CMO Series 4120 Class IA |
| 10/15/2042 | 3.500% | | 9,800,886 | 1,992,245 |
| CMO Series 4176 Class BI |
| 03/15/2043 | 3.500% | | 4,003,623 | 721,771 |
| CMO Series 4182 Class DI |
| 05/15/2039 | 3.500% | | 13,277,324 | 1,655,871 |
| Federal National Mortgage Association |
11/01/2021-
04/01/2022 | 8.000% | | 5,326 | 5,671 |
| 04/01/2023 | 8.500% | | 2,026 | 2,044 |
| 06/01/2024 | 9.000% | | 9,718 | 10,394 |
02/01/2027-
12/01/2043 | 3.000% | | 64,900,845 | 66,234,362 |
02/01/2027-
09/01/2031 | 7.500% | | 55,311 | 61,039 |
10/01/2028-
08/01/2035 | 6.000% | | 4,770,595 | 5,452,660 |
05/01/2029-
07/01/2038 | 7.000% | | 6,964,010 | 8,243,760 |
| 01/01/2031 | 2.500% | | 14,180,433 | 14,280,249 |
03/01/2033-
08/01/2034 | 5.500% | | 2,465,244 | 2,785,396 |
10/01/2040-
06/01/2044 | 4.500% | | 22,940,542 | 24,809,906 |
| 05/01/2041 | 5.000% | | 2,463,604 | 2,695,370 |
05/01/2043-
11/01/2046 | 3.500% | | 158,039,702 | 162,959,220 |
08/01/2046-
06/01/2047 | 4.000% | | 38,637,659 | 40,635,785 |
| Federal National Mortgage Association(d) |
| 07/18/2032 | 2.500% | | 41,500,000 | 41,715,605 |
07/18/2032-
07/13/2047 | 3.000% | | 198,440,000 | 199,583,954 |
07/18/2032-
07/13/2047 | 3.500% | | 289,000,000 | 296,930,504 |
| 07/13/2047 | 4.000% | | 285,050,000 | 299,647,667 |
| Federal National Mortgage Association(k) |
| 08/01/2040 | 4.500% | | 6,021,534 | 6,513,204 |
| Federal National Mortgage Association(l) |
| 04/01/2047 | 4.500% | | 64,407,104 | 69,113,492 |
| Federal National Mortgage Association(j) |
| CMO Series 2012-131 Class MI |
| 01/25/2040 | 3.500% | | 8,077,406 | 1,154,000 |
| CMO Series 2012-148 Class BI |
| 01/25/2043 | 3.500% | | 11,259,281 | 2,295,752 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal National Mortgage Association(b),(j) |
| CMO Series 2013-101 Class CS |
| 10/25/2043 | 4.876% | | 5,698,455 | 1,258,908 |
| CMO Series 2013-107 Class SB |
| 02/25/2043 | 4.734% | | 9,616,679 | 2,152,014 |
| CMO Series 2014-93 Class ES |
| 01/25/2045 | 4.934% | | 6,961,306 | 1,383,168 |
| CMO Series 2016-31 Class VS |
| 06/25/2046 | 4.784% | | 5,335,558 | 1,055,036 |
| CMO Series 2016-37 Class SA |
| 06/25/2046 | 4.634% | | 10,926,021 | 2,303,132 |
| CMO Series 2016-45 Class AS |
| 07/25/2046 | 4.784% | | 9,230,314 | 2,195,817 |
| CMO Series 2017-8 Class SB |
| 02/25/2047 | 4.884% | | 10,208,669 | 1,828,307 |
| CMO Series 416 Class S1 |
| 11/25/2042 | 4.884% | | 5,535,498 | 1,100,367 |
| Government National Mortgage Association(d) |
| 07/20/2047 | 3.500% | | 61,000,000 | 63,182,653 |
| 07/20/2047 | 4.000% | | 7,000,000 | 7,365,859 |
| Government National Mortgage Association(j) |
| CMO Series 2012-38 Class MI |
| 03/20/2042 | 4.000% | | 12,424,572 | 2,260,335 |
| CMO Series 2014-184 Class CI |
| 11/16/2041 | 3.500% | | 7,011,941 | 1,058,637 |
Total Residential Mortgage-Backed Securities - Agency
(Cost $1,507,992,980) | 1,505,008,775 |
|
| Residential Mortgage-Backed Securities - Non-Agency 5.4% |
| | | | |
| Ajax Mortgage Loan Trust(c) |
| CMO Series 2016-C Class A |
| 10/25/2057 | 4.000% | | 2,201,461 | 2,199,211 |
| CMO Series 2017-A Class A |
| 04/25/2057 | 3.470% | | 9,673,139 | 9,659,179 |
| Angel Oak Mortgage Trust LLC(c) |
| Series 2015-1 |
| 11/25/2045 | 4.500% | | 621,405 | 622,216 |
| 11/25/2045 | 5.500% | | 2,035,000 | 2,030,119 |
| ASG Resecuritization Trust(b),(c) |
| CMO Series 2009-2 Class G70 |
| 05/24/2036 | 3.269% | | 2,581,733 | 2,577,307 |
| CMO Series 2009-2 Class G75 |
| 05/24/2036 | 3.269% | | 3,628,000 | 3,610,127 |
| Bayview Opportunity Master Fund IIA Trust(c) |
| Series 2016-RPL3 Class A1 |
| 07/28/2031 | 3.475% | | 1,204,779 | 1,199,488 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 48 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Bayview Opportunity Master Fund IIIa Trust(c) |
| CMO Series 2016-RN3 Class A1 |
| 09/29/2031 | 3.598% | | 10,794,958 | 10,801,992 |
| Bayview Opportunity Master Fund IIIb Trust(c) |
| CMO Series 2017-RN3 Class A1 |
| 05/28/2032 | 3.228% | | 10,888,867 | 10,893,183 |
| Bayview Opportunity Master Fund IIIB Trust(c) |
| CMO Series 2016-RPL4 Class A1 |
| 07/28/2018 | 3.475% | | 5,206,425 | 5,205,825 |
| Bayview Opportunity Master Fund IVA Trust(c) |
| Subordinated, CMO Series 2016-SPL1 Class B3 |
| 04/28/2055 | 5.500% | | 1,978,200 | 1,988,078 |
| Bayview Opportunity Master Fund IVb Trust(c) |
| CMO Series 2017-NPL1 Class A1 |
| 01/28/2032 | 3.598% | | 5,593,536 | 5,581,905 |
| Bayview Opportunity Master Fund IVb Trust(b),(c) |
| CMO Series 2017-RN1 Class A1 |
| 02/28/2032 | 3.598% | | 8,955,507 | 9,062,230 |
| Bayview Opportunity Master Fund Trust(c) |
| CMO Series 2016-LT1 Class A1 |
| 10/28/2031 | 3.475% | | 91,560 | 91,519 |
| BCAP LLC Trust(b),(c) |
| CMO Series 2012-RR10 Class 9A1 |
| 10/26/2035 | 3.191% | | 314,022 | 316,032 |
| CMO Series 2014-RR3 Class 3A1 |
| 07/26/2036 | 1.129% | | 379,284 | 373,176 |
| Series 2010-RR11 Class 8A1 |
| 05/27/2037 | 3.506% | | 2,598,302 | 2,598,189 |
| Series 2011-RR5 Class 11A4 |
| 05/28/2036 | 1.174% | | 3,834,902 | 3,699,257 |
| BCAP LLC Trust(c) |
| CMO Series 2013-RR2 Class 7A1 |
| 07/26/2036 | 3.000% | | 689,259 | 689,259 |
| CMO Series 2013-RR5 Class 1A1 |
| 10/26/2036 | 3.500% | | 917,401 | 916,420 |
| CMO Series 2013-RR5 Class 3A1 |
| 09/26/2036 | 3.500% | | 1,159,915 | 1,157,673 |
| Bellemeade Re II Ltd.(b),(c) |
| CMO Series 2016-1A Class M2A |
| 04/25/2026 | 5.716% | | 2,205,179 | 2,214,937 |
| CAM Mortgage Trust(c) |
| CMO Series 2016-1 Class A |
| 01/15/2056 | 4.000% | | 1,305,194 | 1,305,460 |
| Citigroup Mortgage Loan Trust, Inc.(b),(c) |
| CMO Series 2012-7 Class 12A1 |
| 03/25/2036 | 3.107% | | 189,433 | 189,061 |
| CMO Series 2012-9 Class 1A1 |
| 02/20/2036 | 3.179% | | 323,084 | 322,595 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2013-2 Class 1A1 |
| 11/25/2037 | 3.139% | | 1,250,940 | 1,255,010 |
| CMO Series 2014-11 Class 3A3 |
| 09/25/2036 | 1.184% | | 1,800,000 | 1,728,389 |
| CMO Series 2014-12 Class 3A1 |
| 10/25/2035 | 3.551% | | 7,434,419 | 7,545,851 |
| CMO Series 2014-2 Class 3A3 |
| 08/25/2037 | 1.164% | | 410,540 | 406,432 |
| CMO Series 2014-C Class A |
| 02/25/2054 | 3.250% | | 951,966 | 951,812 |
| CMO Series 2015-A Class A4 |
| 06/25/2058 | 4.250% | | 5,084,590 | 5,249,030 |
| CMO Series 2015-A Class B3 |
| 06/25/2058 | 4.500% | | 953,780 | 901,566 |
| Series 2013-11 Class 3A3 |
| 09/25/2034 | 3.083% | | 781,064 | 764,281 |
| Citigroup Mortgage Loan Trust, Inc.(c),(j) |
| CMO Series 2015-A Class A1IO |
| 06/25/2058 | 1.000% | | 14,777,347 | 368,906 |
| Citigroup Mortgage Loan Trust, Inc.(c) |
| CMO Series 2015-RP2 Class A |
| 01/25/2053 | 4.250% | | 11,750,607 | 12,138,322 |
| CMO Series 2015-RP2 Class B3 |
| 01/25/2053 | 4.250% | | 3,946,988 | 3,713,690 |
| COLT LLC(b),(c) |
| CMO Series 15-1 Class A2 |
| 12/26/2045 | 4.966% | | 519,857 | 533,104 |
| COLT Mortgage Loan Trust(c) |
| CMO Series 2016-1 Class A2 |
| 05/25/2046 | 3.500% | | 1,594,404 | 1,602,933 |
| Countrywide Home Equity Loan Trust |
| CMO Series 2007-S2 Class A3 (NPFGC) |
| 05/25/2037 | 5.813% | | 353,494 | 353,131 |
| CMO Series 2007-S2 Class A6 (NPFGC) |
| 05/25/2037 | 5.779% | | 277,100 | 282,185 |
| Credit Suisse Mortgage Capital Certificates(b),(c) |
| CMO Series 2009-14R Class 4A9 |
| 10/26/2035 | 3.191% | | 12,807,000 | 12,871,605 |
| CMO Series 2011-12R Class 3A1 |
| 07/27/2036 | 2.783% | | 4,110,826 | 4,105,029 |
| CMO Series 2014-CIM1 Class A2 |
| 01/25/2058 | 4.727% | | 3,000,000 | 2,957,957 |
| CMO Series 2014-RPL4 Class A1 |
| 08/25/2062 | 3.625% | | 7,964,984 | 8,128,330 |
| CMO Series 2014-RPL4 Class A2 |
| 08/25/2062 | 4.844% | | 2,750,000 | 2,734,430 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 49 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2012-11 Class 3A2 |
| 06/29/2047 | 2.226% | | 495,002 | 455,677 |
| Credit Suisse Mortgage Capital Certificates(c) |
| CMO Series 2010-9R Class 1A5 |
| 08/27/2037 | 4.000% | | 3,000,000 | 2,965,478 |
| Credit Suisse Securities (USA) LLC(b),(c) |
| CMO Series 2014-RPL1 Class A1 |
| 02/25/2054 | 6.250% | | 5,205,568 | 5,173,646 |
| Credit Suisse Securities (USA) LLC(c) |
| CMO Series 2014-RPL1 Class A3 |
| 02/25/2054 | 5.145% | | 750,000 | 749,925 |
| CSMC Trust(b),(c) |
| CMO Series 2015-RPL1 Class A2 |
| 02/25/2057 | 4.712% | | 1,500,000 | 1,504,686 |
| Deephaven Residential Mortgage Trust(c) |
| Series 2016-1A Class A2 |
| 07/25/2046 | 5.500% | | 1,746,695 | 1,755,378 |
| GCAT LLC(c) |
| CMO Series 20 17-2 Class A1 |
| 04/25/2047 | 3.500% | | 12,096,344 | 12,123,285 |
| CMO Series 2017-3 Class A1 |
| 04/25/2047 | 3.352% | | 13,780,029 | 13,795,769 |
| JPMorgan Resecuritization Trust(b),(c) |
| CMO Series 2014-1 Class 1016 |
| 03/26/2036 | 3.116% | | 3,630,000 | 3,602,776 |
| JPMorgan Resecuritization Trust(c) |
| CMO Series 2014-5 Class 6A |
| 09/27/2036 | 4.000% | | 1,402,597 | 1,413,904 |
| Legacy Mortgage Asset Trust(c) |
| CMO Series 2017-GS1 Class A1 |
| 01/25/2057 | 3.500% | | 12,898,022 | 12,865,523 |
| CMO Series 2017-GS1 Class A2 |
| 01/25/2057 | 3.500% | | 3,000,000 | 2,874,286 |
| Morgan Stanley Re-Remic Trust(b),(c) |
| CMO Series 2010-R1 Class 2B |
| 07/26/2035 | 3.408% | | 3,495,567 | 3,494,925 |
| CMO Series 2013-R3 Class 10A |
| 10/26/2035 | 3.191% | | 956,059 | 953,951 |
| Morgan Stanley Resecuritization Trust(b),(c) |
| CMO Series 2013-R9 Class 2A |
| 06/26/2046 | 3.215% | | 1,543,646 | 1,541,494 |
| CMO Series 2013-R9 Class 4A |
| 06/26/2046 | 3.206% | | 774,474 | 771,798 |
| New Residential Mortgage Loan Trust(c) |
| CMO Series 2015-1A Class A3 |
| 05/28/2052 | 3.750% | | 4,782,712 | 4,911,044 |
| Nomura Asset Acceptance Corp. Alternative Loan Trust(b) |
| CMO Series 2007-1 Class 1A3 (AGM) |
| 03/25/2047 | 5.957% | | 143,806 | 142,966 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2007-1 Class 1A4 (AGM) |
| 03/25/2047 | 6.138% | | 909,991 | 904,569 |
| Nomura Resecuritization Trust(b),(c) |
| CMO Series 2014-6R Class 3A1 |
| 01/26/2036 | 1.284% | | 2,610,685 | 2,523,224 |
| NRPL Trust(b),(c) |
| Series 2014-1A Class A1 |
| 04/25/2054 | 3.250% | | 2,781,186 | 2,903,632 |
| NRZ Excess Spread-Collateralized Notes(c) |
| CMO Series 2016-PLS2 Class A |
| 07/25/2021 | 5.683% | | 1,652,819 | 1,654,885 |
| Oaktown Re Ltd.(b),(c) |
| 04/25/2027 | 3.466% | | 16,191,649 | 16,191,649 |
| PennyMac Mortgage Investment Trust(b),(c) |
| Series 2017-GT1 Class A |
| 02/25/2050 | 5.966% | | 3,000,000 | 2,998,518 |
| RBSSP Resecuritization Trust(b),(c) |
| CMO Series 2010-1 Class 3A2 |
| 08/26/2035 | 3.083% | | 2,989,473 | 2,914,109 |
| SGR Residential Mortgage Trust(c) |
| CMO Series 2016-1 Class A1 |
| 11/25/2046 | 3.750% | | 1,434,826 | 1,425,129 |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates(b) |
| CMO Series 2004-21XS Class 2A6A |
| 12/25/2034 | 5.240% | | 2,499 | 2,533 |
| Sunset Mortgage Loan Co., LLC(c) |
| CMO Series 2017-NPL1 Class A |
| 06/16/2047 | 3.500% | | 1,595,000 | 1,598,735 |
| Towd Point Mortgage Trust(b),(c) |
| CMO Series 2015-3 Class A4B |
| 03/25/2054 | 3.500% | | 12,712,023 | 12,835,121 |
| VML LLC(c) |
| CMO Series 2014-NPL1 Class A1 |
| 04/27/2054 | 3.875% | | 340,029 | 340,153 |
| WaMu Mortgage Pass-Through Certificates(b) |
| CMO Series 2003-AR8 Class A |
| 08/25/2033 | 2.701% | | 3,843,705 | 3,918,175 |
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $267,982,025) | 269,203,374 |
|
| Senior Loans 0.1% |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Consumer Products 0.0% |
| Serta Simmons Holdings, LLC(b),(m) |
| 2nd Lien Term Loan |
| 11/08/2024 | 9.179% | | 745,716 | 742,301 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 50 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Diversified Manufacturing 0.0% |
| Accudyne Industries Borrower SCA/LLC(b),(m) |
| Term Loan |
| 12/13/2019 | 4.226% | | 610,000 | 604,565 |
| Independent Energy 0.0% |
| Chesapeake Energy Corp.(b),(m) |
| Tranche A Term Loan |
| 08/23/2021 | 8.686% | | 413,476 | 436,837 |
| Oil Field Services 0.0% |
| EagleClaw Midstream Ventures(b),(l),(m) |
| Term Loan |
| 06/06/2024 | 0.000% | | 297,034 | 293,321 |
| Technology 0.1% |
| Ancestry.com Operations, Inc.(b),(m) |
| 2nd Lien Term Loan |
| 10/19/2024 | 9.460% | | 245,026 | 250,130 |
| Ascend Learning LLC(b),(l),(m) |
| Tranche B Term Loan |
| 06/28/2024 | 4.545% | | 60,000 | 60,000 |
| Hyland Software, Inc.(b),(l),(m) |
| Tranche 3 Term Loan |
| 07/01/2022 | 0.000% | | 75,445 | 75,860 |
| Information Resources, Inc.(b),(m) |
| 2nd Lien Term Loan |
| 01/20/2025 | 9.466% | | 880,000 | 875,600 |
| Kronos, Inc.(b),(m) |
| 2nd Lien Term Loan |
| 11/01/2024 | 9.420% | | 386,000 | 400,313 |
| Misys Ltd.(b),(m) |
| 1st Lien Term Loan |
| 06/13/2024 | 4.736% | | 194,878 | 194,806 |
| 2nd Lien Term Loan |
| 06/13/2025 | 8.459% | | 73,553 | 74,813 |
| Total | 1,931,522 |
Total Senior Loans
(Cost $3,916,911) | 4,008,546 |
|
| U.S. Government & Agency Obligations 0.9% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Residual Funding Corp.(f) |
| STRIPS |
| 01/15/2030 | 0.000% | | 32,628,000 | 22,403,560 |
| 04/15/2030 | 0.000% | | 34,501,000 | 23,417,588 |
Total U.S. Government & Agency Obligations
(Cost $45,889,752) | 45,821,148 |
|
| U.S. Treasury Obligations 17.6% |
| | | | |
| U.S. Treasury |
| 07/15/2017 | 0.875% | | 114,665,000 | 114,665,000 |
| 08/31/2017 | 0.625% | | 107,640,000 | 107,571,282 |
| 05/31/2019 | 1.250% | | 66,227,000 | 66,075,163 |
| 06/15/2020 | 1.500% | | 108,522,000 | 108,383,978 |
| 05/31/2024 | 2.000% | | 93,852,000 | 93,089,851 |
| 05/15/2027 | 2.375% | | 59,637,000 | 60,021,556 |
| 02/15/2047 | 3.000% | | 87,867,100 | 90,665,715 |
| U.S. Treasury(k) |
| 05/31/2022 | 1.750% | | 178,584,200 | 177,540,024 |
| U.S. Treasury(f),(k) |
| STRIPS |
| 05/15/2043 | 0.000% | | 88,863,000 | 41,991,239 |
| U.S. Treasury(f) |
| STRIPS |
| 02/15/2045 | 0.000% | | 57,300,000 | 25,567,886 |
Total U.S. Treasury Obligations
(Cost $881,143,610) | 885,571,694 |
| Options Purchased Calls 0.0% |
| Issuer | Notional ($)/Contracts | Exercise
Price/Rate | Expiration
Date | Value ($) |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA |
| | 40,000,000 | 2.40 | 05/15/2018 | 921,848 |
| 10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay 3-Month USD LIBOR BBA |
| | 100,000,000 | 2.00 | 09/07/2017 | 174,600 |
Total Options Purchased Calls
(Cost $1,702,000) | 1,096,448 |
|
| Options Purchased Puts 0.0% |
| | | | |
| 5-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate |
| | 95,000,000 | 2.30 | 05/01/2018 | 787,826 |
Total Options Purchased Puts
(Cost $1,073,500) | 787,826 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 51 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Money Market Funds 0.7% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(n),(o) | 36,208,898 | 36,208,898 |
Total Money Market Funds
(Cost $36,205,277) | 36,208,898 |
Total Investments
(Cost: $5,939,111,500) | 5,987,690,709 |
| Other Assets & Liabilities, Net | | (958,912,291) |
| Net Assets | 5,028,778,418 |
At June 30, 2017, securities and/or cash totaling $121,144,915 were pledged as collateral.
Investments in derivatives
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| U.S. Treasury 10-Year Note | 127 | USD | 15,942,469 | 09/2017 | — | (254) |
| U.S. Treasury 10-Year Note | 174 | USD | 21,842,438 | 09/2017 | — | (38,714) |
| U.S. Treasury 5-Year Note | 439 | USD | 51,729,977 | 09/2017 | — | (94,096) |
| U.S. Treasury Ultra 10-Year Note | 216 | USD | 29,119,500 | 09/2017 | 2,943 | — |
| U.S. Treasury Ultra 10-Year Note | 39 | USD | 5,257,688 | 09/2017 | — | (7,310) |
| Total | | | 123,892,072 | | 2,943 | (140,374) |
| Short futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| U.S. Long Bond | (98) | USD | (15,061,375) | 09/2017 | 220,299 | — |
| U.S. Long Bond | (61) | USD | (9,374,937) | 09/2017 | 118,084 | — |
| U.S. Long Bond | (324) | USD | (49,794,750) | 09/2017 | — | (541,696) |
| U.S. Treasury 2-Year Note | (921) | USD | (199,036,735) | 09/2017 | 136,171 | — |
| U.S. Ultra Bond | (10) | USD | (1,658,750) | 09/2017 | 1,854 | — |
| U.S. Ultra Bond | (336) | USD | (55,734,000) | 09/2017 | — | (1,142,631) |
| Total | | | (330,660,547) | | 476,408 | (1,684,327) |
Credit default swap contracts outstanding at June 30, 2017
| Buy protection |
| Counterparty | Reference
entity | Expiration
date | Pay
fixed
rate
(%) | Notional
currency | Notional
amount | Market
value
($) | Periodic
payments
receivable
(payable)
($) | Premium
paid
($) | Premium
received
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Barclays | American International Group, Inc. | 6/20/2022 | 1.000 | USD | 13,430,000 | (291,121) | (4,104) | — | (61,954) | — | (233,271) |
| Barclays | Electricite de France SA | 6/20/2022 | 1.000 | USD | 13,375,000 | (292,282) | (4,087) | — | — | — | (296,369) |
| Barclays | Home Depot, Inc. | 6/20/2022 | 1.000 | USD | 37,330,000 | (1,355,907) | (11,406) | — | (1,168,005) | — | (199,308) |
| Barclays | International Business Machines Corp. | 6/20/2022 | 1.000 | USD | 5,330,000 | (164,981) | (1,628) | — | (143,680) | — | (22,929) |
| Barclays | McDonald’s Corp. | 6/20/2022 | 1.000 | USD | 4,330,000 | (155,180) | (1,323) | — | (134,401) | — | (22,102) |
| Barclays | PulteGroup, Inc. | 6/20/2022 | 5.000 | USD | 5,375,000 | (968,769) | (8,212) | — | (915,305) | — | (61,676) |
| Citi | Carnival Corp. | 6/20/2022 | 1.000 | USD | 5,345,000 | (186,679) | (1,633) | — | (156,420) | — | (31,892) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 52 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Buy protection (continued) |
| Counterparty | Reference
entity | Expiration
date | Pay
fixed
rate
(%) | Notional
currency | Notional
amount | Market
value
($) | Periodic
payments
receivable
(payable)
($) | Premium
paid
($) | Premium
received
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Citi | Eastman Chemical Co. | 12/20/2021 | 1.000 | USD | 10,510,000 | (288,787) | (3,211) | — | (88,423) | — | (203,575) |
| Citi | Energy Transfer Partners LP | 12/20/2021 | 1.000 | USD | 2,600,000 | (11,366) | (795) | 91,716 | — | — | (103,877) |
| Citi | Energy Transfer Partners LP | 12/20/2021 | 1.000 | USD | 5,200,000 | (22,732) | (1,588) | 169,197 | — | — | (193,517) |
| Citi | Goldman Sachs Group, Inc. | 6/20/2022 | 1.000 | USD | 14,085,000 | (234,201) | (4,304) | — | (97,645) | — | (140,860) |
| Citi | International Business Machines Corp. | 6/20/2022 | 1.000 | USD | 15,995,000 | (495,098) | (4,887) | — | (427,333) | — | (72,652) |
| Citi | Lowe’s Companies, Inc. | 6/20/2022 | 1.000 | USD | 16,015,000 | (574,042) | (4,893) | — | (530,422) | — | (48,513) |
| Citi | Markit CDX Emerging Markets Index, Series 26 | 12/20/2021 | 1.000 | USD | 36,460,000 | 1,278,612 | (11,141) | 2,028,326 | — | — | (760,855) |
| Citi | Markit CDX Emerging Markets Index, Series 26 | 12/20/2021 | 1.000 | USD | 52,050,000 | 1,825,336 | (15,904) | 2,883,690 | — | — | (1,074,258) |
| Citi | Time Warner, Inc. | 6/20/2022 | 1.000 | USD | 15,384,000 | (476,430) | (4,700) | — | (452,944) | — | (28,186) |
| Credit Suisse | Carnival Corp. | 6/20/2022 | 1.000 | USD | 16,025,000 | (559,687) | (4,897) | — | (461,423) | — | (103,161) |
| Credit Suisse | Lowe’s Companies, Inc. | 6/20/2022 | 1.000 | USD | 10,680,000 | (382,814) | (3,264) | — | (369,532) | — | (16,546) |
| Goldman Sachs International | Eastman Chemical Co. | 12/20/2021 | 1.000 | USD | 5,245,000 | (144,118) | (1,603) | — | (33,045) | — | (112,676) |
| Goldman Sachs International | Eastman Chemical Co. | 12/20/2021 | 1.000 | USD | 7,865,000 | (216,109) | (2,403) | — | (49,595) | — | (168,917) |
| Goldman Sachs International | Energy Transfer Partners LP | 12/20/2021 | 1.000 | USD | 2,600,000 | (11,366) | (794) | 84,680 | — | — | (96,840) |
| Goldman Sachs International | Energy Transfer Partners LP | 12/20/2021 | 1.000 | USD | 7,800,000 | (34,097) | (2,383) | 222,979 | — | — | (259,459) |
| Goldman Sachs International | General Mills, Inc. | 6/20/2022 | 1.000 | USD | 7,580,000 | (230,389) | — | — | (230,389) | — | — |
| Goldman Sachs International | General Motors Co. | 6/20/2022 | 5.000 | USD | 13,335,000 | (2,296,176) | (20,373) | — | (2,225,806) | — | (90,743) |
| Goldman Sachs International | Home Depot, Inc. | 6/20/2022 | 1.000 | USD | 26,665,000 | (968,531) | (8,147) | — | (834,117) | — | (142,561) |
| Goldman Sachs International | Lincoln National Corp. | 12/20/2021 | 1.000 | USD | 2,625,000 | (46,196) | (801) | 8,734 | — | — | (55,731) |
| Goldman Sachs International | Lincoln National Corp. | 12/20/2021 | 1.000 | USD | 7,870,000 | (138,500) | (2,404) | 6,565 | — | — | (147,469) |
| Goldman Sachs International | McDonald’s Corp. | 6/20/2022 | 1.000 | USD | 18,690,000 | (669,817) | (5,711) | — | (571,090) | — | (104,438) |
| Goldman Sachs International | PulteGroup, Inc. | 6/20/2022 | 5.000 | USD | 10,685,000 | (1,925,824) | (16,324) | — | (1,775,056) | — | (167,092) |
| Goldman Sachs International | Walt Disney Co. (The) | 6/20/2022 | 1.000 | USD | 13,330,000 | (471,289) | (4,073) | — | (416,980) | — | (58,382) |
| JPMorgan | Eastman Chemical Co. | 6/20/2022 | 1.000 | USD | 13,380,000 | (375,063) | (4,088) | — | (257,360) | — | (121,791) |
| JPMorgan | Energy Transfer Partners LP | 12/20/2021 | 1.000 | USD | 2,600,000 | (11,366) | (794) | 99,810 | — | — | (111,970) |
| JPMorgan | International Business Machines Corp. | 6/20/2022 | 1.000 | USD | 10,665,000 | (330,117) | (3,259) | — | (284,934) | — | (48,442) |
| JPMorgan | Markit CDX Emerging Markets Index, Series 26 | 12/20/2021 | 1.000 | USD | 15,615,000 | 547,601 | (4,771) | 867,777 | — | — | (324,947) |
| JPMorgan | Markit CDX Emerging Markets Index, Series 26 | 12/20/2021 | 1.000 | USD | 52,390,000 | 1,837,260 | (16,008) | 3,976,531 | — | — | (2,155,279) |
| JPMorgan | McDonald’s Corp. | 6/20/2022 | 1.000 | USD | 15,965,000 | (572,158) | (4,878) | — | (497,754) | — | (79,282) |
| JPMorgan | Morgan Stanley | 6/20/2022 | 1.000 | USD | 13,010,000 | (241,357) | (3,975) | — | (114,449) | — | (130,883) |
| JPMorgan | PulteGroup, Inc. | 6/20/2022 | 5.000 | USD | 5,375,000 | (968,769) | (8,212) | — | (929,874) | — | (47,107) |
| JPMorgan | PulteGroup, Inc. | 6/20/2022 | 5.000 | USD | 10,750,000 | (1,937,539) | (16,424) | — | (1,825,063) | — | (128,900) |
| JPMorgan | Textron, Inc. | 6/20/2022 | 1.000 | USD | 10,680,000 | (90,498) | (3,264) | — | (123,892) | 30,130 | — |
| JPMorgan | Time Warner, Inc. | 6/20/2022 | 1.000 | USD | 10,256,000 | (317,620) | — | — | (296,747) | — | (20,873) |
| JPMorgan | Toll Brothers, Inc. | 6/20/2022 | 1.000 | USD | 30,705,000 | 14,537 | (9,383) | 417,111 | — | — | (411,957) |
| JPMorgan | Valero Energy Corp. | 6/20/2022 | 1.000 | USD | 12,320,000 | (155,342) | (3,764) | — | (120,787) | — | (38,319) |
| JPMorgan | Valero Energy Corp. | 6/20/2022 | 1.000 | USD | 23,990,000 | (302,488) | (7,331) | 152,687 | — | — | (462,506) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 53 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Buy protection (continued) |
| Counterparty | Reference
entity | Expiration
date | Pay
fixed
rate
(%) | Notional
currency | Notional
amount | Market
value
($) | Periodic
payments
receivable
(payable)
($) | Premium
paid
($) | Premium
received
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| JPMorgan | Weyerhaeuser Co. | 6/20/2022 | 1.000 | USD | 6,915,000 | (193,157) | — | — | (196,718) | 3,561 | — |
| JPMorgan | Weyerhaeuser Co. | 6/20/2022 | 1.000 | USD | 5,375,000 | (150,140) | (1,642) | — | (152,968) | 1,186 | — |
| JPMorgan | Weyerhaeuser Co. | 6/20/2022 | 1.000 | USD | 5,325,000 | (148,743) | (1,627) | — | (84,093) | — | (66,277) |
| Morgan Stanley | Goldman Sachs Group, Inc. | 6/20/2022 | 1.000 | USD | 13,010,000 | (216,326) | (3,975) | — | (120,764) | — | (99,537) |
| Total | | | | | | | | 11,009,803 | (16,148,968) | 34,877 | (9,265,925) |
Cleared credit default swap contracts outstanding at June 30, 2017
| Buy protection |
| Counterparty | Reference
entity | Expiration
date | Pay fixed
rate (%) | Notional
currency | Notional
amount | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Morgan Stanley | Markit CDX North America High Yield Index, Series 28 | 6/20/2022 | 5.000 | USD | 307,025,000 | — | (1,018,970) |
| Morgan Stanley | Markit CDX North America Investment Grade Index, Series 27 | 12/20/2021 | 1.000 | USD | 20,875,000 | — | (124,938) |
| Morgan Stanley | Markit CDX North America Investment Grade Index, Series 28 | 6/20/2022 | 1.000 | USD | 239,045,000 | — | (686,965) |
| Total | | | | | | — | (1,830,873) |
Credit default swap contracts outstanding at June 30, 2017
| Sell protection |
| Counterparty | Reference
entity | Expiration
date | Receive
fixed
rate
(%) | Implied
credit
spread
(%) | Notional
currency | Notional
amount | Market
value
($) | Periodic
payments
receivable
(payable)
($) | Premium
paid
($) | Premium
received
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Barclays | Anadarko Petroleum Corp. | 12/20/2020 | 1.000 | 0.992 | USD | 10,150,000 | 2,862 | 3,101 | — | (703,749) | 709,712 | — |
| Barclays | Anadarko Petroleum Corp. | 6/20/2021 | 1.000 | 1.169 | USD | 5,110,000 | (32,942) | 1,562 | — | (447,500) | 416,120 | — |
| Barclays | Bank of America Corp. | 6/20/2018 | 1.000 | 0.182 | USD | 25,990,000 | 207,824 | 7,941 | 153,119 | — | 62,646 | — |
| Barclays | Canadian Natural Resources Ltd. | 12/20/2020 | 1.000 | 0.750 | USD | 5,070,000 | 43,083 | 1,549 | — | (433,193) | 477,825 | — |
| Barclays | Citigroup, Inc. | 6/20/2018 | 1.000 | 0.190 | USD | 26,305,000 | 208,150 | 8,038 | 129,523 | — | 86,665 | — |
| Barclays | Frontier Communications Corp. | 6/20/2019 | 5.000 | 3.415 | USD | 5,350,000 | 160,451 | 8,173 | 272,024 | — | — | (103,400) |
| Barclays | iStar, Inc. | 6/20/2020 | 5.000 | 1.360 | USD | 5,105,000 | 533,361 | 7,799 | 565,554 | — | — | (24,394) |
| Barclays | JPMorgan Chase & Co. | 6/20/2019 | 1.000 | 0.235 | USD | 26,700,000 | 401,127 | 8,158 | 369,583 | — | 39,702 | — |
| Barclays | JPMorgan Chase & Co. | 6/20/2019 | 1.000 | 0.235 | USD | 13,355,000 | 200,638 | 4,081 | 190,212 | — | 14,507 | — |
| Barclays | JPMorgan Chase & Co. | 6/20/2019 | 1.000 | 0.235 | USD | 13,355,000 | 200,638 | 4,081 | 190,212 | — | 14,507 | — |
| Barclays | Navient Corp. | 6/20/2020 | 5.000 | 1.794 | USD | 5,350,000 | 489,949 | 8,174 | 423,214 | — | 74,909 | — |
| Barclays | Navient Corp. | 6/20/2020 | 5.000 | 1.794 | USD | 2,280,000 | 208,801 | 3,483 | 218,930 | — | — | (6,646) |
| Barclays | Valeant Pharmaceuticals International, Inc. | 6/20/2019 | 5.000 | 3.944 | USD | 5,350,000 | 106,000 | 8,174 | — | (61,715) | 175,889 | — |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 54 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Sell protection (continued) |
| Counterparty | Reference
entity | Expiration
date | Receive
fixed
rate
(%) | Implied
credit
spread
(%) | Notional
currency | Notional
amount | Market
value
($) | Periodic
payments
receivable
(payable)
($) | Premium
paid
($) | Premium
received
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Barclays | Verizon Communications, Inc. | 12/20/2017 | 1.000 | 0.221 | USD | 17,986,000 | 66,952 | 5,496 | 59,265 | — | 13,183 | — |
| Barclays | Verizon Communications, Inc. | 6/20/2022 | 1.000 | 0.725 | USD | 10,420,000 | 135,778 | 3,183 | 82,232 | — | 56,729 | — |
| Barclays | Weatherford International Ltd. | 6/20/2020 | 1.000 | 4.057 | USD | 5,105,000 | (430,593) | 1,559 | — | (183,918) | — | (245,116) |
| Barclays | Whiting Petroleum Corp. | 6/20/2020 | 5.000 | 4.930 | USD | 4,575,000 | 8,313 | 6,990 | 249,228 | — | — | (233,925) |
| Barclays | Whiting Petroleum Corp. | 6/20/2020 | 5.000 | 4.930 | USD | 4,575,000 | 8,313 | 6,989 | 267,537 | — | — | (252,235) |
| Citi | Calpine Corp. | 6/20/2020 | 5.000 | 2.004 | USD | 2,550,000 | 217,419 | 3,896 | 248,768 | — | — | (27,453) |
| Citi | Dow Chemical Co. (The) | 12/20/2021 | 1.000 | 0.391 | USD | 10,510,000 | 278,075 | 3,211 | 48,452 | — | 232,834 | — |
| Citi | Freeport-McMoRan, Inc. | 6/20/2020 | 1.000 | 1.697 | USD | 4,840,000 | (96,518) | 1,479 | — | (83,257) | — | (11,782) |
| Citi | Glencore PLC | 6/20/2019 | 5.000 | 0.647 | USD | 5,100,000 | 433,903 | 7,792 | 438,569 | — | 3,126 | — |
| Citi | JPMorgan Chase & Co. | 6/20/2019 | 1.000 | 0.235 | USD | 10,685,000 | 160,526 | 3,265 | 152,147 | — | 11,644 | — |
| Citi | Plains All American Pipeline LP | 12/20/2021 | 1.000 | 1.356 | USD | 5,200,000 | (78,247) | 1,589 | — | (199,642) | 122,984 | — |
| Citi | Royal Caribbean Cruises, Ltd. | 6/20/2022 | 5.000 | 0.766 | USD | 5,345,000 | 1,075,364 | 8,166 | 988,635 | — | 94,895 | — |
| Citi | Target Corp. | 6/20/2022 | 1.000 | 0.725 | USD | 16,015,000 | 209,292 | 4,894 | 268,821 | — | — | (54,635) |
| Citi | Whiting Petroleum Corp. | 6/20/2020 | 5.000 | 4.930 | USD | 2,685,000 | 4,879 | 4,102 | 107,967 | — | — | (98,986) |
| Credit Suisse | DISH DBS Corp. | 6/20/2020 | 5.000 | 0.998 | USD | 4,840,000 | 560,516 | 7,394 | 546,842 | — | 21,068 | — |
| Credit Suisse | Markit CMBX North America Index, Series 6 BBB- | 5/11/2063 | 3.000 | 5.716 | USD | 2,500,000 | (291,575) | 1,250 | — | (270,793) | — | (19,532) |
| Credit Suisse | Markit CMBX North America Index, Series 7 BBB- | 1/17/2047 | 3.000 | 4.722 | USD | 13,000,000 | (1,160,496) | 6,500 | — | (1,108,150) | — | (45,846) |
| Credit Suisse | Markit CMBX North America Index, Series 7 BBB- | 1/17/2047 | 3.000 | 4.722 | USD | 13,500,000 | (1,205,130) | 6,750 | — | (1,021,593) | — | (176,787) |
| Credit Suisse | Markit CMBX North America Index, Series 7 BBB- | 1/17/2047 | 3.000 | 4.722 | USD | 14,000,000 | (1,249,765) | 7,000 | — | (907,707) | — | (335,058) |
| Credit Suisse | Royal Caribbean Cruises, Ltd. | 6/20/2022 | 5.000 | 0.766 | USD | 16,025,000 | 3,224,079 | 24,483 | 2,930,758 | — | 317,804 | — |
| Credit Suisse | Target Corp. | 6/20/2022 | 1.000 | 0.725 | USD | 10,680,000 | 139,572 | 3,263 | 194,549 | — | — | (51,714) |
| Credit Suisse | Tyson Foods, Inc. | 12/20/2021 | 1.000 | 0.455 | USD | 7,830,000 | 184,785 | 2,393 | 98,998 | — | 88,180 | — |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 55 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Sell protection (continued) |
| Counterparty | Reference
entity | Expiration
date | Receive
fixed
rate
(%) | Implied
credit
spread
(%) | Notional
currency | Notional
amount | Market
value
($) | Periodic
payments
receivable
(payable)
($) | Premium
paid
($) | Premium
received
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Credit Suisse | Weatherford International Ltd. | 6/20/2020 | 1.000 | 4.057 | USD | 1,070,000 | (90,252) | 327 | — | (42,905) | — | (47,020) |
| Goldman Sachs International | Anadarko Petroleum Corp. | 6/20/2020 | 1.000 | 0.753 | USD | 9,680,000 | 69,724 | 2,958 | 126,240 | — | — | (53,558) |
| Goldman Sachs International | Anadarko Petroleum Corp. | 12/20/2020 | 1.000 | 0.992 | USD | 12,685,000 | 3,577 | 3,876 | — | (826,741) | 834,194 | — |
| Goldman Sachs International | Anadarko Petroleum Corp. | 12/20/2020 | 1.000 | 0.992 | USD | 5,080,000 | 1,432 | 1,553 | — | (387,382) | 390,367 | — |
| Goldman Sachs International | Anadarko Petroleum Corp. | 12/20/2020 | 1.000 | 0.992 | USD | 5,070,000 | 1,429 | 1,549 | — | (386,026) | 389,004 | — |
| Goldman Sachs International | AT&T, Inc. | 12/20/2017 | 1.000 | 0.162 | USD | 26,720,000 | 107,052 | 8,164 | 88,927 | — | 26,289 | — |
| Goldman Sachs International | Avis Budget Car Rental LLC/Finance, Inc. | 6/20/2020 | 5.000 | 2.623 | USD | 2,685,000 | 180,657 | 4,101 | 200,370 | — | — | (15,612) |
| Goldman Sachs International | Canadian Natural Resources Ltd. | 6/20/2020 | 1.000 | 0.545 | USD | 10,220,000 | 135,776 | 3,123 | 148,280 | — | — | (9,381) |
| Goldman Sachs International | Citigroup, Inc. | 6/20/2018 | 1.000 | 0.190 | USD | 12,985,000 | 102,750 | 3,967 | 57,553 | — | 49,164 | — |
| Goldman Sachs International | DISH DBS Corp. | 6/20/2020 | 5.000 | 0.998 | USD | 2,420,000 | 280,258 | 3,697 | 281,352 | — | 2,603 | — |
| Goldman Sachs International | DISH DBS Corp. | 6/20/2022 | 5.000 | 2.225 | USD | 5,370,000 | 680,371 | 8,204 | 543,284 | — | 145,291 | — |
| Goldman Sachs International | Dow Chemical Co. (The) | 12/20/2021 | 1.000 | 0.391 | USD | 7,865,000 | 208,093 | 2,404 | 26,374 | — | 184,123 | — |
| Goldman Sachs International | Dow Chemical Co. (The) | 12/20/2021 | 1.000 | 0.391 | USD | 5,245,000 | 138,773 | 1,603 | 17,573 | — | 122,803 | — |
| Goldman Sachs International | Ford Motor Co. | 6/20/2022 | 5.000 | 1.347 | USD | 13,335,000 | 2,289,708 | 20,372 | 2,232,790 | — | 77,290 | — |
| Goldman Sachs International | Freeport-McMoRan, Inc. | 6/20/2020 | 1.000 | 1.697 | USD | 2,420,000 | (48,259) | 739 | — | (50,358) | 2,838 | — |
| Goldman Sachs International | Freeport-McMoRan, Inc. | 6/20/2020 | 1.000 | 1.697 | USD | 2,420,000 | (48,259) | 740 | — | (50,312) | 2,793 | — |
| Goldman Sachs International | Glencore PLC | 6/20/2019 | 5.000 | 0.647 | USD | 5,100,000 | 433,903 | 7,792 | 438,569 | — | 3,126 | — |
| Goldman Sachs International | Hertz Corp. (The) | 6/20/2019 | 5.000 | 5.263 | USD | 2,690,000 | (13,163) | 4,110 | — | (3,391) | — | (5,662) |
| Goldman Sachs International | iStar, Inc. | 6/20/2020 | 5.000 | 1.360 | USD | 1,530,000 | 159,851 | 2,338 | 158,646 | — | 3,543 | — |
| Goldman Sachs International | JPMorgan Chase & Co. | 6/20/2019 | 1.000 | 0.235 | USD | 26,700,000 | 401,127 | 8,158 | 369,583 | — | 39,702 | — |
| Goldman Sachs International | Kroger Co. (The) | 6/20/2022 | 1.000 | 1.048 | USD | 7,580,000 | (10,508) | — | — | (10,508) | — | — |
| Goldman Sachs International | Markit CMBX North America Index, Series 6 BBB- | 5/11/2063 | 3.000 | 5.716 | USD | 5,000,000 | (583,149) | 2,500 | — | (522,088) | — | (58,561) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 56 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Sell protection (continued) |
| Counterparty | Reference
entity | Expiration
date | Receive
fixed
rate
(%) | Implied
credit
spread
(%) | Notional
currency | Notional
amount | Market
value
($) | Periodic
payments
receivable
(payable)
($) | Premium
paid
($) | Premium
received
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Goldman Sachs International | Markit CMBX North America Index, Series 6 BBB- | 5/11/2063 | 3.000 | 5.716 | USD | 4,500,000 | (524,834) | 2,250 | — | (400,673) | — | (121,911) |
| Goldman Sachs International | Markit CMBX North America Index, Series 6 BBB- | 5/11/2063 | 3.000 | 5.716 | USD | 5,200,000 | (606,475) | 2,600 | — | (449,981) | — | (153,894) |
| Goldman Sachs International | Markit CMBX North America Index, Series 6 BBB- | 5/11/2063 | 3.000 | 5.716 | USD | 10,100,000 | (1,177,961) | 5,050 | — | (821,973) | — | (350,938) |
| Goldman Sachs International | MetLife, Inc. | 12/20/2021 | 1.000 | 0.500 | USD | 7,870,000 | 170,459 | 2,405 | 19,759 | — | 153,105 | — |
| Goldman Sachs International | MetLife, Inc. | 12/20/2021 | 1.000 | 0.500 | USD | 2,625,000 | 56,856 | 802 | — | — | 57,658 | — |
| Goldman Sachs International | NRG Energy, Inc. | 6/20/2020 | 5.000 | 1.577 | USD | 5,105,000 | 501,962 | 7,799 | 535,269 | — | — | (25,508) |
| Goldman Sachs International | Rite Aid Corp. | 6/20/2020 | 5.000 | 2.573 | USD | 4,565,000 | 314,108 | 6,974 | 417,137 | — | — | (96,055) |
| Goldman Sachs International | Sprint Communications, Inc. | 6/20/2020 | 5.000 | 1.365 | USD | 5,105,000 | 535,581 | 7,799 | 535,269 | — | 8,111 | — |
| Goldman Sachs International | Targa Resources Partners LP/Finance Corp. | 6/20/2020 | 1.000 | 1.442 | USD | 4,575,000 | (57,361) | 1,398 | 52,815 | — | — | (108,778) |
| Goldman Sachs International | United Rentals North America, Inc. | 6/20/2020 | 5.000 | 0.903 | USD | 5,100,000 | 607,364 | 7,792 | 633,513 | — | — | (18,357) |
| Goldman Sachs International | Verizon Communications, Inc. | 6/20/2019 | 1.000 | 0.356 | USD | 10,220,000 | 129,010 | 3,123 | 123,663 | — | 8,470 | — |
| Goldman Sachs International | Verizon Communications, Inc. | 6/20/2022 | 1.000 | 0.725 | USD | 42,275,000 | 550,864 | 12,918 | 353,511 | — | 210,271 | — |
| Goldman Sachs International | Weatherford International Ltd. | 6/20/2020 | 1.000 | 4.057 | USD | 5,110,000 | (431,015) | 1,562 | — | (211,483) | — | (217,970) |
| JPMorgan | Ally Financial, Inc. | 6/20/2020 | 5.000 | 1.147 | USD | 8,025,000 | 892,484 | 12,261 | 830,167 | — | 74,578 | — |
| JPMorgan | Ally Financial, Inc. | 6/20/2020 | 5.000 | 1.147 | USD | 5,105,000 | 567,742 | 7,799 | 548,782 | — | 26,759 | — |
| JPMorgan | Anadarko Petroleum Corp. | 6/20/2021 | 1.000 | 1.169 | USD | 5,240,000 | (33,780) | 1,602 | — | (362,484) | 330,306 | — |
| JPMorgan | AT&T, Inc. | 6/20/2022 | 1.000 | 0.580 | USD | 10,080,000 | 122,544 | — | 122,544 | — | — | — |
| JPMorgan | Avis Budget Car Rental LLC/Finance, Inc. | 6/20/2020 | 5.000 | 2.623 | USD | 4,565,000 | 307,150 | 6,974 | 252,835 | — | 61,289 | — |
| JPMorgan | Avis Budget Car Rental LLC/Finance, Inc. | 6/20/2020 | 5.000 | 2.623 | USD | 4,575,000 | 307,823 | 6,989 | 287,368 | — | 27,444 | — |
| JPMorgan | Avis Budget Car Rental LLC/Finance, Inc. | 6/20/2020 | 5.000 | 2.623 | USD | 13,380,000 | 900,255 | 20,441 | 1,066,421 | — | — | (145,725) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 57 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Sell protection (continued) |
| Counterparty | Reference
entity | Expiration
date | Receive
fixed
rate
(%) | Implied
credit
spread
(%) | Notional
currency | Notional
amount | Market
value
($) | Periodic
payments
receivable
(payable)
($) | Premium
paid
($) | Premium
received
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| JPMorgan | Bank of America Corp. | 6/20/2018 | 1.000 | 0.182 | USD | 38,890,000 | 310,976 | 11,883 | 198,861 | — | 123,998 | — |
| JPMorgan | Bank of America Corp. | 6/20/2021 | 1.000 | 0.389 | USD | 26,185,000 | 618,485 | 8,001 | 133,353 | — | 493,133 | — |
| JPMorgan | Calpine Corp. | 6/20/2020 | 5.000 | 2.004 | USD | 5,100,000 | 434,838 | 7,792 | 481,826 | — | — | (39,196) |
| JPMorgan | Calpine Corp. | 6/20/2020 | 5.000 | 2.004 | USD | 5,105,000 | 435,265 | 7,799 | 503,696 | — | — | (60,632) |
| JPMorgan | Calpine Corp. | 6/20/2020 | 5.000 | 2.004 | USD | 8,025,000 | 684,231 | 12,261 | 855,148 | — | — | (158,656) |
| JPMorgan | CenturyLink, Inc. | 6/20/2020 | 1.000 | 1.334 | USD | 5,105,000 | (49,216) | 1,559 | — | — | — | (47,657) |
| JPMorgan | CenturyLink, Inc. | 6/20/2020 | 1.000 | 1.334 | USD | 5,100,000 | (49,168) | 1,558 | 7,317 | — | — | (54,927) |
| JPMorgan | CenturyLink, Inc. | 6/20/2020 | 1.000 | 1.334 | USD | 8,025,000 | (77,368) | 2,452 | — | (11,462) | — | (63,454) |
| JPMorgan | Citigroup, Inc. | 6/20/2018 | 1.000 | 0.190 | USD | 38,985,000 | 308,486 | 11,913 | 237,295 | — | 83,104 | — |
| JPMorgan | Citigroup, Inc. | 6/20/2018 | 1.000 | 0.190 | USD | 26,185,000 | 207,201 | 8,000 | 146,685 | — | 68,516 | — |
| JPMorgan | Citigroup, Inc. | 6/20/2018 | 1.000 | 0.190 | USD | 12,965,000 | 102,591 | 3,962 | 68,822 | — | 37,731 | — |
| JPMorgan | CSC Holdings LLC | 6/20/2020 | 5.000 | 0.766 | USD | 8,025,000 | 987,903 | 12,261 | 946,139 | — | 54,025 | — |
| JPMorgan | CSC Holdings LLC | 6/20/2020 | 5.000 | 0.766 | USD | 5,105,000 | 628,442 | 7,800 | 633,515 | — | 2,727 | — |
| JPMorgan | CVS Health Corp. | 6/20/2022 | 1.000 | 0.510 | USD | 15,965,000 | 373,958 | 4,879 | 382,121 | — | — | (3,284) |
| JPMorgan | DISH DBS Corp. | 6/20/2020 | 5.000 | 0.998 | USD | 8,025,000 | 929,367 | 12,260 | 850,141 | — | 91,486 | — |
| JPMorgan | DISH DBS Corp. | 6/20/2022 | 5.000 | 2.225 | USD | 13,300,000 | 1,685,091 | 20,319 | 1,652,277 | — | 53,133 | — |
| JPMorgan | Energy Transfer Equity LP | 6/20/2020 | 1.000 | 1.435 | USD | 8,025,000 | (98,927) | 2,453 | 34,567 | — | — | (131,041) |
| JPMorgan | Equinix, Inc. | 6/20/2020 | 1.000 | 0.827 | USD | 8,025,000 | 40,078 | 2,452 | 147,029 | — | — | (104,499) |
| JPMorgan | Freeport-McMoRan, Inc. | 6/20/2020 | 1.000 | 1.697 | USD | 8,025,000 | (160,032) | 2,452 | — | (88,610) | — | (68,970) |
| JPMorgan | Frontier Communications Corp. | 6/20/2019 | 5.000 | 3.415 | USD | 21,405,000 | 641,953 | 32,702 | 1,226,283 | — | — | (551,628) |
| JPMorgan | HD Supply, Inc. | 6/20/2020 | 5.000 | 0.475 | USD | 8,025,000 | 1,054,644 | 12,261 | 1,077,931 | — | — | (11,026) |
| JPMorgan | Hertz Corp. (The) | 6/20/2019 | 5.000 | 5.263 | USD | 1,610,000 | (7,878) | 2,459 | — | (26,275) | 20,856 | — |
| JPMorgan | Hertz Corp. (The) | 6/20/2019 | 5.000 | 5.263 | USD | 21,405,000 | (104,743) | 32,702 | 305,767 | — | — | (377,808) |
| JPMorgan | Hess Corp. | 6/20/2022 | 1.000 | 1.875 | USD | 12,320,000 | (498,887) | 3,764 | — | (516,055) | 20,932 | — |
| JPMorgan | International Paper Co. | 6/20/2022 | 1.000 | 0.407 | USD | 5,375,000 | 152,748 | 1,642 | 152,968 | — | 1,422 | — |
| JPMorgan | International Paper Co. | 6/20/2022 | 1.000 | 0.407 | USD | 6,915,000 | 196,512 | — | 196,718 | — | — | (206) |
| JPMorgan | iStar, Inc. | 6/20/2020 | 5.000 | 1.360 | USD | 8,025,000 | 838,437 | 12,260 | 755,982 | — | 94,715 | — |
| JPMorgan | Markit CMBX North America Index, Series 7 BBB- | 1/17/2047 | 3.000 | 4.722 | USD | 5,000,000 | (446,344) | 2,500 | — | (435,381) | — | (8,463) |
| JPMorgan | MGM Resorts International | 6/20/2020 | 5.000 | 0.679 | USD | 8,025,000 | 1,011,092 | 12,260 | 1,033,619 | — | — | (10,267) |
| JPMorgan | Navient Corp. | 6/20/2020 | 5.000 | 1.794 | USD | 13,380,000 | 1,225,331 | 20,442 | 1,187,128 | — | 58,645 | — |
| JPMorgan | Navient Corp. | 6/20/2020 | 5.000 | 1.794 | USD | 4,575,000 | 418,975 | 6,990 | 437,359 | — | — | (11,394) |
| JPMorgan | NRG Energy, Inc. | 6/20/2020 | 5.000 | 1.577 | USD | 8,025,000 | 789,079 | 12,260 | 855,147 | — | — | (53,808) |
| JPMorgan | Pactiv Corp. | 6/20/2020 | 5.000 | 1.088 | USD | 8,025,000 | 906,867 | 12,260 | 956,352 | — | — | (37,225) |
| JPMorgan | Pactiv Corp. | 6/20/2020 | 5.000 | 1.088 | USD | 5,105,000 | 576,892 | 7,799 | 633,515 | — | — | (48,824) |
| JPMorgan | Plains All American Pipeline LP | 6/20/2021 | 1.000 | 1.207 | USD | 2,540,000 | (19,952) | 775 | — | (327,577) | 308,400 | — |
| JPMorgan | Plains All American Pipeline LP | 6/20/2021 | 1.000 | 1.207 | USD | 2,595,000 | (20,384) | 793 | — | (272,569) | 252,978 | — |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 58 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Sell protection (continued) |
| Counterparty | Reference
entity | Expiration
date | Receive
fixed
rate
(%) | Implied
credit
spread
(%) | Notional
currency | Notional
amount | Market
value
($) | Periodic
payments
receivable
(payable)
($) | Premium
paid
($) | Premium
received
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| JPMorgan | Plains All American Pipeline LP | 6/20/2021 | 1.000 | 1.207 | USD | 2,600,000 | (20,424) | 795 | — | (234,964) | 215,335 | — |
| JPMorgan | Rite Aid Corp. | 6/20/2020 | 5.000 | 2.573 | USD | 5,350,000 | 368,122 | 8,174 | 487,659 | — | — | (111,363) |
| JPMorgan | Rite Aid Corp. | 6/20/2020 | 5.000 | 2.573 | USD | 4,575,000 | 314,796 | 6,989 | 437,639 | — | — | (115,854) |
| JPMorgan | Rite Aid Corp. | 6/20/2020 | 5.000 | 2.573 | USD | 8,025,000 | 552,183 | 12,261 | 905,493 | — | — | (341,049) |
| JPMorgan | Sherwin-Williams Co. (The) | 6/20/2022 | 1.000 | 0.505 | USD | 13,380,000 | 316,625 | 4,089 | 121,299 | — | 199,415 | — |
| JPMorgan | Sprint Communications, Inc. | 6/20/2020 | 5.000 | 1.365 | USD | 8,025,000 | 841,927 | 12,260 | 805,312 | — | 48,875 | — |
| JPMorgan | Targa Resources Partners LP/Finance Corp. | 6/20/2020 | 1.000 | 1.442 | USD | 13,380,000 | (167,758) | 4,088 | 57,633 | — | — | (221,303) |
| JPMorgan | TransDigm, Inc. | 6/20/2020 | 1.000 | 1.993 | USD | 13,380,000 | (371,817) | 4,088 | — | (21,165) | — | (346,564) |
| JPMorgan | Tyson Foods, Inc. | 12/20/2021 | 1.000 | 0.455 | USD | 13,045,000 | 307,856 | 3,986 | 165,056 | — | 146,786 | — |
| JPMorgan | United Rentals North America, Inc. | 6/20/2020 | 5.000 | 0.903 | USD | 8,025,000 | 955,706 | 12,260 | 975,559 | — | — | (7,593) |
| JPMorgan | United Rentals North America, Inc. | 6/20/2020 | 5.000 | 0.903 | USD | 5,105,000 | 607,960 | 7,799 | 630,246 | — | — | (14,487) |
| JPMorgan | Valeant Pharmaceuticals International, Inc. | 6/20/2019 | 5.000 | 3.944 | USD | 21,405,000 | 424,099 | 32,702 | 38,483 | — | 418,318 | — |
| JPMorgan | Verizon Communications, Inc. | 6/20/2022 | 1.000 | 0.725 | USD | 26,760,000 | 348,696 | 8,177 | 198,762 | — | 158,111 | — |
| JPMorgan | Weatherford International Ltd. | 6/20/2020 | 1.000 | 4.057 | USD | 8,025,000 | (676,887) | 2,452 | — | (231,667) | — | (442,768) |
| JPMorgan | Whiting Petroleum Corp. | 6/20/2020 | 5.000 | 4.930 | USD | 1,070,000 | 1,944 | 1,635 | 52,028 | — | — | (48,449) |
| JPMorgan | Whiting Petroleum Corp. | 6/20/2020 | 5.000 | 4.930 | USD | 13,380,000 | 24,313 | 20,441 | 935,752 | — | — | (890,998) |
| Morgan Stanley | Markit CMBX North America Index, Series 6 BBB- | 5/11/2063 | 3.000 | 5.716 | USD | 2,300,000 | (268,249) | 1,151 | — | (223,528) | — | (43,570) |
| Morgan Stanley | Markit CMBX North America Index, Series 6 BBB- | 5/11/2063 | 3.000 | 5.716 | USD | 8,500,000 | (991,353) | 4,250 | — | (902,300) | — | (84,803) |
| Morgan Stanley | Markit CMBX North America Index, Series 6 BBB- | 5/11/2063 | 3.000 | 5.716 | USD | 11,000,000 | (1,282,928) | 5,500 | — | (990,269) | — | (287,159) |
| Morgan Stanley | Markit CMBX North America Index, Series 6 BBB- | 5/11/2063 | 3.000 | 5.716 | USD | 16,000,000 | (1,866,077) | 8,000 | — | (1,308,096) | — | (549,981) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 59 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
| Sell protection (continued) |
| Counterparty | Reference
entity | Expiration
date | Receive
fixed
rate
(%) | Implied
credit
spread
(%) | Notional
currency | Notional
amount | Market
value
($) | Periodic
payments
receivable
(payable)
($) | Premium
paid
($) | Premium
received
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Morgan Stanley | Noble Energy, Inc. | 6/20/2021 | 1.000 | 1.160 | USD | 13,145,000 | (79,900) | 4,016 | — | (730,803) | 654,919 | — |
| Morgan Stanley | Noble Energy, Inc. | 12/20/2021 | 1.000 | 1.343 | USD | 13,020,000 | (189,045) | 3,979 | — | (704,052) | 518,986 | — |
| Morgan Stanley | Tyson Foods, Inc. | 6/20/2022 | 1.000 | 0.516 | USD | 5,350,000 | 123,603 | 1,635 | 100,218 | — | 25,020 | — |
| Morgan Stanley International | Anadarko Petroleum Corp. | 12/20/2020 | 1.000 | 0.992 | USD | 7,615,000 | 2,147 | 2,327 | — | (857,528) | 862,002 | — |
| Morgan Stanley International | Anadarko Petroleum Corp. | 12/20/2020 | 1.000 | 0.992 | USD | 10,210,000 | 2,879 | 3,120 | — | (768,005) | 774,004 | — |
| Morgan Stanley International | Anadarko Petroleum Corp. | 12/20/2020 | 1.000 | 0.992 | USD | 10,210,000 | 2,879 | 3,120 | — | (641,388) | 647,387 | — |
| Morgan Stanley International | Bank of America Corp. | 6/20/2018 | 1.000 | 0.182 | USD | 12,985,000 | 103,832 | 3,968 | 56,292 | — | 51,508 | — |
| Morgan Stanley International | Bank of America Corp. | 6/20/2018 | 1.000 | 0.182 | USD | 12,925,000 | 103,352 | 3,949 | 61,063 | — | 46,238 | — |
| Morgan Stanley International | Canadian Natural Resources Ltd. | 6/20/2021 | 1.000 | 0.901 | USD | 2,595,000 | 9,885 | 793 | — | (154,071) | 164,749 | — |
| Morgan Stanley International | Enterprise Products Partners LP | 6/20/2021 | 1.000 | 0.864 | USD | 15,570,000 | 81,234 | 4,758 | — | (634,937) | 720,929 | — |
| Morgan Stanley International | Markit CMBX North America Index, Series 6 BBB- | 5/11/2063 | 3.000 | 5.716 | USD | 3,400,000 | (396,541) | 1,700 | — | (258,863) | — | (135,978) |
| Morgan Stanley International | Markit CMBX North America Index, Series 6 BBB- | 5/11/2063 | 3.000 | 5.716 | USD | 9,000,000 | (1,049,668) | 4,500 | — | (730,633) | — | (314,535) |
| Morgan Stanley International | Markit CMBX North America Index, Series 7 BBB- | 1/17/2047 | 3.000 | 4.722 | USD | 6,500,000 | (580,248) | 3,250 | — | (735,579) | 158,581 | — |
| Morgan Stanley International | Noble Energy, Inc. | 12/20/2021 | 1.000 | 1.343 | USD | 13,100,000 | (190,207) | 4,003 | — | (959,020) | 772,816 | — |
| Morgan Stanley International | Plains All American Pipeline LP | 6/20/2021 | 1.000 | 1.207 | USD | 7,665,000 | (60,210) | 2,341 | — | (890,502) | 832,633 | — |
| Morgan Stanley International | Plains All American Pipeline LP | 6/20/2021 | 1.000 | 1.207 | USD | 5,075,000 | (39,865) | 1,550 | — | (700,605) | 662,290 | — |
| Morgan Stanley International | Plains All American Pipeline LP | 6/20/2021 | 1.000 | 1.207 | USD | 5,060,000 | (39,747) | 1,546 | — | (599,112) | 560,911 | — |
| Total | | | | | | | | | 41,789,788 | (24,902,538) | 16,671,664 | (8,915,858) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 60 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
Cleared credit default swap contracts outstanding at June 30, 2017
| Sell protection |
| Counterparty | Reference
entity | Expiration
date | Receive fixed
rate (%) | Implied
credit
spread (%)* | Notional
currency | Notional
amount | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Morgan Stanley | Markit CDX North America High Yield Index, Series 21 | 12/20/2018 | 5.000 | 1.556 | USD | 220,554,850 | 1,899,037 | — |
| Morgan Stanley | Markit CDX North America Investment Grade Index, Series 28 | 6/20/2024 | 1.000 | 0.869 | USD | 102,760,000 | 405,709 | — |
| Morgan Stanley | Markit CDX North America Investment Grade Index, Series 28 | 6/20/2027 | 1.000 | 1.064 | USD | 51,615,000 | 119,521 | — |
| Total | | | | | | | 2,424,267 | — |
| * | 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 fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2017, the value of these securities amounted to $27,173,918, which represents 0.54% of net assets. |
| (b) | Variable rate security. |
| (c) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At June 30, 2017, the value of these securities amounted to $1,318,945,109, which represents 26.23% of net assets. |
| (d) | Represents a security purchased on a when-issued basis. |
| (e) | Represents shares owned in the residual interest of an asset-backed securitization. |
| (f) | Zero coupon bond. |
| (g) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2017, the value of these securities amounted to $2,922,852, which represents 0.06% of net assets. |
| (h) | Principal and interest may not be guaranteed by the government. |
| (i) | Municipal obligations include debt obligations issued by or on behalf of territories, possessions, or sovereign nations within the territorial boundaries of the United States. At June 30, 2017, the value of these securities amounted to $2,856,919, which represents 0.06% of net assets. |
| (j) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (k) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (l) | Represents a security purchased on a forward commitment basis. |
| (m) | Senior loans have interest rates that float periodically based primarily on the London Interbank Offered Rate (“LIBOR”) and other short-term rates. The interest rate shown reflects the weighted average coupon as of June 30, 2017. The interest rate shown for senior loans purchased on a when-issued or delayed delivery basis, if any, reflects an estimated average coupon. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted. |
| (n) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (o) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 21,676,210 | 1,010,375,808 | (995,843,120) | 36,208,898 | (9,862) | 200,826 | 36,208,898 |
Abbreviation Legend
| AGM | Assured Guaranty Municipal Corporation |
| CMO | Collateralized Mortgage Obligation |
| NPFGC | National Public Finance Guarantee Corporation |
| PIK | Payment In Kind |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 61 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
Abbreviation Legend (continued)
| STRIPS | Separate Trading of Registered Interest and Principal Securities |
Currency Legend
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 62 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Asset-Backed Securities — Agency | — | 125,896,102 | 15,093,918 | — | 140,990,020 |
| Asset-Backed Securities — Non-Agency | — | 924,767,175 | 19,475,275 | — | 944,242,450 |
| Commercial Mortgage-Backed Securities - Agency | — | 38,375,448 | — | — | 38,375,448 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 151,813,635 | — | — | 151,813,635 |
| Corporate Bonds & Notes | — | 1,830,028,917 | — | — | 1,830,028,917 |
| Foreign Government Obligations | — | 42,239,197 | — | — | 42,239,197 |
| Municipal Bonds | — | 73,318,833 | — | — | 73,318,833 |
| Preferred Debt | 16,225,600 | — | — | — | 16,225,600 |
| Preferred Stocks | | | | | |
| Financials | 2,749,900 | — | — | — | 2,749,900 |
| Residential Mortgage-Backed Securities - Agency | — | 1,505,008,775 | — | — | 1,505,008,775 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 244,924,904 | 24,278,470 | — | 269,203,374 |
| Senior Loans | — | 4,008,546 | — | — | 4,008,546 |
| U.S. Government & Agency Obligations | — | 45,821,148 | — | — | 45,821,148 |
| U.S. Treasury Obligations | 818,012,569 | 67,559,125 | — | — | 885,571,694 |
| Options Purchased Calls | — | 1,096,448 | — | — | 1,096,448 |
| Options Purchased Puts | — | 787,826 | — | — | 787,826 |
| Money Market Funds | — | — | — | 36,208,898 | 36,208,898 |
| Total Investments | 836,988,069 | 5,055,646,079 | 58,847,663 | 36,208,898 | 5,987,690,709 |
| Derivatives | | | | | |
| Asset | | | | | |
| Futures Contracts | 479,351 | — | — | — | 479,351 |
| Swap Contracts | — | 19,130,808 | — | — | 19,130,808 |
| Liability | | | | | |
| Futures Contracts | (1,824,701) | — | — | — | (1,824,701) |
| Swap Contracts | — | (20,012,656) | — | — | (20,012,656) |
| Total | 835,642,719 | 5,054,764,231 | 58,847,663 | 36,208,898 | 5,985,463,511 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
Futures contracts and swap contracts are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between Levels 1 and 2 during the period.
The following table is a reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
| Investments in securities | Balance
as of
12/31/2016
($) | Increase
(decrease)
in accrued
discounts/
premiums
($) | Realized
gain (loss)
($) | Change
in unrealized
appreciation
(depreciation)(a)
($) | Purchases
($) | Sales
($) | Transfers
into
Level 3
($) | Transfers
out of
Level 3
($) | Balance
as of
06/30/2017
($) |
| Asset-Backed Securities — Agency | - | - | - | (236,082) | 15,330,000 | - | - | - | 15,093,918 |
| Asset-Backed Securities — Non-Agency | 5,529,348 | - | - | (352,242) | 14,298,169 | - | - | - | 19,475,275 |
| Residential Mortgage-Backed Securities — Non-Agency | 14,019,430 | 52,967 | 12,976 | 26,342 | 19,191,649 | (2,553,184) | - | (6,471,710) | 24,278,470 |
| Total | 19,548,778 | 52,967 | 12,976 | (561,982) | 48,819,818 | (2,553,184) | - | (6,471,710) | 58,847,663 |
(a) Change in unrealized appreciation (depreciation) relating to securities held at June 30, 2017 was $(561,982), which is comprised of Asset-Backed Securities — Agency of $(236,082), Asset-Backed Securities — Non-Agency of $(352,242) and Residential Mortgage-Backed Securities - Non- Agency of $26,342.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 63 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – Intermediate Bond Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain residential and asset backed securities classified as Level 3 securities are valued using the market approach and utilize single market quotations from broker dealers which may have included, but were not limited to, observable transactions for identical or similar assets in the market and the distressed nature of the security. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, manual price reviews and other control procedures. Significant increases (decreases) to any of these inputs would result in a significantly lower (higher) valuation measurement.
Financial assets were transferred from Level 3 to Level 2 as observable market inputs were utilized and management determined that there was sufficient, reliable and observable market data to value these assets as of period end.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 64 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments
Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Foreign Government Obligations(a),(b) 1.2% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| France 0.2% |
| French Republic Government Bond OAT(c) |
| 05/25/2048 | 2.000% | EUR | 245,000 | 289,799 |
| Greece 0.1% |
| Hellenic Republic Government Bond(d) |
| 10/15/2042 | 0.000% | EUR | 12,871,600 | 36,341 |
| Italy 0.3% |
| Italy Buoni Poliennali Del Tesoro(c) |
| 03/01/2047 | 2.700% | EUR | 350,000 | 356,425 |
| Spain 0.2% |
| Spain Government Bond(c) |
| 10/31/2044 | 5.150% | EUR | 167,000 | 277,221 |
| United Kingdom 0.4% |
| United Kingdom Gilt |
| 07/22/2047 | 1.500% | GBP | 460,000 | 548,640 |
Total Foreign Government Obligations
(Cost $1,884,781) | 1,508,426 |
|
| Inflation-Indexed Bonds(a) 93.8% |
| | | | |
| Australia 1.1% |
| Australia Government Bond(c) |
| 02/21/2022 | 1.250% | AUD | 430,713 | 342,513 |
| 09/20/2030 | 2.500% | AUD | 341,766 | 315,230 |
| 08/21/2035 | 2.000% | AUD | 285,020 | 252,342 |
| Australia Government Index-Linked Bond(c) |
| 08/20/2020 | 4.000% | AUD | 50,019 | 42,767 |
| 09/20/2025 | 3.000% | AUD | 516,624 | 469,191 |
| Total | 1,422,043 |
| Canada 2.1% |
| Canadian Government Real Return Bond |
| 12/01/2021 | 4.250% | CAD | 258,956 | 235,591 |
| 12/01/2026 | 4.250% | CAD | 215,263 | 225,369 |
| 12/01/2031 | 4.000% | CAD | 549,314 | 632,405 |
| 12/01/2036 | 3.000% | CAD | 322,820 | 361,267 |
| 12/01/2041 | 2.000% | CAD | 504,098 | 511,909 |
| 12/01/2044 | 1.500% | CAD | 558,300 | 528,118 |
| 12/01/2047 | 1.250% | CAD | 359,560 | 328,276 |
| Total | 2,822,935 |
| Denmark 0.2% |
| Denmark Government Bond |
| 11/15/2023 | 0.100% | DKK | 1,656,224 | 269,185 |
| Inflation-Indexed Bonds(a) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| France 5.8% |
| France Government Bond OAT(c) |
| 07/25/2019 | 1.300% | EUR | 59,370 | 71,422 |
| 07/25/2021 | 0.100% | EUR | 86,894 | 104,254 |
| 07/25/2023 | 2.100% | EUR | 1,384,403 | 1,880,757 |
| 03/01/2025 | 0.100% | EUR | 339,539 | 410,513 |
| 07/25/2029 | 3.400% | EUR | 532,413 | 893,990 |
| 07/25/2030 | 0.700% | EUR | 438,750 | 563,622 |
| 07/25/2032 | 3.150% | EUR | 673,041 | 1,162,114 |
| 07/25/2047 | 0.100% | EUR | 314,814 | 353,917 |
| French Republic Government Bond OAT |
| 07/25/2022 | 1.100% | EUR | 805,745 | 1,023,434 |
| French Republic Government Bond OAT(c) |
| 07/25/2024 | 0.250% | EUR | 20,673 | 25,423 |
| 07/25/2040 | 1.800% | EUR | 647,919 | 1,045,836 |
| Total | 7,535,282 |
| Germany 2.3% |
| Bundesrepublik Deutschland Bundesobligation Inflation-Linked Bond(c) |
| 04/15/2018 | 0.750% | EUR | 5,407 | 6,202 |
| Deutsche Bundesrepublik Inflation-Linked Bond(c) |
| 04/15/2026 | 0.100% | EUR | 2,189,293 | 2,693,339 |
| 04/15/2046 | 0.100% | EUR | 206,628 | 258,066 |
| Total | 2,957,607 |
| Italy 11.1% |
| Italy Buoni Poliennali Del Tesoro(c) |
| 04/23/2020 | 1.650% | EUR | 1,530,993 | 1,832,909 |
| 10/27/2020 | 1.250% | EUR | 383,299 | 458,867 |
| 05/15/2022 | 0.100% | EUR | 312,848 | 355,469 |
| 09/15/2023 | 2.600% | EUR | 2,172,341 | 2,810,247 |
| 09/15/2024 | 2.350% | EUR | 2,433,693 | 3,087,876 |
| 09/15/2026 | 3.100% | EUR | 1,931,535 | 2,602,755 |
| 05/15/2028 | 1.300% | EUR | 1,305,766 | 1,492,102 |
| 09/15/2032 | 1.250% | EUR | 86,395 | 96,015 |
| 09/15/2035 | 2.350% | EUR | 279,767 | 366,217 |
| 09/15/2041 | 2.550% | EUR | 1,011,542 | 1,320,071 |
| Total | 14,422,528 |
| Japan 3.5% |
| Japanese Government CPI-Linked Bond |
| 09/10/2023 | 0.100% | JPY | 722,400 | 6,654 |
| 03/10/2024 | 0.100% | JPY | 102,600 | 946 |
| 09/10/2024 | 0.100% | JPY | 154,290,800 | 1,429,393 |
| 03/10/2025 | 0.100% | JPY | 188,000,000 | 1,743,356 |
| 03/10/2026 | 0.100% | JPY | 153,560,133 | 1,426,746 |
| Total | 4,607,095 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 65 |
Portfolio of Investments (continued)
Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund, June 30, 2017 (Unaudited)
| Inflation-Indexed Bonds(a) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| New Zealand 1.2% |
| New Zealand Government Bond(c) |
| 09/20/2030 | 3.000% | NZD | 1,372,254 | 1,138,079 |
| 09/20/2035 | 2.500% | NZD | 553,193 | 428,159 |
| Total | 1,566,238 |
| Spain 1.0% |
| Spain Government Inflation-Linked Bond(c) |
| 11/30/2019 | 0.550% | EUR | 901,718 | 1,066,435 |
| 11/30/2030 | 1.000% | EUR | 157,494 | 184,660 |
| Spain Government Inflation-Linked Bond |
| 11/30/2021 | 0.300% | EUR | 111,952 | 133,761 |
| Total | 1,384,856 |
| Sweden 1.0% |
| Sweden Inflation-Linked Bond |
| 12/01/2020 | 4.000% | SEK | 13,116 | 1,882 |
| 06/01/2022 | 0.250% | SEK | 2,571,578 | 334,889 |
| 06/01/2025 | 1.000% | SEK | 3,069,492 | 434,479 |
| 12/01/2028 | 3.500% | SEK | 2,886,024 | 525,360 |
| Total | 1,296,610 |
| United Kingdom 18.5% |
| United Kingdom Gilt Inflation-Linked Bond(c) |
| 03/22/2026 | 0.125% | GBP | 10,477 | 16,125 |
| 11/22/2032 | 1.250% | GBP | 436,117 | 857,357 |
| 03/22/2034 | 0.750% | GBP | 1,205,816 | 2,281,530 |
| 01/26/2035 | 2.000% | GBP | 726,660 | 1,638,688 |
| 11/22/2036 | 0.125% | GBP | 192,498 | 347,848 |
| 11/22/2037 | 1.125% | GBP | 822,735 | 1,773,628 |
| 03/22/2040 | 0.625% | GBP | 324,883 | 680,348 |
| 11/22/2042 | 0.625% | GBP | 216,481 | 475,214 |
| 03/22/2044 | 0.125% | GBP | 351,556 | 706,241 |
| 11/22/2047 | 0.750% | GBP | 819,338 | 1,998,476 |
| 03/22/2050 | 0.500% | GBP | 969,067 | 2,339,310 |
| 03/22/2052 | 0.250% | GBP | 598,007 | 1,406,312 |
| 11/22/2055 | 1.250% | GBP | 643,310 | 2,039,076 |
| 03/22/2058 | 0.125% | GBP | 689,379 | 1,731,968 |
| 03/22/2062 | 0.375% | GBP | 596,575 | 1,729,740 |
| 11/22/2065 | 0.125% | GBP | 716,820 | 2,052,177 |
| 03/22/2068 | 0.125% | GBP | 655,184 | 1,972,536 |
| Total | 24,046,574 |
| United States 46.0% |
| U.S. Treasury Inflation-Indexed Bond |
| 04/15/2019 | 0.125% | | 5,848,054 | 5,851,993 |
| 04/15/2020 | 0.125% | | 2,700,224 | 2,704,887 |
| 07/15/2020 | 1.250% | | 5,606 | 5,843 |
| 07/15/2021 | 0.625% | | 2,001,677 | 2,052,003 |
| 04/15/2022 | 0.125% | | 9,747,935 | 9,704,603 |
| 07/15/2022 | 0.125% | | 63,799 | 63,761 |
| 01/15/2023 | 0.125% | | 2,222,537 | 2,203,625 |
| 07/15/2023 | 0.375% | | 3,010,341 | 3,030,958 |
| Inflation-Indexed Bonds(a) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 01/15/2024 | 0.625% | | 129,948 | 131,847 |
| 07/15/2024 | 0.125% | | 1,122,493 | 1,103,297 |
| 01/15/2025 | 0.250% | | 2,895,826 | 2,846,050 |
| 01/15/2025 | 2.375% | | 1,070,215 | 1,219,583 |
| 07/15/2025 | 0.375% | | 1,670,414 | 1,658,959 |
| 01/15/2026 | 2.000% | | 1,176,560 | 1,319,125 |
| 01/15/2027 | 2.375% | | 2,534,188 | 2,954,808 |
| 01/15/2028 | 1.750% | | 1,686,604 | 1,881,208 |
| 04/15/2028 | 3.625% | | 2,063,648 | 2,697,241 |
| 04/15/2032 | 3.375% | | 676,402 | 929,943 |
| 02/15/2040 | 2.125% | | 2,480,985 | 3,087,358 |
| 02/15/2041 | 2.125% | | 625,290 | 781,384 |
| 02/15/2042 | 0.750% | | 2,604,735 | 2,480,278 |
| 02/15/2043 | 0.625% | | 1,207,141 | 1,111,088 |
| 02/15/2044 | 1.375% | | 571,809 | 622,570 |
| 02/15/2045 | 0.750% | | 1,121,472 | 1,053,250 |
| 02/15/2046 | 1.000% | | 1,326,107 | 1,326,235 |
| 02/15/2047 | 0.875% | | 1,433,353 | 1,392,418 |
| U.S. Treasury Inflation-Indexed Bond(e) |
| 01/15/2026 | 0.625% | | 2,526,416 | 2,544,212 |
| 01/15/2029 | 2.500% | | 2,562,547 | 3,083,370 |
| Total | 59,841,897 |
Total Inflation-Indexed Bonds
(Cost $119,726,494) | 122,172,850 |
| Options Purchased Calls 0.0% |
| Issuer | Notional ($)/Contracts | | Exercise
Price/Rate | Expiration
Date | Value ($) |
| GBP Call/USD Put |
| | 2,065,000 | GBP | 1.34 | 08/01/2017 | 3,136 |
| U.S. Treasury 10-Year Note |
| | 82 | | 126.50 | 07/21/2017 | 12,812 |
| | 120 | | 127.00 | 07/21/2017 | 9,375 |
| USD Call/JPY Put |
| | 2,715,000 | | 115.00 | 07/07/2017 | 318 |
| USD Call/MXN Put |
| | 2,625,000 | | 19.00 | 09/21/2017 | 29,851 |
Total Options Purchased Calls
(Cost $168,016) | 55,492 |
|
| Options Purchased Puts 0.2% |
| | | | | |
| 10-Year OTC interest rate swap with Deutsche Bank to receive 6-Month YEN LIBOR BBA and pay exercise rate |
| | 395,875,000 | JPY | 1.10 | 06/29/2022 | 53,851 |
| 30-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate |
| | 865,000 | | 3.04 | 06/17/2019 | 41,956 |
| | 860,000 | | 3.54 | 06/17/2019 | 19,498 |
| | 400,000 | | 2.68 | 01/12/2021 | 43,137 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 66 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund, June 30, 2017 (Unaudited)
| Options Purchased Puts (continued) |
| Issuer | Notional ($)/Contracts | | Exercise
Price/Rate | Expiration
Date | Value ($) |
| 5-Year OTC interest rate swap with Deutsche Bank to receive 3-Month USD LIBOR BBA and pay exercise rate |
| | 3,500,000 | | 3.25 | 01/05/2022 | 63,272 |
| GBP Put/USD Call |
| | 2,065,000 | GBP | 1.25 | 08/01/2017 | 912 |
Total Options Purchased Puts
(Cost $253,801) | 222,626 |
| Money Market Funds 4.9% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(f),(g),(h) | 6,402,456 | 6,402,456 |
Total Money Market Funds
(Cost $6,401,816) | 6,402,456 |
Total Investments
(Cost $128,434,908) | 130,361,850 |
| Other Assets & Liabilities, Net | | (189,560) |
| Net Assets | $130,172,290 |
At June 30, 2017, securities and/or cash totaling $1,883,553 were pledged as collateral.
Investments in derivatives
| Forward foreign currency exchange contracts open at June 30, 2017 |
| Counterparty | Exchange
date | Currency to
be delivered | Currency to
be received | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Citi | 7/6/2017 | 320,000 EUR | 357,731 USD | — | (7,777) |
| Deutsche Bank | 7/6/2017 | 1,875,000 AUD | 1,396,643 USD | — | (44,461) |
| Deutsche Bank | 7/6/2017 | 1,662,000 BRL | 504,293 USD | 2,733 | — |
| Deutsche Bank | 7/6/2017 | 4,133,616 CAD | 3,073,910 USD | — | (113,707) |
| Deutsche Bank | 7/6/2017 | 1,751,471 DKK | 263,562 USD | — | (5,482) |
| Deutsche Bank | 7/6/2017 | 25,671,800 EUR | 28,745,818 USD | — | (576,871) |
| Deutsche Bank | 7/6/2017 | 20,578,879 GBP | 26,486,355 USD | — | (317,532) |
| Deutsche Bank | 7/6/2017 | 1,380,849,000 JPY | 12,459,919 USD | 182,412 | — |
| Deutsche Bank | 7/6/2017 | 2,205,130 NZD | 1,559,190 USD | — | (56,698) |
| Deutsche Bank | 7/6/2017 | 11,106,000 SEK | 1,272,335 USD | — | (46,012) |
| Deutsche Bank | 7/6/2017 | 1,439,023 USD | 1,875,000 AUD | 2,080 | — |
| Deutsche Bank | 7/6/2017 | 502,494 USD | 1,662,000 BRL | — | (934) |
| Deutsche Bank | 7/6/2017 | 3,166,576 USD | 4,133,616 CAD | 21,041 | — |
| Deutsche Bank | 7/6/2017 | 268,800 USD | 1,751,471 DKK | 245 | — |
| Deutsche Bank | 7/6/2017 | 29,596,323 USD | 25,953,800 EUR | 48,471 | — |
| Deutsche Bank | 7/6/2017 | 26,785,753 USD | 20,664,649 GBP | 129,850 | — |
| Deutsche Bank | 7/6/2017 | 5,171,957 USD | 582,541,248 JPY | 7,576 | — |
| Deutsche Bank | 7/6/2017 | 7,728,515 USD | 860,245,768 JPY | — | (79,834) |
| Deutsche Bank | 7/6/2017 | 1,608,131 USD | 2,205,130 NZD | 7,757 | — |
| Deutsche Bank | 7/6/2017 | 1,304,066 USD | 11,106,000 SEK | 14,281 | — |
| Deutsche Bank | 8/3/2017 | 1,875,000 AUD | 1,438,515 USD | — | (1,993) |
| Deutsche Bank | 8/3/2017 | 1,662,000 BRL | 499,504 USD | 1,165 | — |
| Deutsche Bank | 8/3/2017 | 3,713,616 CAD | 2,851,261 USD | — | (14,125) |
| Deutsche Bank | 8/3/2017 | 1,751,471 DKK | 269,212 USD | — | (275) |
| Deutsche Bank | 8/3/2017 | 24,203,800 EUR | 27,662,388 USD | — | (27,130) |
| Deutsche Bank | 8/3/2017 | 19,878,879 GBP | 25,806,164 USD | — | (111,213) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 67 |
Portfolio of Investments (continued)
Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund, June 30, 2017 (Unaudited)
Investments in derivatives (continued)
| Forward foreign currency exchange contracts open at June 30, 2017 (continued) |
| Counterparty | Exchange
date | Currency to
be delivered | Currency to
be received | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Deutsche Bank | 8/3/2017 | 582,541,248 JPY | 5,177,871 USD | — | (8,327) |
| Deutsche Bank | 8/3/2017 | 2,205,130 NZD | 1,607,324 USD | — | (7,701) |
| Deutsche Bank | 8/3/2017 | 11,106,000 SEK | 1,306,053 USD | — | (14,547) |
| Deutsche Bank | 8/3/2017 | 1,527,715 USD | 1,175,000 GBP | 4,208 | — |
| Total | | | | 421,819 | (1,434,619) |
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| 90-Day Sterling | 85 | GBP | 13,705,678 | 12/2019 | — | (61,043) |
| Euro-Buxl 30-Year | 6 | EUR | 1,120,586 | 09/2017 | — | (7,292) |
| Euro-OAT | 3 | EUR | 508,759 | 09/2017 | — | (9,524) |
| Euro-OAT | 8 | EUR | 1,356,691 | 09/2017 | — | (16,107) |
| Euro-Schatz | 13 | EUR | 1,660,743 | 09/2017 | — | (2,371) |
| Euro-Schatz | 26 | EUR | 3,321,485 | 09/2017 | — | (3,577) |
| Long Gilt | 3 | GBP | 490,646 | 09/2017 | — | (10,554) |
| Long Gilt | 6 | GBP | 981,292 | 09/2017 | — | (21,491) |
| Long Gilt | 23 | GBP | 3,761,618 | 09/2017 | — | (74,690) |
| U.S. Treasury 10-Year Note | 8 | USD | 1,004,250 | 09/2017 | — | (1,510) |
| U.S. Treasury 10-Year Note | 6 | USD | 753,188 | 09/2017 | — | (3,197) |
| U.S. Treasury 5-Year Note | 5 | USD | 589,180 | 09/2017 | — | (2,435) |
| Total | | | 29,254,116 | | — | (213,791) |
| Short futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| 90-Day Euro$ | (27) | USD | (6,624,787) | 03/2019 | — | (1,207) |
| 90-Day Euro$ | (28) | USD | (6,870,150) | 03/2019 | — | (10,192) |
| Australian 10-Year Bond | (2) | AUD | (198,698) | 09/2017 | 2,901 | — |
| Euro-BTP | (5) | EUR | (771,751) | 09/2017 | 13,688 | — |
| Euro-BTP | (3) | EUR | (463,050) | 09/2017 | 10,713 | — |
| Euro-BTP | (3) | EUR | (463,050) | 09/2017 | 10,478 | — |
| Euro-BTP | (2) | EUR | (308,700) | 09/2017 | 8,329 | — |
| Euro-BTP | (2) | EUR | (308,700) | 09/2017 | 8,273 | — |
| Euro-BTP | (17) | EUR | (2,623,952) | 09/2017 | — | (22,753) |
| Euro-Bund | (5) | EUR | (924,399) | 09/2017 | 17,149 | — |
| Euro-Bund | (12) | EUR | (2,218,557) | 09/2017 | 6,774 | — |
| Japanese 10-Year Government Bond | (2) | JPY | (2,669,215) | 09/2017 | 6,961 | — |
| Short Term Euro-BTP | (8) | EUR | (1,029,579) | 09/2017 | — | (2,389) |
| U.S. Long Bond | (5) | USD | (768,438) | 09/2017 | — | (6,588) |
| U.S. Long Bond | (9) | USD | (1,383,188) | 09/2017 | — | (10,491) |
| U.S. Long Bond | (14) | USD | (2,151,625) | 09/2017 | — | (18,195) |
| U.S. Treasury 2-Year Note | (44) | USD | (9,508,813) | 09/2017 | 2,368 | — |
| U.S. Treasury 2-Year Note | (9) | USD | (1,944,984) | 09/2017 | 552 | — |
| U.S. Treasury Ultra 10-Year Note | (3) | USD | (404,438) | 09/2017 | 51 | — |
| U.S. Treasury Ultra 10-Year Note | (15) | USD | (2,022,187) | 09/2017 | — | (3,015) |
| U.S. Ultra Bond | (5) | USD | (829,375) | 09/2017 | 13,118 | — |
| U.S. Ultra Bond | (5) | USD | (829,375) | 09/2017 | 6,974 | — |
| U.S. Ultra Bond | (2) | USD | (331,750) | 09/2017 | 560 | — |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 68 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund, June 30, 2017 (Unaudited)
| Short futures contracts outstanding (continued) |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| U.S. Ultra Bond | (2) | USD | (331,750) | 09/2017 | — | (5,816) |
| U.S. Ultra Bond | (3) | USD | (497,625) | 09/2017 | — | (9,558) |
| Total | | | (46,478,136) | | 108,889 | (90,204) |
| Open options contracts written at June 30, 2017 |
| Issuer | Puts/Calls | Trading
currency | Number of
contracts | Exercise
price | Premium
received ($) | Expiration
date | Value ($) |
| 10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay 6-Month GBP LIBOR BBA | PUT | GBP | (2,775,000) | 1.40 | (14,036) | 07/2017 | (6,741) |
| GBP Call/USD Put | CALL | GBP | (2,065,000) | 1.34 | (9,594) | 08/2017 | (3,136) |
| U.S. Treasury 10-Year Note | CALL | USD | (120) | 128.00 | (20,453) | 07/2017 | (3,750) |
| U.S. Treasury 10-Year Note | CALL | USD | (82) | 127.50 | (22,945) | 07/2017 | (3,844) |
| USD Call/JPY Put | CALL | USD | (2,715,000) | 117.00 | (6,000) | 07/2017 | (3) |
| USD Call/MXN Put | CALL | USD | (2,625,000) | 20.00 | (12,206) | 09/2017 | (10,300) |
| Total | | | | | (85,234) | | (27,774) |
| Interest rate swap contracts outstanding at June 30, 2017 |
| Counterparty | Fund receives | Fund pays | Expiration
date | Notional
currency | Notional
amount ($) | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Deutsche Bank | UK Retail Price Index All Items Monthly | Fixed rate of 3.040% | 7/2/2018 | GBP | — | — | (154,578) |
| Deutsche Bank | Fixed rate of 3.012% | UK Retail Price Index All Items Monthly | 7/13/2021 | GBP | 2,225,000 | — | (80,181) |
| Deutsche Bank | UK Retail Price Index All Items Monthly | Fixed rate of 3.270% | 12/12/2021 | GBP | — | — | (174,776) |
| Deutsche Bank | UK Retail Price Index All Items Monthly | Fixed rate of 3.310% | 7/2/2023 | GBP | — | — | (145,734) |
| Deutsche Bank | UK Retail Price Index All Items Monthly | Fixed rate of 3.029% | 7/13/2026 | GBP | 1,070,000 | 71,116 | — |
| Deutsche Bank | Eurostat Eurozone HICP ex-Tobacco NSA | Fixed rate of 1.470% | 3/15/2027 | EUR | 270,000 | — | (3,254) |
| Deutsche Bank | Fixed rate of 1.970% | Eurostat Eurozone HICP ex-Tobacco NSA | 3/15/2047 | EUR | 270,000 | 12,441 | — |
| Total | | | | | | 83,557 | (558,523) |
| Cleared interest rate swaps contracts outstanding at June 30, 2017 |
| Counterparty | Fund receives | Fund pays | Expiration
date | Notional
currency | Notional
amount | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Goldman Sachs | Fixed rate of 2.240% | U.S. CPI Urban Consumers NSA | 7/1/2017 | USD | 3,035,000 | 1,218 | — |
| Goldman Sachs | Fixed rate of 1.392% | 3-Month CAD Canada Bankers’ Acceptances | 6/29/2019 | CAD | 6,120,000 | — | (2,789) |
| Goldman Sachs | Fixed rate of 1.392% | 3-Month CAD Canada Bankers’ Acceptances | 6/29/2019 | CAD | 7,480,000 | — | (3,408) |
| Goldman Sachs | Fixed rate of 1.414% | 3-Month CAD Canada Bankers’ Acceptances | 6/30/2019 | CAD | 6,805,000 | — | (86) |
| Goldman Sachs | 3-Month USD LIBOR | Fixed rate of 1.862% | 1/9/2020 | USD | 290,000 | — | (549) |
| Goldman Sachs | 3-Month USD LIBOR | Fixed rate of 1.800% | 11/30/2021 | USD | 1,830,000 | 9,687 | — |
| Goldman Sachs | 1-Day Overnight Fed Funds Effective Rate | Fixed rate of 1.560% | 11/30/2021 | USD | 1,590,000 | 8,656 | — |
| Goldman Sachs | Fixed rate of 1.814% | 3-Month USD LIBOR | 11/30/2021 | USD | 1,600,000 | — | (7,616) |
| Goldman Sachs | Fixed rate of 3.370% | UK Retail Price Index All Items Monthly | 6/15/2022 | GBP | 1,820,000 | — | (10,722) |
| Goldman Sachs | Fixed rate of 2.680% | 3-Month USD LIBOR | 1/7/2027 | USD | 1,220,000 | 3,149 | — |
| Goldman Sachs | 3-Month USD LIBOR | Fixed rate of 2.190% | 2/15/2027 | USD | 730,000 | 6,672 | — |
| Goldman Sachs | Fixed rate of 1.729% | 3-Month USD LIBOR | 8/31/2046 | USD | 115,000 | 649 | — |
| Goldman Sachs | Fixed rate of 1.832% | Eurostat Eurozone HICP ex-Tobacco NSA | 5/15/2047 | EUR | 365,000 | — | (2,544) |
| Goldman Sachs | Fixed rate of 1.750% | Eurostat Eurozone HICP ex-Tobacco NSA | 6/22/2047 | EUR | 355,000 | — | (14,634) |
| Total | | | | | | 30,031 | (42,348) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 69 |
Portfolio of Investments (continued)
Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments
| (a) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
| (b) | Principal and interest may not be guaranteed by the government. |
| (c) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At June 30, 2017, the value of these securities amounted to $53,101,378, which represents 40.79% of net assets. |
| (d) | Zero coupon bond. |
| (e) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (f) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (g) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 2,181,808 | 33,079,552 | (28,858,904) | 6,402,456 | (317) | 7,685 | 6,402,456 |
| (h) | At June 30, 2017, cash or short-term securities were designated to cover open put and/or call options written. |
Currency Legend
| AUD | Australian Dollar |
| BRL | Brazilian Real |
| CAD | Canada Dollar |
| DKK | Danish Krone |
| EUR | Euro |
| GBP | British Pound |
| JPY | Japanese Yen |
| NZD | New Zealand Dollar |
| SEK | Swedish Krona |
| USD | US Dollar |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 70 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Foreign Government Obligations | — | 1,508,426 | — | — | 1,508,426 |
| Inflation-Indexed Bonds | — | 122,172,850 | — | — | 122,172,850 |
| Options Purchased Calls | 22,187 | 33,305 | — | — | 55,492 |
| Options Purchased Puts | — | 222,626 | — | — | 222,626 |
| Money Market Funds | — | — | — | 6,402,456 | 6,402,456 |
| Total Investments | 22,187 | 123,937,207 | — | 6,402,456 | 130,361,850 |
| Derivatives | | | | | |
| Asset | | | | | |
| Forward Foreign Currency Exchange Contracts | — | 421,819 | — | — | 421,819 |
| Futures Contracts | 108,889 | — | — | — | 108,889 |
| Swap Contracts | — | 113,588 | — | — | 113,588 |
| Liability | | | | | |
| Forward Foreign Currency Exchange Contracts | — | (1,434,619) | — | — | (1,434,619) |
| Futures Contracts | (303,995) | — | — | — | (303,995) |
| Options Contracts Written | (7,594) | (20,180) | — | — | (27,774) |
| Swap Contracts | — | (600,871) | — | — | (600,871) |
| Total | (180,513) | 122,416,944 | — | 6,402,456 | 128,638,887 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
Forward foreign currency exchange contracts, futures contracts and swap contracts are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 71 |
Portfolio of Investments
Variable Portfolio – MFS® Blended Research® Core Equity Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 99.3% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 12.3% |
| Hotels, Restaurants & Leisure 3.5% |
| Carnival Corp. | 163,963 | 10,751,054 |
| Domino’s Pizza, Inc. | 105,441 | 22,303,935 |
| Royal Caribbean Cruises Ltd. | 181,606 | 19,836,824 |
| Starbucks Corp. | 177,901 | 10,373,407 |
| Total | | 63,265,220 |
| Internet & Direct Marketing Retail 3.7% |
| Amazon.com, Inc.(a) | 55,475 | 53,699,800 |
| Priceline Group, Inc. (The)(a) | 7,708 | 14,417,968 |
| Total | | 68,117,768 |
| Media 3.1% |
| Charter Communications, Inc., Class A(a) | 79,501 | 26,779,912 |
| Comcast Corp., Class A | 788,148 | 30,674,720 |
| Total | | 57,454,632 |
| Specialty Retail 2.0% |
| Best Buy Co., Inc. | 424,477 | 24,335,266 |
| Ross Stores, Inc. | 225,719 | 13,030,758 |
| Total | | 37,366,024 |
| Total Consumer Discretionary | 226,203,644 |
| Consumer Staples 11.0% |
| Food & Staples Retailing 2.4% |
| Costco Wholesale Corp. | 36,022 | 5,760,999 |
| CVS Health Corp. | 299,459 | 24,094,471 |
| Wal-Mart Stores, Inc. | 195,115 | 14,766,303 |
| Total | | 44,621,773 |
| Food Products 3.5% |
| Archer-Daniels-Midland Co. | 519,973 | 21,516,483 |
| Bunge Ltd. | 138,917 | 10,363,208 |
| Mondelez International, Inc., Class A | 151,260 | 6,532,919 |
| Tyson Foods, Inc., Class A | 418,843 | 26,232,137 |
| Total | | 64,644,747 |
| Household Products 2.0% |
| Procter & Gamble Co. (The) | 419,725 | 36,579,034 |
| Personal Products 0.6% |
| Estee Lauder Companies, Inc. (The), Class A | 104,795 | 10,058,224 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Tobacco 2.5% |
| Altria Group, Inc. | 150,975 | 11,243,108 |
| Philip Morris International, Inc. | 300,662 | 35,312,752 |
| Total | | 46,555,860 |
| Total Consumer Staples | 202,459,638 |
| Energy 5.5% |
| Energy Equipment & Services 0.5% |
| Schlumberger Ltd. | 137,925 | 9,080,982 |
| Oil, Gas & Consumable Fuels 5.0% |
| Anadarko Petroleum Corp. | 348,236 | 15,789,020 |
| EOG Resources, Inc. | 264,317 | 23,925,975 |
| Exxon Mobil Corp. | 143,253 | 11,564,815 |
| Phillips 66 | 337,172 | 27,880,753 |
| Valero Energy Corp. | 184,731 | 12,461,953 |
| Total | | 91,622,516 |
| Total Energy | 100,703,498 |
| Financials 15.7% |
| Banks 7.4% |
| Bank of America Corp. | 2,043,719 | 49,580,623 |
| Citigroup, Inc. | 613,272 | 41,015,632 |
| JPMorgan Chase & Co. | 313,053 | 28,613,044 |
| Wells Fargo & Co. | 320,752 | 17,772,868 |
| Total | | 136,982,167 |
| Capital Markets 0.5% |
| Goldman Sachs Group, Inc. (The) | 38,126 | 8,460,159 |
| Consumer Finance 2.1% |
| Discover Financial Services | 422,499 | 26,275,213 |
| Synchrony Financial | 417,108 | 12,438,160 |
| Total | | 38,713,373 |
| Diversified Financial Services 0.5% |
| Berkshire Hathaway, Inc., Class B(a) | 53,920 | 9,132,431 |
| Insurance 5.2% |
| Allstate Corp. (The) | 96,350 | 8,521,194 |
| Chubb Ltd. | 62,552 | 9,093,810 |
| MetLife, Inc. | 515,546 | 28,324,097 |
| Prudential Financial, Inc. | 256,652 | 27,754,347 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 72 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – MFS® Blended Research® Core Equity Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Validus Holdings Ltd. | 223,108 | 11,594,923 |
| Xl Group Ltd. | 245,669 | 10,760,302 |
| Total | | 96,048,673 |
| Total Financials | 289,336,803 |
| Health Care 14.4% |
| Biotechnology 4.0% |
| Biogen, Inc.(a) | 89,373 | 24,252,257 |
| Celgene Corp.(a) | 267,857 | 34,786,589 |
| Gilead Sciences, Inc. | 201,578 | 14,267,691 |
| Total | | 73,306,537 |
| Health Care Equipment & Supplies 3.4% |
| Abbott Laboratories | 457,962 | 22,261,533 |
| Medtronic PLC | 390,128 | 34,623,860 |
| Stryker Corp. | 39,503 | 5,482,226 |
| Total | | 62,367,619 |
| Health Care Providers & Services 2.3% |
| HCA Healthcare, Inc.(a) | 299,700 | 26,133,840 |
| UnitedHealth Group, Inc. | 95,464 | 17,700,935 |
| Total | | 43,834,775 |
| Pharmaceuticals 4.7% |
| Allergan PLC | 58,989 | 14,339,636 |
| Eli Lilly & Co. | 401,274 | 33,024,850 |
| Johnson & Johnson | 238,705 | 31,578,285 |
| Merck & Co., Inc. | 116,234 | 7,449,437 |
| Total | | 86,392,208 |
| Total Health Care | 265,901,139 |
| Industrials 9.2% |
| Aerospace & Defense 3.4% |
| Northrop Grumman Corp. | 107,815 | 27,677,188 |
| Textron, Inc. | 170,997 | 8,053,959 |
| United Technologies Corp. | 212,206 | 25,912,475 |
| Total | | 61,643,622 |
| Airlines 0.7% |
| United Continental Holdings, Inc.(a) | 167,131 | 12,576,608 |
| Building Products 0.8% |
| Owens Corning | 214,203 | 14,334,465 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Industrial Conglomerates 0.4% |
| General Electric Co. | 292,943 | 7,912,390 |
| Machinery 1.1% |
| Illinois Tool Works, Inc. | 96,358 | 13,803,284 |
| Ingersoll-Rand PLC | 71,798 | 6,561,619 |
| Total | | 20,364,903 |
| Road & Rail 1.7% |
| Union Pacific Corp. | 284,064 | 30,937,410 |
| Trading Companies & Distributors 1.1% |
| United Rentals, Inc.(a) | 107,982 | 12,170,651 |
| Univar, Inc.(a) | 299,478 | 8,744,758 |
| Total | | 20,915,409 |
| Total Industrials | 168,684,807 |
| Information Technology 21.4% |
| Communications Equipment 2.1% |
| Cisco Systems, Inc. | 1,225,717 | 38,364,942 |
| Internet Software & Services 4.1% |
| Alphabet, Inc., Class A(a) | 25,864 | 24,045,243 |
| Alphabet, Inc., Class C(a) | 16,152 | 14,677,807 |
| Facebook, Inc., Class A(a) | 249,209 | 37,625,575 |
| Total | | 76,348,625 |
| IT Services 3.7% |
| Accenture PLC, Class A | 81,338 | 10,059,884 |
| DXC Technology Co. | 319,943 | 24,546,027 |
| FleetCor Technologies, Inc.(a) | 133,459 | 19,246,122 |
| Global Payments, Inc. | 88,552 | 7,998,017 |
| International Business Machines Corp. | 45,400 | 6,983,882 |
| Total | | 68,833,932 |
| Semiconductors & Semiconductor Equipment 3.3% |
| Broadcom Ltd. | 75,564 | 17,610,190 |
| Intel Corp. | 919,206 | 31,014,010 |
| NVIDIA Corp. | 79,214 | 11,451,176 |
| Total | | 60,075,376 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 73 |
Portfolio of Investments (continued)
Variable Portfolio – MFS® Blended Research® Core Equity Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Software 4.2% |
| Electronic Arts, Inc.(a) | 198,747 | 21,011,533 |
| Intuit, Inc. | 208,672 | 27,713,728 |
| Microsoft Corp. | 414,020 | 28,538,399 |
| Total | | 77,263,660 |
| Technology Hardware, Storage & Peripherals 4.0% |
| Apple, Inc. | 344,781 | 49,655,360 |
| Hewlett Packard Enterprise Co. | 1,102,774 | 18,295,021 |
| NCR Corp.(a) | 151,305 | 6,179,296 |
| Total | | 74,129,677 |
| Total Information Technology | 395,016,212 |
| Materials 2.8% |
| Chemicals 2.8% |
| Air Products & Chemicals, Inc. | 143,721 | 20,560,726 |
| Monsanto Co. | 122,199 | 14,463,474 |
| Sherwin-Williams Co. (The) | 47,592 | 16,702,888 |
| Total | | 51,727,088 |
| Total Materials | 51,727,088 |
| Real Estate 2.0% |
| Equity Real Estate Investment Trusts (REITS) 2.0% |
| Alexandria Real Estate Equities, Inc. | 91,788 | 11,057,700 |
| Mid-America Apartment Communities, Inc. | 129,654 | 13,662,939 |
| Public Storage | 23,153 | 4,828,095 |
| STORE Capital Corp. | 372,434 | 8,361,143 |
| Total | | 37,909,877 |
| Total Real Estate | 37,909,877 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Telecommunication Services 1.5% |
| Diversified Telecommunication Services 1.5% |
| AT&T, Inc. | 136,609 | 5,154,258 |
| Verizon Communications, Inc. | 491,046 | 21,930,114 |
| Total | | 27,084,372 |
| Total Telecommunication Services | 27,084,372 |
| Utilities 3.5% |
| Electric Utilities 3.1% |
| Exelon Corp. | 746,022 | 26,909,013 |
| NextEra Energy, Inc. | 168,947 | 23,674,543 |
| PPL Corp. | 179,765 | 6,949,715 |
| Total | | 57,533,271 |
| Independent Power and Renewable Electricity Producers 0.4% |
| AES Corp. (The) | 657,535 | 7,305,214 |
| Total Utilities | 64,838,485 |
Total Common Stocks
(Cost $1,581,717,472) | 1,829,865,563 |
|
| Money Market Funds 0.3% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(b),(c) | 5,088,381 | 5,088,381 |
Total Money Market Funds
(Cost $5,088,307) | 5,088,381 |
Total Investments
(Cost: $1,586,805,779) | 1,834,953,944 |
| Other Assets & Liabilities, Net | | 6,789,946 |
| Net Assets | 1,841,743,890 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 12,785,076 | 32,466,087 | (40,162,782) | 5,088,381 | (288) | 37,976 | 5,088,381 |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in
The accompanying Notes to Financial Statements are an integral part of this statement.
| 74 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – MFS® Blended Research® Core Equity Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 226,203,644 | — | — | — | 226,203,644 |
| Consumer Staples | 202,459,638 | — | — | — | 202,459,638 |
| Energy | 100,703,498 | — | — | — | 100,703,498 |
| Financials | 289,336,803 | — | — | — | 289,336,803 |
| Health Care | 265,901,139 | ��� | — | — | 265,901,139 |
| Industrials | 168,684,807 | — | — | — | 168,684,807 |
| Information Technology | 395,016,212 | — | — | — | 395,016,212 |
| Materials | 51,727,088 | — | — | — | 51,727,088 |
| Real Estate | 37,909,877 | — | — | — | 37,909,877 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 75 |
Portfolio of Investments (continued)
Variable Portfolio – MFS® Blended Research® Core Equity Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Telecommunication Services | 27,084,372 | — | — | — | 27,084,372 |
| Utilities | 64,838,485 | — | — | — | 64,838,485 |
| Total Common Stocks | 1,829,865,563 | — | — | — | 1,829,865,563 |
| Money Market Funds | — | — | — | 5,088,381 | 5,088,381 |
| Total Investments | 1,829,865,563 | — | — | 5,088,381 | 1,834,953,944 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 76 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments
Variable Portfolio – Partners Small Cap Value Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 97.6% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 10.8% |
| Auto Components 1.5% |
| Cooper Tire & Rubber Co. | 64,303 | 2,321,338 |
| Cooper-Standard Holding, Inc.(a) | 11,051 | 1,114,714 |
| Dana, Inc. | 182,956 | 4,085,408 |
| Modine Manufacturing Co.(a) | 110,744 | 1,832,813 |
| Motorcar Parts of America, Inc.(a) | 65,060 | 1,837,294 |
| Stoneridge, Inc.(a) | 28,189 | 434,393 |
| Tower International, Inc. | 26,428 | 593,309 |
| Total | | 12,219,269 |
| Diversified Consumer Services 0.4% |
| Bridgepoint Education, Inc.(a) | 19,539 | 288,396 |
| Graham Holdings Co., Class B | 3,285 | 1,969,850 |
| K12, Inc.(a) | 62,015 | 1,111,309 |
| Total | | 3,369,555 |
| Hotels, Restaurants & Leisure 1.8% |
| Biglari Holdings, Inc.(a) | 1,401 | 560,036 |
| Bloomin’ Brands, Inc. | 235,101 | 4,991,194 |
| Buffalo Wild Wings, Inc.(a) | 23,302 | 2,952,363 |
| Cracker Barrel Old Country Store, Inc. | 8,629 | 1,443,200 |
| Del Frisco’s Restaurant Group, Inc.(a) | 31,474 | 506,731 |
| Fogo De Chao, Inc.(a) | 5,883 | 81,774 |
| J. Alexander’s Holdings, Inc.(a) | 3,316 | 40,621 |
| Jack in the Box, Inc. | 15,946 | 1,570,681 |
| Marcus Corp. (The) | 1,300 | 39,260 |
| Red Robin Gourmet Burgers, Inc.(a) | 25,554 | 1,667,399 |
| Total | | 13,853,259 |
| Household Durables 0.7% |
| Bassett Furniture Industries, Inc. | 3,500 | 132,825 |
| CalAtlantic Group, Inc.(a) | 65,247 | 2,306,481 |
| La-Z-Boy, Inc. | 92,173 | 2,995,623 |
| Zagg, Inc.(a) | 22,500 | 194,625 |
| Total | | 5,629,554 |
| Leisure Products 0.4% |
| Black Diamond, Inc.(a) | 22,024 | 146,459 |
| Brunswick Corp. | 44,423 | 2,786,655 |
| Total | | 2,933,114 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Media 1.9% |
| AMC Entertainment Holdings, Inc., Class A | 176,935 | 4,025,271 |
| John Wiley & Sons, Inc., Class A | 5,539 | 292,182 |
| Madison Square Garden Co. (The), Class A(a) | 1,090 | 214,621 |
| Meredith Corp. | 44,439 | 2,641,899 |
| MSG Networks, Inc., Class A(a) | 18,600 | 417,570 |
| National CineMedia, Inc. | 38,417 | 285,054 |
| Scholastic Corp. | 38,100 | 1,660,779 |
| Sinclair Broadcast Group, Inc., Class A | 141,140 | 4,643,506 |
| Time, Inc. | 60,900 | 873,915 |
| Townsquare Media, Inc., Class A(a) | 12,008 | 122,962 |
| tronc, Inc.(a) | 13,170 | 169,761 |
| Total | | 15,347,520 |
| Multiline Retail 0.4% |
| Big Lots, Inc. | 61,195 | 2,955,719 |
| Specialty Retail 2.7% |
| Barnes & Noble Education, Inc.(a) | 10,700 | 113,741 |
| Barnes & Noble, Inc. | 47,000 | 357,200 |
| Big 5 Sporting Goods Corp. | 188,273 | 2,456,963 |
| Build-A-Bear Workshop, Inc.(a) | 21,152 | 221,038 |
| Caleres, Inc. | 106,079 | 2,946,875 |
| Cato Corp. (The), Class A | 144,035 | 2,533,576 |
| Chico’s FAS, Inc. | 184,218 | 1,735,333 |
| Citi Trends, Inc. | 24,489 | 519,657 |
| Conn’s, Inc.(a) | 13,519 | 258,213 |
| Destination XL Group, Inc.(a) | 35,500 | 83,425 |
| Dick’s Sporting Goods, Inc. | 6,300 | 250,929 |
| DSW, Inc., Class A | 151,800 | 2,686,860 |
| Express, Inc.(a) | 34,190 | 230,782 |
| Finish Line, Inc., Class A (The) | 43,681 | 618,960 |
| Genesco, Inc.(a) | 28,345 | 960,895 |
| Group 1 Automotive, Inc. | 10,980 | 695,254 |
| Haverty Furniture Companies, Inc. | 5,731 | 143,848 |
| Kirkland’s, Inc.(a) | 108,497 | 1,115,349 |
| Pier 1 Imports, Inc. | 95,062 | 493,372 |
| Rent-A-Center, Inc. | 130,232 | 1,526,319 |
| Shoe Carnival, Inc. | 16,024 | 334,581 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 77 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Small Cap Value Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Tilly’s, Inc. | 36,487 | 370,343 |
| West Marine, Inc.(a) | 25,040 | 321,764 |
| Total | | 20,975,277 |
| Textiles, Apparel & Luxury Goods 1.0% |
| Crocs, Inc.(a) | 419,977 | 3,238,023 |
| Culp, Inc. | 38,276 | 1,243,970 |
| Deckers Outdoor Corp.(a) | 31,208 | 2,130,258 |
| Delta Apparel, Inc.(a) | 1,600 | 35,488 |
| Fossil Group, Inc.(a) | 38,161 | 394,966 |
| Movado Group, Inc. | 3,780 | 95,445 |
| Perry Ellis International, Inc.(a) | 36,728 | 714,727 |
| Rocky Brands, Inc. | 12,229 | 164,480 |
| Vera Bradley, Inc.(a) | 12,500 | 122,250 |
| Total | | 8,139,607 |
| Total Consumer Discretionary | 85,422,874 |
| Consumer Staples 2.7% |
| Food & Staples Retailing 0.8% |
| Andersons, Inc. (The) | 47,512 | 1,622,535 |
| Smart & Final Stores, Inc.(a) | 24,244 | 220,620 |
| SpartanNash Co. | 65,182 | 1,692,125 |
| SUPERVALU, Inc.(a) | 162,000 | 532,980 |
| United Natural Foods, Inc.(a) | 54,696 | 2,007,343 |
| Total | | 6,075,603 |
| Food Products 1.8% |
| Dean Foods Co. | 355,776 | 6,048,192 |
| Flowers Foods, Inc. | 110,435 | 1,911,630 |
| Lancaster Colony Corp. | 14,871 | 1,823,482 |
| Omega Protein Corp. | 32,668 | 584,757 |
| Snyders-Lance, Inc. | 68,879 | 2,384,591 |
| TreeHouse Foods, Inc.(a) | 22,720 | 1,855,997 |
| Total | | 14,608,649 |
| Household Products 0.1% |
| Orchids Paper Products Co. | 57,094 | 739,367 |
| Total Consumer Staples | 21,423,619 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Energy 3.3% |
| Energy Equipment & Services 0.5% |
| Archrock, Inc. | 39,682 | 452,375 |
| Aspen Aerogels, Inc.(a) | 10,500 | 46,725 |
| C&J Energy Services, Inc.(a) | 100 | 3,427 |
| Exterran Corp.(a) | 29,211 | 779,934 |
| Matrix Service Co.(a) | 22,800 | 213,180 |
| Parker Drilling Co.(a) | 4,900 | 6,615 |
| Superior Energy Services, Inc.(a) | 209,315 | 2,183,155 |
| Tesco Corp.(a) | 62,608 | 278,605 |
| Total | | 3,964,016 |
| Oil, Gas & Consumable Fuels 2.8% |
| Callon Petroleum Co.(a) | 194,199 | 2,060,451 |
| Carrizo Oil & Gas, Inc.(a) | 90,664 | 1,579,367 |
| Delek U.S. Holdings, Inc. | 91,158 | 2,410,218 |
| Enerplus Corp. | 726,420 | 5,898,531 |
| GasLog Ltd. | 8,817 | 134,459 |
| Gener8 Maritime, Inc.(a) | 45,200 | 257,188 |
| Hallador Energy Co. | 10,312 | 80,124 |
| PDC Energy, Inc.(a) | 32,365 | 1,395,255 |
| Renewable Energy Group, Inc.(a) | 90,738 | 1,175,057 |
| Scorpio Tankers, Inc. | 517,532 | 2,054,602 |
| SM Energy Co. | 155,450 | 2,569,589 |
| World Fuel Services Corp. | 15,100 | 580,595 |
| WPX Energy, Inc.(a) | 203,373 | 1,964,583 |
| Total | | 22,160,019 |
| Total Energy | 26,124,035 |
| Financials 27.8% |
| Banks 18.2% |
| 1st Source Corp. | 800 | 38,352 |
| American National Bankshares, Inc. | 4,773 | 176,362 |
| Ameris Bancorp | 82,357 | 3,969,607 |
| BancFirst Corp. | 12,039 | 1,162,967 |
| Bank of Marin Bancorp | 6,809 | 419,094 |
| Bank of the Ozarks | 36,950 | 1,731,847 |
| Banner Corp. | 70,733 | 3,997,122 |
| Berkshire Hills Bancorp, Inc. | 99,508 | 3,497,706 |
| Brookline Bancorp, Inc. | 64,156 | 936,678 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 78 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Small Cap Value Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Bryn Mawr Bank Corp. | 8,112 | 344,760 |
| Capital City Bank Group, Inc. | 7,500 | 153,150 |
| Central Pacific Financial Corp. | 41,350 | 1,301,285 |
| Central Valley Community Bancorp | 13,083 | 289,919 |
| Chemung Financial Corp. | 100 | 4,088 |
| Civista Bancshares, Inc. | 8,610 | 179,777 |
| Community Trust Bancorp, Inc. | 14,347 | 627,681 |
| Customers Bancorp, Inc.(a) | 83,350 | 2,357,138 |
| East West Bancorp, Inc. | 26,597 | 1,558,052 |
| Enterprise Financial Services Corp. | 70,319 | 2,869,015 |
| Evans Bancorp, Inc. | 11 | 439 |
| Farmers Capital Bank Corp. | 5,735 | 221,084 |
| Fidelity Southern Corp. | 25,501 | 582,953 |
| Financial Institutions, Inc. | 11,900 | 354,620 |
| First Bancorp | 1,100 | 34,386 |
| First BanCorp(a) | 247,909 | 1,435,393 |
| First Bancshares, Inc. (The) | 2,700 | 74,520 |
| First Busey Corp. | 182,517 | 5,351,398 |
| First Business Financial Services, Inc. | 8,700 | 200,796 |
| First Commonwealth Financial Corp. | 138,050 | 1,750,474 |
| First Community Bancshares, Inc. | 44,898 | 1,227,960 |
| First Connecticut Bancorp, Inc. | 1,937 | 49,684 |
| First Financial Bancorp | 30,100 | 833,770 |
| First Financial Corp. | 9,816 | 464,297 |
| First Financial Northwest, Inc. | 3,663 | 59,084 |
| First Horizon National Corp. | 188,953 | 3,291,561 |
| First Merchants Corp. | 26,611 | 1,068,166 |
| First Mid-Illinois Bancshares, Inc. | 100 | 3,424 |
| First Midwest Bancorp, Inc. | 149,039 | 3,474,099 |
| FNB Corp. | 211,145 | 2,989,813 |
| Glacier Bancorp, Inc. | 80,628 | 2,951,791 |
| Great Southern Bancorp, Inc. | 4,700 | 251,450 |
| Great Western Bancorp, Inc. | 70,933 | 2,894,776 |
| Hancock Holding Co. | 71,485 | 3,502,765 |
| Heartland Financial USA, Inc. | 72,200 | 3,400,620 |
| Heritage Commerce Corp. | 9,500 | 130,910 |
| Heritage Financial Corp. | 24,843 | 658,340 |
| HomeTrust Bancshares, Inc.(a) | 10,785 | 263,154 |
| Iberiabank Corp. | 128,774 | 10,495,081 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Independent Bank Corp. | 44,325 | 2,954,261 |
| Investors Bancorp, Inc. | 226,183 | 3,021,805 |
| Lakeland Financial Corp. | 75,791 | 3,477,291 |
| LCNB Corp. | 128 | 2,560 |
| LegacyTexas Financial Group, Inc. | 34,006 | 1,296,649 |
| MainSource Financial Group, Inc. | 11,200 | 375,312 |
| MB Financial, Inc. | 26,749 | 1,178,026 |
| National Bank Holdings Corp., Class A | 108,781 | 3,601,739 |
| National Commerce Corp.(a) | 6,446 | 254,939 |
| Northeast Bancorp(a) | 7,458 | 151,770 |
| Northrim BanCorp, Inc. | 2,534 | 77,034 |
| OFG Bancorp | 176,074 | 1,760,740 |
| Old Line Bancshares, Inc. | 7,015 | 197,683 |
| Peapack Gladstone Financial Corp. | 392 | 12,266 |
| People’s Utah Bancorp | 12 | 322 |
| Popular, Inc. | 9,000 | 375,390 |
| Preferred Bank/Los Angeles | 68,045 | 3,638,366 |
| Prosperity Bancshares, Inc. | 27,800 | 1,785,872 |
| QCR Holdings, Inc. | 12,526 | 593,732 |
| Renasant Corp. | 170,114 | 7,440,786 |
| Sandy Spring Bancorp, Inc. | 6,123 | 248,961 |
| Seacoast Banking Corp. of Florida(a) | 118,781 | 2,862,622 |
| Shore Bancshares, Inc. | 6,200 | 101,990 |
| Sierra Bancorp | 11,657 | 286,179 |
| South State Corp. | 442 | 37,879 |
| State Bank Financial Corp. | 4,689 | 127,166 |
| Sterling Bancorp | 167,971 | 3,905,326 |
| Stock Yards Bancorp, Inc. | 4,938 | 192,088 |
| Synovus Financial Corp.(a) | 14,000 | 619,360 |
| TCF Financial Corp. | 19,600 | 312,424 |
| TriState Capital Holdings, Inc.(a) | 27,671 | 697,309 |
| Two River Bancorp | 2,800 | 52,052 |
| UMB Financial Corp. | 5,511 | 412,553 |
| Umpqua Holdings Corp. | 315,269 | 5,788,339 |
| Union Bankshares Corp. | 21,443 | 726,918 |
| United Community Banks, Inc. | 71,360 | 1,983,808 |
| Valley National Bancorp | 250,055 | 2,953,150 |
| Webster Financial Corp. | 73,943 | 3,861,304 |
| WesBanco, Inc. | 72,212 | 2,855,263 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 79 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Small Cap Value Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Westamerica Bancorporation | 28,994 | 1,624,824 |
| Western Alliance Bancorp(a) | 47,579 | 2,340,887 |
| Wintrust Financial Corp. | 75,320 | 5,757,461 |
| Total | | 143,575,814 |
| Capital Markets 0.9% |
| Artisan Partners Asset Management, Inc., Class A | 109,500 | 3,361,650 |
| Evercore Partners, Inc., Class A | 43,034 | 3,033,897 |
| Investment Technology Group, Inc. | 26,674 | 566,556 |
| Ladenburg Thalmann Financial Services, Inc.(a) | 31,124 | 75,942 |
| Oppenheimer Holdings, Inc., Class A | 8,105 | 132,922 |
| Total | | 7,170,967 |
| Consumer Finance 0.2% |
| Enova International, Inc.(a) | 72,288 | 1,073,477 |
| Diversified Financial Services —% |
| Marlin Business Services Corp. | 6,214 | 156,282 |
| Insurance 4.5% |
| American Equity Investment Life Holding Co. | 154,336 | 4,055,950 |
| AMERISAFE, Inc. | 46,650 | 2,656,717 |
| Amtrust Financial Services, Inc. | 327,510 | 4,958,501 |
| Argo Group International Holdings Ltd. | 68,701 | 4,163,281 |
| Assurant, Inc. | 14,796 | 1,534,197 |
| CNO Financial Group, Inc. | 369,712 | 7,719,587 |
| Donegal Group, Inc., Class A | 3,263 | 51,882 |
| EMC Insurance Group, Inc. | 2,900 | 80,562 |
| Employers Holdings, Inc. | 26,300 | 1,112,490 |
| Federated National Holding Co. | 6,610 | 105,760 |
| Hallmark Financial Services, Inc.(a) | 15,196 | 171,259 |
| Hanover Insurance Group, Inc. (The) | 5,400 | 478,602 |
| Heritage Insurance Holdings, Inc. | 21,310 | 277,456 |
| Horace Mann Educators Corp. | 46,520 | 1,758,456 |
| Infinity Property & Casualty Corp. | 13,831 | 1,300,114 |
| Kemper Corp. | 4,544 | 175,398 |
| Navigators Group, Inc. (The) | 5,313 | 291,684 |
| Reinsurance Group of America, Inc. | 14,602 | 1,874,751 |
| Selective Insurance Group, Inc. | 14,321 | 716,766 |
| State Auto Financial Corp. | 3,500 | 90,055 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Stewart Information Services Corp. | 37,347 | 1,694,807 |
| Third Point Reinsurance Ltd.(a) | 21,056 | 292,678 |
| Total | | 35,560,953 |
| Mortgage Real Estate Investment Trusts (REITS) 1.1% |
| Arbor Realty Trust, Inc. | 235,575 | 1,964,696 |
| Cherry Hill Mortgage Investment Corp. | 32,500 | 600,275 |
| Chimera Investment Corp. | 86,889 | 1,618,742 |
| Invesco Mortgage Capital, Inc. | 257,799 | 4,307,821 |
| Resource Capital Corp. | 25,400 | 258,318 |
| Total | | 8,749,852 |
| Thrifts & Mortgage Finance 2.9% |
| BankFinancial Corp. | 6,905 | 103,023 |
| Charter Financial Corp. | 16,400 | 295,200 |
| Dime Community Bancshares, Inc. | 13,200 | 258,720 |
| First Defiance Financial Corp. | 4,600 | 242,328 |
| Flagstar Bancorp, Inc.(a) | 129,796 | 4,000,313 |
| Northwest Bancshares, Inc. | 183,220 | 2,860,064 |
| Radian Group, Inc. | 484,875 | 7,927,706 |
| Riverview Bancorp, Inc. | 7,800 | 51,792 |
| Southern Missouri Bancorp, Inc. | 100 | 3,226 |
| Territorial Bancorp, Inc. | 3,110 | 97,001 |
| TFS Financial Corp. | 101,158 | 1,564,914 |
| TrustCo Bank Corp. | 108,124 | 837,961 |
| Washington Federal, Inc. | 53,200 | 1,766,240 |
| WSFS Financial Corp. | 66,179 | 3,001,218 |
| Total | | 23,009,706 |
| Total Financials | 219,297,051 |
| Health Care 6.9% |
| Biotechnology 0.5% |
| Acorda Therapeutics, Inc.(a) | 104,905 | 2,066,628 |
| BioTime, Inc.(a) | 42,675 | 134,426 |
| Celldex Therapeutics, Inc.(a) | 36,200 | 89,414 |
| Cidara Therapeutics, Inc.(a) | 11,974 | 89,805 |
| Infinity Pharmaceuticals, Inc.(a) | 78,275 | 122,892 |
| Momenta Pharmaceuticals, Inc.(a) | 55,868 | 944,169 |
| Trevena, Inc.(a) | 24,069 | 55,359 |
| Verastem, Inc.(a) | 12,721 | 27,732 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 80 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Small Cap Value Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Voyager Therapeutics, Inc.(a) | 130 | 1,165 |
| Zafgen, Inc.(a) | 2,147 | 7,536 |
| Total | | 3,539,126 |
| Health Care Equipment & Supplies 2.2% |
| Analogic Corp. | 17,756 | 1,289,974 |
| Angiodynamics, Inc.(a) | 79,818 | 1,293,850 |
| Exactech, Inc.(a) | 4,958 | 147,748 |
| Globus Medical, Inc., Class A(a) | 66,521 | 2,205,171 |
| Haemonetics Corp.(a) | 68,782 | 2,716,201 |
| Orthofix International NV(a) | 199,167 | 9,257,282 |
| Quidel Corp.(a) | 2,700 | 73,278 |
| RTI Surgical, Inc.(a) | 59,298 | 346,893 |
| Total | | 17,330,397 |
| Health Care Providers & Services 2.9% |
| Aceto Corp. | 137,335 | 2,121,826 |
| AMN Healthcare Services, Inc.(a) | 40,779 | 1,592,420 |
| Brookdale Senior Living, Inc.(a) | 120,644 | 1,774,673 |
| Civitas Solutions, Inc.(a) | 97,434 | 1,705,095 |
| Community Health Systems, Inc.(a) | 51,596 | 513,896 |
| Ensign Group, Inc. (The) | 172,133 | 3,747,335 |
| Magellan Health, Inc.(a) | 24,385 | 1,777,667 |
| Owens & Minor, Inc. | 36,464 | 1,173,776 |
| PharMerica Corp.(a) | 185,117 | 4,859,321 |
| Premier, Inc.(a) | 28,971 | 1,042,956 |
| Tivity Health, Inc.(a) | 49,288 | 1,964,127 |
| Triple-S Management Corp., Class B(a) | 20,600 | 348,346 |
| WellCare Health Plans, Inc.(a) | 1,200 | 215,472 |
| Total | | 22,836,910 |
| Health Care Technology —% |
| Allscripts Healthcare Solutions, Inc.(a) | 8,600 | 109,736 |
| Life Sciences Tools & Services 0.6% |
| Bio-Techne Corp. | 26,645 | 3,130,788 |
| Harvard Bioscience, Inc.(a) | 294,729 | 751,559 |
| Luminex Corp.(a) | 20,600 | 435,072 |
| Total | | 4,317,419 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Pharmaceuticals 0.7% |
| Cempra, Inc.(a) | 34,900 | 160,540 |
| Endocyte, Inc.(a) | 21,046 | 31,569 |
| Horizon Pharma PLC(a) | 131,855 | 1,565,119 |
| Phibro Animal Health Corp., Class A | 106,735 | 3,954,532 |
| Tetraphase Pharmaceuticals, Inc.(a) | 22,500 | 160,425 |
| Total | | 5,872,185 |
| Total Health Care | 54,005,773 |
| Industrials 17.0% |
| Aerospace & Defense 1.5% |
| AAR Corp. | 8,470 | 294,417 |
| Ducommun, Inc.(a) | 24,792 | 782,931 |
| Esterline Technologies Corp.(a) | 34,584 | 3,278,563 |
| Moog, Inc., Class A(a) | 30,896 | 2,215,861 |
| Orbital ATK, Inc. | 19,670 | 1,934,741 |
| Sparton Corp.(a) | 5,959 | 131,039 |
| Triumph Group, Inc.(a) | 58,151 | 1,837,572 |
| Vectrus, Inc.(a) | 23,500 | 759,520 |
| Wesco Aircraft Holdings, Inc.(a) | 56,100 | 608,685 |
| Total | | 11,843,329 |
| Air Freight & Logistics 1.0% |
| Air Transport Services Group, Inc.(a) | 208,773 | 4,547,076 |
| Atlas Air Worldwide Holdings, Inc.(a) | 40,719 | 2,123,496 |
| HUB Group, Inc., Class A(a) | 20,400 | 782,340 |
| Total | | 7,452,912 |
| Airlines 0.3% |
| Skywest, Inc. | 55,638 | 1,952,894 |
| Building Products 0.5% |
| Armstrong Flooring, Inc.(a) | 42,909 | 771,075 |
| Quanex Building Products Corp. | 163,002 | 3,447,492 |
| Total | | 4,218,567 |
| Commercial Services & Supplies 2.4% |
| ACCO Brands Corp.(a) | 65,642 | 764,729 |
| ARC Document Solutions, Inc.(a) | 17,829 | 74,169 |
| Brink’s Co. (The) | 35,495 | 2,378,165 |
| CECO Environmental Corp. | 11,012 | 101,090 |
| Essendant, Inc. | 76,769 | 1,138,484 |
| InnerWorkings, Inc.(a) | 7,800 | 90,480 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 81 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Small Cap Value Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| LSC Communications, Inc. | 130,348 | 2,789,447 |
| Pitney Bowes, Inc. | 201,193 | 3,038,015 |
| Quad/Graphics, Inc. | 151,723 | 3,477,491 |
| SP Plus Corp.(a) | 62,113 | 1,897,552 |
| Tetra Tech, Inc. | 68,913 | 3,152,770 |
| Total | | 18,902,392 |
| Construction & Engineering 1.6% |
| Aegion Corp.(a) | 41,750 | 913,490 |
| Ameresco, Inc., Class A(a) | 1,787 | 13,760 |
| EMCOR Group, Inc.(a) | 86,921 | 5,682,895 |
| Great Lakes Dredge & Dock Corp.(a) | 370,426 | 1,592,832 |
| Jacobs Engineering Group, Inc. | 3,900 | 212,121 |
| MYR Group, Inc.(a) | 15,700 | 487,014 |
| Orion Group Holdings, Inc.(a) | 35,790 | 267,351 |
| Quanta Services, Inc.(a) | 800 | 26,336 |
| Tutor Perini Corp.(a) | 113,519 | 3,263,671 |
| Valmont Industries, Inc. | 318 | 47,573 |
| Total | | 12,507,043 |
| Electrical Equipment 1.7% |
| American Superconductor Corp.(a) | 8,100 | 37,422 |
| AZZ, Inc. | 32,900 | 1,835,820 |
| Babcock & Wilcox Enterprises Inc(a) | 248,188 | 2,918,691 |
| EnerSys | 29,206 | 2,115,975 |
| LSI Industries, Inc. | 23,300 | 210,865 |
| Powell Industries, Inc. | 7,204 | 230,456 |
| Regal Beloit Corp. | 71,483 | 5,829,438 |
| Total | | 13,178,667 |
| Machinery 5.6% |
| AGCO Corp. | 11,900 | 801,941 |
| Altra Industrial Motion Corp. | 45,526 | 1,811,935 |
| Astec Industries, Inc. | 28,616 | 1,588,474 |
| Chart Industries, Inc.(a) | 25,800 | 896,034 |
| ESCO Technologies, Inc. | 75,029 | 4,475,480 |
| FreightCar America, Inc. | 12,400 | 215,636 |
| Global Brass & Copper Holdings, Inc. | 77,022 | 2,353,022 |
| Graham Corp. | 2,500 | 49,150 |
| Greenbrier Companies, Inc. (The) | 80,610 | 3,728,213 |
| Harsco Corp.(a) | 62,690 | 1,009,309 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Hyster-Yale Materials Handling, Inc. | 13,100 | 920,275 |
| ITT, Inc. | 116,824 | 4,693,988 |
| Manitex International, Inc.(a) | 9,280 | 64,774 |
| Navistar International Corp(a) | 29,351 | 769,877 |
| NN, Inc. | 102,441 | 2,812,005 |
| Oshkosh Corp. | 35,257 | 2,428,502 |
| Park-Ohio Holdings Corp. | 5,401 | 205,778 |
| Spartan Motors, Inc. | 449,963 | 3,982,173 |
| SPX Corp.(a) | 209,681 | 5,275,574 |
| Timken Co. (The) | 49,880 | 2,306,950 |
| Watts Water Technologies, Inc., Class A | 64,282 | 4,062,622 |
| Total | | 44,451,712 |
| Marine 0.1% |
| Costamare, Inc. | 112,900 | 825,299 |
| Professional Services 1.3% |
| CRA International, Inc. | 11,877 | 431,373 |
| Dun & Bradstreet Corp. (The) | 2,980 | 322,287 |
| FTI Consulting, Inc.(a) | 102,585 | 3,586,371 |
| Heidrick & Struggles International, Inc. | 29,197 | 635,035 |
| Kelly Services, Inc., Class A | 14,275 | 320,474 |
| Korn/Ferry International | 50,412 | 1,740,726 |
| ManpowerGroup, Inc. | 8,800 | 982,520 |
| RPX Corp.(a) | 54,128 | 755,086 |
| TrueBlue, Inc.(a) | 52,428 | 1,389,342 |
| Total | | 10,163,214 |
| Road & Rail 0.3% |
| ArcBest Corp. | 41,472 | 854,323 |
| Marten Transport Ltd.(a) | 1,060 | 29,044 |
| Werner Enterprises, Inc. | 51,300 | 1,505,655 |
| Total | | 2,389,022 |
| Trading Companies & Distributors 0.7% |
| Aircastle Ltd. | 21,310 | 463,492 |
| CAI International, Inc.(a) | 12,900 | 304,440 |
| DXP Enterprises, Inc.(a) | 9,555 | 329,648 |
| Houston Wire & Cable Co. | 18,220 | 95,655 |
| Lawson Products, Inc.(a) | 1,073 | 23,767 |
| NOW, Inc.(a) | 18,311 | 294,441 |
| Rush Enterprises, Inc., Class A(a) | 48,926 | 1,819,069 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 82 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Small Cap Value Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Textainer Group Holdings Ltd. | 49,700 | 720,650 |
| Titan Machinery, Inc.(a) | 32,800 | 589,744 |
| Veritiv Corp.(a) | 18,214 | 819,630 |
| WESCO International, Inc.(a) | 5,391 | 308,904 |
| Total | | 5,769,440 |
| Total Industrials | 133,654,491 |
| Information Technology 13.4% |
| Communications Equipment 2.3% |
| ADTRAN, Inc. | 76,101 | 1,571,486 |
| Digi International, Inc.(a) | 24,423 | 247,894 |
| Finisar Corp.(a) | 73,732 | 1,915,557 |
| Infinera Corp.(a) | 262,920 | 2,805,356 |
| KVH Industries, Inc.(a) | 4,383 | 41,639 |
| NETGEAR, Inc.(a) | 56,131 | 2,419,246 |
| Plantronics, Inc. | 106,386 | 5,565,052 |
| Radware Ltd.(a) | 78,023 | 1,368,523 |
| ShoreTel, Inc.(a) | 88,538 | 513,520 |
| Viavi Solutions, Inc.(a) | 172,305 | 1,814,372 |
| Total | | 18,262,645 |
| Electronic Equipment, Instruments & Components 3.6% |
| Bel Fuse, Inc., Class B | 2,700 | 66,690 |
| Benchmark Electronics, Inc.(a) | 54,987 | 1,776,080 |
| Control4 Corp.(a) | 70,881 | 1,389,976 |
| Daktronics, Inc. | 29,060 | 279,848 |
| Electro Scientific Industries, Inc.(a) | 370,491 | 3,052,846 |
| FLIR Systems, Inc. | 142,154 | 4,927,058 |
| Insight Enterprises, Inc.(a) | 45,160 | 1,805,948 |
| Maxwell Technologies, Inc.(a) | 7,986 | 47,836 |
| Methode Electronics, Inc. | 59,675 | 2,458,610 |
| MTS Systems Corp. | 73,275 | 3,795,645 |
| PC Connection, Inc. | 10,346 | 279,963 |
| Perceptron, Inc.(a) | 6,100 | 44,408 |
| Radisys Corp.(a) | 8,410 | 31,622 |
| Sanmina Corp.(a) | 51,954 | 1,979,447 |
| Scansource, Inc.(a) | 11,907 | 479,852 |
| SYNNEX Corp. | 8,485 | 1,017,861 |
| Tech Data Corp.(a) | 22,400 | 2,262,400 |
| Vishay Intertechnology, Inc. | 140,792 | 2,337,147 |
| Total | | 28,033,237 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Internet Software & Services 0.5% |
| Angie’s List, Inc.(a) | 93,402 | 1,194,612 |
| Autobytel, Inc.(a) | 9,600 | 121,056 |
| Bazaarvoice, Inc.(a) | 97,074 | 480,516 |
| Blucora, Inc.(a) | 27,600 | 585,120 |
| DHI Group, Inc.(a) | 112,041 | 319,317 |
| Liquidity Services, Inc.(a) | 4,300 | 27,305 |
| Marchex, Inc.(a) | 348,230 | 1,037,725 |
| QuinStreet, Inc.(a) | 7,985 | 33,297 |
| Total | | 3,798,948 |
| IT Services 1.7% |
| Convergys Corp. | 115,170 | 2,738,743 |
| EVERTEC, Inc. | 200,735 | 3,472,715 |
| Mantech International Corp., Class A | 73,537 | 3,042,961 |
| NCI, Inc., Class A(a) | 2,230 | 47,053 |
| ServiceSource International, Inc.(a) | 1,007,903 | 3,910,664 |
| Total | | 13,212,136 |
| Semiconductors & Semiconductor Equipment 1.6% |
| Alpha & Omega Semiconductor Ltd.(a) | 13,706 | 228,479 |
| Cohu, Inc. | 90,010 | 1,416,757 |
| Cypress Semiconductor Corp. | 185,982 | 2,538,654 |
| Diodes, Inc.(a) | 11,500 | 276,345 |
| DSP Group, Inc.(a) | 21,012 | 243,739 |
| IXYS Corp. | 24,953 | 410,477 |
| MKS Instruments, Inc. | 27,375 | 1,842,338 |
| NeoPhotonics Corp.(a) | 18,400 | 142,048 |
| Sigma Designs, Inc.(a) | 14,248 | 83,351 |
| Silicon Motion Technology Corp., ADR | 17,362 | 837,369 |
| Xperi Corp. | 151,947 | 4,528,021 |
| Total | | 12,547,578 |
| Software 3.1% |
| Agilysys, Inc.(a) | 738 | 7,469 |
| Barracuda Networks, Inc.(a) | 13,633 | 314,377 |
| FireEye, Inc.(a) | 72,641 | 1,104,870 |
| Gigamon, Inc.(a) | 35,805 | 1,408,927 |
| Glu Mobile, Inc.(a) | 147,800 | 369,500 |
| Monotype Imaging Holdings, Inc. | 74,835 | 1,369,480 |
| Nuance Communications, Inc.(a) | 129,910 | 2,261,733 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 83 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Small Cap Value Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Progress Software Corp. | 173,998 | 5,374,798 |
| QAD, Inc., Class A | 10,049 | 322,070 |
| Rosetta Stone, Inc.(a) | 25,718 | 277,240 |
| Rubicon Project, Inc. (The)(a) | 57,854 | 297,370 |
| SeaChange International, Inc.(a) | 458,507 | 1,219,629 |
| Silver Spring Networks, Inc.(a) | 10,100 | 113,928 |
| Synchronoss Technologies, Inc.(a) | 119,193 | 1,960,725 |
| Telenav, Inc.(a) | 25,094 | 203,261 |
| TiVo Corp. | 354,016 | 6,602,398 |
| Verint Systems, Inc.(a) | 4,272 | 173,870 |
| Zynga, Inc., Class A(a) | 296,887 | 1,080,669 |
| Total | | 24,462,314 |
| Technology Hardware, Storage & Peripherals 0.6% |
| Avid Technology, Inc.(a) | 35,488 | 186,667 |
| Cray, Inc.(a) | 14,410 | 265,144 |
| Quantum Corp.(a) | 106,004 | 827,891 |
| Stratasys Ltd.(a) | 47,560 | 1,108,624 |
| Super Micro Computer, Inc.(a) | 103,943 | 2,562,195 |
| Total | | 4,950,521 |
| Total Information Technology | 105,267,379 |
| Materials 4.9% |
| Chemicals 2.2% |
| A. Schulman, Inc. | 37,209 | 1,190,688 |
| Ashland Global Holdings, Inc. | 8,400 | 553,644 |
| Innophos Holdings, Inc. | 200,009 | 8,768,394 |
| Kraton Performance Polymers, Inc.(a) | 97,372 | 3,353,492 |
| Minerals Technologies, Inc. | 40,683 | 2,977,996 |
| NewMarket Corp. | 990 | 455,875 |
| Omnova Solutions, Inc.(a) | 18,513 | 180,502 |
| Total | | 17,480,591 |
| Containers & Packaging 0.7% |
| Bemis Co., Inc. | 110,460 | 5,108,775 |
| Metals & Mining 1.6% |
| Commercial Metals Co. | 167,878 | 3,261,870 |
| Compass Minerals International, Inc. | 40,341 | 2,634,267 |
| Materion Corp. | 64,050 | 2,395,470 |
| Olympic Steel, Inc. | 34,360 | 669,333 |
| Ryerson Holding Corp.(a) | 13,961 | 138,214 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Schnitzer Steel Industries, Inc., Class A | 58,042 | 1,462,658 |
| SunCoke Energy, Inc.(a) | 172,690 | 1,882,321 |
| Total | | 12,444,133 |
| Paper & Forest Products 0.4% |
| Boise Cascade Co.(a) | 8,400 | 255,360 |
| Clearwater Paper Corp.(a) | 5,300 | 247,775 |
| PH Glatfelter Co. | 124,225 | 2,427,356 |
| Resolute Forest Products, Inc.(a) | 87,290 | 384,076 |
| Total | | 3,314,567 |
| Total Materials | 38,348,066 |
| Real Estate 6.8% |
| Equity Real Estate Investment Trusts (REITS) 6.3% |
| Ashford Hospitality Trust, Inc. | 75,699 | 460,250 |
| Brandywine Realty Trust | 143,925 | 2,523,005 |
| Camden Property Trust | 10,100 | 863,651 |
| CBL & Associates Properties, Inc. | 586,100 | 4,940,823 |
| Columbia Property Trust, Inc. | 63,942 | 1,431,022 |
| CyrusOne, Inc. | 50,760 | 2,829,870 |
| DCT Industrial Trust, Inc. | 10,400 | 555,776 |
| DDR Corp. | 54,400 | 493,408 |
| DiamondRock Hospitality Co. | 173,278 | 1,897,394 |
| Douglas Emmett, Inc. | 7,800 | 298,038 |
| Education Realty Trust, Inc. | 65,000 | 2,518,750 |
| EPR Properties | 23,027 | 1,654,951 |
| Equity Commonwealth(a) | 71,616 | 2,263,066 |
| FelCor Lodging Trust, Inc. | 138,748 | 1,000,373 |
| Franklin Street Properties Corp. | 9,800 | 108,584 |
| GEO Group, Inc. (The) | 133,622 | 3,951,203 |
| Gramercy Property Trust | 97,221 | 2,888,436 |
| Hersha Hospitality Trust | 17,400 | 322,074 |
| InfraREIT, Inc.(a) | 38,400 | 735,360 |
| Kite Realty Group Trust | 78,970 | 1,494,902 |
| Lexington Realty Trust | 282,130 | 2,795,908 |
| Mack-Cali Realty Corp. | 36,746 | 997,286 |
| Monogram Residential Trust, Inc. | 306,798 | 2,979,009 |
| NexPoint Residential Trust, Inc. | 19,434 | 483,712 |
| Outfront Media, Inc. | 111 | 2,566 |
| Preferred Apartment Communities, Inc., Class A | 29,707 | 467,885 |
| RAIT Financial Trust | 133,900 | 293,241 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 84 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Small Cap Value Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| STAG Industrial, Inc. | 122,251 | 3,374,128 |
| Summit Hotel Properties, Inc. | 222,618 | 4,151,826 |
| Taubman Centers, Inc. | 4,700 | 279,885 |
| Whitestone REIT | 14,733 | 180,479 |
| Total | | 49,236,861 |
| Real Estate Management & Development 0.5% |
| Realogy Holdings Corp. | 128,300 | 4,163,335 |
| Total Real Estate | 53,400,196 |
| Telecommunication Services 0.3% |
| Diversified Telecommunication Services 0.2% |
| Hawaiian Telcom Holdco, Inc.(a) | 2,650 | 66,223 |
| Vonage Holdings Corp.(a) | 304,005 | 1,988,193 |
| Total | | 2,054,416 |
| Wireless Telecommunication Services 0.1% |
| United States Cellular Corp.(a) | 17,090 | 654,889 |
| Total Telecommunication Services | 2,709,305 |
| Utilities 3.7% |
| Electric Utilities 1.2% |
| El Paso Electric Co. | 40,680 | 2,103,156 |
| PNM Resources, Inc. | 125,524 | 4,801,293 |
| Portland General Electric Co. | 51,470 | 2,351,664 |
| Total | | 9,256,113 |
| Gas Utilities 1.6% |
| New Jersey Resources Corp. | 56,387 | 2,238,564 |
| Northwest Natural Gas Co. | 12,200 | 730,170 |
| ONE Gas, Inc. | 33,212 | 2,318,530 |
| Southwest Gas Corp. | 5,400 | 394,524 |
| Spire, Inc. | 100,321 | 6,997,390 |
| Total | | 12,679,178 |
| Multi-Utilities 0.3% |
| NorthWestern Corp. | 42,910 | 2,618,368 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Water Utilities 0.6% |
| American States Water Co. | 44,123 | 2,091,871 |
| California Water Service Group | 62,644 | 2,305,299 |
| Consolidated Water Co., Ltd. | 8,394 | 104,086 |
| Total | | 4,501,256 |
| Total Utilities | 29,054,915 |
Total Common Stocks
(Cost $738,793,537) | 768,707,704 |
|
| Exchange-Traded Funds 0.6% |
| | Shares | Value ($) |
| iShares S&P Small-Cap 600 Value ETF | 30,000 | 4,194,600 |
Total Exchange-Traded Funds
(Cost $4,119,787) | 4,194,600 |
|
| Rights —% |
| Issuer | Shares | Value ($) |
| Industrials —% |
| Airlines —% |
| American Airlines Escrow(a),(b),(c) | 185,100 | 0 |
| Total Industrials | 0 |
Total Rights
(Cost $—) | 0 |
|
| Money Market Funds 2.3% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(d),(e) | 18,237,379 | 18,237,379 |
Total Money Market Funds
(Cost $18,236,162) | 18,237,379 |
Total Investments
(Cost: $761,149,486) | 791,139,683 |
| Other Assets & Liabilities, Net | | (3,547,561) |
| Net Assets | 787,592,122 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2017, the value of these securities rounds to zero, which represents less than 0.01% of net assets. |
| (c) | Negligible market value. |
| (d) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 85 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Small Cap Value Fund, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| (e) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 33,091,132 | 373,691,356 | (388,545,109) | 18,237,379 | (238) | 137,568 | 18,237,379 |
Abbreviation Legend
| ADR | American Depositary Receipt |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 86 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Small Cap Value Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 85,422,874 | — | — | — | 85,422,874 |
| Consumer Staples | 21,423,619 | — | — | — | 21,423,619 |
| Energy | 26,124,035 | — | — | — | 26,124,035 |
| Financials | 219,297,051 | — | — | — | 219,297,051 |
| Health Care | 54,005,773 | — | — | — | 54,005,773 |
| Industrials | 133,654,491 | — | — | — | 133,654,491 |
| Information Technology | 105,267,379 | — | — | — | 105,267,379 |
| Materials | 38,348,066 | — | — | — | 38,348,066 |
| Real Estate | 53,400,196 | — | — | — | 53,400,196 |
| Telecommunication Services | 2,709,305 | — | — | — | 2,709,305 |
| Utilities | 29,054,915 | — | — | — | 29,054,915 |
| Total Common Stocks | 768,707,704 | — | — | — | 768,707,704 |
| Exchange-Traded Funds | 4,194,600 | — | — | — | 4,194,600 |
| Rights | | | | | |
| Industrials | — | — | 0* | — | 0* |
| Money Market Funds | — | — | — | 18,237,379 | 18,237,379 |
| Total Investments | 772,902,304 | — | 0* | 18,237,379 | 791,139,683 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
There were no transfers of financial assets between levels during the period.
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain rights classified as Level 3 are valued using an income approach. To determine fair value for these securities, management considered estimates of future distributions from the company assets or potential actions related to the respective company’s restructuring. Significant increases (decreases) to any of these inputs would result in a significantly lower (higher) fair value measurement.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 87 |
Portfolio of Investments
Variable Portfolio – Victory Sycamore Established Value Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 98.7% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 10.3% |
| Auto Components 1.5% |
| BorgWarner, Inc. | 181,200 | 7,675,632 |
| Household Durables 0.8% |
| NVR, Inc.(a) | 1,800 | 4,339,098 |
| Media 4.1% |
| CBS Corp., Class B Non Voting | 115,500 | 7,366,590 |
| Interpublic Group of Companies, Inc. (The) | 308,900 | 7,598,940 |
| TEGNA, Inc. | 443,700 | 6,393,717 |
| Total | | 21,359,247 |
| Specialty Retail 2.3% |
| AutoNation, Inc.(a) | 96,600 | 4,072,656 |
| Tiffany & Co. | 84,900 | 7,969,563 |
| Total | | 12,042,219 |
| Textiles, Apparel & Luxury Goods 1.6% |
| VF Corp. | 145,400 | 8,375,040 |
| Total Consumer Discretionary | 53,791,236 |
| Consumer Staples 4.3% |
| Food & Staples Retailing 1.3% |
| SYSCO Corp. | 132,600 | 6,673,758 |
| Food Products 3.0% |
| Archer-Daniels-Midland Co. | 288,200 | 11,925,716 |
| Ingredion, Inc. | 33,100 | 3,945,851 |
| Total | | 15,871,567 |
| Total Consumer Staples | 22,545,325 |
| Energy 6.8% |
| Energy Equipment & Services 1.0% |
| Superior Energy Services, Inc.(a) | 499,200 | 5,206,656 |
| Oil, Gas & Consumable Fuels 5.8% |
| Cimarex Energy Co. | 56,500 | 5,311,565 |
| Devon Energy Corp. | 164,200 | 5,249,474 |
| Energen Corp.(a) | 146,790 | 7,247,022 |
| Parsley Energy, Inc., Class A(a) | 239,300 | 6,640,575 |
| PDC Energy, Inc.(a) | 134,800 | 5,811,228 |
| Total | | 30,259,864 |
| Total Energy | 35,466,520 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Financials 20.5% |
| Banks 4.1% |
| Citizens Financial Group, Inc. | 289,340 | 10,323,651 |
| SunTrust Banks, Inc. | 192,300 | 10,907,256 |
| Total | | 21,230,907 |
| Capital Markets 1.6% |
| E*TRADE Financial Corp.(a) | 214,900 | 8,172,647 |
| Insurance 14.8% |
| Aflac, Inc. | 139,200 | 10,813,056 |
| Alleghany Corp.(a) | 16,650 | 9,903,420 |
| Allstate Corp. (The) | 122,600 | 10,842,744 |
| American Financial Group, Inc. | 76,600 | 7,611,742 |
| Arthur J Gallagher & Co. | 152,400 | 8,724,900 |
| FNF Group | 194,700 | 8,728,401 |
| Markel Corp.(a) | 7,180 | 7,006,675 |
| Marsh & McLennan Companies, Inc. | 66,260 | 5,165,630 |
| WR Berkley Corp. | 126,300 | 8,736,171 |
| Total | | 77,532,739 |
| Total Financials | 106,936,293 |
| Health Care 8.1% |
| Health Care Equipment & Supplies 1.6% |
| Hologic, Inc.(a) | 183,800 | 8,340,844 |
| Health Care Providers & Services 4.5% |
| HCA Healthcare, Inc.(a) | 91,000 | 7,935,200 |
| Mednax, Inc.(a) | 124,400 | 7,510,028 |
| Quest Diagnostics, Inc. | 70,800 | 7,870,128 |
| Total | | 23,315,356 |
| Life Sciences Tools & Services 2.0% |
| Agilent Technologies, Inc. | 84,700 | 5,023,557 |
| PerkinElmer, Inc. | 84,330 | 5,746,246 |
| Total | | 10,769,803 |
| Total Health Care | 42,426,003 |
| Industrials 17.3% |
| Aerospace & Defense 1.5% |
| Textron, Inc. | 166,700 | 7,851,570 |
| Building Products 1.3% |
| Owens Corning | 100,940 | 6,754,905 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 88 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Victory Sycamore Established Value Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Commercial Services & Supplies 1.3% |
| Republic Services, Inc. | 106,760 | 6,803,815 |
| Construction & Engineering 3.1% |
| Jacobs Engineering Group, Inc. | 117,200 | 6,374,508 |
| Quanta Services, Inc.(a) | 289,400 | 9,527,048 |
| Total | | 15,901,556 |
| Electrical Equipment 2.2% |
| Hubbell, Inc. | 44,740 | 5,063,226 |
| Rockwell Automation, Inc. | 38,500 | 6,235,460 |
| Total | | 11,298,686 |
| Machinery 6.6% |
| AGCO Corp. | 118,000 | 7,952,020 |
| Ingersoll-Rand PLC | 77,000 | 7,037,030 |
| PACCAR, Inc. | 121,800 | 8,043,672 |
| Parker-Hannifin Corp. | 32,770 | 5,237,301 |
| Xylem, Inc. | 113,480 | 6,290,196 |
| Total | | 34,560,219 |
| Road & Rail 1.3% |
| Old Dominion Freight Line, Inc. | 71,200 | 6,781,088 |
| Total Industrials | 89,951,839 |
| Information Technology 14.8% |
| Communications Equipment 2.9% |
| Arris International PLC(a) | 211,400 | 5,923,428 |
| Motorola Solutions, Inc. | 106,000 | 9,194,440 |
| Total | | 15,117,868 |
| Electronic Equipment, Instruments & Components 3.4% |
| Avnet, Inc. | 59,950 | 2,330,856 |
| Flex Ltd.(a) | 531,500 | 8,668,765 |
| Keysight Technologies, Inc.(a) | 171,220 | 6,665,594 |
| Total | | 17,665,215 |
| IT Services 4.5% |
| DXC Technology Co. | 101,490 | 7,786,313 |
| Fidelity National Information Services, Inc. | 101,260 | 8,647,604 |
| MAXIMUS, Inc. | 110,000 | 6,889,300 |
| Total | | 23,323,217 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Semiconductors & Semiconductor Equipment 1.5% |
| KLA-Tencor Corp. | 36,470 | 3,337,370 |
| Skyworks Solutions, Inc. | 48,500 | 4,653,575 |
| Total | | 7,990,945 |
| Software 1.0% |
| Synopsys, Inc.(a) | 70,490 | 5,140,836 |
| Technology Hardware, Storage & Peripherals 1.5% |
| Hewlett Packard Enterprise Co. | 468,700 | 7,775,733 |
| Total Information Technology | 77,013,814 |
| Materials 9.4% |
| Chemicals 2.4% |
| Celanese Corp., Class A | 91,500 | 8,687,010 |
| International Flavors & Fragrances, Inc. | 26,850 | 3,624,750 |
| Total | | 12,311,760 |
| Containers & Packaging 5.3% |
| AptarGroup, Inc. | 103,550 | 8,994,353 |
| Avery Dennison Corp. | 84,030 | 7,425,731 |
| Crown Holdings, Inc.(a) | 187,000 | 11,156,420 |
| Total | | 27,576,504 |
| Metals & Mining 1.7% |
| Reliance Steel & Aluminum Co. | 124,072 | 9,033,682 |
| Total Materials | 48,921,946 |
| Real Estate 2.9% |
| Equity Real Estate Investment Trusts (REITS) 2.9% |
| Lamar Advertising Co., Class A | 111,400 | 8,195,698 |
| National Retail Properties, Inc. | 180,800 | 7,069,280 |
| Total | | 15,264,978 |
| Total Real Estate | 15,264,978 |
| Utilities 4.3% |
| Electric Utilities 2.2% |
| Alliant Energy Corp. | 128,380 | 5,157,025 |
| Xcel Energy, Inc. | 136,082 | 6,243,442 |
| Total | | 11,400,467 |
| Gas Utilities 0.8% |
| Atmos Energy Corp. | 52,350 | 4,342,432 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 89 |
Portfolio of Investments (continued)
Variable Portfolio – Victory Sycamore Established Value Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Multi-Utilities 1.3% |
| DTE Energy Co. | 62,330 | 6,593,891 |
| Total Utilities | 22,336,790 |
Total Common Stocks
(Cost $447,651,015) | 514,654,744 |
|
| Money Market Funds 2.1% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(b),(c) | 10,953,618 | 10,953,618 |
Total Money Market Funds
(Cost $10,953,166) | 10,953,618 |
Total Investments
(Cost: $458,604,181) | 525,608,362 |
| Other Assets & Liabilities, Net | | (3,986,877) |
| Net Assets | 521,621,485 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 17,016,374 | 36,659,896 | (42,722,652) | 10,953,618 | (223) | 21,055 | 10,953,618 |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 90 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Victory Sycamore Established Value Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 53,791,236 | — | — | — | 53,791,236 |
| Consumer Staples | 22,545,325 | — | — | — | 22,545,325 |
| Energy | 35,466,520 | — | — | — | 35,466,520 |
| Financials | 106,936,293 | — | — | — | 106,936,293 |
| Health Care | 42,426,003 | — | — | — | 42,426,003 |
| Industrials | 89,951,839 | — | — | — | 89,951,839 |
| Information Technology | 77,013,814 | — | — | — | 77,013,814 |
| Materials | 48,921,946 | — | — | — | 48,921,946 |
| Real Estate | 15,264,978 | — | — | — | 15,264,978 |
| Utilities | 22,336,790 | — | — | — | 22,336,790 |
| Total Common Stocks | 514,654,744 | — | — | — | 514,654,744 |
| Money Market Funds | — | — | — | 10,953,618 | 10,953,618 |
| Total Investments | 514,654,744 | — | — | 10,953,618 | 525,608,362 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 91 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| | Columbia
Variable
Portfolio –
Global
Bond Fund | Columbia
Variable
Portfolio –
Intermediate
Bond Fund | Variable
Portfolio –
BlackRock
Global Inflation-
Protected
Securities Fund |
| Assets | | | |
| Investments, at cost | | | |
| Unaffiliated issuers, at cost | $132,968,982 | $5,900,130,723 | $121,611,275 |
| Affiliated issuers, at cost | 7,527,460 | 36,205,277 | 6,401,816 |
| Options purchased, at cost | — | 2,775,500 | 421,817 |
| Total investments, at cost | 140,496,442 | 5,939,111,500 | 128,434,908 |
| Investments, at value | | | |
| Unaffiliated issuers, at value | 136,603,095 | 5,949,597,537 | 123,681,276 |
| Affiliated issuers, at value | 7,527,698 | 36,208,898 | 6,402,456 |
| Options purchased, at value | — | 1,884,274 | 278,118 |
| Total investments, at value | 144,130,793 | 5,987,690,709 | 130,361,850 |
| Cash | 633 | — | — |
| Foreign currency (identified cost $1,594, $—, $668,576) | 1,578 | — | 663,468 |
| Cash collateral held at broker | 260,000 | 8,677,000 | — |
| Margin deposits | 2,997,713 | — | 618,593 |
| Unrealized appreciation on forward foreign currency exchange contracts | 1,913,993 | — | 421,819 |
| Unrealized appreciation on swap contracts | 7,058 | 16,706,541 | 83,557 |
| Premiums paid on outstanding swap contracts | 469,948 | 52,799,591 | — |
| Receivable for: | | | |
| Investments sold | 33,658 | 58,031,850 | 738,577 |
| Investments sold on a delayed delivery basis | — | 62,474,274 | — |
| Capital shares sold | 46,922 | 210,632 | 20,131 |
| Dividends | 7,021 | 35,228 | 1,027 |
| Interest | 1,326,777 | 27,822,416 | 414,987 |
| Foreign tax reclaims | 301,191 | 23,994 | 31,983 |
| Variation margin for futures contracts | 120,883 | 747,412 | 57,833 |
| Variation margin for swap contracts | 58,488 | 768,120 | 6,286 |
| Expense reimbursement due from Investment Manager | 18,438 | — | 8,616 |
| Prepaid expenses | — | — | 1 |
| Total assets | 151,695,094 | 6,215,987,767 | 133,428,728 |
| Liabilities | | | |
| Option contracts written, at value (premiums received $—, $—, $85,234) | — | — | 27,774 |
| Due to custodian | — | 239,381 | — |
| Unrealized depreciation on forward foreign currency exchange contracts | 1,016,681 | — | 1,434,619 |
| Unrealized depreciation on swap contracts | 49,509 | 18,181,783 | 558,523 |
| Premiums received on outstanding swap contracts | 210,285 | 41,051,506 | — |
| Payable for: | | | |
| Investments purchased | — | 71,047,051 | 711,043 |
| Investments purchased on a delayed delivery basis | 115,110 | 1,049,035,160 | — |
| Capital shares purchased | 152,727 | 5,886,835 | 200,575 |
| Variation margin for futures contracts | 204,794 | 179,045 | 19,232 |
| Variation margin for swap contracts | 162,197 | 1,059,602 | 36,815 |
| Management services fees | 80,681 | 62,327 | 55,507 |
| Distribution and/or service fees | 16,458 | 2,397 | 14,987 |
| Transfer agent fees | 7,447 | 7,990 | 6,530 |
| Compensation of board members | 99,142 | 297,045 | 146,522 |
| Compensation of chief compliance officer | 15 | 557 | 15 |
| Other expenses | 41,403 | 157,185 | 44,296 |
| Other liabilities | — | 1,485 | — |
| Total liabilities | 2,156,449 | 1,187,209,349 | 3,256,438 |
| Net assets applicable to outstanding capital stock | $149,538,645 | $5,028,778,418 | $130,172,290 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 92 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Assets and Liabilities (continued)
June 30, 2017 (Unaudited)
| | Columbia
Variable
Portfolio –
Global
Bond Fund | Columbia
Variable
Portfolio –
Intermediate
Bond Fund | Variable
Portfolio –
BlackRock
Global Inflation-
Protected
Securities Fund |
| Represented by | | | |
| Paid in capital | $150,522,427 | $4,912,856,806 | $138,111,693 |
| Undistributed (excess of distributions over) net investment income | 5,134,347 | 55,441,038 | (3,206,230) |
| Accumulated net realized gain (loss) | (8,478,536) | 14,128,563 | (5,025,099) |
| Unrealized appreciation (depreciation) on: | | | |
| Investments - unaffiliated issuers | 3,634,113 | 49,466,814 | 2,070,001 |
| Investments - affiliated issuers | 238 | 3,621 | 640 |
| Foreign currency translations | 83,040 | — | 2,713 |
| Forward foreign currency exchange contracts | 897,312 | — | (1,012,800) |
| Futures contracts | (408,779) | (1,345,350) | (195,106) |
| Options purchased | — | (891,226) | (143,699) |
| Options contracts written | — | — | 57,460 |
| Swap contracts | (1,845,517) | (881,848) | (487,283) |
| Total - representing net assets applicable to outstanding capital stock | $149,538,645 | $5,028,778,418 | $130,172,290 |
| Class 1 | | | |
| Net assets | $9,465 | $4,341,051,966 | $10,961 |
| Shares outstanding | 1,070 | 424,090,712 | 2,060 |
| Net asset value per share | $8.85 | $10.24 | $5.32 |
| Class 2 | | | |
| Net assets | $9,297,228 | $35,813,656 | $13,440,107 |
| Shares outstanding | 1,064,338 | 3,507,902 | 2,572,009 |
| Net asset value per share | $8.74 | $10.21 | $5.23 |
| Class 3 | | | |
| Net assets | $140,231,952 | $651,912,796 | $116,721,222 |
| Shares outstanding | 15,933,458 | 63,583,831 | 22,008,721 |
| Net asset value per share | $8.80 | $10.25 | $5.30 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 93 |
Statement of Assets and Liabilities (continued)
June 30, 2017 (Unaudited)
| | Variable
Portfolio –
MFS®
Blended
Research® Core
Equity Fund | Variable
Portfolio
– Partners
Small Cap
Value Fund | Variable
Portfolio –
Victory
Sycamore
Established
Value Fund |
| Assets | | | |
| Investments, at cost | | | |
| Unaffiliated issuers, at cost | $1,581,717,472 | $742,913,324 | $447,651,015 |
| Affiliated issuers, at cost | 5,088,307 | 18,236,162 | 10,953,166 |
| Total investments, at cost | 1,586,805,779 | 761,149,486 | 458,604,181 |
| Investments, at value | | | |
| Unaffiliated issuers, at value | 1,829,865,563 | 772,902,304 | 514,654,744 |
| Affiliated issuers, at value | 5,088,381 | 18,237,379 | 10,953,618 |
| Total investments, at value | 1,834,953,944 | 791,139,683 | 525,608,362 |
| Receivable for: | | | |
| Investments sold | 8,320,173 | 2,072,587 | 5,521,432 |
| Capital shares sold | 621,236 | 36,675 | — |
| Dividends | 1,657,814 | 1,197,500 | 489,806 |
| Foreign tax reclaims | 5,770 | 1,319 | 6,088 |
| Expense reimbursement due from Investment Manager | 27,865 | 6,694 | — |
| Prepaid expenses | — | 1 | 1 |
| Total assets | 1,845,586,802 | 794,454,459 | 531,625,689 |
| Liabilities | | | |
| Due to custodian | 5,770 | — | 6,088 |
| Payable for: | | | |
| Investments purchased | — | 4,473,437 | 9,498,604 |
| Capital shares purchased | 2,523,567 | 1,635,023 | 51,544 |
| Management services fees | 1,066,377 | 564,122 | 327,694 |
| Distribution and/or service fees | 6,321 | 13,988 | 12,170 |
| Transfer agent fees | 91,265 | 39,773 | 25,595 |
| Compensation of board members | 118,007 | 102,770 | 51,249 |
| Compensation of chief compliance officer | 199 | 81 | 73 |
| Other expenses | 31,406 | 33,143 | 31,187 |
| Total liabilities | 3,842,912 | 6,862,337 | 10,004,204 |
| Net assets applicable to outstanding capital stock | $1,841,743,890 | $787,592,122 | $521,621,485 |
| Represented by | | | |
| Trust capital | $1,841,743,890 | $787,592,122 | $521,621,485 |
| Total - representing net assets applicable to outstanding capital stock | $1,841,743,890 | $787,592,122 | $521,621,485 |
| Class 1 | | | |
| Net assets | $1,790,353,141 | $658,050,381 | $435,179,588 |
| Shares outstanding | 97,021,785 | 25,041,553 | 18,207,191 |
| Net asset value per share | $18.45 | $26.28 | $23.90 |
| Class 2 | | | |
| Net assets | $9,714,934 | $6,439,295 | $32,973,432 |
| Shares outstanding | 535,192 | 249,508 | 1,403,670 |
| Net asset value per share | $18.15 | $25.81 | $23.49 |
| Class 3 | | | |
| Net assets | $41,675,815 | $123,102,446 | $53,468,465 |
| Shares outstanding | 2,278,308 | 4,730,206 | 2,255,258 |
| Net asset value per share | $18.29 | $26.02 | $23.71 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 94 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| | Columbia
Variable
Portfolio –
Global
Bond Fund | Columbia
Variable
Portfolio –
Intermediate
Bond Fund | Variable
Portfolio –
BlackRock
Global Inflation-
Protected
Securities Fund |
| Net investment income | | | |
| Income: | | | |
| Dividends — unaffiliated issuers | $— | $760,246 | $— |
| Dividends — affiliated issuers | 39,789 | 200,826 | 7,685 |
| Interest | 2,967,265 | 79,941,784 | 1,338,381 |
| Foreign taxes withheld | (1,846) | — | — |
| Total income | 3,005,208 | 80,902,856 | 1,346,066 |
| Expenses: | | | |
| Management services fees | 497,294 | 11,841,851 | 341,570 |
| Distribution and/or service fees | | | |
| Class 2 | 11,170 | 43,313 | 15,502 |
| Class 3 | 90,044 | 418,446 | 75,961 |
| Transfer agent fees | | | |
| Class 1 | 3 | 1,309,491 | 3 |
| Class 2 | 2,680 | 10,395 | 3,721 |
| Class 3 | 43,220 | 200,854 | 36,460 |
| Compensation of board members | 13,405 | 59,560 | 16,947 |
| Custodian fees | 16,795 | 47,144 | 18,454 |
| Printing and postage fees | 21,461 | 80,093 | 17,285 |
| Audit fees | 22,429 | 23,975 | 24,303 |
| Legal fees | 3,651 | 22,055 | 3,576 |
| Compensation of chief compliance officer | 17 | 544 | 15 |
| Other | 4,539 | 43,935 | 4,129 |
| Total expenses | 726,708 | 14,101,656 | 557,926 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (102,761) | — | (40,350) |
| Total net expenses | 623,947 | 14,101,656 | 517,576 |
| Net investment income | 2,381,261 | 66,801,200 | 828,490 |
| Realized and unrealized gain (loss) — net | | | |
| Net realized gain (loss) on: | | | |
| Investments — unaffiliated issuers | (1,108,637) | 38,150,986 | (1,231,622) |
| Investments — affiliated issuers | (1,213) | (9,862) | (317) |
| Foreign currency translations | 130,788 | (27,664) | (14,836) |
| Forward foreign currency exchange contracts | (2,326,969) | (15,256) | (1,903,319) |
| Futures contracts | (291,408) | (6,938,181) | 359,175 |
| Options purchased | — | 3,664,235 | (449,055) |
| Options contracts written | — | 1,719,275 | 252,541 |
| Swap contracts | (1,998,614) | (10,842,839) | 234,564 |
| Net realized gain (loss) | (5,596,053) | 25,700,694 | (2,752,869) |
| Net change in unrealized appreciation (depreciation) on: | | | |
| Investments — unaffiliated issuers | 5,089,847 | 55,758,766 | 4,403,352 |
| Investments — affiliated issuers | 238 | 3,621 | 833 |
| Foreign currency translations | 134,942 | 140 | 86,434 |
| Forward foreign currency exchange contracts | 4,013,417 | 13,944 | (2,183,139) |
| Futures contracts | (410,516) | (897,991) | (182,166) |
| Options purchased | — | (5,304,193) | (54,368) |
| Options contracts written | — | (236,295) | 30,967 |
| Swap contracts | (29,979) | (10,467,605) | (313,147) |
| Net change in unrealized appreciation (depreciation) | 8,797,949 | 38,870,387 | 1,788,766 |
| Net realized and unrealized gain (loss) | 3,201,896 | 64,571,081 | (964,103) |
| Net increase (decrease) in net assets resulting from operations | $5,583,157 | $131,372,281 | $(135,613) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 95 |
Statement of Operations (continued)
Six Months Ended June 30, 2017 (Unaudited)
| | Variable
Portfolio –
MFS®
Blended
Research® Core
Equity Fund | Variable
Portfolio
– Partners
Small Cap
Value Fund | Variable
Portfolio –
Victory
Sycamore
Established
Value Fund |
| Net investment income | | | |
| Income: | | | |
| Dividends — unaffiliated issuers | $16,555,866 | $6,479,245 | $3,864,017 |
| Dividends — affiliated issuers | 37,976 | 137,568 | 21,055 |
| Foreign taxes withheld | — | (14,640) | (7,376) |
| Total income | 16,593,842 | 6,602,173 | 3,877,696 |
| Expenses: | | | |
| Management services fees | 6,344,487 | 3,532,881 | 1,945,514 |
| Distribution and/or service fees | | | |
| Class 2 | 11,522 | 7,521 | 37,587 |
| Class 3 | 26,698 | 79,346 | 31,775 |
| Transfer agent fees | | | |
| Class 1 | 526,010 | 209,487 | 127,512 |
| Class 2 | 2,765 | 1,805 | 9,021 |
| Class 3 | 12,815 | 38,085 | 15,251 |
| Compensation of board members | 24,969 | 17,998 | 11,831 |
| Custodian fees | 5,188 | 13,943 | 6,036 |
| Printing and postage fees | 6,953 | 27,389 | 10,228 |
| Audit fees | 15,279 | 15,279 | 15,279 |
| Legal fees | 9,784 | 6,284 | 4,968 |
| Compensation of chief compliance officer | 193 | 102 | 47 |
| Other | 16,594 | 9,705 | 6,598 |
| Total expenses | 7,003,257 | 3,959,825 | 2,221,647 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (77,431) | (6,713) | (112) |
| Total net expenses | 6,925,826 | 3,953,112 | 2,221,535 |
| Net investment income | 9,668,016 | 2,649,061 | 1,656,161 |
| Realized and unrealized gain (loss) — net | | | |
| Net realized gain (loss) on: | | | |
| Investments — unaffiliated issuers | 22,282,432 | 128,887,968 | 17,000,025 |
| Investments — affiliated issuers | (288) | (238) | (223) |
| Net realized gain | 22,282,144 | 128,887,730 | 16,999,802 |
| Net change in unrealized appreciation (depreciation) on: | | | |
| Investments — unaffiliated issuers | 114,438,481 | (126,624,972) | 7,389,116 |
| Investments — affiliated issuers | 90 | 1,258 | 581 |
| Net change in unrealized appreciation (depreciation) | 114,438,571 | (126,623,714) | 7,389,697 |
| Net realized and unrealized gain | 136,720,715 | 2,264,016 | 24,389,499 |
| Net increase in net assets resulting from operations | $146,388,731 | $4,913,077 | $26,045,660 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 96 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Changes in Net Assets
| | Columbia Variable Portfolio –
Global Bond Fund | Columbia Variable Portfolio –
Intermediate Bond Fund |
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | | | |
| Net investment income | $2,381,261 | $5,368,985 | $66,801,200 | $150,600,715 |
| Net realized gain (loss) | (5,596,053) | (13,581,695) | 25,700,694 | 17,759,161 |
| Net change in unrealized appreciation (depreciation) | 8,797,949 | 7,309,321 | 38,870,387 | 77,747,540 |
| Net increase (decrease) in net assets resulting from operations | 5,583,157 | (903,389) | 131,372,281 | 246,107,416 |
| Distributions to shareholders | | | | |
| Net investment income | | | | |
| Class 1 | — | — | (121,092,237) | (82,297,082) |
| Class 2 | — | — | (911,274) | (465,389) |
| Class 3 | — | — | (17,404,623) | (12,198,509) |
| Net realized gains | | | | |
| Class 1 | — | (259) | (36,670,304) | (2,794,513) |
| Class 2 | — | (255,165) | (302,699) | (18,428) |
| Class 3 | — | (4,509,848) | (5,503,958) | (445,987) |
| Total distributions to shareholders | — | (4,765,272) | (181,885,095) | (98,219,908) |
| Decrease in net assets from capital stock activity | (11,716,406) | (27,001,938) | (27,710,268) | (230,494,069) |
| Total decrease in net assets | (6,133,249) | (32,670,599) | (78,223,082) | (82,606,561) |
| Net assets at beginning of period | 155,671,894 | 188,342,493 | 5,107,001,500 | 5,189,608,061 |
| Net assets at end of period | $149,538,645 | $155,671,894 | $5,028,778,418 | $5,107,001,500 |
| Undistributed net investment income | $5,134,347 | $2,753,086 | $55,441,038 | $128,047,972 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 97 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
BlackRock Global Inflation-Protected
Securities Fund | Variable Portfolio –
MFS® Blended Research®
Core Equity Fund |
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | | | |
| Net investment income | $828,490 | $62,597 | $9,668,016 | $23,547,703 |
| Net realized gain (loss) | (2,752,869) | 3,318,951 | 22,282,144 | 144,171,543 |
| Net change in unrealized appreciation (depreciation) | 1,788,766 | 7,967,515 | 114,438,571 | (8,241,772) |
| Net increase (decrease) in net assets resulting from operations | (135,613) | 11,349,063 | 146,388,731 | 159,477,474 |
| Distributions to shareholders | | | | |
| Net investment income | | | | |
| Class 1 | (267) | — | — | — |
| Class 2 | (300,097) | — | — | — |
| Class 3 | (2,706,529) | — | — | — |
| Net realized gains | | | | |
| Class 1 | (95) | — | — | — |
| Class 2 | (119,221) | — | — | — |
| Class 3 | (1,020,736) | — | — | — |
| Total distributions to shareholders | (4,146,945) | — | — | — |
| Increase (decrease) in net assets from capital stock activity | 343,620 | (20,422,401) | (26,329,078) | (184,562,722) |
| Total increase (decrease) in net assets | (3,938,938) | (9,073,338) | 120,059,653 | (25,085,248) |
| Net assets at beginning of period | 134,111,228 | 143,184,566 | 1,721,684,237 | 1,746,769,485 |
| Net assets at end of period | $130,172,290 | $134,111,228 | $1,841,743,890 | $1,721,684,237 |
| Excess of distributions over net investment income | $(3,206,230) | $(1,027,827) | $— | $— |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 98 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
Partners Small Cap Value Fund | Variable Portfolio –
Victory Sycamore Established Value Fund |
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | | | |
| Net investment income | $2,649,061 | $3,526,085 | $1,656,161 | $2,403,519 |
| Net realized gain | 128,887,730 | 27,562,613 | 16,999,802 | 7,338,524 |
| Net change in unrealized appreciation (depreciation) | (126,623,714) | 174,519,482 | 7,389,697 | 55,886,567 |
| Net increase in net assets resulting from operations | 4,913,077 | 205,608,180 | 26,045,660 | 65,628,610 |
| Increase (decrease) in net assets from capital stock activity | (70,186,114) | (471,649,882) | 15,561,808 | 195,890,109 |
| Total increase (decrease) in net assets | (65,273,037) | (266,041,702) | 41,607,468 | 261,518,719 |
| Net assets at beginning of period | 852,865,159 | 1,118,906,861 | 480,014,017 | 218,495,298 |
| Net assets at end of period | $787,592,122 | $852,865,159 | $521,621,485 | $480,014,017 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 99 |
Statement of Changes in Net Assets (continued)
| | Columbia Variable Portfolio –
Global Bond Fund | Columbia Variable Portfolio –
Intermediate Bond Fund |
| | Six Months Ended | Year Ended | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | | | | | |
| Subscriptions | — | — | — | — | 5,124,161 | 53,773,846 | 19,858,661 | 206,016,255 |
| Distributions reinvested | — | — | 28 | 259 | 15,391,468 | 157,762,541 | 8,134,952 | 85,091,595 |
| Redemptions | — | — | — | — | (20,050,634) | (210,441,970) | (42,672,325) | (446,921,181) |
| Net increase (decrease) | — | — | 28 | 259 | 464,995 | 1,094,417 | (14,678,712) | (155,813,331) |
| Class 2 | | | | | | | | |
| Subscriptions | 82,540 | 712,709 | 136,841 | 1,231,319 | 361,901 | 3,786,068 | 1,268,475 | 13,114,671 |
| Distributions reinvested | — | — | 28,226 | 255,165 | 118,784 | 1,213,973 | 46,343 | 483,817 |
| Redemptions | (63,560) | (545,508) | (145,487) | (1,292,754) | (286,465) | (2,995,025) | (489,562) | (5,069,477) |
| Net increase | 18,980 | 167,201 | 19,580 | 193,730 | 194,220 | 2,005,016 | 825,256 | 8,529,011 |
| Class 3 | | | | | | | | |
| Subscriptions | 144,428 | 1,237,297 | 90,865 | 835,627 | 262,610 | 2,739,478 | 748,713 | 7,802,466 |
| Distributions reinvested | — | — | 495,588 | 4,509,848 | 2,230,631 | 22,908,581 | 1,206,536 | 12,644,496 |
| Redemptions | (1,512,179) | (13,120,904) | (3,602,738) | (32,541,402) | (5,381,417) | (56,457,760) | (9,959,047) | (103,656,711) |
| Net decrease | (1,367,751) | (11,883,607) | (3,016,285) | (27,195,927) | (2,888,176) | (30,809,701) | (8,003,798) | (83,209,749) |
| Total net decrease | (1,348,771) | (11,716,406) | (2,996,677) | (27,001,938) | (2,228,961) | (27,710,268) | (21,857,254) | (230,494,069) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 100 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
BlackRock Global Inflation-Protected
Securities Fund | Variable Portfolio –
MFS® Blended Research®
Core Equity Fund |
| | Six Months Ended | Year Ended | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | | | | | |
| Subscriptions | — | — | — | — | 5,754,586 | 102,750,479 | 3,654,330 | 59,220,233 |
| Distributions reinvested | 68 | 362 | — | — | — | — | — | — |
| Redemptions | (94) | (515) | — | — | (6,961,319) | (124,874,620) | (14,653,344) | (235,134,598) |
| Net decrease | (26) | (153) | — | — | (1,206,733) | (22,124,141) | (10,999,014) | (175,914,365) |
| Class 2 | | | | | | | | |
| Subscriptions | 667,843 | 3,627,543 | 1,143,860 | 6,148,700 | 48,145 | 853,376 | 63,962 | 1,007,942 |
| Distributions reinvested | 80,329 | 419,318 | — | — | — | — | — | — |
| Redemptions | (174,415) | (955,300) | (729,417) | (3,863,543) | (23,408) | (415,497) | (92,341) | (1,444,068) |
| Net increase (decrease) | 573,757 | 3,091,561 | 414,443 | 2,285,157 | 24,737 | 437,879 | (28,379) | (436,126) |
| Class 3 | | | | | | | | |
| Subscriptions | 517,414 | 2,828,731 | 657,581 | 3,506,015 | 14,249 | 252,990 | 66,161 | 1,025,564 |
| Distributions reinvested | 703,258 | 3,727,265 | — | — | — | — | — | — |
| Redemptions | (1,686,388) | (9,303,784) | (4,937,655) | (26,213,573) | (275,261) | (4,895,806) | (581,049) | (9,237,795) |
| Net decrease | (465,716) | (2,747,788) | (4,280,074) | (22,707,558) | (261,012) | (4,642,816) | (514,888) | (8,212,231) |
| Total net increase (decrease) | 108,015 | 343,620 | (3,865,631) | (20,422,401) | (1,443,008) | (26,329,078) | (11,542,281) | (184,562,722) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 101 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
Partners Small Cap Value Fund | Variable Portfolio –
Victory Sycamore Established Value Fund |
| | Six Months Ended | Year Ended | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | | | | | |
| Subscriptions | 488,205 | 12,567,981 | 1,739,669 | 33,839,199 | 270,228 | 6,401,976 | 9,403,857 | 192,265,569 |
| Redemptions | (2,706,808) | (71,571,517) | (21,848,290) | (481,872,026) | (130,043) | (3,057,961) | (733,595) | (14,534,093) |
| Net increase (decrease) | (2,218,603) | (59,003,536) | (20,108,621) | (448,032,827) | 140,185 | 3,344,015 | 8,670,262 | 177,731,476 |
| Class 2 | | | | | | | | |
| Subscriptions | 43,420 | 1,112,550 | 63,626 | 1,409,765 | 301,148 | 6,981,948 | 509,648 | 10,580,072 |
| Redemptions | (17,544) | (451,800) | (35,883) | (764,473) | (70,603) | (1,655,457) | (115,661) | (2,244,631) |
| Net increase | 25,876 | 660,750 | 27,743 | 645,292 | 230,545 | 5,326,491 | 393,987 | 8,335,441 |
| Class 3 | | | | | | | | |
| Subscriptions | 30,238 | 777,451 | 111,087 | 2,121,232 | 363,457 | 8,447,807 | 562,326 | 11,528,988 |
| Redemptions | (489,050) | (12,620,779) | (1,188,657) | (26,383,579) | (66,203) | (1,556,505) | (85,522) | (1,705,796) |
| Net increase (decrease) | (458,812) | (11,843,328) | (1,077,570) | (24,262,347) | 297,254 | 6,891,302 | 476,804 | 9,823,192 |
| Total net increase (decrease) | (2,651,539) | (70,186,114) | (21,158,448) | (471,649,882) | 667,984 | 15,561,808 | 9,541,053 | 195,890,109 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 102 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
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Columbia Variable Portfolio Funds | Semiannual Report 2017
| 103 |
Financial Highlights
Columbia Variable Portfolio – Global Bond Fund
The following tables are intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income | Distributions
from net
realized
gains |
| Class 1 |
| 6/30/2017 (c) | $8.53 | 0.14 | 0.18 | 0.32 | — | — |
| 12/31/2016 | $8.85 | 0.29 | (0.36) | (0.07) | — | (0.25) |
| 12/31/2015 | $10.26 | 0.30 | (0.87) | (0.57) | — | (0.84) |
| 12/31/2014 | $10.60 | 0.32 | (0.21) | 0.11 | — | (0.45) |
| 12/31/2013 | $12.20 | 0.30 | (1.19) | (0.89) | (0.64) | (0.07) |
| 12/31/2012 | $11.85 | 0.34 | 0.41 | 0.75 | (0.34) | (0.06) |
| Class 2 |
| 6/30/2017 (c) | $8.43 | 0.13 | 0.18 | 0.31 | — | — |
| 12/31/2016 | $8.78 | 0.26 | (0.36) | (0.10) | — | (0.25) |
| 12/31/2015 | $10.20 | 0.32 | (0.90) | (0.58) | — | (0.84) |
| 12/31/2014 | $10.57 | 0.30 | (0.22) | 0.08 | — | (0.45) |
| 12/31/2013 | $12.19 | 0.28 | (1.19) | (0.91) | (0.64) | (0.07) |
| 12/31/2012 | $11.83 | 0.31 | 0.42 | 0.73 | (0.31) | (0.06) |
| Class 3 |
| 6/30/2017 (c) | $8.49 | 0.13 | 0.18 | 0.31 | — | — |
| 12/31/2016 | $8.83 | 0.27 | (0.36) | (0.09) | — | (0.25) |
| 12/31/2015 | $10.25 | 0.33 | (0.91) | (0.58) | — | (0.84) |
| 12/31/2014 | $10.59 | 0.31 | (0.20) | 0.11 | — | (0.45) |
| 12/31/2013 | $12.21 | 0.29 | (1.20) | (0.91) | (0.64) | (0.07) |
| 12/31/2012 | $11.85 | 0.32 | 0.42 | 0.74 | (0.32) | (0.06) |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 104 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| — | $8.85 | 3.75% | 0.81% (d) | 0.68% (d) | 3.25% (d) | 25% | $9 |
| (0.25) | $8.53 | (1.00%) | 0.79% | 0.70% | 3.17% | 162% | $9 |
| (0.84) | $8.85 | (6.08%) | 0.75% | 0.75% | 2.88% | 109% | $9 |
| (0.45) | $10.26 | 0.89% | 0.74% | 0.73% | 3.02% | 68% | $435,907 |
| (0.71) | $10.60 | (7.60%) | 0.73% | 0.72% | 2.69% | 46% | $556,739 |
| (0.40) | $12.20 | 6.43% | 0.71% | 0.71% | 2.80% | 42% | $1,168,704 |
| |
| — | $8.74 | 3.68% | 1.07% (d) | 0.93% (d) | 3.00% (d) | 25% | $9,297 |
| (0.25) | $8.43 | (1.35%) | 1.05% | 0.95% | 2.92% | 162% | $8,812 |
| (0.84) | $8.78 | (6.22%) | 1.04% | 0.98% | 3.30% | 109% | $9,004 |
| (0.45) | $10.20 | 0.60% | 1.00% | 0.98% | 2.79% | 68% | $9,375 |
| (0.71) | $10.57 | (7.83%) | 0.98% | 0.98% | 2.53% | 46% | $9,899 |
| (0.37) | $12.19 | 6.29% | 0.96% | 0.96% | 2.55% | 42% | $9,792 |
| |
| — | $8.80 | 3.65% | 0.94% (d) | 0.81% (d) | 3.12% (d) | 25% | $140,232 |
| (0.25) | $8.49 | (1.23%) | 0.92% | 0.83% | 3.03% | 162% | $146,851 |
| (0.84) | $8.83 | (6.17%) | 0.91% | 0.86% | 3.42% | 109% | $179,329 |
| (0.45) | $10.25 | 0.89% | 0.87% | 0.85% | 2.90% | 68% | $235,986 |
| (0.71) | $10.59 | (7.79%) | 0.86% | 0.85% | 2.61% | 46% | $293,552 |
| (0.38) | $12.21 | 6.38% | 0.83% | 0.83% | 2.68% | 42% | $419,392 |
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 105 |
Financial Highlights
Columbia Variable Portfolio – Intermediate Bond Fund
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income | Distributions
from net
realized
gains |
| Class 1 |
| 6/30/2017 (c) | $10.35 | 0.14 | 0.14 | 0.28 | (0.30) | (0.09) |
| 12/31/2016 | $10.07 | 0.30 | 0.17 | 0.47 | (0.18) | (0.01) |
| 12/31/2015 | $10.22 | 0.25 | (0.22) | 0.03 | (0.15) | (0.03) |
| 12/31/2014 | $10.01 | 0.28 | 0.26 | 0.54 | (0.28) | (0.05) |
| 12/31/2013 | $11.26 | 0.30 | (0.56) | (0.26) | (0.50) | (0.49) |
| 12/31/2012 | $11.19 | 0.39 | 0.44 | 0.83 | (0.46) | (0.30) |
| Class 2 |
| 6/30/2017 (c) | $10.31 | 0.13 | 0.13 | 0.26 | (0.27) | (0.09) |
| 12/31/2016 | $10.03 | 0.27 | 0.18 | 0.45 | (0.16) | (0.01) |
| 12/31/2015 | $10.19 | 0.22 | (0.23) | (0.01) | (0.12) | (0.03) |
| 12/31/2014 | $9.98 | 0.26 | 0.26 | 0.52 | (0.26) | (0.05) |
| 12/31/2013 | $11.22 | 0.27 | (0.55) | (0.28) | (0.47) | (0.49) |
| 12/31/2012 | $11.16 | 0.35 | 0.46 | 0.81 | (0.45) | (0.30) |
| Class 3 |
| 6/30/2017 (c) | $10.36 | 0.13 | 0.13 | 0.26 | (0.28) | (0.09) |
| 12/31/2016 | $10.08 | 0.28 | 0.18 | 0.46 | (0.17) | (0.01) |
| 12/31/2015 | $10.23 | 0.24 | (0.22) | 0.02 | (0.14) | (0.03) |
| 12/31/2014 | $10.02 | 0.27 | 0.26 | 0.53 | (0.27) | (0.05) |
| 12/31/2013 | $11.27 | 0.29 | (0.56) | (0.27) | (0.49) | (0.49) |
| 12/31/2012 | $11.20 | 0.38 | 0.44 | 0.82 | (0.45) | (0.30) |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 106 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| (0.39) | $10.24 | 2.66% | 0.54% (d) | 0.54% (d) | 2.65% (d) | 225% | $4,341,052 |
| (0.19) | $10.35 | 4.68% | 0.54% | 0.54% | 2.86% | 400% | $4,384,210 |
| (0.18) | $10.07 | 0.30% | 0.54% | 0.54% | 2.42% | 477% | $4,413,919 |
| (0.33) | $10.22 | 5.47% | 0.55% | 0.55% | 2.78% | 271% | $2,042,053 |
| (0.99) | $10.01 | (2.25%) | 0.55% | 0.55% | 2.81% | 258% | $1,868,361 |
| (0.76) | $11.26 | 7.70% | 0.54% | 0.54% | 3.49% | 198% | $2,472,928 |
| |
| (0.36) | $10.21 | 2.51% | 0.79% (d) | 0.79% (d) | 2.40% (d) | 225% | $35,814 |
| (0.17) | $10.31 | 4.43% | 0.79% | 0.79% | 2.60% | 400% | $34,167 |
| (0.15) | $10.03 | (0.05%) | 0.80% | 0.80% | 2.18% | 477% | $24,967 |
| (0.31) | $10.19 | 5.20% | 0.80% | 0.80% | 2.53% | 271% | $23,942 |
| (0.96) | $9.98 | (2.44%) | 0.81% | 0.81% | 2.56% | 258% | $24,527 |
| (0.75) | $11.22 | 7.49% | 0.80% | 0.80% | 3.15% | 198% | $30,024 |
| |
| (0.37) | $10.25 | 2.53% | 0.66% (d) | 0.66% (d) | 2.53% (d) | 225% | $651,913 |
| (0.18) | $10.36 | 4.54% | 0.66% | 0.66% | 2.74% | 400% | $688,625 |
| (0.17) | $10.08 | 0.17% | 0.67% | 0.67% | 2.30% | 477% | $750,722 |
| (0.32) | $10.23 | 5.32% | 0.68% | 0.68% | 2.66% | 271% | $886,140 |
| (0.98) | $10.02 | (2.39%) | 0.68% | 0.68% | 2.68% | 258% | $1,033,511 |
| (0.75) | $11.27 | 7.56% | 0.67% | 0.67% | 3.35% | 198% | $1,485,918 |
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 107 |
Financial Highlights
Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income | Distributions
from net
realized
gains |
| Class 1 |
| 6/30/2017 (c) | $5.51 | 0.04 | (0.05) | (0.01) | (0.13) | (0.05) |
| 12/31/2016 | $5.07 | 0.01 | 0.43 | 0.44 | — | — |
| 12/31/2015 | $9.49 | (0.07) | (0.01) (e) | (0.08) | (3.51) | (0.83) |
| 12/31/2014 | $8.74 | 0.10 | 0.65 | 0.75 | — | — |
| 12/31/2013 | $9.56 | 0.07 | (0.58) | (0.51) | (0.00) (g) | (0.31) |
| 12/31/2012 | $9.58 | 0.20 | 0.35 | 0.55 | (0.45) | (0.12) |
| Class 2 |
| 6/30/2017 (c) | $5.41 | 0.03 | (0.04) | (0.01) | (0.12) | (0.05) |
| 12/31/2016 | $4.99 | 0.00 (g) | 0.42 | 0.42 | — | — |
| 12/31/2015 | $9.41 | (0.02) | (0.08) (e) | (0.10) | (3.49) | (0.83) |
| 12/31/2014 | $8.68 | 0.07 | 0.66 | 0.73 | — | — |
| 12/31/2013 | $9.52 | 0.05 | (0.58) | (0.53) | — | (0.31) |
| 12/31/2012 | $9.55 | 0.17 | 0.35 | 0.52 | (0.43) | (0.12) |
| Class 3 |
| 6/30/2017 (c) | $5.49 | 0.03 | (0.05) | (0.02) | (0.13) | (0.04) |
| 12/31/2016 | $5.06 | 0.00 (g) | 0.43 | 0.43 | — | — |
| 12/31/2015 | $9.48 | (0.02) | (0.07) (e) | (0.09) | (3.50) | (0.83) |
| 12/31/2014 | $8.73 | 0.09 | 0.66 | 0.75 | — | — |
| 12/31/2013 | $9.56 | 0.06 | (0.58) | (0.52) | — | (0.31) |
| 12/31/2012 | $9.59 | 0.19 | 0.33 | 0.52 | (0.43) | (0.12) |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
| (f) | Ratios include line of credit interest expense which is less than 0.01%. |
| (g) | Rounds to zero. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 108 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income (loss)
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| (0.18) | $5.32 | (0.15%) | 0.69% (d) | 0.64% (d) | 1.37% (d) | 44% | $11 |
| — | $5.51 | 8.68% | 0.68% | 0.64% | 0.18% | 72% | $11 |
| (4.34) | $5.07 | (1.38%) | 0.58% | 0.58% | (0.77%) | 89% | $11 |
| — | $9.49 | 8.58% | 0.57% (f) | 0.57% (f) | 1.14% | 94% | $1,296,797 |
| (0.31) | $8.74 | (5.37%) | 0.56% | 0.56% | 0.80% | 97% | $1,765,508 |
| (0.57) | $9.56 | 5.86% | 0.55% | 0.55% | 2.09% | 61% | $2,635,289 |
| |
| (0.17) | $5.23 | (0.21%) | 0.95% (d) | 0.89% (d) | 1.17% (d) | 44% | $13,440 |
| — | $5.41 | 8.42% | 0.93% | 0.89% | (0.07%) | 72% | $10,801 |
| (4.32) | $4.99 | (1.64%) | 0.89% | 0.86% | (0.28%) | 89% | $7,898 |
| — | $9.41 | 8.41% | 0.82% (f) | 0.82% (f) | 0.81% | 94% | $7,022 |
| (0.31) | $8.68 | (5.61%) | 0.81% | 0.81% | 0.57% | 97% | $6,693 |
| (0.55) | $9.52 | 5.61% | 0.80% | 0.80% | 1.79% | 61% | $9,443 |
| |
| (0.17) | $5.30 | (0.28%) | 0.82% (d) | 0.76% (d) | 1.24% (d) | 44% | $116,721 |
| — | $5.49 | 8.50% | 0.80% | 0.77% | 0.05% | 72% | $123,299 |
| (4.33) | $5.06 | (1.49%) | 0.76% | 0.74% | (0.23%) | 89% | $135,276 |
| — | $9.48 | 8.59% | 0.69% (f) | 0.69% (f) | 1.00% | 94% | $166,432 |
| (0.31) | $8.73 | (5.48%) | 0.68% | 0.68% | 0.66% | 97% | $198,342 |
| (0.55) | $9.56 | 5.61% | 0.68% | 0.68% | 1.95% | 61% | $299,702 |
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 109 |
Financial Highlights
Variable Portfolio – MFS® Blended Research® Core Equity Fund
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| 6/30/2017 (c) | $17.00 | 0.10 | 1.35 | 1.45 |
| 12/31/2016 | $15.49 | 0.22 | 1.29 | 1.51 |
| 12/31/2015 | $15.40 | 0.64 (e) | (0.55) | 0.09 |
| 12/31/2014 | $13.76 | 0.24 | 1.40 | 1.64 |
| 12/31/2013 | $10.71 | 0.22 | 2.83 | 3.05 |
| 12/31/2012 | $9.65 | 0.15 | 0.91 | 1.06 |
| Class 2 |
| 6/30/2017 (c) | $16.75 | 0.07 | 1.33 | 1.40 |
| 12/31/2016 | $15.29 | 0.18 | 1.28 | 1.46 |
| 12/31/2015 | $15.24 | 0.65 (f) | (0.60) | 0.05 |
| 12/31/2014 | $13.66 | 0.20 | 1.38 | 1.58 |
| 12/31/2013 | $10.65 | 0.18 | 2.83 | 3.01 |
| 12/31/2012 | $9.63 | 0.13 | 0.89 | 1.02 |
| Class 3 |
| 6/30/2017 (c) | $16.87 | 0.08 | 1.34 | 1.42 |
| 12/31/2016 | $15.38 | 0.20 | 1.29 | 1.49 |
| 12/31/2015 | $15.31 | 0.62 (g) | (0.55) | 0.07 |
| 12/31/2014 | $13.70 | 0.22 | 1.39 | 1.61 |
| 12/31/2013 | $10.67 | 0.20 | 2.83 | 3.03 |
| 12/31/2012 | $9.64 | 0.14 | 0.89 | 1.03 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.39 per share. |
| (f) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.43 per share. |
| (g) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.39 per share. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 110 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $18.45 | 8.53% | 0.77% (d) | 0.76% (d) | 1.08% (d) | 21% | $1,790,353 |
| $17.00 | 9.75% | 0.79% | 0.77% | 1.39% | 115% | $1,670,305 |
| $15.49 | 0.58% | 0.82% | 0.77% | 4.14% | 67% | $1,691,555 |
| $15.40 | 11.92% | 0.82% | 0.77% | 1.65% | 49% | $1,901,583 |
| $13.76 | 28.48% | 0.84% | 0.77% | 1.74% | 29% | $1,454,206 |
| $10.71 | 10.98% | 0.84% | 0.78% | 1.41% | 85% | $893,849 |
| |
| $18.15 | 8.36% | 1.02% (d) | 1.01% (d) | 0.82% (d) | 21% | $9,715 |
| $16.75 | 9.55% | 1.04% | 1.02% | 1.13% | 115% | $8,549 |
| $15.29 | 0.33% | 1.07% | 1.02% | 4.22% | 67% | $8,239 |
| $15.24 | 11.57% | 1.07% | 1.02% | 1.40% | 49% | $6,188 |
| $13.66 | 28.26% | 1.09% | 1.02% | 1.49% | 29% | $4,593 |
| $10.65 | 10.59% | 1.09% | 1.03% | 1.25% | 85% | $2,124 |
| |
| $18.29 | 8.42% | 0.90% (d) | 0.89% (d) | 0.95% (d) | 21% | $41,676 |
| $16.87 | 9.69% | 0.92% | 0.90% | 1.27% | 115% | $42,830 |
| $15.38 | 0.46% | 0.95% | 0.89% | 4.04% | 67% | $46,975 |
| $15.31 | 11.75% | 0.95% | 0.90% | 1.52% | 49% | $54,159 |
| $13.70 | 28.40% | 0.96% | 0.90% | 1.62% | 29% | $59,983 |
| $10.67 | 10.68% | 0.96% | 0.90% | 1.30% | 85% | $53,529 |
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 111 |
Financial Highlights
Variable Portfolio – Partners Small Cap Value Fund
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Increase
from payment
by affiliate | Total from
investment
operations |
| Class 1 |
| 6/30/2017 (c) | $26.14 | 0.09 | 0.05 | — | 0.14 |
| 12/31/2016 | $20.81 | 0.09 | 5.24 | 0.00 (e) | 5.33 |
| 12/31/2015 | $22.92 | 0.19 | (2.30) | — | (2.11) |
| 12/31/2014 | $22.43 | 0.11 | 0.38 | — | 0.49 |
| 12/31/2013 | $16.61 | 0.08 | 5.74 | — | 5.82 |
| 12/31/2012 | $14.62 | 0.18 | 1.81 | — | 1.99 |
| Class 2 |
| 6/30/2017 (c) | $25.71 | 0.06 | 0.04 | — | 0.10 |
| 12/31/2016 | $20.51 | 0.04 | 5.16 | 0.00 (e) | 5.20 |
| 12/31/2015 | $22.65 | 0.14 | (2.28) | — | (2.14) |
| 12/31/2014 | $22.22 | 0.06 | 0.37 | — | 0.43 |
| 12/31/2013 | $16.50 | 0.03 | 5.69 | — | 5.72 |
| 12/31/2012 | $14.56 | 0.15 | 1.79 | — | 1.94 |
| Class 3 |
| 6/30/2017 (c) | $25.91 | 0.07 | 0.04 | — | 0.11 |
| 12/31/2016 | $20.64 | 0.06 | 5.21 | 0.00 (e) | 5.27 |
| 12/31/2015 | $22.77 | 0.17 | (2.30) | — | (2.13) |
| 12/31/2014 | $22.31 | 0.08 | 0.38 | — | 0.46 |
| 12/31/2013 | $16.55 | 0.05 | 5.71 | — | 5.76 |
| 12/31/2012 | $14.58 | 0.15 | 1.82 | — | 1.97 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Rounds to zero. |
| (f) | The Fund received a payment from an affiliate. Had the Fund not received this payment, the total return would have been lower by 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 112 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $26.28 | 0.54% | 0.93% (d) | 0.93% (d) | 0.66% (d) | 93% | $658,050 |
| $26.14 | 25.61% (f) | 1.02% | 0.93% | 0.40% | 60% | $712,682 |
| $20.81 | (9.21%) | 1.07% | 0.93% | 0.84% | 48% | $985,530 |
| $22.92 | 2.18% | 1.05% | 0.88% | 0.50% | 83% | $1,469,779 |
| $22.43 | 35.04% | 1.05% | 0.89% | 0.40% | 69% | $1,673,954 |
| $16.61 | 13.61% | 1.06% | 0.94% | 1.12% | 60% | $1,428,971 |
| |
| $25.81 | 0.39% | 1.18% (d) | 1.18% (d) | 0.43% (d) | 93% | $6,439 |
| $25.71 | 25.35% (f) | 1.25% | 1.18% | 0.17% | 60% | $5,749 |
| $20.51 | (9.45%) | 1.32% | 1.18% | 0.65% | 48% | $4,017 |
| $22.65 | 1.94% | 1.30% | 1.13% | 0.25% | 83% | $3,845 |
| $22.22 | 34.67% | 1.31% | 1.14% | 0.15% | 69% | $3,715 |
| $16.50 | 13.32% | 1.31% | 1.19% | 0.99% | 60% | $1,730 |
| |
| $26.02 | 0.42% | 1.06% (d) | 1.06% (d) | 0.53% (d) | 93% | $123,102 |
| $25.91 | 25.53% (f) | 1.13% | 1.05% | 0.29% | 60% | $134,434 |
| $20.64 | (9.36%) | 1.19% | 1.05% | 0.77% | 48% | $129,360 |
| $22.77 | 2.06% | 1.17% | 1.01% | 0.37% | 83% | $171,426 |
| $22.31 | 34.80% | 1.18% | 1.01% | 0.28% | 69% | $211,018 |
| $16.55 | 13.51% | 1.18% | 1.07% | 0.95% | 60% | $200,780 |
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 113 |
Financial Highlights
Variable Portfolio – Victory Sycamore Established Value Fund
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| 6/30/2017 (c) | $22.68 | 0.08 | 1.14 | 1.22 |
| 12/31/2016 | $18.78 | 0.15 | 3.75 | 3.90 |
| 12/31/2015 | $18.73 | 0.14 | (0.09) (e) | 0.05 |
| 12/31/2014 | $16.69 | 0.19 | 1.85 | 2.04 |
| 12/31/2013 | $12.27 | 0.11 | 4.31 | 4.42 |
| 12/31/2012 | $10.48 | 0.14 | 1.65 | 1.79 |
| Class 2 |
| 6/30/2017 (c) | $22.32 | 0.05 | 1.12 | 1.17 |
| 12/31/2016 | $18.52 | 0.10 | 3.70 | 3.80 |
| 12/31/2015 | $18.52 | 0.12 | (0.12) (e) | 0.00 (g) |
| 12/31/2014 | $16.55 | 0.17 | 1.80 | 1.97 |
| 12/31/2013 | $12.20 | 0.08 | 4.27 | 4.35 |
| 12/31/2012 | $10.44 | 0.12 | 1.64 | 1.76 |
| Class 3 |
| 6/30/2017 (c) | $22.51 | 0.07 | 1.13 | 1.20 |
| 12/31/2016 | $18.66 | 0.12 | 3.73 | 3.85 |
| 12/31/2015 | $18.63 | 0.14 | (0.11) (e) | 0.03 |
| 12/31/2014 | $16.63 | 0.18 | 1.82 | 2.00 |
| 12/31/2013 | $12.24 | 0.09 | 4.30 | 4.39 |
| 12/31/2012 | $10.47 | 0.12 | 1.65 | 1.77 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
| (f) | Ratios include line of credit interest expense which is less than 0.01%. |
| (g) | Rounds to zero. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 114 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $23.90 | 5.38% | 0.85% (d) | 0.85% (d) | 0.68% (d) | 22% | $435,180 |
| $22.68 | 20.77% | 0.88% | 0.86% | 0.74% | 46% | $409,756 |
| $18.78 | 0.27% | 0.91% | 0.89% | 0.71% | 53% | $176,428 |
| $18.73 | 12.22% | 0.90% | 0.89% | 1.10% | 45% | $814,123 |
| $16.69 | 36.02% | 0.89% (f) | 0.88% (f) | 0.74% | 45% | $1,006,504 |
| $12.27 | 17.08% | 0.90% | 0.87% | 1.18% | 151% | $951,190 |
| |
| $23.49 | 5.24% | 1.10% (d) | 1.10% (d) | 0.44% (d) | 22% | $32,973 |
| $22.32 | 20.52% | 1.14% | 1.11% | 0.49% | 46% | $26,182 |
| $18.52 | 0.00% (g) | 1.18% | 1.14% | 0.63% | 53% | $14,431 |
| $18.52 | 11.90% | 1.15% | 1.15% | 0.97% | 45% | $9,040 |
| $16.55 | 35.66% | 1.15% (f) | 1.13% (f) | 0.54% | 45% | $7,189 |
| $12.20 | 16.86% | 1.15% | 1.12% | 1.00% | 151% | $3,690 |
| |
| $23.71 | 5.33% | 0.98% (d) | 0.98% (d) | 0.57% (d) | 22% | $53,468 |
| $22.51 | 20.63% | 1.01% | 0.99% | 0.61% | 46% | $44,076 |
| $18.66 | 0.16% | 1.05% | 1.02% | 0.73% | 53% | $27,637 |
| $18.63 | 12.03% | 1.02% | 1.02% | 1.04% | 45% | $22,804 |
| $16.63 | 35.87% | 1.02% (f) | 1.01% (f) | 0.64% | 45% | $21,928 |
| $12.24 | 16.91% | 1.02% | 1.00% | 1.04% | 151% | $16,153 |
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 115 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Funds Variable Series Trust II (the Trust) is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Information presented in these financial statements pertains to the following series of the Trust (each, a Fund and collectively, the Funds): Columbia Variable Portfolio – Global Bond Fund; Columbia Variable Portfolio – Intermediate Bond Fund; Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund; Variable Portfolio – MFS® Blended Research® Core Equity Fund; Variable Portfolio – Partners Small Cap Value Fund and Variable Portfolio – Victory Sycamore Established Value Fund.
Each Fund, other than Columbia Variable Portfolio – Global Bond Fund and Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund, is currently classified as a diversified fund. Columbia Variable Portfolio – Global Bond Fund and Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund are currently classified as non-diversified funds.
Fund shares
The Trust may issue an unlimited number of shares (without par value). Each Fund offers Class 1, Class 2 and Class 3 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Funds directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to one or more Funds. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
Each Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements.
Security valuation
All equity securities and exchange-traded funds are valued at the close of business of the New York Stock Exchange. Equity securities and exchange-traded funds are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Debt securities generally are valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized cost value, unless this method results in a valuation that management believes does not approximate market value.
| 116 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Asset- and mortgage-backed securities are generally valued by pricing services, which utilize pricing models that incorporate the securities’ cash flow and loan performance data. These models also take into account available market data, including trades, market quotations, and benchmark yield curves for identical or similar securities. Factors used to identify similar securities may include, but are not limited to, issuer, collateral type, vintage, prepayment speeds, collateral performance, credit ratings, credit enhancement and expected life. Asset-backed securities for which quotations are readily available may also be valued based upon an over-the-counter or exchange bid quote from an approved independent broker-dealer.
Senior loan securities for which reliable market quotations are readily available are generally valued by pricing services at the average of the bids received.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are generally determined at 4:00 p.m. Eastern (U.S.) time. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees, including, if available, utilizing a third party pricing service to determine these fair values. The third party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
Forward foreign currency exchange contracts are marked-to-market based upon foreign currency exchange rates provided by a pricing service.
Futures and options on futures contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of transactions, at the mean of the latest quoted bid and ask prices.
Option contracts are valued at the mean of the latest quoted bid and ask prices on their primary exchanges. Option contracts, including over-the-counter option contracts, with no readily available market quotations are valued using quotes obtained from independent brokers as of the close of the New York Stock Exchange.
Swap transactions are valued through an independent pricing service or broker, or if neither is available, through an internal model based upon observable inputs.
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Funds’ Portfolio of Investments.
Foreign currency transactions and translations
The values of all assets and liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains (losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange
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Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes, the Funds do not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Derivative instruments
Certain Funds invest in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract; therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its
| 118 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In addition to considering counterparty credit risk, the Fund would consider terminating the derivatives contracts based on whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Forward foreign currency exchange contracts
Forward foreign currency exchange contracts are over-the-counter agreements between two parties to buy and sell a currency at a set price on a future date. Certain Funds utilized forward foreign currency exchange contracts as detailed below:
| Forward foreign currency exchange contracts | Funds |
| To hedge the currency exposure associated with some or all of the Fund’s securities | Columbia Variable Portfolio — Global Bond Fund,
Columbia Variable Portfolio — Intermediate Bond Fund and
Variable Portfolio — BlackRock Global Inflation-Protected Securities Fund |
| To shift foreign currency exposure back to U.S. dollars | Columbia Variable Portfolio — Intermediate Bond Fund and
Variable Portfolio — BlackRock Global Inflation-Protected Securities Fund |
| To shift investment exposure from one currency to another | Variable Portfolio — BlackRock Global Inflation-Protected Securities Fund |
| To generate total return through long and short currency positions versus the U.S. dollar | Columbia Variable Portfolio — Global Bond Fund |
The values of forward foreign currency exchange contracts fluctuate daily with changes in foreign currency exchange rates. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract is exercised or has expired. The Fund will realize a gain or loss when the forward foreign currency exchange contract is closed or expires.
The use of forward foreign currency exchange contracts does not eliminate fluctuations in the prices of the Fund’s portfolio securities. The risks of forward foreign currency exchange contracts include movement in the values of the foreign currencies relative to the U.S. dollar (or other foreign currencies) and the possibility that counterparties will not complete their contractual obligations, which may be in excess of the amount reflected, if any, in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are exchange traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. Certain Funds bought and sold futures contracts as detailed below:
| Futures contracts | Funds |
| To manage the duration and yield curve exposure of the Fund versus the benchmark | Columbia Variable Portfolio — Global Bond Fund,
Columbia Variable Portfolio — Intermediate Bond Fund and
Variable Portfolio — BlackRock Global Inflation-Protected Securities Fund |
| To manage exposure to movements in interest rates | Columbia Variable Portfolio — Intermediate Bond Fund |
Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
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| 119 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Upon entering into futures contracts, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Options contracts
Options are contracts which entitle the holder to purchase or sell securities or other identified assets at a specified price, or in the case of index option contracts, to receive or pay the difference between the index value and the strike price of the index option contract. Option contracts can be either exchange-traded or over-the-counter. Certain Funds purchased and/or wrote options contracts as detailed below:
| Options contracts | Funds |
| To hedge portfolio exposures | Columbia Variable Portfolio - Intermediate Bond Fund |
To create various exposures for the Fund, isolate perceived mispricings, create
asymmetric risk profiles; and increase the portfolio’s carry | Variable Portfolio — BlackRock Global Inflation-Protected Securities Fund |
| To manage exposure to fluctuations in interest rates | Columbia Variable Portfolio - Global Bond Fund,
Columbia Variable Portfolio - Intermediate Bond Fund and
Variable Portfolio - BlackRock Global Inflation-Protected Securities Fund |
| To hedge the fair value of other Fund investments | Columbia Variable Portfolio - Intermediate Bond Fund |
These instruments may be used for other purposes in future periods. Completion of transactions for option contracts traded in the over-the-counter market depends upon the performance of the other party. Cash collateral may be collected or posted by the Fund to secure certain over-the-counter option contract trades. Cash collateral held or posted by the Fund for such option contract trades must be returned to the broker or the Fund upon closure, exercise or expiration of the contract.
Options contracts purchased are recorded as investments. When the Fund writes an options contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and Liabilities and is subsequently adjusted to reflect the current fair value of the option written. Changes in the fair value of the written option are recorded as unrealized appreciation or depreciation until the contract is exercised or has expired. The Fund will realize a gain or loss when the option contract is closed or expires. When option contracts are exercised, the proceeds on sales for a written call or purchased put option contract, or the purchase cost for a written put or purchased call option contract, is adjusted by the amount of premium received or paid.
For over-the-counter options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Option contracts written by the Fund do not typically give rise to significant counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform. The risk in writing a call option contract is that the Fund gives up the opportunity for profit if the market price of the security increases above the strike price and the option contract is exercised. The risk in writing a put option contract is that the Fund may incur a loss if the market price of the security decreases below the strike price and the option contract is exercised. Exercise of a written option could result in the Fund purchasing or selling a security or foreign currency when it otherwise would not, or at a price different from the current market value. In purchasing and writing options, the Fund bears the risk of an unfavorable change in the value of the underlying instrument or the risk that the Fund may not be able to enter into a closing transaction due to an illiquid market.
Interest rate swaption contracts
Interest rate swaption contracts entered into by a Fund typically represent an option that gives the purchaser the right, but not the obligation, to enter into an interest rate swap contract on a future date. These instruments may be used for other purposes in future periods. Each interest rate swaption agreement will specify if the buyer is entitled to receive the fixed or floating rate if the interest rate is exercised. Changes in the value of a purchased interest rate swaption contracts are reported as unrealized appreciation or depreciation on options in the Statement of Assets and Liabilities. Gain or loss is recognized in the Statement of Operations when the interest rate swaption contract is closed or expires.
| 120 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
When the Fund writes an interest rate swaption contract, the premium received is recorded as an asset and an amount equivalent to the premium is recorded as a liability in the Statement of Assets and Liabilities and is subsequently adjusted to reflect the current fair value of the interest rate swaption contract written. Premiums received from writing interest rate swaption contracts that expire unexercised are recorded by the Fund on the expiration date as realized gains from options written in the Statement of Operations. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also recorded as realized gain, or if the premium is less than the amount paid for the closing purchase, as realized loss. These amounts are reflected as net realized gain (loss) on options written in the Statement of Operations.
Contracts and premiums associated with options contracts written for the six months ended June 30, 2017 for Columbia Variable Portfolio – Intermediate Bond Fund are as follows:
| | Calls | Puts |
| | Contracts | Premiums ($) | Contracts | Premiums ($) |
| Balance at December 31, 2016 | — | — | (150,000,000) | (930,000) |
| Opened | (95,500,000) | (573,000) | (80,000,000) | (688,000) |
| Closed | 95,500,000 | 573,000 | 230,000,000 | 1,618,000 |
| Balance at June 30, 2017 | — | — | — | — |
Contracts and premiums associated with options contracts written for the six months ended June 30, 2017 for Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund are as follows:
| | Calls | Puts |
| | Contracts | Premiums ($) | Contracts | Premiums ($) |
| Balance at December 31, 2016 | (5,700,000) | (28,270) | (9,620,111) | (110,474) |
| Opened | (19,385,724) | (263,347) | (19,335,084) | (135,977) |
| Closed | 17,680,522 | 220,419 | 26,180,195 | 232,415 |
| Expired | – | – | – | – |
| Exercised | – | – | – | – |
| Balance at June 30, 2017 | (7,405,202) | (71,198) | (2,775,000) | (14,036) |
Swap contracts
Swap contracts are negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (centrally cleared swap contract). In a centrally cleared swap contract, immediately following execution of the swap contract with a broker, the swap contract is novated to a central counterparty (the CCP) and the CCP becomes the Fund’s counterparty to the centrally cleared swap contract. The Fund is required to deposit initial margin with the futures commission merchant (FCM), which pledges it through to the CCP in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap contract. Securities deposited as initial margin are designated in the Portfolio of Investments and cash deposited is recorded in the Statement of Assets and Liabilities as margin deposits. Unlike a bilateral swap contract, for centrally cleared swap contracts, the Fund has minimal credit exposure to the FCM because the CCP stands between the Fund and the relevant buyer/seller on the other side of the contract. Swap contracts are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swap contracts, if any, is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities.
Entering into these contracts involves, to varying degrees, elements of interest, liquidity and counterparty credit risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there may be unfavorable changes in interest rates, market conditions or other conditions, it may be difficult to initiate a swap transaction or liquidate a position at an advantageous time or price which may result in significant losses, and that the FCM or CCP may not fulfill its obligation under the contract.
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| 121 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Credit default swap contracts
Certain Funds entered into credit default swap contracts as detailed below:
| Credit default swap contracts | Funds |
| To manage credit risk exposure | Columbia Variable Portfolio — Intermediate Bond Fund |
| To increase or decrease its credit exposure to an index | Columbia Variable Portfolio — Global Bond Fund and
Columbia Variable Portfolio — Intermediate Bond Fund |
| To increase or decrease its credit exposure to a single issuer of debt securities | Columbia Variable Portfolio — Global Bond Fund and
Columbia Variable Portfolio — Intermediate Bond Fund |
To hedge the Fund’s exposure on a debt security that it owns or in lieu of selling
such debt security | Columbia Variable Portfolio — Intermediate Bond Fund |
To increase or decrease its credit exposure to a specific debt security or a basket of
debt securities as a protection buyer to reduce overall credit exposure | Columbia Variable Portfolio — Intermediate Bond Fund |
These instruments may be used for other purposes in future periods. Credit default swap contracts are agreements in which one party pays fixed periodic payments to a counterparty in consideration for a guarantee from the counterparty to make a specific payment should a specified credit event(s) take place. Although specified credit events are contract specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium.
As the purchaser of a credit default swap contract, the Fund purchases protection by paying a periodic interest rate on the notional amount to the counterparty. The interest amount is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as a realized loss upon payment. If a credit event as specified in the contract occurs, the Fund may have the option either to deliver the reference obligation to the seller in exchange for a cash payment of its par amount, or to receive a net cash settlement equal to the par amount less an agreed-upon value of the reference obligation as of the date of the credit event. The difference between the value of the obligation or cash delivered and the notional amount received will be recorded as a realized gain (loss).
As the seller of a credit default swap contract, the Fund sells protection to a buyer and will generally receive a periodic interest rate on a notional amount. The interest amount is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as a realized gain upon receipt of the payment. If a credit event as specified in the contract with the counterparty occurs, the Fund may either be required to accept the reference obligation from the buyer in exchange for a cash payment of its notional amount, or to pay the buyer a net cash settlement equal to the notional amount less an agreed-upon value of the reference obligation (recovery value) as of the date of the credit event. The difference between the value of the obligation or cash received and the notional amount paid will be recorded as a realized gain (loss). The maximum potential amount of undiscounted future payments the Fund could be required to make as the seller of protection under a credit default swap contract is equal to the notional amount of the reference obligation. These potential amounts may be partially offset by any recovery values of the respective reference obligations or premiums received upon entering into the agreement. The notional amounts and market values of all credit default swap contracts in which the Fund is the seller of protection, if any, are disclosed in the Credit Default Swap Contracts Outstanding schedule following the Portfolio of Investments.
As a protection seller, the Fund bears the risk of loss from the credit events specified in the contract with the counterparty. For credit default swap contracts on credit indices, quoted market prices and resulting market values serve as an indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.
Any premium paid or received by the Fund upon entering into a credit default swap contract is recorded as an asset or liability, respectively, and amortized daily as a component of realized gain (loss) in the Statement of Operations. Credit default swap contracts are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time a realized gain (loss) is recorded.
| 122 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Credit default swap contracts can involve greater risks than if a fund had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to counterparty credit risk, leverage risk, hedging risk, correlation risk and liquidity risk.
Interest rate swap contracts
Certain Funds entered into interest rate swap contracts as detailed below:
| Interest rate swap contracts | Funds |
| To gain exposure or to protect itself from market rate change | Columbia Variable Portfolio — Intermediate Bond Fund |
| To manage the duration and yield curve exposure of the Fund versus the benchmark | Columbia Variable Portfolio — Global Bond Fund |
| To express breakeven strategies or enhance yields of already existing positions | Variable Portfolio — BlackRock Global Inflation-Protected Securities Fund |
| To hedge the portfolio risk associated with some or all of the Fund’s securities | Columbia Variable Portfolio — Intermediate Bond Fund and
Variable Portfolio — BlackRock Global Inflation-Protected Securities Fund |
These instruments may be used for other purposes in future periods. An interest rate swap is an agreement between two parties where there are two flows and payments are made between the two counterparties and the payments are dependent upon changes in an interest rate, inflation rate or inflation index calculated on a nominal amount. Interest rate swaps are agreements between two parties that involve the exchange of one type of interest rate for another type of interest rate cash flow on specified dates in the future, based on a predetermined, specified notional amount. Certain interest rate swaps are considered forward-starting, whereby the accrual for the exchange of cash flows does not begin until a specified date in the future. The net cash flow for a standard interest rate swap transaction is generally the difference between a floating market interest rate versus a fixed interest rate.
Interest rate swaps are valued daily and unrealized appreciation (depreciation) is recorded. Certain interest rate swaps may accrue periodic interest on a daily basis as a component of unrealized appreciation (depreciation); the Fund will realize a gain or loss upon the payment or receipt of accrued interest. The Fund will realize a gain or a loss when the interest rate swap is terminated.
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Funds, including: the fair value of derivatives by risk category and the location of those fair values in the Statements of Assets and Liabilities; and the impact of derivative transactions over the period in the Statements of Operations, including realized gains or losses and unrealized gains or losses. The derivative schedules following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
Columbia Variable Portfolio – Global Bond Fund
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Credit risk | Net assets — unrealized appreciation on swap contracts | 7,058* |
| Credit risk | Premiums paid on outstanding swap contracts | 469,948 |
| Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 1,913,993 |
| Interest rate risk | Net assets — unrealized appreciation on futures contracts | 979,548* |
| Interest rate risk | Net assets — unrealized appreciation on swap contracts | 349,408* |
| Total | | 3,719,955 |
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| 123 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Credit risk | Net assets — unrealized depreciation on swap contracts | 744,087* |
| Credit risk | Premiums received on outstanding swap contracts | 210,285 |
| Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 1,016,681 |
| Interest rate risk | Net assets — unrealized depreciation on futures contracts | 1,388,327* |
| Interest rate risk | Net assets — unrealized depreciation on swap contracts | 1,457,896* |
| Total | | 4,817,276 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | — | (1,639,203) | (1,639,203) |
| Foreign exchange risk | (2,326,969) | — | — | (2,326,969) |
| Interest rate risk | — | (291,408) | (359,411) | (650,819) |
| Total | (2,326,969) | (291,408) | (1,998,614) | (4,616,991) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | — | (121,966) | (121,966) |
| Foreign exchange risk | 4,013,417 | — | — | 4,013,417 |
| Interest rate risk | — | (410,516) | 91,987 | (318,529) |
| Total | 4,013,417 | (410,516) | (29,979) | 3,572,922 |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 246,161,785 |
| Futures contracts — short | 197,036,124 |
| Credit default swap contracts — buy protection | 78,750,000 |
| Credit default swap contracts — sell protection | 1,750,000 |
| Derivative instrument | Average unrealized
appreciation ($)* | Average unrealized
depreciation ($)* |
| Forward foreign currency exchange contracts | 2,080,754 | (1,930,059) |
| Interest rate swap contracts | 289,483 | (1,494,970) |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2017. |
| 124 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Columbia Variable Portfolio – Intermediate Bond Fund
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Credit risk | Net assets — unrealized appreciation on swap contracts | 19,130,808* |
| Credit risk | Premiums paid on outstanding swap contracts | 52,799,591 |
| Interest rate risk | Net assets — unrealized appreciation on futures contracts | 479,351* |
| Interest rate risk | Investments, at value — Options purchased | 1,884,274 |
| Total | | 74,294,024 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Credit risk | Net assets — unrealized depreciation on swap contracts | 20,012,656 |
| Credit risk | Premiums received on outstanding swap contracts | 41,051,506 |
| Interest rate risk | Net assets — unrealized depreciation on futures contracts | 1,824,701 |
| Total | | 62,888,863 |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Options
contracts
written
($) | Options
contracts
purchased
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | — | — | — | (10,842,839) | (10,842,839) |
| Foreign exchange risk | (15,256) | — | — | — | — | (15,256) |
| Interest rate risk | — | (6,938,181) | 1,719,275 | 3,664,235 | — | (1,554,671) |
| Total | (15,256) | (6,938,181) | 1,719,275 | 3,664,235 | (10,842,839) | (12,412,766) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Options
contracts
written
($) | Options
contracts
purchased
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | — | — | — | (10,467,605) | (10,467,605) |
| Foreign exchange risk | 13,944 | — | — | — | — | 13,944 |
| Interest rate risk | — | (897,991) | (236,295) | (5,304,193) | — | (6,438,479) |
| Total | 13,944 | (897,991) | (236,295) | (5,304,193) | (10,467,605) | (16,892,140) |
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 125 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 114,870,662 |
| Futures contracts — short | 283,873,281 |
| Credit default swap contracts — buy protection | 1,210,765,000 |
| Credit default swap contracts — sell protection | 1,709,642,250 |
| Derivative instrument | Average market
value ($)* |
| Options contracts — purchased | 942,137 |
| Options contracts — written | (161,076) |
| Derivative instrument | Average unrealized
appreciation ($)* | Average unrealized
depreciation ($)* |
| Forward foreign currency exchange contracts | 6,328 | (1,671) |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2017. |
Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 421,819 |
| Foreign exchange risk | Investments, at value — Options purchased | 34,217 |
| Interest rate risk | Net assets — unrealized appreciation on futures contracts | 108,889* |
| Interest rate risk | Investments, at value — Options purchased | 243,901 |
| Interest rate risk | Net assets — unrealized appreciation on swap contracts | 113,588* |
| Total | | 922,414 |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 1,434,619 |
| Foreign exchange risk | Options contracts written, at value | 13,439 |
| Interest rate risk | Net assets — unrealized depreciation on futures contracts | 303,995* |
| Interest rate risk | Options contracts written, at value | 14,335 |
| Interest rate risk | Net assets — unrealized depreciation on swap contracts | 600,871* |
| Total | | 2,367,259 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
| 126 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Options
contracts
written
($) | Options
contracts
purchased
($) | Swap
contracts
($) | Total
($) |
| Foreign exchange risk | (1,903,319) | — | 84,251 | (185,456) | — | (2,004,524) |
| Interest rate risk | — | 359,175 | 168,290 | (263,599) | 234,564 | 498,430 |
| Total | (1,903,319) | 359,175 | 252,541 | (449,055) | 234,564 | (1,506,094) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Options
contracts
written
($) | Options
contracts
purchased
($) | Swap
contracts
($) | Total
($) |
| Foreign exchange risk | (2,183,139) | — | 33,487 | 19,638 | — | (2,130,014) |
| Interest rate risk | — | (182,166) | (2,520) | (74,006) | (313,147) | (571,839) |
| Total | (2,183,139) | (182,166) | 30,967 | (54,368) | (313,147) | (2,701,853) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 35,238,515 |
| Futures contracts — short | 54,873,366 |
| Derivative instrument | Average market
value ($)* |
| Options contracts — purchased | 231,701 |
| Options contracts — written | (75,514) |
| Derivative instrument | Average unrealized
appreciation ($)* | Average unrealized
depreciation ($)* |
| Forward foreign currency exchange contracts | 425,290 | (1,102,282) |
| Interest rate swap contracts | 170,678 | (349,237) |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2017. |
Investments in senior loans
Certain Funds may invest in senior loan assignments. When the Fund purchases an assignment of a senior loan, the Fund typically has direct rights against the borrower; provided, however, that the Fund’s rights may be more limited than the lender from which it acquired the assignment and the Fund may be able to enforce its rights only through an administrative agent. Although certain senior loan assignments are secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor. In the event that the administrator or collateral agent of a loan becomes insolvent or enters into receivership or bankruptcy, the Fund may incur costs and delays in realizing payment or may suffer a loss of principal and/or interest. The risk of loss is greater for unsecured or subordinated loans. In addition, senior loan assignments are vulnerable to market, economic or other conditions or events that may reduce the demand for senior loan assignments and certain senior loan assignments which were liquid when purchased, may become illiquid.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 127 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The Fund may enter into senior loan assignments where all or a portion of the loan may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments are generally traded and priced in the same manner as other senior loan securities and are disclosed as unfunded senior loan commitments in the Fund’s Portfolio of Investments with a corresponding payable for investments purchased. The Fund designates cash or liquid securities to cover these commitments.
Asset- and mortgage-backed securities
Certain Funds may invest in asset-backed and mortgage-backed securities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. All, or a portion, of the obligation may be prepaid at any time because the underlying asset may be prepaid. As a result, decreasing market interest rates could result in an increased level of prepayment. An increased prepayment rate will have the effect of shortening the maturity of the security. Unless otherwise noted, the coupon rates presented are fixed rates.
Delayed delivery securities
Certain Funds may trade securities on other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
To be announced securities
Certain Funds may trade securities on a To Be Announced (TBA) basis. As with other delayed-delivery transactions, a seller agrees to issue a TBA security at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Fund agrees to accept any security that meets specified terms.
In some cases, Master Securities Forward Transaction Agreements (MSFTAs) may be used to govern transactions of certain forward-settling agency mortgage-backed securities, such as delayed-delivery and TBAs, between the Fund and counterparty. The MSFTA maintains provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral relating to such transactions.
Mortgage dollar roll transactions
Certain Funds may enter into mortgage “dollar rolls” in which the Fund sells securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar but not identical securities (same type, coupon and maturity) on a specified future date. During the roll period, the Fund loses the right to receive principal and interest paid on the securities sold. However, the Fund will benefit because it receives negotiated amounts in the form of reductions of the purchase price for the future purchase plus the interest earned on the cash proceeds of the securities sold until the settlement date of the forward purchase. The Fund records the incremental difference between the forward purchase and sale of each forward roll as a realized gain or loss. Unless any realized gains exceed the income, capital appreciation, and gain or loss due to mortgage prepayments that would have been realized on the securities sold as part of the mortgage dollar roll, the use of this technique will diminish the investment performance of the Fund compared to what the performance would have been without the use of mortgage dollar rolls. All cash proceeds will be invested in instruments that are permissible investments for the Fund. The Fund identifies cash or liquid securities in an amount equal to the forward purchase price.
For financial reporting and tax purposes, the Fund treats “to be announced” mortgage dollar rolls as two separate transactions, one involving the purchase of a security and a separate transaction involving a sale. These transactions may increase the Fund’s portfolio turnover rate. The Fund does not currently enter into mortgage dollar rolls that are accounted for as financing transactions.
Mortgage dollar rolls involve the risk that the market value of the securities the Fund is obligated to repurchase may decline below the repurchase price, or that the counterparty may default on its obligations.
| 128 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Treasury inflation protected securities
Certain Funds may invest in treasury inflation protected securities (TIPS). The principal amount of TIPS is adjusted periodically and is increased for inflation or decreased for deflation based on a monthly published index. These adjustments are recorded as interest income in the Statement of Operations. Coupon payments are based on the adjusted principal at the time the interest is paid.
Interest only and principal only securities
Certain Funds may invest in Interest Only (IO) or Principal Only (PO) securities. IOs are stripped securities entitled to receive all of the security’s interest, but none of its principal. IOs are particularly sensitive to changes in interest rates and therefore subject to greater fluctuations in price than typical interest bearing debt securities. IOs are also subject to credit risk because the Fund may not receive all or part of the interest payments if the issuer, obligor, guarantor or counterparty defaults on its obligation. Payments received for IOs are included in interest income on the Statement of Operations. Because no principal will be received at the maturity of an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statement of Operations. POs are stripped securities entitled to receive the principal from the underlying obligation, but not the interest. POs are particularly sensitive to changes in interest rates and therefore are subject to fluctuations in price. POs are also subject to credit risk because the Fund may not receive all or part of its principal if the issuer, obligor, guarantor or counterparty defaults on its obligation. The Fund may also invest in IO or PO stripped mortgage-backed securities. Payments received for POs are treated as reductions to the cost and par value of the securities.
Offsetting of assets and liabilities
The following table presents the Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of June 30, 2017:
Columbia Variable Portfolio – Global Bond Fund
| | Barclays
($) | BNP
Paribas
($) | Citi
($) | Credit
Suisse
($) | Deutsche
Bank
($) | Goldman
Sachs
International
($) | HSBC
($) | Morgan
Stanley
($) (a) | Morgan
Stanley
($) (a) | Standard
Chartered($) | Total
($) |
| Assets | | | | | | | | | | | |
| Centrally cleared credit default swap contracts (b) | - | - | - | - | - | - | - | - | 50,691 | - | 50,691 |
| Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | - | - | - | 7,797 | - | 7,797 |
| Forward foreign currency exchange contracts | 36,743 | 4,041 | 28,412 | 1,165,245 | 394 | - | 368,335 | 6,313 | - | 304,510 | 1,913,993 |
| OTC credit default swap contracts (c) | 420,439 | - | - | - | - | - | - | - | - | - | 420,439 |
| Total assets | 457,182 | 4,041 | 28,412 | 1,165,245 | 394 | - | 368,335 | 6,313 | 58,488 | 304,510 | 2,392,920 |
| Liabilities | | | | | | | | | | | |
| Centrally cleared credit default swap contracts (b) | - | - | - | - | - | - | - | - | 62,926 | - | 62,926 |
| Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | - | - | - | 99,271 | - | 99,271 |
| Forward foreign currency exchange contracts | - | - | 41,930 | 269,346 | 86,645 | - | 402,604 | - | - | 216,156 | 1,016,681 |
| OTC credit default swap contracts (c) | - | - | - | - | - | 203,227 | - | - | - | - | 203,227 |
| Total liabilities | - | - | 41,930 | 269,346 | 86,645 | 203,227 | 402,604 | - | 162,197 | 216,156 | 1,382,105 |
| Total financial and derivative net assets | 457,182 | 4,041 | (13,518) | 895,899 | (86,251) | (203,227) | (34,269) | 6,313 | (103,709) | 88,354 | 1,010,815 |
| Total collateral received (pledged) (d) | 440,656 | - | - | - | - | (203,227) | - | - | (103,709) | - | 133,720 |
| Net amount (e) | 16,526 | 4,041 | (13,518) | 895,899 | (86,251) | - | (34,269) | 6,313 | - | 88,354 | 877,095 |
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 129 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
| (a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
| (b) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
| (c) | Over-the-Counter Swap Contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, premiums paid and premiums received. |
| (d) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (e) | Represents the net amount due from/(to) counterparties in the event of default. |
Offsetting of assets and liabilities
The following table presents the Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of June 30, 2017:
Columbia Variable Portfolio – Intermediate Bond Fund
| | Barclays ($) | Citi ($) | Credit
Suisse ($) | Goldman
Sachs
International ($) | JPMorgan ($) | Morgan
Stanley ($) (a) | Morgan
Stanley ($) (a) | Total ($) | |
| Assets | | | | | | | | | |
| Centrally cleared credit default swap contracts (b) | - | - | - | - | - | - | 768,120 | 768,120 | |
| Options purchased calls | - | 921,848 | - | - | - | 174,600 | - | 1,096,448 | |
| Options purchased puts | - | 787,826 | - | - | - | - | - | 787,826 | |
| OTC credit default swap contracts (c) | 3,077,650 | 5,491,687 | 4,146,485 | 8,194,156 | 26,538,598 | 453,481 | - | 47,902,057 | |
| Total assets | 3,077,650 | 7,201,361 | 4,146,485 | 8,194,156 | 26,538,598 | 628,081 | 768,120 | 50,554,451 | |
| Liabilities | | | | | | | | | |
| Centrally cleared credit default swap contracts (b) | - | - | - | - | - | - | 1,059,602 | 1,059,602 | |
| OTC credit default swap contracts (c) | 3,719,414 | 2,487,043 | 4,926,053 | 10,697,463 | 8,590,688 | 7,208,553 | - | 37,629,214 | |
| Total liabilities | 3,719,414 | 2,487,043 | 4,926,053 | 10,697,463 | 8,590,688 | 7,208,553 | 1,059,602 | 38,688,816 | |
| Total financial and derivative net assets | (641,764) | 4,714,318 | (779,568) | (2,503,307) | 17,947,910 | (6,580,472) | (291,482) | 11,865,635 | |
| Total collateral received (pledged) (d) | (641,764) | 4,714,318 | (659,079) | (2,503,307) | 17,947,910 | (6,559,000) | (291,482) | 12,007,596 | |
| Net amount (e) | - | - | (120,489) | - | - | (21,472) | - | (141,961) | |
| (a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
| (b) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
| (b) | Over-the-Counter Swap Contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, premiums paid and premiums received. |
| (c) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (d) | Represents the net amount due from/(to) counterparties in the event of default. |
| 130 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Offsetting of assets and liabilities
The following table presents the Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of June 30, 2017:
Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund
| | Citi ($) | Deutsche
Bank ($) | Goldman
Sachs ($) | JPMorgan ($) | Total ($) |
| Assets | | | | | |
| Centrally cleared interest rate swap contracts (a) | - | - | 6,286 | - | 6,286 |
| Forward foreign currency exchange contracts | - | 421,819 | - | - | 421,819 |
| Options purchased calls | - | 33,305 | - | 22,187 | 55,492 |
| Options purchased puts | - | 222,626 | - | - | 222,626 |
| OTC interest rate swap contracts (b) | - | 83,557 | - | - | 83,557 |
| Total assets | - | 761,307 | 6,286 | 22,187 | 789,780 |
| Liabilities | | | | | |
| Centrally cleared interest rate swap contracts (a) | - | - | 36,815 | - | 36,815 |
| Forward foreign currency exchange contracts | 7,777 | 1,426,842 | - | - | 1,434,619 |
| Options contracts written | - | 20,180 | - | 7,594 | 27,774 |
| OTC interest rate swap contracts (b) | - | 558,523 | - | - | 558,523 |
| Total liabilities | 7,777 | 2,005,545 | 36,815 | 7,594 | 2,057,731 |
| Total financial and derivative net assets | (7,777) | (1,244,238) | (30,529) | 14,593 | (1,267,951) |
| Total collateral received (pledged) (c) | - | (1,244,238) | (30,529) | - | (1,274,767) |
| Net amount (d) | (7,777) | - | - | 14,593 | 6,816 |
| (a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
| (b) | Over-the-Counter Swap Contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, premiums paid and premiums received. |
| (c) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (d) | Represents the net amount due from/(to) counterparties in the event of default. |
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
The trade date for senior loans purchased in the primary market is the date on which the loan is allocated. The trade date for senior loans purchased in the secondary market is the date on which the transaction is entered into.
Income recognition
Interest income is recorded on an accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income.
Certain Funds may place a debt security on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 131 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The Funds may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds, other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information on the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by the Fund’s management. Management’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities, the proceeds are recorded as realized gains.
The value of additional securities received as an income payment is recorded as income and increases the cost basis of such securities.
Certain Funds may receive other income from senior loans, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income in the Statement of Operations.
Expenses
General expenses of the Trust are allocated to the Funds and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to a Fund are charged to that Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses which are charged directly to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of a Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
For federal income tax purposes, each Fund is treated as a separate entity.
Variable Portfolio – MFS® Blended Research® Core Equity Fund, Variable Portfolio – Partners Small Cap Value Fund and Variable Portfolio – Victory Sycamore Established Value Fund are treated as partnerships for federal income tax purposes, and these Funds do not expect to make regular distributions. These Funds will not be subject to federal income tax, and therefore, there are no provisions for federal income taxes. The partners of these Funds are subject to tax on their distributive share of each Fund’s income and loss. The components of each Fund’s net assets are reported at the partner level for federal income tax purposes, and therefore, are not presented in the Statement of Assets and Liabilities.
Columbia Variable Portfolio – Global Bond Fund, Columbia Variable Portfolio – Intermediate Bond Fund and Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund intend to qualify each year as separate “regulated investment companies” under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of their taxable income for their tax year, and as such will not be subject to federal income taxes. In addition, because the Funds meet the exception under Internal Revenue Code Section 4982(f), the Funds expect not to be subject to federal excise tax. Therefore, no federal income or excise tax provisions are recorded.
Foreign taxes
The Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
| 132 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Distributions to subaccounts
Distributions to the subaccounts of Contracts, Qualified Plans and Qualified Investors are recorded at the close of business on the record date and are payable on the first business day following the record date. Dividends from net investment income, if any, are declared and distributed quarterly, when available, for Columbia Variable Portfolio – Global Bond Fund. Dividends from net investment income, if any, are declared and distributed annually, when available, for Columbia Variable Portfolio – Intermediate Bond Fund and Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund. Capital gain distributions, when available, will be made annually. However, an additional capital gain distribution may be made during the fiscal year in order to comply with the Internal Revenue Code, as applicable to registered investment companies. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. All dividends and distributions are reinvested in additional shares of the applicable share class of each Fund at the net asset value as of the ex-dividend date of the distribution.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Funds’ contracts with their service providers contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Funds cannot be determined, and the Funds have no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
Each Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides each Fund with investment research and advice, as well as administrative and accounting services. The Investment Manager is responsible for the ultimate oversight of investments made by each Fund. Certain Funds, as described below, have entered into Subadvisory Agreements such that day-to-day portfolio management of the Funds is provided by the Funds’ subadvisers (see Subadvisory agreement note below). The management services fee is an annual fee that is equal to a percentage of each Fund’s daily net assets that declines as each Fund’s net assets increase.
Columbia Variable Portfolio Funds | Semiannual Report 2017
| 133 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The fee rate range and annualized effective management services fee rate for each Fund as a percentage of each Fund’s average daily net assets for the six months ended June 30, 2017, were as follows:
| | High (%) | Low (%) | Effective
management
services
fee (%) |
| Columbia Variable Portfolio – Global Bond Fund | 0.65 | 0.52 | 0.65 |
| Columbia Variable Portfolio – Intermediate Bond Fund | 0.50 | 0.34 | 0.47 |
| Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund | 0.51 | 0.29 | 0.51 |
| Variable Portfolio – MFS® Blended Research® Core Equity Fund | 0.77 | 0.57 | 0.70 |
| Variable Portfolio – Partners Small Cap Value Fund | 0.87 | 0.75 | 0.85 |
| Variable Portfolio – Victory Sycamore Established Value Fund | 0.77 | 0.57 | 0.77 |
Subadvisory agreement
The Investment Manager may contract with and compensate subadvisers to manage the investment of each Fund’s assets. The Investment Manager has entered into Subadvisory Agreements with the following subadvisers:
| Fund | Subadviser |
| Variable Portfolio — BlackRock Global Inflation-Protected Securities Fund | BlackRock Financial Management, Inc. |
| Variable Portfolio — MFS® Blended Research® Core Equity Fund | Massachusetts Financial Services Company |
| Variable Portfolio — Partners Small Cap Value Fund | Denver Investment Advisors LLC
Jacobs Levy Equity Management, Inc.(a)
Nuveen Asset management, LLC(a)
Segall Bryant & Hamill, LLC |
| Variable Portfolio — Victory Sycamore Established Value Fund | Victory Capital Management Inc. |
| (a) | Effective May 1, 2017, the Investment Manager entered into a Subadvisory Agreement with each of Jacobs Levy Equity Management, Inc. and Nuveen Asset Management, LLC to serve as a subadviser to the Fund. Prior to May 1, 2017, Barrow, Hanley, Mewhinney & Strauss, LLC, River Road Asset Management, LLC and Snow Capital Management L.P. each served as a subadviser to the Fund. |
For Variable Portfolio - Partners Small Cap Value Fund, each subadviser manages a portion of the assets of the Fund. New investments, net of any redemptions, are allocated to each subadviser in accordance with the Investment Manager’s determination, subject to the oversight of the Board of Trustees, of the allocation that is in the best interest of the Fund’s shareholders. Each subadviser’s proportionate share of the investments in the Fund will vary due to market fluctuations.
Participating Affiliates
The Investment Manager and its investment advisory affiliates (Participating Affiliates) around the world may coordinate in providing services to their clients. From time to time the Investment Manager (or any affiliated investment subadviser to the Fund, as the case may be) may engage its Participating Affiliates to provide a variety of services such as investment research, investment monitoring, trading and discretionary investment management (including portfolio management) to certain accounts managed by the Investment Manager, including the Fund. These Participating Affiliates will provide services to the Investment Manager (or any affiliated investment subadviser to the Fund as the case may be) either pursuant to subadvisory agreements, personnel-sharing agreements or similar inter-company arrangements and the Fund will pay no additional fees and expenses as a result of any such arrangements.
These Participating Affiliates, like the Investment Manager, are direct or indirect subsidiaries of Ameriprise Financial and are registered with appropriate respective regulators in their home jurisdictions and, where required, the Securities and Exchange Commission and the Commodity Futures Trading Commission in the United States.
Pursuant to some of these arrangements, certain employees of these Participating Affiliates may serve as "associated persons" of the Investment Manager and, in this capacity, subject to the oversight and supervision of the Investment Manager and consistent with the investment objectives, policies and limitations set forth in the Fund’s prospectus and Statement of Additional Information (SAI), may provide such services to Columbia Variable Portfolio – Global Bond Fund on behalf of the Investment Manager.
| 134 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Funds or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Funds and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Funds as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. Each Fund’s liability for these amounts is adjusted for market value changes and remains in the Funds until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Funds.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Funds, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Transactions with affiliates
For the six months ended June 30, 2017, certain Funds engaged in purchase and/or sale transactions with affiliates and/or accounts that have a common investment manager (or affiliated investment managers), common directors/trustees, and/or common officers. Those purchase and sale transactions complied with provisions of Rule 17a-7 under the 1940 Act for the following Funds aggregated to:
| Fund | Purchases ($) | Sales ($) | Realized
gain/(loss)
from sale
transactions ($) |
| Columbia Variable Portfolio – Intermediate Bond Fund | 16,029,369 | — | — |
| Variable Portfolio – MFS® Blended Research® Core Equity Fund | — | 11,003,840 | (352,808) |
Service fees
Effective July 1, 2017, each Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, each Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to each Fund.
Transfer agency fees
Prior to July 1, 2017, each Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of each Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, each Fund no longer pays a transfer agency fee.
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Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Distribution fees
The Funds have an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, each Fund pays a fee at an annual rate of up to 0.25% of each Fund’s average daily net assets attributable to Class 2 shares and an annual rate of up to 0.125% of each Fund’s average daily net assets attributable to Class 3 shares. The Funds pay no distribution and service fees for Class 1 shares.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that each Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Funds’ custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | May 1, 2017 through
April 30, 2018 | Prior to
May 1, 2017 |
| | Class 1
(%) | Class 2
(%) | Class 3
(%) | Class 1
(%) | Class 2
(%) | Class 3
(%) |
| Columbia Variable Portfolio — Global Bond Fund | 0.67 | 0.92 | 0.795 | 0.69 | 0.94 | 0.815 |
| Columbia Variable Portfolio — Intermediate Bond Fund | 0.56 | 0.81 | 0.685 | 0.56 | 0.81 | 0.685 |
| Variable Portfolio — BlackRock Global Inflation-Protected Securities Fund | 0.61 | 0.86 | 0.735 | 0.65 | 0.90 | 0.775 |
| Variable Portfolio — MFS® Blended Research® Core Equity Fund | 0.75 | 1.00 | 0.875 | 0.77 | 1.02 | 0.895 |
| Variable Portfolio — Partners Small Cap Value Fund | 0.93 | 1.18 | 1.055 | 0.93 | 1.18 | 1.055 |
| Variable Portfolio — Victory Sycamore Established Value Fund | 0.86 | 1.11 | 0.985 | 0.85 | 1.10 | 0.975 |
Columbia Variable Portfolio - Intermediate Bond Fund had a voluntary expense reimbursement arrangement from May 1, 2017 to June 30, 2017. The annual limitation rates were 0.57% for Class 1 shares, 0.82% for Class 2 shares and 0.695% for Class 3 shares under the voluntary expense reimbursement arrangement. The expense caps listed in the above table were effective July 1, 2017.
Variable Portfolio - Partners Small Cap Value Fund and Variable Portfolio - Victory Sycamore Established Value Fund each had a voluntary expense reimbursement arrangement from May 1, 2017 to June 30, 2017. The annual limitation rates were the same under the voluntary expense reimbursement arrangement, which changed to a contractual arrangement on July 1, 2017 through April 30, 2018.
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
| 136 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
At June 30, 2017, the approximate cost of investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
| Fund | Tax cost ($) | Gross
unrealized
appreciation ($) | Gross
unrealized
(depreciation) ($) | Net unrealized
appreciation ($) |
| Columbia Variable Portfolio – Global Bond Fund | 140,496,000 | 4,687,000 | (1,052,000) | 3,635,000 |
| Columbia Variable Portfolio – Intermediate Bond Fund | 5,939,112,000 | 73,255,000 | (24,676,000) | 48,579,000 |
| Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund | 128,435,000 | 5,144,000 | (3,217,000) | 1,927,000 |
Management of the Funds has concluded that there are no significant uncertain tax positions in the Funds that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio information
For the six months ended June 30, 2017, the cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, for each Fund aggregated to:
| | Purchases
($) | Proceeds
from sales
($) | Purchases
of U.S.
Government
securities
($) | Proceeds
from sales
of U.S.
Government
securities
($) |
| Columbia Variable Portfolio – Global Bond Fund | 34,525,513 | 42,795,845 | 16,539,352 | 11,421,620 |
| Columbia Variable Portfolio – Intermediate Bond Fund | 13,069,877,561 | 12,990,018,051 | 10,976,692,473 | 10,827,646,503 |
| Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund | 56,843,552 | 64,907,700 | 23,230,150 | 25,436,664 |
| Variable Portfolio – MFS® Blended Research® Core Equity Fund | 373,411,728 | 389,401,509 | — | — |
| Variable Portfolio – Partners Small Cap Value Fund | 743,352,974 | 794,361,446 | — | — |
| Variable Portfolio – Victory Sycamore Established Value Fund | 129,990,742 | 108,501,536 | — | — |
The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money market fund
Each Fund may invest in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by each Fund and other affiliated funds (the Affiliated MMF). The income earned by the Funds from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, each Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value (NAV) and no longer seeks to maintain a stable NAV. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Line of credit
Each Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Funds may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Funds and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. Each Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
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Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
No Fund had borrowings during the six months ended June 30, 2017.
Note 8. Significant risks
Credit risk
Credit risk is the risk that the value of debt securities in the Fund’s portfolio may decline because the issuer may default and fail to pay interest or repay principal when due. Rating agencies assign credit ratings to debt securities to indicate their credit risk. Lower rated or unrated debt securities held by Columbia Variable Portfolio — Global Bond Fund, Columbia Variable Portfolio — Intermediate Bond Fund and Variable Portfolio — BlackRock Global Inflation-Protected Securities Fund may present increased credit risk as compared to higher-rated debt securities.
Derivatives risk
Columbia Variable Portfolio – Global Bond Fund, Columbia Variable Portfolio – Intermediate Bond Fund and Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund invest in derivatives. Losses involving derivative instruments may be substantial, because a relatively small price movement in the underlying security(ies), commodity, currency or index or other instrument or asset may result in a substantial loss for the Fund. In addition to the potential for increased losses, the use of derivative instruments may lead to increased volatility within the Fund. Derivatives will typically increase the Fund’s exposure to principal risks to which it is otherwise exposed, and may expose the Fund to additional risks, including correlation risk, counterparty risk, hedging risk, leverage risk and liquidity risk.
Financial sector risk
Variable Portfolio — Partners Small Cap Value Fund and Variable Portfolio – Victory Sycamore Established Value Fund may be more susceptible to the particular risks that may affect companies in the financial services sector than if they were invested in a wider variety of companies in unrelated sectors. Companies in the financial services sector are subject to certain risks, including the risk of regulatory change, decreased liquidity in credit markets and unstable interest rates. Such companies may have concentrated portfolios, such as a high level of loans to real estate developers, which makes them vulnerable to economic conditions that affect that industry. Performance of such companies may be affected by competitive pressures and exposure to investments or agreements that, under certain circumstances, may lead to losses (e.g., subprime loans). Companies in the financial services sector are subject to extensive governmental regulation that may limit the amount and types of loans and other financial commitments they can make, and interest rates and fees that they may charge. In addition, profitability of such companies is largely dependent upon the availability and the cost of capital.
Foreign securities and emerging market countries risk
Investing in foreign securities may include certain risks and considerations not typically associated with investing in U.S. securities, such as fluctuating currency values and changing local and regional economic, political and social conditions, which may result in greater market volatility. In addition, certain foreign securities may not be as liquid as U.S. securities. Investing in emerging markets may accentuate these risks. These countries are also more likely to experience high levels of inflation, deflation or currency devaluation which could hurt their economies and securities markets. To the extent that Columbia Variable Portfolio — Global Bond Fund and Variable Portfolio — BlackRock Global Inflation-Protected Securities Fund concentrate their investment exposure to any one or a few specific countries, the Funds will be particularly susceptible to the various conditions, events or other factors impacting those countries and may, therefore, have a greater risk than that of a fund which is more geographically diversified.
High-yield investments risk
Securities and other debt instruments held by Columbia Variable Portfolio — Global Bond Fund that are rated below investment grade (commonly called "high-yield" or "junk" bonds) and unrated debt instruments of comparable quality expose the Fund to a greater risk of loss of principal and income than a fund that invests solely or primarily in investment grade securities. In addition, these investments have greater price fluctuations, are less liquid and are more likely to experience a default than higher-rated debt instruments. High-yield debt instruments are considered to be predominantly speculative with respect to the issuer’s capacity to pay interest and repay principal.
| 138 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Inflation protected securities risk
Variable Portfolio — BlackRock Global Inflation-Protected Securities Fund’s debt securities tend to react to changes in real interest rates (i.e., nominal interest rates minus the expected impact of inflation). In general, the price of such securities falls when real interest rates rise, and rises when real interest rates fall. Interest payments on these securities will vary and may be more volatile than interest paid on ordinary bonds. In periods of deflation, the Fund may have no income at all from such investments.
Interest rate risk
Interest rate risk is the risk of losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise. Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by Columbia Variable Portfolio — Global Bond Fund, Columbia Variable Portfolio — Intermediate Bond Fund and Variable Portfolio — BlackRock Global Inflation-Protected Securities Fund, resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates.
Liquidity risk
Liquidity risk is the risk associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the interest rate or credit environments) may adversely affect the liquidity of Columbia Variable Portfolio — Global Bond Fund, Columbia Variable Portfolio — Intermediate Bond Fund and Variable Portfolio — BlackRock Global Inflation-Protected Securities Fund investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another, more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Mortgage- and other asset-backed securities risk
The value of any mortgage-backed and other asset-backed securities held by the Fund may be affected by, among other things, changes or perceived changes in: interest rates; factors concerning the interests in and structure of the issuer or the originator of the mortgages or other assets; the creditworthiness of the entities that provide any supporting letters of credit, surety bonds or other credit enhancements; or the market’s assessment of the quality of underlying assets. Payment of principal and interest on some mortgage-backed securities (but not the market value of the securities themselves) may be guaranteed by the full faith and credit of a particular U.S. Government agency, authority, enterprise or instrumentality, and some, but not all, are also insured or guaranteed by the U.S. Government. Mortgage-backed securities issued by non-governmental issuers (such as commercial banks, savings and loan institutions, private mortgage insurance companies, mortgage bankers and other secondary market issuers) may entail greater risk than obligations guaranteed by the U.S. Government. Mortgage- and other asset-backed securities are subject to prepayment risk, which is the possibility that the underlying mortgage or other asset may be refinanced or prepaid prior to maturity during periods of declining or low interest rates, causing Columbia Variable Portfolio — Global Bond Fund and Columbia Variable Portfolio — Intermediate Bond Fund to have to reinvest the money received in securities that have lower yields. Rising or high interest rates tend to extend the duration of mortgage- and other asset-backed securities, making their prices more volatile and more sensitive to changes in interest rates.
Non-diversification risk
Columbia Variable Portfolio – Global Bond Fund and Variable Portfolio – BlackRock Global Inflation-Protected Securities Fund are non-diversified funds. A non-diversified fund is permitted to invest a greater percentage of its total assets in fewer issuers than a diversified fund. The Fund may, therefore, have a greater risk of loss from a few issuers than a similar fund that invests more broadly.
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| 139 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Shareholder concentration risk
At June 30, 2017, the Investment Manager and/or affiliates owned 100% of Class 1, Class 2 and Class 3 shares of each Fund. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Funds. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Technology and technology-related investment risk
Variable Portfolio — MFS® Blended Research® Core Equity Fund may be more susceptible to the particular risks that may affect companies in the information technology sector, as well as other technology-related sectors (collectively, the technology sectors) than if it were invested in a wider variety of companies in unrelated sectors. Companies in the technology sectors are subject to certain risks, including the risk that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete. Performance of such companies may be affected by factors including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for market share and short product cycles due to an accelerated rate of technological developments. Such competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their securities may fall or fail to rise. In addition, many technology sector companies have limited operating histories and prices of these companies’ securities historically have been more volatile than other securities, especially over the short term.
Note 9. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 and below, there were no items requiring adjustment of the financial statements or additional disclosure.
Effective May 1, 2018, the following Funds will be renamed:
| Current Fund names | New Fund names |
| Variable Portfolio — BlackRock Global Inflation-Protected Securities Fund | CTIVP SM — BlackRock Global Inflation-Protected Securities Fund |
| Variable Portfolio — MFS® Blended Research® Core Equity Fund | CTIVP SM — MFS® Blended Research® Core Equity Fund |
| Variable Portfolio — Victory Sycamore Established Value Fund | CTIVP SM — Victory Sycamore Established Value Fund |
Note 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
| 140 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Approval of Management and Subadvisory
Agreements
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Columbia Variable Portfolio (VP) - Global Bond Fund, Columbia Variable Portfolio (VP) - Intermediate Bond Fund, Variable Portfolio (VP) - BlackRock Global Inflation-Protected Securities Fund, Variable Portfolio (VP) - MFS® Blended Research® Core Equity Fund, Variable Portfolio (VP) - Partners Small Cap Value Fund and Variable Portfolio (VP) - Victory Sycamore Established Value Fund (each, a VP Fund and collectively, the VP Funds). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to each VP Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds). In addition, for each of the below-named VP Funds, Columbia Threadneedle has engaged the subadvisers listed below (each, a Subadviser and collectively, the Subadvisers) to provide portfolio management and related services for the corresponding VP Fund under a subadvisory agreement (each, a Subadvisory Agreement and collectively, the Subadvisory Agreements) between Columbia Threadneedle and the corresponding Subadviser(s) listed below.
| VP Fund | Subadviser(s) |
| VP — BlackRock Global Inflation-Protected Securities Fund | BlackRock Financial Management, Inc. (BlackRock) |
| VP — MFS® Blended Research® Core Equity Fund | Massachusetts Financial Services Company (MFS) |
| VP — Partners Small Cap Value Fund | Denver Investment Advisors LLC (Denver Investments);
Jacobs Levy Equity Management, Inc. (Jacobs Levy);
Nuveen Asset Management, LLC (Nuveen Asset Management); and
Segall Bryant & Hamill, LLC (SBH) |
| VP — Victory Sycamore Established Value Fund | Victory Capital Management Inc. (Victory Capital) |
On an annual basis, the VP Funds’ Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreements and the Subadvisory Agreements (together, the Advisory Agreements). Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge) and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and VP Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Advisory Agreements for additional one-year terms. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of advisory and subadvisory agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of each of the Advisory Agreements.
Nature, extent and quality of services provided by Columbia Threadneedle and the Subadvisers
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle and the Subadvisers, as well as their history, reputation, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, detailed information regarding the process employed for overseeing affiliated and unaffiliated Subadvisers and the enhancements made to the Subadviser investment oversight program. With respect to Columbia Threadneedle, the Board also noted the relatively recent change in the leadership of equity department oversight
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Approval of Management and Subadvisory
Agreements (continued)
and the various technological enhancements that have been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each VP Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the VP Funds by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Advisory Agreements, the Board also took into account the organization and strength of the VP Funds’ and their service providers’ compliance programs. The Board also reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the VP Funds’ other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
In addition, the Board discussed the acceptability of the terms of the Advisory Agreements (including the relatively broad scope of services required to be performed by Columbia Threadneedle and each Subadviser), noting that no material changes are proposed from the form of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the VP Funds. It was also observed that the services being performed under the Advisory Agreements were of a reasonably high quality.
With respect to the Subadvisers, the Board observed that it had previously approved each Subadviser’s code of ethics and compliance program, that the Chief Compliance Officer of the VP Funds continues to monitor each code and program, and that no material concerns have been reported. The Board also considered each Subadviser’s organizational strength and resources, portfolio management team depth and capabilities and investment process. The Board also considered each Subadviser’s capability and wherewithal to carry out its responsibilities under the applicable Subadvisory Agreement. In addition, the Board discussed the acceptability of the terms of the Subadvisory Agreements, including the scope of services required to be performed. The Board noted that the terms of the Subadvisory Agreements are generally consistent with the terms of other subadviser agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no material changes were recommended to the Subadvisory Agreements. The Board took into account Columbia Threadneedle’s representation that each Subadviser was in a position to provide quality services to the corresponding VP Fund. In this regard, the Board further observed the recent bolstering of the subadvisory oversight team (under new leadership with added resources) intended to help improve performance.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide quality services to the VP Funds and that each Subadviser is in a position to continue to provide a high quality and level of services to its corresponding VP Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Advisory Agreements, the Board carefully reviewed the investment performance of each VP Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of each VP Fund, the performance of a benchmark index, the percentage ranking of each VP Fund among its comparison group and the net assets of each VP Fund. The Board observed that investment performance met expectations for VP - BlackRock Global Inflation-Protected Securities Fund, VP - Intermediate Bond Fund and VP - Victory Sycamore Established Value Fund, and that investment performance was understandable in light of the particular management style involved and the particular market environment for VP - MFS® Blended Research® Core Equity Fund. The Board observed underperformance for certain periods for VP - Global Bond Fund and VP - Partners Small Cap Value Fund, noting that appropriate steps (such as changes to the management team for VP - Global Bond Fund and the addition of Jacobs Levy and Nuveen Asset Management as
| 142 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Approval of Management and Subadvisory
Agreements (continued)
subadvisers for VP - Partners Small Cap Value Fund) had been taken or are contemplated to help improve the VP Funds’ performance. The Board also observed the recent termination of previous subadvisers for VP - Partners Small Cap Value Fund, Barrow Hanley, River Road and Snow Capital.
Additionally, the Board reviewed the performance of each of the Subadvisers and Columbia Threadneedle’s process for monitoring each Subadviser and the enhancements implemented to the oversight program. The Board considered, in particular, management’s rationale for recommending the continued retention of each Subadviser and management’s representations that their profitability is not a key factor in their recommendation to select, renew or terminate each Subadviser.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle, its affiliates and the Subadvisers from their relationships with the VP Funds
The Board reviewed comparative fees and the costs of services provided under each of the Advisory Agreements. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of each VP Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing each VP Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the VP Funds’ performance and expenses, the reasonableness of the VP Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to each VP Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that the total expense ratio (after considering proposed expense caps/waivers) was slightly below the peer universe’s median expense ratio shown in the reports for VP - Intermediate Bond Fund and approximated the peer universe’s median expense ratio for VP - BlackRock Global Inflation-Protected Securities Fund, VP - Global Bond Fund, VP - MFS® Blended Research® Core Equity Fund, VP - Partners Small Cap Value Fund and VP - Victory Sycamore Established Value Fund.
Additionally, the Board reviewed the level of subadvisory fees paid to each Subadviser, noting that the fees are paid by the Investment Manager and do not impact the fees paid by the applicable VP Fund. The Board also reviewed the fees charged by the Subadvisers to other mutual funds employing similar investment strategies where the Subadvisers serve as investment adviser or subadviser. The Board also reviewed fee rates charged by other comparable mutual funds employing the Subadvisers (other than Denver Investments and SBH) to provide subadvisory services. Based on its reviews, including recommendations from JDL, the Board concluded that each VP Fund’s investment management and, if applicable, subadvisory fees were fair and reasonable in light of the extent and quality of services that the VP Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to each VP Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the VP Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the VP Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board noted that the fees paid by the VP Funds should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
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Approval of Management and Subadvisory
Agreements (continued)
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as each VP Fund grows and took note of the extent to which VP Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed for any VP Fund. The Board concluded that the breakpoints in each management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that fees payable under the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Advisory Agreements.
FEBRUARY 2017 BOARD CONSIDERATION AND APPROVAL OF THE NEW SUBADVISORY AGREEMENTS WITH JACOBS LEVY EQUITY MANAGEMENT, INC. AND NUVEEN ASSET MANAGEMENT, LLC FOR VARIABLE PORTFOLIO – PARTNERS SMALL CAP VALUE FUND
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Variable Portfolio – Partners Small Cap Value Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds). In addition, under the subadvisory agreements (the Subadvisory Agreements) between Columbia Threadneedle and each of Jacobs Levy Equity Management, Inc. (Jacobs Levy) and Nuveen Asset Management, LLC (NAM), Jacobs Levy and NAM have provided portfolio management and related services for the Fund since May 1, 2017. Effective May 1, 2017, Barrow, Hanley, Mewhinney & Strauss, LLC, River Road Asset Management, LLC and Snow Capital Management, L.P. (the Former Subadvisers) were terminated as subadvisers to the Fund. Denver Investment Advisors LLC and Segall Bryant & Hamill, LLC continue to serve as subadvisers to the Fund.
At the February 13-15, 2017 Meeting, the Board, including all of the Independent Trustees, unanimously approved the proposals to (i) terminate the subadvisory agreement between the Investment Manager and the Former Subadvisers; (ii) approve the proposed subadvisory agreement between the Investment Manager and Jacobs Levy; (iii) approve the proposed subadvisory agreement between the Investment Manager and NAM (together with the subadvisory agreement with Jacobs Levy, the New Subadvisory Agreements); (iv) modify the Fund’s principal investment strategies and principal risks to reflect Jacobs Levy’s and NAM’s investment processes; and (v) approve the proposed Code of Ethics and compliance programs for Jacobs Levy and NAM. Independent legal counsel to the Independent Trustees reminded the Board of the legal standards for consideration by directors/trustees of advisory and subadvisory agreements. The Board also recalled its most recent consideration and approval of advisory and subadvisory agreements for annual renewal purposes at the June 2016 Meeting (the June Meeting) and, in that connection, Independent legal counsel’s discussion of the Board’s responsibilities pursuant to Sections 15(c) and 36(b) of the 1940 Act, and the SEC-enumerated factors that should be considered in determining whether to approve new subadvisory agreements, in this case, Jacobs Levy and NAM. The Board held discussions with the Investment Manager, Jacobs Levy and NAM and reviewed and considered various written materials and oral presentations in connection with the evaluation of Jacobs Levy and NAM’s proposed services, including the reports from the Contracts Committee, with respect to the fees and terms of the proposed subadvisory agreements, the Investment Review Committee, with respect to the investment strategy/style, performance and the Compliance Committee, with respect to the code of ethics and compliance programs of Jacobs Levy and NAM. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved each of the New Subadvisory Agreements with Jacobs Levy and NAM.
| 144 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Approval of Management and Subadvisory
Agreements (continued)
Nature, extent and quality of services to be provided by Jacobs Levy and NAM
The Board considered its analysis of the reports and presentations received by it, detailing the services proposed to be performed by Jacobs Levy and NAM as subadvisers for the Fund, as well as the history, reputation, expertise, resources and capabilities, and the qualifications of the personnel of Jacobs Levy and NAM.
The Board observed that Jacobs Levy’s and NAM’s compliance programs had been reviewed by the Fund’s Chief Compliance Officer and were determined to be reasonably designed to prevent violations of the federal securities laws by the Fund. The Board also observed that information had been presented regarding the capabilities and financial condition of Jacobs Levy and NAM as well as their respective abilities to carry out their responsibilities under the proposed Subadvisory Agreements. The Board noted, in particular, that Jacobs Levy’s and NAM’s investment processes were reviewed by the Investment Review Committee. The Board also recalled the information provided by the Investment Manager regarding Jacobs Levy’s and NAM’s personnel, risk controls, philosophy, and investment processes. The Board also noted the presentations by Jacobs Levy and NAM to the Investment Review Committee.
The Board also discussed the acceptability of the terms of each of the proposed Subadvisory Agreements. Independent legal counsel noted that the proposed Subadvisory Agreements were generally similar in scope to subadvisory agreements applicable to other subadvised funds.
The Board recalled information about Jacobs Levy and NAM’s experience managing and/or subadvising registered mutual funds. In this regard, the Board also considered the proposed termination of the Former Subadvisers as subadvisers to the Fund and the Investment Manager’s rationale for the terminations. In that regard, the Board recalled the reports regarding the search process undertaken by the Investment Manager to identify prospective successor subadvisers meeting the Investment Manager’s criteria and with the goals of the insurance company client (as articulated by the Investment Manager).
Investment performance of Jacobs Levy and NAM
The Board noted that a review of investment performance is a key factor in evaluating the nature, extent and quality of services provided under investment advisory and subadvisory agreements. The Board considered Jacobs Levy’s investment performance, noting that it delivered relatively strong performance results (versus the Former Subadvisers, the Fund’s benchmark and peers) over the one-, three- and five-year periods for the strategy proposed to be utilized to subadvise the Fund. The Board also considered NAM’s investment performance, noting that it delivered relatively strong performance results (versus the Former Subadvisers, the Fund’s benchmark and peers) over the one-, three-, and five-year periods for the strategy proposed to be utilized to subadvise the Fund.
Based on the foregoing, and based on other information received (both oral and written) and other considerations, the Board concluded that the Jacobs Levy and NAM were in a position to provide a high quality and level of service to the Fund.
Comparative fees, costs of services provided and profitability
The Board reviewed the proposed level of subadvisory fees under the proposed Subadvisory Agreements, noting that the proposed subadvisory fees payable to Jacobs Levy and NAM would be paid by the Investment Manager and would not impact the fees paid by the Fund. The Board also reviewed data regarding fees charged by Jacobs Levy and NAM to other clients with similar funds and found the proposed subsdvisers’ fees to be within a reasonable range of the fees charged to such other clients. The Board also observed that the proposed subadvisory fees for Jacobs Levy and NAM are generally in line with the range of subadvisory fees paid by the Investment Manager to subadvisers of other funds with similar strategies. As part of its review, the Board also considered the management fees charged by other funds using Jacobs Levy and NAM for comparable strategies to those proposed to be employed for the Fund. The Board observed that the Fund’s management fees approximate or are lower than the management fees of the other funds. The Board also considered the expected change in total profitability of the Investment Manager and its affiliates in connection with the hiring of Jacobs Levy and NAM and concluded that overall the Investment Manager’s profitability levels remained within the reasonable ranges of profitability levels reported at the Fund’s June Meeting.
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Approval of Management and Subadvisory
Agreements (continued)
Economies of scale to be realized
The Board also considered the economies of scale that may be realized by the Investment Manager and its affiliates as the Fund grows and took note of the extent to which shareholders might also benefit from such growth. The Board observed that fees to be paid under each of the proposed subadvisory agreements would not impact fees paid by the Fund (as subadvisory fees are paid by the Investment Manager and not the Fund). The Board observed that the Fund’s investment management service agreement with the Investment Manager continues to provide for sharing of economies of scale as investment management fees decline as assets increase at pre-established breakpoints. The Board further considered that the proposed subadvisory agreement with Jacobs Levy provides for lower fees as assets increase at pre-established breakpoints, but not the proposed subadvisory agreement with NAM. The Board observed that, with respect to the Fund, the Investment Manager would be paying out less to Jacobs Levy and NAM than it had paid to the Former Subadvisers they are replacing and considered whether there were increased opportunities for economies of scale to be shared with shareholders as a result. The Board took into account, in this regard, the significant oversight services provided by the Investment Manager to the Fund, which services are not proposed to change as a result of the replacement of the Former Subadvisers. The Board concluded that the Fund’s investment management service agreement continues to provide adequately for sharing of economies of scale.
Based on all of the foregoing, including all of the information received and presented, the Board, including all of the Independent Trustees, concluded that the proposed subadvisory fees to be paid and each of the New Subadvisory Agreements were fair and reasonable in light of the extent and quality of services proposed to be provided. On February 15, 2017, the Board, including all of the Independent Trustees, approved each of the New Subadvisory Agreements. In reaching this conclusion, no single factor was determinative.
| 146 | Columbia Variable Portfolio Funds | Semiannual Report 2017 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which each Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how each Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
Each Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Each Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. Each Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
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Columbia Variable Portfolio Funds
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For fund and other investment product prospectuses, which contains this and important information, contact your financial advisor or insurance representaive. Please read the prospectus carefully before you invest. Each Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Variable Portfolio Funds
References to “Fund” throughout this semiannual report refer to the following individual funds, singularly or collectively as the context requires:
Columbia Variable Portfolio – U.S. Equities Fund
Variable Portfolio – American Century Diversified Bond Fund
Variable Portfolio – CenterSquare Real Estate Fund
Variable Portfolio – Columbia Wanger International Equities Fund
Variable Portfolio – DFA International Value Fund
Variable Portfolio – Eaton Vance Floating-Rate Income Fund
Variable Portfolio – Jennison Mid Cap Growth Fund
(to be renamed Variable Portfolio – Westfield Mid Cap Growth Fund, effective September 18, 2017)
Variable Portfolio – Los Angeles Capital Large Cap Growth Fund
(formerly Variable Portfolio – Nuveen Winslow Large Cap Growth Fund)
Variable Portfolio – MFS® Value Fund
Variable Portfolio – Morgan Stanley Advantage Fund
Variable Portfolio – Oppenheimer International Growth Fund
Variable Portfolio – Partners Core Bond Fund
(formerly Variable Portfolio – J.P.Morgan Core Bond Fund)
Variable Portfolio – Partners Small Cap Growth Fund
Variable Portfolio – Pyramis® International Equity Fund
Variable Portfolio – T. Rowe Price Large Cap Value Fund
Variable Portfolio – TCW Core Plus Bond Fund
Variable Portfolio – Wells Fargo Short Duration Government Fund
Please remember that you may not buy (nor will you own) shares of a Fund directly. Each Fund is available through variable annuity contracts or variable life insurance policies (collectively, Contracts) offered by the separate accounts of participating insurance companies as well as qualified pension and retirement plans (Qualified Plans). Please contact your financial advisor or insurance representative for more information.
This semiannual report may contain information on a Fund not available under your Contract or Qualified Plan. Please refer to your Contract prospectus or Qualified Plan disclosure document for information regarding the investment options available to you.
Pyramis® is a registered service mark of FMR LLC. Used with permission.
Not FDIC Insured • No bank guarantee • May lose value
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Variable Portfolio Funds | Semiannual Report 2017
Fund at a Glance
Columbia Variable Portfolio – U.S. Equities Fund (Unaudited)
Investment objective
Columbia Variable Portfolio – U.S. Equities Fund (the Fund) seeks to provide shareholders with long-term capital growth.
Portfolio management
Columbia Management Investment Advisers, LLC
Brian Condon, CFA
Jarl Ginsberg, CFA, CAIA
Christian Stadlinger, Ph.D., CFA
David Hoffman
Peter Albanese
Columbia Wanger Asset Management, LLC
Matthew Litfin, CFA
William Doyle, CFA
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 1 | 05/07/10 | 3.12 | 20.97 | 11.54 | 11.27 |
| Class 2 | 05/07/10 | 3.03 | 20.66 | 11.27 | 11.00 |
| Russell 2000 Index | | 4.99 | 24.60 | 13.70 | 12.98 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC (the Investment Manager) and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Fund’s performance prior to May 2015, when the Investment Manager assumed day-to-day management responsibilities over a portion of the Fund’s portfolio, reflects returns achieved by a single subadviser that managed the Fund’s portfolio according to different principal investment strategies. If the Fund’s current management and strategies had been in place for the prior periods, results shown may have been different.
The Russell 2000 Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000 is a subset of the Russell 3000 Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Columbia Variable Portfolio – U.S. Equities Fund (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 98.2 |
| Money Market Funds | 1.8 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Top 10 holdings (%) (at June 30, 2017) |
| LCI Industries | 0.9 |
| j2 Global, Inc. | 0.7 |
| PS Business Parks, Inc. | 0.7 |
| MGIC Investment Corp. | 0.7 |
| Masimo Corp. | 0.7 |
| Hancock Holding Co. | 0.6 |
| AMN Healthcare Services, Inc. | 0.6 |
| Aspen Technology, Inc. | 0.6 |
| Southwest Gas Corp. | 0.6 |
| Children’s Place, Inc. (The) | 0.6 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 14.2 |
| Consumer Staples | 2.4 |
| Energy | 3.8 |
| Financials | 18.2 |
| Health Care | 15.1 |
| Industrials | 14.6 |
| Information Technology | 16.7 |
| Materials | 4.0 |
| Real Estate | 7.3 |
| Telecommunication Services | 0.3 |
| Utilities | 3.4 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
Variable Portfolio Funds | Semiannual Report 2017
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Fund at a Glance
Variable Portfolio – American Century Diversified Bond Fund (Unaudited)
Investment objective
Variable Portfolio – American Century Diversified Bond Fund (the Fund) seeks to provide shareholders with a high level of current income.
Portfolio management
American Century Investment Management, Inc.
Robert Gahagan
Alejandro Aguilar, CFA
Jeffrey Houston, CFA
Brian Howell
G. David MacEwen
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 1 | 05/07/10 | 2.83 | 1.16 | 2.41 | 3.57 |
| Class 2 | 05/07/10 | 2.67 | 0.92 | 2.14 | 3.31 |
| Bloomberg Barclays U.S. Aggregate Bond Index | | 2.27 | -0.31 | 2.21 | 3.40 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage passthroughs), asset-backed securities, and commercial mortgage-backed securities.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 4 | Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Variable Portfolio – American Century Diversified Bond Fund (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Asset-Backed Securities — Non-Agency | 4.5 |
| Commercial Mortgage-Backed Securities - Non-Agency | 7.7 |
| Corporate Bonds & Notes | 36.3 |
| Foreign Government Obligations | 3.5 |
| Inflation-Indexed Bonds | 3.9 |
| Money Market Funds | 1.8 |
| Municipal Bonds | 1.3 |
| Residential Mortgage-Backed Securities - Agency | 20.8 |
| Residential Mortgage-Backed Securities - Non-Agency | 7.6 |
| U.S. Government & Agency Obligations | 1.0 |
| U.S. Treasury Obligations | 11.6 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at June 30, 2017) |
| AAA rating | 46.8 |
| AA rating | 6.3 |
| A rating | 10.9 |
| BBB rating | 20.5 |
| BB rating | 8.8 |
| B rating | 4.1 |
| CCC rating | 2.5 |
| CC rating | 0.1 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments (excluding Money Market Funds).
Bond ratings apply to the underlying holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the middle rating of Moody’s, S&P and Fitch, after dropping the highest and lowest available ratings. When ratings are available from only two rating agencies, the lower rating is used. When a rating is available from only one rating agency, that rating is used. When a bond is not rated by any rating agency, it is designated as “Not rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g., interest rate and time to maturity) and the amount and type of any collateral.
Variable Portfolio Funds | Semiannual Report 2017
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Fund at a Glance
Variable Portfolio – CenterSquare Real Estate Fund (Unaudited)
Investment objective
Variable Portfolio – CenterSquare Real Estate Fund (the Fund) seeks to provide shareholders with current income and capital appreciation.
Portfolio management
CenterSquare Investment Management, Inc.
Dean Frankel, CFA
Eric Rothman, CFA
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 1 | 05/07/10 | 1.71 | -3.35 | 7.08 | 7.97 |
| Class 2 | 05/07/10 | 1.55 | -3.64 | 6.80 | 7.69 |
| FTSE NAREIT Equity REITs Index | | 2.70 | -1.70 | 9.52 | 12.17 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Fund’s performance prior to June 2016 reflects returns achieved by one or more different subadviser(s) that managed the Fund according to different principal investment strategies. If the Fund’s current subadviser and strategies had been in place for the prior periods, results shown may have been different.
The FTSE NAREIT Equity REITs Index reflects performance of all publicly traded equity real estate investment trusts (REITs), other than those designated as timber REITs.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 6 | Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Variable Portfolio – CenterSquare Real Estate Fund (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 98.7 |
| Money Market Funds | 1.3 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Top 10 holdings (%) (at June 30, 2017) |
| Simon Property Group, Inc. | 6.9 |
| Equinix, Inc. | 5.9 |
| ProLogis, Inc. | 5.0 |
| AvalonBay Communities, Inc. | 4.5 |
| Boston Properties, Inc. | 4.0 |
| Vornado Realty Trust | 3.8 |
| HCP, Inc. | 3.6 |
| CubeSmart | 3.5 |
| Essex Property Trust, Inc. | 3.3 |
| Douglas Emmett, Inc. | 3.0 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 1.8 |
| Real Estate | 98.2 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| Equity sub-industry breakdown (%) (at June 30, 2017) |
| Real Estate | |
| Diversified REITs | 3.8 |
| Health Care REITs | 11.6 |
| Hotel & Resort REITs | 4.4 |
| Industrial REITs | 9.2 |
| Office REITs | 18.6 |
| Residential REITs | 20.4 |
| Retail REITs | 15.7 |
| Specialized REITs | 14.5 |
| Total | 98.2 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
Variable Portfolio Funds | Semiannual Report 2017
| 7 |
Fund at a Glance
Variable Portfolio – Columbia Wanger International Equities Fund (Unaudited)
Investment objective
Variable Portfolio – Columbia Wanger International Equities Fund (the Fund) seeks to provide shareholders with long-term capital growth.
Portfolio management
Columbia Wanger Asset Management, LLC
Louis Mendes, CFA
P. Zachary Egan, CFA
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 1 | 05/07/10 | 19.94 | 18.57 | 9.16 | 8.58 |
| Class 2 | 05/07/10 | 19.71 | 18.23 | 8.89 | 8.33 |
| MSCI ACWI ex USA Small Cap Index (Net) | | 15.56 | 20.32 | 10.02 | 8.25 |
| MSCI ACWI ex USA Small Cap Growth Index (Net) | | 16.58 | 17.17 | 9.77 | 8.40 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The MSCI ACWI ex USA Small Cap Index (Net) captures small-cap representation across 22 of 23 developed market countries (excluding the United States) and 23 emerging markets countries.
The MSCI ACWI ex USA Small Cap Growth Index (Net) captures small cap securities exhibiting overall growth style characteristics across 22 of 23 Developed Markets (DM) countries (excluding the US) and 24 Emerging Markets (EM) countries.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI ACWI ex USA Small Cap Index (Net) and the MSCI ACWI ex USA Small Cap Growth Index (Net), which reflects reinvested dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may not match those in an index.
| 8 | Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Variable Portfolio – Columbia Wanger International Equities Fund (Unaudited)
| Top 10 holdings (%) (at June 30, 2017) | |
| Hastings Group Holdings PLC (United Kingdom) | 1.8 |
| Big Yellow Group PLC (United Kingdom) | 1.8 |
| SimCorp AS (Denmark) | 1.7 |
| Halma PLC (United Kingdom) | 1.7 |
| Brembo SpA (Italy) | 1.6 |
| Aeon Mall Co., Ltd. (Japan) | 1.5 |
| Silergy Corp. (Taiwan) | 1.5 |
| Rightmove PLC (United Kingdom) | 1.5 |
| Koh Young Technology, Inc. (South Korea) | 1.5 |
| Spirax-Sarco Engineering PLC (United Kingdom) | 1.5 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 23.8 |
| Consumer Staples | 5.6 |
| Energy | 1.2 |
| Financials | 9.9 |
| Health Care | 8.3 |
| Industrials | 21.6 |
| Information Technology | 16.2 |
| Materials | 5.2 |
| Real Estate | 7.4 |
| Telecommunication Services | 0.8 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| Country breakdown (%) (at June 30, 2017) |
| Australia | 0.5 |
| Belgium | 0.8 |
| Brazil | 0.5 |
| Cambodia | 0.8 |
| Canada | 4.9 |
| Cayman Islands | 1.8 |
| China | 1.5 |
| Denmark | 2.2 |
| Finland | 1.6 |
| France | 1.6 |
| Germany | 7.5 |
| Hong Kong | 1.0 |
| India | 3.5 |
| Indonesia | 1.3 |
| Ireland | 0.6 |
| Italy | 2.6 |
| Japan | 19.7 |
| Malta | 1.4 |
| Mexico | 1.3 |
| Netherlands | 1.4 |
| New Zealand | 0.5 |
| Norway | 1.3 |
| Philippines | 1.0 |
| Singapore | 0.7 |
| South Africa | 1.5 |
| South Korea | 4.8 |
| Spain | 3.1 |
| Sweden | 4.1 |
| Switzerland | 1.0 |
| Taiwan | 3.0 |
| Thailand | 1.5 |
| Turkey | 0.6 |
| United Kingdom | 16.9 |
| United States(a) | 3.5 |
| Total | 100.0 |
| (a) | Includes investments in Money Market Funds. |
Country breakdown is based primarily on issuer’s place of organization/incorporation. Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
Variable Portfolio Funds | Semiannual Report 2017
| 9 |
Fund at a Glance
Variable Portfolio – DFA International Value Fund (Unaudited)
Investment objective
Variable Portfolio – DFA International Value Fund (the Fund) seeks to provide shareholders with long-term capital growth.
Portfolio management
Dimensional Fund Advisors LP
Joseph Chi, CFA
Jed Fogdall
Mary Phillips, CFA
Bhanu Singh
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 1 | 05/07/10 | 10.58 | 25.84 | 7.31 | 3.96 |
| Class 2 | 05/07/10 | 10.35 | 25.59 | 7.06 | 3.69 |
| MSCI EAFE Value Index (Net) | | 11.12 | 25.01 | 8.12 | 6.45 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Fund’s performance prior to November 2011 reflects returns achieved by one or more different subadvisers. If the Fund’s current subadviser had been in place for the prior periods, results shown may have been different.
Effective May 1, 2017, the Fund compares its performance to that of the MSCI EAFE Value Index (Net) (the New Index). Prior to this date, the Fund compared its performance to that of the MSCI World ex-USA Value Index (Net) (the Former Index). The Fund’s investment manager believes that the New Index provides a more appropriate basis for comparing the Fund’s performance. Information on the Former Index will be included for a one-year transition period. The MSCI EAFE Value Index (Net) captures large and mid-cap securities exhibiting overall value style characteristics across 21 of 23 Developed Markets countries. The value investment style characteristics for index construction are defined using three variables: book value to price, 12-month forward earnings to price and dividend yield.
The MSCI World ex-USA Value Index (Net) captures large and mid-cap securities exhibiting overall value style characteristics across 22 of 23 Developed Markets countries. The value investment style characteristics for index construction are defined using three variables: book value to price, 12-month forward earnings to price and dividend yield. The MSCI World ex-USA Value Index (Net) consists of the following 22 developed market country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI EAFE Value Index (Net) and the MSCI World ex-USA Value Index (Net), which reflect reinvested dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may not match those in an index.
| 10 | Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Variable Portfolio – DFA International Value Fund (Unaudited)
| Top 10 holdings (%) (at June 30, 2017) | |
| Vodafone Group PLC (United Kingdom) | 3.4 |
| Banco Santander SA (Spain) | 3.2 |
| HSBC Holdings PLC, ADR (United Kingdom) | 2.9 |
| Total SA (France) | 2.5 |
| BP PLC, ADR (United Kingdom) | 2.5 |
| Daimler AG, Registered Shares (Germany) | 2.3 |
| Royal Dutch Shell PLC, ADR, Class A (United Kingdom) | 2.2 |
| Royal Dutch Shell PLC, ADR, Class B (United Kingdom) | 2.0 |
| BHP Billiton Ltd. (Australia) | 1.6 |
| Allianz SE, Registered Shares (Germany) | 1.6 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 14.7 |
| Consumer Staples | 2.1 |
| Energy | 12.5 |
| Financials | 31.0 |
| Health Care | 2.0 |
| Industrials | 10.1 |
| Information Technology | 3.9 |
| Materials | 14.9 |
| Real Estate | 2.3 |
| Telecommunication Services | 5.0 |
| Utilities | 1.5 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| Country breakdown (%) (at June 30, 2017) |
| Australia | 6.5 |
| Austria | 0.1 |
| Belgium | 0.9 |
| Denmark | 1.9 |
| Finland | 1.1 |
| France | 10.8 |
| Germany | 9.8 |
| Hong Kong | 3.0 |
| Ireland | 0.4 |
| Israel | 0.5 |
| Italy | 1.0 |
| Japan | 24.4 |
| Luxembourg | 0.3 |
| Netherlands | 2.6 |
| New Zealand | 0.1 |
| Norway | 0.6 |
| Portugal | 0.1 |
| Singapore | 1.0 |
| Spain | 4.3 |
| Sweden | 2.6 |
| Switzerland | 8.5 |
| United Kingdom | 18.9 |
| United States(a) | 0.6 |
| Total | 100.0 |
| (a) | Includes investments in Money Market Funds. |
Country breakdown is based primarily on issuer’s place of organization/incorporation. Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
Variable Portfolio Funds | Semiannual Report 2017
| 11 |
Fund at a Glance
Variable Portfolio – Eaton Vance Floating-Rate Income Fund (Unaudited)
Investment objective
Variable Portfolio – Eaton Vance Floating-Rate Income Fund (the Fund) seeks to provide shareholders with a high level of current income.
Portfolio management
Eaton Vance Management
Scott Page, CFA
Craig Russ
Andrew Sveen, CFA
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 1 | 05/07/10 | 1.83 | 7.09 | 3.88 | 3.97 |
| Class 2 | 05/07/10 | 1.75 | 6.95 | 3.65 | 3.61 |
| S&P/LSTA Leveraged Loan Index | | 1.91 | 7.42 | 4.58 | 4.73 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The S&P/LSTA Leveraged Loan Index is a daily total return index that uses LSTA/LPC Mark-to-Market Pricing to calculate market value change. On a real-time basis, the S&P/LSTA Leveraged Loan Index tracks the current outstanding balance and spread over LIBOR for fully funded term loans. The facilities included in the S&P/LSTA Leveraged Loan Index represent a broad cross section of leveraged loans syndicated in the United States, including dollar-denominated loans to overseas issuers.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 12 | Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Variable Portfolio – Eaton Vance Floating-Rate Income Fund (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 1.8 |
| Money Market Funds | 6.7 |
| Senior Loans | 91.5 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at June 30, 2017) |
| BBB rating | 2.0 |
| BB rating | 39.9 |
| B rating | 47.8 |
| CCC rating | 2.9 |
| Not rated | 7.4 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments (excluding Money Market Funds).
Bond ratings apply to the underlying holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the rating assigned by Moody’s, as available. If Moody’s doesn’t rate a bond, then the S&P rating is used. When a bond is not rated by any rating agency, it is designated as “Not rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g., interest rate and time to maturity) and the amount and type of any collateral. Additionally, the Investment Manager considers the interest rate to be paid on the investment, the portfolio’s exposure to a particular sector, and the relative value of the loan within the sector, among other factors.
Variable Portfolio Funds | Semiannual Report 2017
| 13 |
Fund at a Glance
Variable Portfolio – Jennison Mid Cap Growth Fund (Unaudited)
Investment objective
Variable Portfolio – Jennison Mid Cap Growth Fund (the Fund) seeks to provide shareholders with long-term capital growth.
Portfolio management
Jennison Associates LLC*
John Mullman, CFA
Sheetal Prasad, CFA
*Effective September 18, 2017, Jennison Associates LLC will no longer serve as the subadviser to the Fund and Westfield Capital Management Company, L.P. will assume the day-to-day management of the Fund’s portfolio.
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 1 | 05/07/10 | 11.39 | 15.01 | 10.56 | 11.11 |
| Class 2 | 05/07/10 | 11.27 | 14.76 | 10.28 | 10.81 |
| Russell Midcap Growth Index | | 11.40 | 17.05 | 14.19 | 13.96 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Russell Midcap Growth Index, an unmanaged index, measures the performance of those Russell Midcap Index companies with higher price-to-book ratios and forecasted growth values.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 14 | Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Variable Portfolio – Jennison Mid Cap Growth Fund (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 96.7 |
| Money Market Funds | 3.3 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Top 10 holdings (%) (at June 30, 2017) |
| SBA Communications Corp | 3.1 |
| Dollar Tree, Inc. | 2.3 |
| Roper Technologies, Inc. | 2.3 |
| Red Hat, Inc. | 2.2 |
| AMETEK, Inc. | 2.1 |
| Analog Devices, Inc. | 2.1 |
| Hilton Worldwide Holdings, Inc. | 2.0 |
| IHS Markit Ltd. | 1.9 |
| Vantiv, Inc., Class A | 1.8 |
| SLM Corp. | 1.8 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 20.1 |
| Consumer Staples | 4.7 |
| Energy | 2.1 |
| Financials | 9.5 |
| Health Care | 14.6 |
| Industrials | 14.4 |
| Information Technology | 23.2 |
| Materials | 4.7 |
| Real Estate | 6.7 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
Variable Portfolio Funds | Semiannual Report 2017
| 15 |
Fund at a Glance
Variable Portfolio – Los Angeles Capital Large Cap Growth Fund (Unaudited)
Investment objective
Variable Portfolio – Los Angeles Capital Large Cap Growth Fund (the Fund) seeks to provide shareholders with long-term capital growth.
Portfolio management
Los Angeles Capital Management and Equity Research, Inc.*
Thomas Stevens, CFA
Hal Reynolds, CFA
Daniel Allen, CFA
Daniel Arche, CFA
*Effective May 1, 2017, Winslow Capital Management, LLC no longer serves as subadviser to the Fund and Los Angeles Capital Management and Equity Research, Inc. assumed day-to-day management of the Fund.
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 1 | 05/07/10 | 16.74 | 19.27 | 13.76 | 12.79 |
| Class 2 | 05/07/10 | 16.57 | 18.97 | 13.49 | 12.50 |
| Russell 1000 Growth Index | | 13.99 | 20.42 | 15.30 | 14.98 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Fund’s performance prior to May 2017 reflects returns achieved by one or more different subadvisers. If the Fund’s current subadviser had been in place for the prior periods, results shown may have been different.
The Russell 1000 Growth Index, an unmanaged index, measures the performance of those Russell 1000 Index companies with higher price-to-book ratios and higher forecasted growth values.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 16 | Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Variable Portfolio – Los Angeles Capital Large Cap Growth Fund (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 99.1 |
| Money Market Funds | 0.9 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Top 10 holdings (%) (at June 30, 2017) |
| Apple, Inc. | 6.9 |
| Microsoft Corp. | 4.6 |
| Amazon.com, Inc. | 4.5 |
| Facebook, Inc., Class A | 4.0 |
| Alphabet, Inc., Class A | 2.6 |
| Alphabet, Inc., Class C | 2.6 |
| Deere & Co. | 2.0 |
| Becton Dickinson and Co. | 1.9 |
| Broadcom Ltd. | 1.8 |
| McDonald’s Corp. | 1.8 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 17.2 |
| Consumer Staples | 5.9 |
| Financials | 3.2 |
| Health Care | 15.8 |
| Industrials | 9.8 |
| Information Technology | 41.6 |
| Materials | 3.9 |
| Real Estate | 2.6 |
| Telecommunication Services | 0.0 (a) |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
Variable Portfolio Funds | Semiannual Report 2017
| 17 |
Fund at a Glance
Variable Portfolio – MFS® Value Fund (Unaudited)
Investment objective
Variable Portfolio – MFS® Value Fund (the Fund) seeks to provide shareholders with long-term capital growth.
Portfolio management
Massachusetts Financial Services Company
Nevin Chitkara
Steve Gorham
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 1 | 05/07/10 | 9.05 | 16.51 | 14.77 | 12.45 |
| Class 2 | 05/07/10 | 8.91 | 16.20 | 14.47 | 12.18 |
| Russell 1000 Value Index | | 4.66 | 15.53 | 13.94 | 12.83 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Russell 1000 Value Index, an unmanaged index, measures the performance of those stocks in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 18 | Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Variable Portfolio – MFS® Value Fund (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 98.9 |
| Money Market Funds | 1.1 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Top 10 holdings (%) (at June 30, 2017) |
| JPMorgan Chase & Co. | 4.7 |
| Philip Morris International, Inc. | 3.8 |
| Johnson & Johnson | 3.6 |
| Wells Fargo & Co. | 3.3 |
| Accenture PLC, Class A | 2.7 |
| Medtronic PLC | 2.6 |
| U.S. Bancorp | 2.2 |
| Johnson Controls International PLC | 2.2 |
| 3M Co. | 2.2 |
| Citigroup, Inc. | 2.2 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 6.6 |
| Consumer Staples | 12.2 |
| Energy | 4.7 |
| Financials | 30.6 |
| Health Care | 15.7 |
| Industrials | 16.1 |
| Information Technology | 7.2 |
| Materials | 4.1 |
| Real Estate | 0.4 |
| Telecommunication Services | 0.8 |
| Utilities | 1.6 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
Variable Portfolio Funds | Semiannual Report 2017
| 19 |
Fund at a Glance
Variable Portfolio – Morgan Stanley Advantage Fund (Unaudited)
Investment objective
Variable Portfolio – Morgan Stanley Advantage Fund (the Fund) seeks to provide shareholders with long-term capital growth.
Portfolio management
Morgan Stanley Investment Management Inc.
Dennis Lynch
David Cohen
Sam Chainani, CFA
Alexander Norton
Jason Yeung, CFA
Armistead Nash
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 1 | 05/07/10 | 16.39 | 19.96 | 13.30 | 12.94 |
| Class 2 | 05/07/10 | 16.21 | 19.65 | 13.00 | 12.66 |
| Russell 1000 Growth Index | | 13.99 | 20.42 | 15.30 | 14.98 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Fund’s performance prior to May 2016 reflects returns achieved by one or more different subadviser(s) that managed the Fund according to different principal investment strategies. If the Fund’s current subadviser and strategies had been in place for the prior periods, results shown may have been different.
The Russell 1000 Growth Index, an unmanaged index, measures the performance of those Russell 1000 Index companies with higher price-to-book ratios and higher forecasted growth values.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 20 | Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Variable Portfolio – Morgan Stanley Advantage Fund (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 96.8 |
| Money Market Funds | 3.2 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Top 10 holdings (%) (at June 30, 2017) |
| Facebook, Inc., Class A | 9.0 |
| Amazon.com, Inc. | 8.9 |
| Alphabet, Inc., Class C | 6.6 |
| United Technologies Corp. | 5.2 |
| Priceline Group, Inc. (The) | 5.1 |
| Berkshire Hathaway, Inc., Class B | 5.1 |
| S&P Global, Inc. | 5.0 |
| Starbucks Corp. | 5.0 |
| MasterCard, Inc., Class A | 4.9 |
| Salesforce.com, Inc. | 3.7 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 31.0 |
| Financials | 13.0 |
| Health Care | 4.5 |
| Industrials | 14.5 |
| Information Technology | 35.4 |
| Materials | 1.6 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
Variable Portfolio Funds | Semiannual Report 2017
| 21 |
Fund at a Glance
Variable Portfolio – Oppenheimer International Growth Fund (Unaudited)
Investment objective
Variable Portfolio – Oppenheimer International Growth Fund (the Fund) seeks to provide shareholders with long-term capital growth.
Portfolio management
OppenheimerFunds, Inc.
George Evans, CFA
Robert Dunphy, CFA
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 1 | 05/07/10 | 15.46 | 16.16 | 7.53 | 7.17 |
| Class 2 | 05/07/10 | 15.31 | 15.94 | 7.28 | 6.90 |
| MSCI EAFE Growth Index (Net) | | 16.68 | 15.70 | 9.19 | 8.15 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Fund’s performance prior to May 2016 reflects returns achieved by one or more different subadviser(s) that managed the Fund according to different principal investment strategies. If the Fund’s current subadviser and strategies had been in place for the prior periods, results shown may have been different.
The MSCI EAFE Growth Index (Net) captures large and mid-cap securities exhibiting overall growth style characteristics across developed market countries around the world, excluding the US and Canada.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI EAFE Growth Index (Net), which reflects reinvested dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may not match those in an index.
| 22 | Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Variable Portfolio – Oppenheimer International Growth Fund (Unaudited)
| Top 10 holdings (%) (at June 30, 2017) | |
| Infineon Technologies AG (Germany) | 2.3 |
| SAP SE (Germany) | 2.0 |
| Nippon Telegraph & Telephone Corp. (Japan) | 1.9 |
| Valeo SA (France) | 1.8 |
| Carnival Corp. (United States) | 1.7 |
| Hero Honda Motors Ltd. (India) | 1.6 |
| Continental AG (Germany) | 1.6 |
| Keyence Corp. (Japan) | 1.6 |
| Lonza Group AG, Registered Shares (Switzerland) | 1.5 |
| Temenos Group AG (Switzerland) | 1.5 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 23.0 |
| Consumer Staples | 11.5 |
| Energy | 1.6 |
| Financials | 3.7 |
| Health Care | 13.7 |
| Industrials | 19.4 |
| Information Technology | 16.7 |
| Materials | 5.0 |
| Telecommunication Services | 5.4 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| Country breakdown (%) (at June 30, 2017) |
| Australia | 2.8 |
| Belgium | 0.7 |
| Canada | 4.8 |
| Denmark | 4.6 |
| Finland | 1.0 |
| France | 17.4 |
| Germany | 10.7 |
| India | 2.2 |
| Japan | 8.4 |
| Luxembourg | 1.0 |
| Netherlands | 5.9 |
| South Africa | 0.7 |
| Spain | 5.2 |
| Sweden | 2.2 |
| Switzerland | 10.4 |
| Thailand | 0.9 |
| United Kingdom | 18.0 |
| United States(a) | 3.1 |
| Total | 100.0 |
| (a) | Includes investments in Money Market Funds. |
Country breakdown is based primarily on issuer’s place of organization/incorporation. Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
Variable Portfolio Funds | Semiannual Report 2017
| 23 |
Fund at a Glance
Variable Portfolio – Partners Core Bond Fund (Unaudited)
Investment objective
Variable Portfolio – Partners Core Bond Fund (the Fund) seeks to provide shareholders with a high level of current income while conserving the value of the investment for the longest period of time.
Portfolio management
J.P. Morgan Investment Management Inc.
Richard Figuly
Barbara Miller
Peter Simons, CFA
Wells Capital Management Incorporated*
Thomas O’Connor, CFA
Troy Ludgood
*Effective May 1, 2017, Wells Capital Management Incorporated was added as subadviser to the Fund.
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 1 | 05/07/10 | 2.25 | -0.24 | 2.10 | 3.37 |
| Class 2 | 05/07/10 | 2.20 | -0.48 | 1.86 | 3.11 |
| Bloomberg Barclays U.S. Aggregate Bond Index | | 2.27 | -0.31 | 2.21 | 3.40 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Fund’s performance prior to May 2017 reflects returns achieved by one or more different subadvisers. If the Fund’s current subadvisers had been in place for the prior periods, results shown may have been different.
The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage passthroughs), asset-backed securities, and commercial mortgage-backed securities.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 24 | Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Variable Portfolio – Partners Core Bond Fund (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Asset-Backed Securities — Non-Agency | 13.7 |
| Commercial Mortgage-Backed Securities - Agency | 7.4 |
| Commercial Mortgage-Backed Securities - Non-Agency | 3.2 |
| Corporate Bonds & Notes | 21.8 |
| Foreign Government Obligations | 2.0 |
| Inflation-Indexed Bonds | 0.1 |
| Money Market Funds | 2.5 |
| Municipal Bonds | 0.4 |
| Residential Mortgage-Backed Securities - Agency | 21.5 |
| Residential Mortgage-Backed Securities - Non-Agency | 2.1 |
| U.S. Government & Agency Obligations | 2.2 |
| U.S. Treasury Obligations | 23.1 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at June 30, 2017) |
| AAA rating | 65.8 |
| AA rating | 4.0 |
| A rating | 9.9 |
| BBB rating | 15.5 |
| BB rating | 0.5 |
| B rating | 0.1 |
| CCC rating | 0.1 |
| C rating | 0.0 (a) |
| Not rated | 4.1 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments (excluding Money Market Funds).
Bond ratings apply to the underlying holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the middle rating of Moody’s, S&P and Fitch, after dropping the highest and lowest available ratings. When ratings are available from only two rating agencies, the lower rating is used. When a rating is available from only one rating agency, that rating is used. When a bond is not rated by any rating agency, it is designated as “Not rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g., interest rate and time to maturity) and the amount and type of any collateral.
Variable Portfolio Funds | Semiannual Report 2017
| 25 |
Fund at a Glance
Variable Portfolio – Partners Small Cap Growth Fund (Unaudited)
Investment objective
Variable Portfolio – Partners Small Cap Growth Fund (the Fund) seeks to provide shareholders with long-term capital growth.
Portfolio management
BMO Asset Management Corp.*
David Corris, CFA
Thomas Lettenberger, CFA
*Effective May 1, 2017, The London Company of Virginia LLC no longer serves as subadviser to the Fund and BMO Asset Management Corp. assumed day-to-day management of a portion of the Fund’s portfolio as a subadviser to the Fund.
Kennedy Capital Management, Inc.
John Rackers
Wells Capital Management Incorporated
Joseph Eberhardy, CFA, CPA
Thomas Ognar, CFA
Bruce Olson, CFA
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 1 | 05/07/10 | 8.66 | 15.53 | 9.91 | 10.24 |
| Class 2 | 05/07/10 | 8.53 | 15.25 | 9.63 | 9.97 |
| Russell 2000 Growth Index | | 9.97 | 24.40 | 13.98 | 14.04 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Fund’s performance prior to May 1, 2017 reflects returns achieved by one or more different subadvisers. If the Fund’s current subadvisers had been in place for the prior periods, results shown may have been different.
The Russell 2000 Growth Index, an unmanaged index, measures the performance of those Russell 2000 Index companies with higher price-to-book ratios and higher forecasted growth values.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 26 | Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Variable Portfolio – Partners Small Cap Growth Fund (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 97.5 |
| Money Market Funds | 2.5 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Top 10 holdings (%) (at June 30, 2017) |
| Wageworks, Inc. | 1.6 |
| John Bean Technologies Corp. | 1.3 |
| Spectranetics Corp. (The) | 1.3 |
| On Assignment, Inc. | 1.2 |
| Inogen, Inc. | 1.2 |
| Q2 Holdings, Inc. | 1.1 |
| Five Below, Inc. | 1.1 |
| Five9, Inc. | 1.1 |
| Proofpoint, Inc. | 1.0 |
| InterXion Holding NV | 1.0 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 13.1 |
| Consumer Staples | 1.7 |
| Energy | 2.3 |
| Financials | 5.6 |
| Health Care | 24.6 |
| Industrials | 18.4 |
| Information Technology | 28.8 |
| Materials | 3.2 |
| Real Estate | 1.7 |
| Telecommunication Services | 0.3 |
| Utilities | 0.3 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
Variable Portfolio Funds | Semiannual Report 2017
| 27 |
Fund at a Glance
Variable Portfolio – Pyramis® International Equity Fund (Unaudited)
Investment objective
Variable Portfolio – Pyramis® International Equity Fund (the Fund) seeks to provide shareholders with long-term growth of capital.
Portfolio management
FIAM LLC (doing business as Pyramis Global Advisors)
Cesar Hernandez, CFA
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 1 | 05/07/10 | 14.20 | 16.90 | 7.39 | 6.14 |
| Class 2 | 05/07/10 | 14.03 | 16.55 | 7.13 | 5.87 |
| MSCI EAFE Index (Net) | | 13.81 | 20.27 | 8.69 | 7.34 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The MSCI EAFE Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The index is compiled from a composite of securities markets of Europe, Australia and the Far East and is widely recognized by investors in foreign markets as the measurement index for portfolios of non-North American securities.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI EAFE Index (Net), which reflects reinvested dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may not match those in an index.
| 28 | Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Variable Portfolio – Pyramis® International Equity Fund (Unaudited)
| Top 10 holdings (%) (at June 30, 2017) | |
| Nestlé SA, Registered Shares (Switzerland) | 2.2 |
| Royal Dutch Shell PLC, Class A (United Kingdom) | 2.2 |
| British American Tobacco PLC (United Kingdom) | 1.7 |
| Sanofi (France) | 1.5 |
| Unilever NV-CVA (Netherlands) | 1.4 |
| SAP SE (Germany) | 1.4 |
| Mitsubishi UFJ Financial Group, Inc. (Japan) | 1.3 |
| Novartis AG, Registered Shares (Switzerland) | 1.3 |
| GlaxoSmithKline PLC (United Kingdom) | 1.2 |
| Roche Holding AG, Genusschein Shares (Switzerland) | 1.1 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 11.9 |
| Consumer Staples | 11.4 |
| Energy | 5.0 |
| Financials | 22.2 |
| Health Care | 12.1 |
| Industrials | 12.9 |
| Information Technology | 7.3 |
| Materials | 8.1 |
| Real Estate | 2.2 |
| Telecommunication Services | 4.9 |
| Unknown GICS Sector | 0.2 |
| Utilities | 1.8 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| Country breakdown (%) (at June 30, 2017) |
| Australia | 6.6 |
| Belgium | 2.1 |
| Cayman Islands | 0.6 |
| China | 0.1 |
| Denmark | 1.1 |
| Finland | 0.6 |
| France | 10.3 |
| Germany | 9.2 |
| Hong Kong | 3.9 |
| Ireland | 1.4 |
| Israel | 0.4 |
| Italy | 1.6 |
| Japan | 22.9 |
| Netherlands | 3.2 |
| New Zealand | 0.2 |
| Norway | 0.5 |
| Portugal | 0.3 |
| Singapore | 0.4 |
| Spain | 4.5 |
| Sweden | 3.6 |
| Switzerland | 7.6 |
| United Kingdom | 15.5 |
| United States | 3.4 |
| Total | 100.0 |
Country breakdown is based primarily on issuer’s place of organization/incorporation. Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
Variable Portfolio Funds | Semiannual Report 2017
| 29 |
Fund at a Glance
Variable Portfolio – T. Rowe Price Large Cap Value Fund (Unaudited)
Investment objective
Variable Portfolio – T. Rowe Price Large Cap Value Fund (the Fund) seeks to provide shareholders with long-term growth of capital and income.
Portfolio management
T. Rowe Price Associates, Inc.
Heather McPherson
Mark Finn, CFA, CPA
John Linehan, CFA
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 1 | 05/07/10 | 6.57 | 16.17 | 11.12 | 10.87 |
| Class 2 | 05/07/10 | 6.42 | 15.85 | 10.85 | 10.59 |
| Russell 1000 Value Index | | 4.66 | 15.53 | 13.94 | 12.83 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Fund’s performance prior to November 14, 2016 reflects returns achieved by one or more different subadviser(s) that managed the Fund according to different principal investment strategies. If the Fund’s current subadviser and strategies had been in place for the prior periods, results shown may have been different.
The Russell 1000 Value Index, an unmanaged index, measures the performance of those stocks in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 30 | Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Variable Portfolio – T. Rowe Price Large Cap Value Fund (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Common Stocks | 96.8 |
| Convertible Preferred Stocks | 1.0 |
| Money Market Funds | 2.2 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Top 10 holdings (%) (at June 30, 2017) |
| JPMorgan Chase & Co. | 4.3 |
| PG&E Corp. | 2.9 |
| Wells Fargo & Co. | 2.8 |
| Microsoft Corp. | 2.8 |
| Morgan Stanley | 2.5 |
| Philip Morris International, Inc. | 2.4 |
| Johnson & Johnson | 2.1 |
| Total SA, ADR | 2.1 |
| Citigroup, Inc. | 2.1 |
| Pfizer, Inc. | 2.0 |
Percentages indicated are based upon total investments (excluding Money Market Funds).
For further detail about these holdings, please refer to the section entitled “Portfolio of Investments.”
Fund holdings are as of the date given, are subject to change at any time, and are not recommendations to buy or sell any security.
| Equity sector breakdown (%) (at June 30, 2017) |
| Consumer Discretionary | 8.1 |
| Consumer Staples | 9.1 |
| Energy | 9.5 |
| Financials | 25.7 |
| Health Care | 14.2 |
| Industrials | 10.8 |
| Information Technology | 9.5 |
| Materials | 3.7 |
| Real Estate | 1.3 |
| Telecommunication Services | 1.3 |
| Utilities | 6.8 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
Variable Portfolio Funds | Semiannual Report 2017
| 31 |
Fund at a Glance
Variable Portfolio – TCW Core Plus Bond Fund (Unaudited)
Investment objective
Variable Portfolio – TCW Core Plus Bond Fund (the Fund) seeks to provide shareholders with total return through current income and capital appreciation.
Portfolio management
TCW Investment Management Company LLC
Tad Rivelle
Laird Landmann
Stephen Kane, CFA
Bryan Whalen, CFA
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 1 | 05/07/10 | 2.13 | 0.13 | 1.67 | 2.67 |
| Class 2 | 05/07/10 | 1.98 | -0.12 | 1.40 | 2.41 |
| Bloomberg Barclays U.S. Aggregate Bond Index | | 2.27 | -0.31 | 2.21 | 3.40 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Fund’s performance prior to March 2014 reflects returns achieved by one or more different subadviser(s) that managed the Fund according to different principal investment strategies. If the Fund’s current subadviser and strategies had been in place for the prior periods, results shown may have been different.
The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage passthroughs), asset-backed securities, and commercial mortgage-backed securities.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 32 | Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Variable Portfolio – TCW Core Plus Bond Fund (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Asset-Backed Securities — Non-Agency | 5.6 |
| Commercial Mortgage-Backed Securities - Agency | 3.9 |
| Commercial Mortgage-Backed Securities - Non-Agency | 1.1 |
| Corporate Bonds & Notes | 21.9 |
| Foreign Government Obligations | 0.6 |
| Inflation-Indexed Bonds | 2.6 |
| Money Market Funds | 11.1 |
| Municipal Bonds | 0.9 |
| Residential Mortgage-Backed Securities - Agency | 26.1 |
| Residential Mortgage-Backed Securities - Non-Agency | 5.7 |
| Senior Loans | 0.2 |
| Treasury Bills | 0.9 |
| U.S. Treasury Obligations | 19.4 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at June 30, 2017) |
| AAA rating | 64.7 |
| AA rating | 3.3 |
| A rating | 9.4 |
| BBB rating | 15.2 |
| BB rating | 2.9 |
| B rating | 0.7 |
| CCC rating | 2.0 |
| CC rating | 0.2 |
| Not rated | 1.6 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments (excluding Money Market Funds).
Bond ratings apply to the underlying holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the middle rating of Moody’s, S&P and Fitch, after dropping the highest and lowest available ratings. When ratings are available from only two rating agencies, the lower rating is used. When a rating is available from only one rating agency, that rating is used. When a bond is not rated by any rating agency, it is designated as “Not rated.” Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g., interest rate and time to maturity) and the amount and type of any collateral.
Variable Portfolio Funds | Semiannual Report 2017
| 33 |
Fund at a Glance
Variable Portfolio – Wells Fargo Short Duration Government Fund (Unaudited)
Investment objective
Variable Portfolio – Wells Fargo Short Duration Government Fund (the Fund) seeks to provide shareholders with current income consistent with capital preservation.
Portfolio management
Wells Capital Management Incorporated
Thomas O’Connor, CFA
Troy Ludgood
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 1 | 05/07/10 | 0.60 | 0.20 | 0.71 | 1.23 |
| Class 2 | 05/07/10 | 0.45 | -0.05 | 0.46 | 0.97 |
| Bloomberg Barclays U.S. 1-3 Year Government Bond Index | | 0.48 | -0.07 | 0.65 | 0.86 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Bloomberg Barclays U.S. 1-3 Year Government Bond Index, an unmanaged index, is made up of all publicly issued, non-convertible domestic debt of the U.S. government, or agency thereof, or any quasi-federal corporation. The index also includes corporate debt guaranteed by the U.S. government. Only notes and bonds with a minimum maturity of one year up to a maximum maturity of 2.9 years are included. The index reflects reinvestment of all distributions and changes in market prices.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
| 34 | Variable Portfolio Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Variable Portfolio – Wells Fargo Short Duration Government Fund (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Asset-Backed Securities — Non-Agency | 15.0 |
| Commercial Mortgage-Backed Securities - Agency | 2.8 |
| Commercial Mortgage-Backed Securities - Non-Agency | 1.8 |
| Money Market Funds | 2.5 |
| Residential Mortgage-Backed Securities - Agency | 38.4 |
| Residential Mortgage-Backed Securities - Non-Agency | 0.9 |
| U.S. Treasury Obligations | 38.6 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at June 30, 2017) |
| AAA rating | 100.0 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments (excluding Money Market Funds).
Bond ratings apply to the underlying holdings of the Fund and not the Fund itself and are divided into categories ranging from highest to lowest credit quality, determined by using the rating of Moody’s, S&P or Fitch, whichever rating agency rates the security highest. When ratings are available from only two rating agencies, the higher of the two ratings is used. When a rating is available from only one rating agency, that rating is used. When a bond is not rated by any rating agency, it is designated as "Not rated." Credit quality ratings assigned by a rating agency are subjective opinions, not statements of fact, and are subject to change, including daily. The ratings assigned by credit rating agencies are but one of the considerations that the Investment Manager and/or Fund’s subadviser incorporates into its credit analysis process, along with such other issuer-specific factors as cash flows, capital structure and leverage ratios, ability to de-leverage (repay) through free cash flow, quality of management, market positioning and access to capital, as well as such security-specific factors as the terms of the security (e.g., interest rate and time to maturity) and the amount and type of any collateral.
Variable Portfolio Funds | Semiannual Report 2017
| 35 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Columbia Variable Portfolio – U.S. Equities Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,031.20 | 1,020.44 | 4.56 | 4.53 | 0.90 |
| Class 2 | 1,000.00 | 1,000.00 | 1,030.30 | 1,019.20 | 5.82 | 5.79 | 1.15 |
| Variable Portfolio – American Century Diversified Bond Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,028.30 | 1,022.19 | 2.78 | 2.77 | 0.55 |
| Class 2 | 1,000.00 | 1,000.00 | 1,026.70 | 1,020.94 | 4.04 | 4.03 | 0.80 |
| Variable Portfolio – CenterSquare Real Estate Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,017.10 | 1,020.79 | 4.17 | 4.18 | 0.83 |
| Class 2 | 1,000.00 | 1,000.00 | 1,015.50 | 1,019.55 | 5.43 | 5.44 | 1.08 |
| Variable Portfolio – Columbia Wanger International Equities Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,199.40 | 1,019.30 | 6.20 | 5.69 | 1.13 |
| Class 2 | 1,000.00 | 1,000.00 | 1,197.10 | 1,018.05 | 7.56 | 6.94 | 1.38 |
| Variable Portfolio – DFA International Value Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,105.80 | 1,020.54 | 4.62 | 4.43 | 0.88 |
| Class 2 | 1,000.00 | 1,000.00 | 1,103.50 | 1,019.25 | 5.98 | 5.74 | 1.14 |
| 36 | Variable Portfolio Funds | Semiannual Report 2017 |
Understanding Your Fund’s Expenses (continued)
(Unaudited)
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
| Variable Portfolio – Eaton Vance Floating-Rate Income Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,018.30 | 1,021.24 | 3.72 | 3.73 | 0.74 |
| Class 2 | 1,000.00 | 1,000.00 | 1,017.50 | 1,020.00 | 4.98 | 4.99 | 0.99 |
| Variable Portfolio – Jennison Mid Cap Growth Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,113.90 | 1,020.54 | 4.64 | 4.43 | 0.88 |
| Class 2 | 1,000.00 | 1,000.00 | 1,112.70 | 1,019.30 | 5.95 | 5.69 | 1.13 |
| Variable Portfolio – Los Angeles Capital Large Cap Growth Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,167.40 | 1,021.09 | 4.16 | 3.88 | 0.77 |
| Class 2 | 1,000.00 | 1,000.00 | 1,165.70 | 1,019.80 | 5.56 | 5.19 | 1.03 |
| Variable Portfolio – MFS® Value Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,090.50 | 1,021.24 | 3.86 | 3.73 | 0.74 |
| Class 2 | 1,000.00 | 1,000.00 | 1,089.10 | 1,020.00 | 5.16 | 4.99 | 0.99 |
| Variable Portfolio – Morgan Stanley Advantage Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,163.90 | 1,021.14 | 4.10 | 3.83 | 0.76 |
| Class 2 | 1,000.00 | 1,000.00 | 1,162.10 | 1,019.90 | 5.44 | 5.09 | 1.01 |
| Variable Portfolio – Oppenheimer International Growth Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,154.60 | 1,020.14 | 5.16 | 4.84 | 0.96 |
| Class 2 | 1,000.00 | 1,000.00 | 1,153.10 | 1,018.85 | 6.55 | 6.14 | 1.22 |
| Variable Portfolio – Partners Core Bond Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,022.50 | 1,022.14 | 2.82 | 2.82 | 0.56 |
| Class 2 | 1,000.00 | 1,000.00 | 1,022.00 | 1,020.89 | 4.08 | 4.08 | 0.81 |
| Variable Portfolio – Partners Small Cap Growth Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,086.60 | 1,020.29 | 4.84 | 4.68 | 0.93 |
| Class 2 | 1,000.00 | 1,000.00 | 1,085.30 | 1,019.05 | 6.13 | 5.94 | 1.18 |
| Variable Portfolio – Pyramis® International Equity Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,142.00 | 1,020.19 | 5.07 | 4.78 | 0.95 |
| Class 2 | 1,000.00 | 1,000.00 | 1,140.30 | 1,018.95 | 6.40 | 6.04 | 1.20 |
| Variable Portfolio – T. Rowe Price Large Cap Value Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,065.70 | 1,021.29 | 3.76 | 3.68 | 0.73 |
| Class 2 | 1,000.00 | 1,000.00 | 1,064.20 | 1,020.04 | 5.04 | 4.94 | 0.98 |
| Variable Portfolio – TCW Core Plus Bond Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,021.30 | 1,022.19 | 2.77 | 2.77 | 0.55 |
| Class 2 | 1,000.00 | 1,000.00 | 1,019.80 | 1,020.94 | 4.03 | 4.03 | 0.80 |
| Variable Portfolio – Wells Fargo Short Duration Government Fund |
| Class 1 | 1,000.00 | 1,000.00 | 1,006.00 | 1,022.44 | 2.50 | 2.52 | 0.50 |
| Class 2 | 1,000.00 | 1,000.00 | 1,004.50 | 1,021.19 | 3.75 | 3.78 | 0.75 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and nonaffiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses for Columbia Variable Portfolio – U.S. Equities Fund, Variable Portfolio – Columbia Wanger International Equities Fund, Variable Portfolio – Eaton Vance Floating-Rate Income Fund, Variable Portfolio – Jennison Mid Cap Growth Fund, Variable Portfolio – Oppenheimer International Growth Fund and Variable Portfolio – Partners Small Cap Growth Fund, account value at the end of the period would have been reduced.
Variable Portfolio Funds | Semiannual Report 2017
| 37 |
Portfolio of Investments
Columbia Variable Portfolio – U.S. Equities Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 99.0% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 14.0% |
| Auto Components 2.2% |
| Cooper-Standard Holding, Inc.(a) | 55,776 | 5,626,125 |
| Dorman Products, Inc.(a) | 28,054 | 2,322,030 |
| Gentex Corp. | 55,857 | 1,059,607 |
| LCI Industries | 85,648 | 8,770,355 |
| Motorcar Parts of America, Inc.(a) | 66,000 | 1,863,840 |
| Superior Industries International, Inc. | 82,600 | 1,697,430 |
| Tenneco, Inc.(a) | 28,541 | 1,650,526 |
| Total | | 22,989,913 |
| Distributors 0.2% |
| Pool Corp. | 17,419 | 2,047,952 |
| Diversified Consumer Services 1.4% |
| Adtalem Global Education, Inc. | 101,770 | 3,862,172 |
| Bright Horizons Family Solutions, Inc.(a) | 29,364 | 2,267,194 |
| Capella Education Co. | 42,855 | 3,668,388 |
| Grand Canyon Education, Inc.(a) | 21,000 | 1,646,610 |
| Laureate Education, Inc., Class A(a) | 122,980 | 2,155,839 |
| Sotheby’s (a) | 21,800 | 1,170,006 |
| Total | | 14,770,209 |
| Hotels, Restaurants & Leisure 3.1% |
| Bloomin’ Brands, Inc. | 120,400 | 2,556,092 |
| Brinker International, Inc. | 33,000 | 1,257,300 |
| Cheesecake Factory, Inc. (The) | 62,400 | 3,138,720 |
| Cracker Barrel Old Country Store, Inc. | 21,600 | 3,612,600 |
| Dave & Buster’s Entertainment, Inc.(a) | 29,100 | 1,935,441 |
| Extended Stay America, Inc. | 141,266 | 2,734,910 |
| Papa John’s International, Inc. | 74,737 | 5,363,127 |
| Red Robin Gourmet Burgers, Inc.(a) | 22,000 | 1,435,500 |
| Ruth’s Hospitality Group, Inc. | 169,900 | 3,695,325 |
| Texas Roadhouse, Inc. | 65,620 | 3,343,339 |
| Vail Resorts, Inc. | 5,560 | 1,127,735 |
| Wingstop, Inc. | 35,537 | 1,098,093 |
| Total | | 31,298,182 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Household Durables 1.5% |
| Cavco Industries, Inc.(a) | 13,772 | 1,785,540 |
| D.R. Horton, Inc. | 49,700 | 1,718,129 |
| Helen of Troy Ltd.(a) | 4,700 | 442,270 |
| iRobot Corp.(a) | 14,934 | 1,256,547 |
| La-Z-Boy, Inc. | 128,700 | 4,182,750 |
| Taylor Morrison Home Corp., Class A(a) | 149,800 | 3,596,698 |
| William Lyon Homes, Inc., Class A(a) | 78,000 | 1,882,920 |
| Total | | 14,864,854 |
| Internet & Direct Marketing Retail 0.4% |
| Nutrisystem, Inc. | 35,300 | 1,837,365 |
| Wayfair, Inc., Class A(a) | 30,434 | 2,339,766 |
| Total | | 4,177,131 |
| Leisure Products 0.5% |
| Brunswick Corp. | 42,813 | 2,685,659 |
| Polaris Industries, Inc. | 21,190 | 1,954,354 |
| Total | | 4,640,013 |
| Media 1.1% |
| AMC Entertainment Holdings, Inc., Class A | 46,000 | 1,046,500 |
| Gannett Co., Inc. | 365,400 | 3,186,288 |
| New York Times Co. (The), Class A | 69,000 | 1,221,300 |
| Scholastic Corp. | 50,800 | 2,214,372 |
| Time, Inc. | 275,300 | 3,950,555 |
| Total | | 11,619,015 |
| Multiline Retail 0.4% |
| Big Lots, Inc. | 83,600 | 4,037,880 |
| Specialty Retail 2.7% |
| Aaron’s, Inc. | 147,900 | 5,753,310 |
| Big 5 Sporting Goods Corp. | 239,000 | 3,118,950 |
| Buckle, Inc. (The) | 25,000 | 445,000 |
| Camping World Holdings, Inc., Class A | 80,196 | 2,474,047 |
| Children’s Place, Inc. (The) | 58,250 | 5,947,325 |
| Five Below, Inc.(a) | 52,680 | 2,600,811 |
| Francesca’s Holdings Corp.(a) | 279,800 | 3,061,012 |
| Genesco, Inc.(a) | 4,938 | 167,398 |
| Monro Muffler Brake, Inc. | 22,765 | 950,439 |
| Pier 1 Imports, Inc. | 241,800 | 1,254,942 |
| Restoration Hardware Holdings, Inc.(a) | 20,500 | 1,322,660 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 38 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – U.S. Equities Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Select Comfort Corp.(a) | 13,500 | 479,115 |
| Tilly’s, Inc. | 43,500 | 441,525 |
| Total | | 28,016,534 |
| Textiles, Apparel & Luxury Goods 0.5% |
| Hanesbrands, Inc. | 82,700 | 1,915,332 |
| Movado Group, Inc. | 145,200 | 3,666,300 |
| Total | | 5,581,632 |
| Total Consumer Discretionary | 144,043,315 |
| Consumer Staples 2.3% |
| Food & Staples Retailing 0.4% |
| SpartanNash Co. | 82,200 | 2,133,912 |
| SUPERVALU, Inc.(a) | 207,875 | 683,909 |
| United Natural Foods, Inc.(a) | 31,000 | 1,137,700 |
| Total | | 3,955,521 |
| Food Products 1.5% |
| Dean Foods Co. | 214,500 | 3,646,500 |
| Fresh Del Monte Produce, Inc. | 60,500 | 3,080,055 |
| Hostess Brands, Inc.(a) | 76,500 | 1,231,650 |
| John B. Sanfilippo & Son, Inc. | 40,700 | 2,568,577 |
| Post Holdings, Inc.(a) | 14,800 | 1,149,220 |
| Sanderson Farms, Inc. | 34,815 | 4,026,355 |
| Total | | 15,702,357 |
| Household Products 0.2% |
| WD-40 Co. | 17,327 | 1,912,034 |
| Personal Products 0.2% |
| Medifast, Inc. | 10,400 | 431,288 |
| Usana Health Sciences, Inc.(a) | 28,870 | 1,850,567 |
| Total | | 2,281,855 |
| Total Consumer Staples | 23,851,767 |
| Energy 3.8% |
| Energy Equipment & Services 1.8% |
| Archrock, Inc. | 296,900 | 3,384,660 |
| Atwood Oceanics, Inc.(a) | 305,400 | 2,489,010 |
| Core Laboratories NV | 11,605 | 1,175,238 |
| Exterran Corp.(a) | 50,800 | 1,356,360 |
| Keane Group, Inc.(a) | 99,500 | 1,592,000 |
| McDermott International, Inc.(a) | 160,400 | 1,150,068 |
| Oceaneering International, Inc. | 41,324 | 943,840 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Patterson-UTI Energy, Inc. | 98,000 | 1,978,620 |
| Rowan Companies PLC, Class A(a) | 275,400 | 2,820,096 |
| Weatherford International PLC(a) | 302,200 | 1,169,514 |
| Total | | 18,059,406 |
| Oil, Gas & Consumable Fuels 2.0% |
| Aegean Marine Petroleum Network, Inc. | 133,700 | 782,145 |
| Arch Coal, Inc. | 20,000 | 1,366,000 |
| Carrizo Oil & Gas, Inc.(a) | 135,809 | 2,365,793 |
| International Seaways, Inc.(a) | 97,600 | 2,114,992 |
| Newfield Exploration Co.(a) | 43,900 | 1,249,394 |
| Oasis Petroleum, Inc.(a) | 97,800 | 787,290 |
| Pacific Ethanol, Inc.(a) | 74,500 | 465,625 |
| PBF Energy, Inc., Class A | 46,300 | 1,030,638 |
| PDC Energy, Inc.(a) | 19,597 | 844,827 |
| Peabody Energy Corp.(a) | 20,900 | 511,005 |
| REX American Resources Corp.(a) | 37,643 | 3,634,808 |
| Ultra Petroleum Corp.(a) | 352,700 | 3,826,795 |
| Westmoreland Coal Co.(a) | 117,600 | 572,712 |
| WPX Energy, Inc.(a) | 138,700 | 1,339,842 |
| Total | | 20,891,866 |
| Total Energy | 38,951,272 |
| Financials 18.0% |
| Banks 8.8% |
| Banco Latinoamericano de Comercio Exterior SA, Class E | 88,340 | 2,418,749 |
| Bank of the Ozarks | 35,100 | 1,645,137 |
| Cathay General Bancorp | 102,000 | 3,870,900 |
| Centerstate Banks, Inc. | 30,600 | 760,716 |
| Central Pacific Financial Corp. | 123,995 | 3,902,123 |
| Customers Bancorp, Inc.(a) | 170,710 | 4,827,679 |
| East West Bancorp, Inc. | 58,200 | 3,409,356 |
| Enterprise Financial Services Corp. | 59,600 | 2,431,680 |
| FCB Financial Holdings, Inc., Class A(a) | 38,900 | 1,857,475 |
| First BanCorp(a) | 194,175 | 1,124,273 |
| First Busey Corp. | 73,356 | 2,150,798 |
| First Citizens BancShares Inc., Class A | 11,500 | 4,286,050 |
| First Merchants Corp. | 59,300 | 2,380,302 |
| First Republic Bank | 20,200 | 2,022,020 |
| Fulton Financial Corp. | 44,200 | 839,800 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 39 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – U.S. Equities Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Great Southern Bancorp, Inc. | 22,948 | 1,227,718 |
| Hancock Holding Co. | 133,500 | 6,541,500 |
| Hilltop Holdings, Inc. | 107,100 | 2,807,091 |
| Hope Bancorp, Inc. | 100,600 | 1,876,190 |
| Huntington Bancshares, Inc. | 207,200 | 2,801,344 |
| International Bancshares Corp. | 117,665 | 4,124,158 |
| Lakeland Financial Corp. | 68,083 | 3,123,648 |
| LegacyTexas Financial Group, Inc. | 81,475 | 3,106,642 |
| MB Financial, Inc. | 43,090 | 1,897,684 |
| Popular, Inc. | 57,000 | 2,377,470 |
| Preferred Bank/Los Angeles | 36,300 | 1,940,961 |
| Prosperity Bancshares, Inc. | 36,300 | 2,331,912 |
| S&T Bancorp, Inc. | 43,200 | 1,549,152 |
| Sandy Spring Bancorp, Inc. | 82,190 | 3,341,845 |
| Sterling Bancorp | 55,100 | 1,281,075 |
| Trico Bancshares | 34,887 | 1,226,278 |
| United Community Banks, Inc. | 127,600 | 3,547,280 |
| Wintrust Financial Corp. | 58,400 | 4,464,096 |
| Zions Bancorporation | 64,500 | 2,832,195 |
| Total | | 90,325,297 |
| Capital Markets 2.4% |
| Arlington Asset Investment Corp., Class A | 247,465 | 3,382,846 |
| E*TRADE Financial Corp.(a) | 76,400 | 2,905,492 |
| Evercore Partners, Inc., Class A | 12,100 | 853,050 |
| Hamilton Lane, Inc., Class A(a) | 57,849 | 1,272,099 |
| Houlihan Lokey, Inc. | 87,142 | 3,041,256 |
| KCG Holdings, Inc., Class A(a) | 58,300 | 1,162,502 |
| Moelis & Co., ADR, Class A | 39,900 | 1,550,115 |
| OM Asset Management PLC | 232,810 | 3,459,557 |
| Piper Jaffray Companies | 55,400 | 3,321,230 |
| Stifel Financial Corp.(a) | 25,400 | 1,167,892 |
| Virtus Investment Partners, Inc. | 26,100 | 2,895,795 |
| Total | | 25,011,834 |
| Consumer Finance 1.0% |
| Encore Capital Group, Inc.(a) | 44,400 | 1,782,660 |
| FirstCash, Inc. | 34,669 | 2,021,203 |
| Nelnet, Inc., Class A | 81,265 | 3,820,267 |
| SLM Corp.(a) | 220,000 | 2,530,000 |
| Total | | 10,154,130 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Insurance 2.0% |
| American Equity Investment Life Holding Co. | 146,700 | 3,855,276 |
| Assured Guaranty Ltd. | 22,300 | 930,802 |
| Athene Holding Ltd., Class A(a) | 36,400 | 1,805,804 |
| CNO Financial Group, Inc. | 174,900 | 3,651,912 |
| HCI Group, Inc. | 10,500 | 493,290 |
| Heritage Insurance Holdings, Inc. | 199,465 | 2,597,034 |
| Maiden Holdings Ltd. | 170,700 | 1,894,770 |
| MBIA, Inc.(a) | 109,500 | 1,032,585 |
| Universal Insurance Holdings, Inc. | 148,948 | 3,753,490 |
| Total | | 20,014,963 |
| Mortgage Real Estate Investment Trusts (REITS) 1.0% |
| AG Mortgage Investment Trust, Inc. | 38,600 | 706,380 |
| ARMOUR Residential REIT, Inc. | 48,100 | 1,202,500 |
| Invesco Mortgage Capital, Inc. | 151,100 | 2,524,881 |
| MTGE Investment Corp. | 106,000 | 1,992,800 |
| New Residential Investment Corp. | 63,000 | 980,280 |
| Redwood Trust, Inc. | 114,900 | 1,957,896 |
| Starwood Property Trust, Inc. | 46,000 | 1,029,940 |
| Total | | 10,394,677 |
| Thrifts & Mortgage Finance 2.8% |
| BofI Holding, Inc.(a) | 52,700 | 1,250,044 |
| Essent Group Ltd.(a) | 119,100 | 4,423,374 |
| Federal Agricultural Mortgage Corp. | 30,400 | 1,966,880 |
| Flagstar Bancorp, Inc.(a) | 169,600 | 5,227,072 |
| MGIC Investment Corp.(a) | 617,651 | 6,917,691 |
| Radian Group, Inc. | 65,335 | 1,068,227 |
| Walker & Dunlop, Inc.(a) | 80,280 | 3,920,073 |
| Washington Federal, Inc. | 130,360 | 4,327,952 |
| Total | | 29,101,313 |
| Total Financials | 185,002,214 |
| Health Care 15.0% |
| Biotechnology 3.9% |
| Agios Pharmaceuticals, Inc.(a) | 44,098 | 2,268,842 |
| Alder Biopharmaceuticals, Inc.(a) | 64,770 | 741,616 |
| bluebird bio, Inc.(a) | 19,350 | 2,032,717 |
| Celldex Therapeutics, Inc.(a) | 342,481 | 845,928 |
| Clovis Oncology, Inc.(a) | 21,000 | 1,966,230 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 40 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – U.S. Equities Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Coherus Biosciences, Inc.(a) | 37,845 | 543,076 |
| Dynavax Technologies Corp.(a) | 105,515 | 1,018,220 |
| Eagle Pharmaceuticals, Inc.(a) | 8,000 | 631,120 |
| Exact Sciences Corp.(a) | 36,351 | 1,285,735 |
| Genomic Health, Inc.(a) | 35,037 | 1,140,454 |
| Immunomedics, Inc.(a) | 114,800 | 1,013,684 |
| Intercept Pharmaceuticals, Inc.(a) | 10,083 | 1,220,749 |
| Jounce Therapeutics, Inc.(a) | 58,802 | 824,992 |
| Keryx Biopharmaceuticals, Inc.(a) | 257,390 | 1,860,930 |
| Kite Pharma, Inc.(a) | 34,668 | 3,594,032 |
| Ligand Pharmaceuticals, Inc.(a) | 10,182 | 1,236,095 |
| Loxo Oncology, Inc.(a) | 21,200 | 1,700,028 |
| NewLink Genetics Corp.(a) | 67,700 | 497,595 |
| OncoMed Pharmaceuticals, Inc.(a) | 152,900 | 509,157 |
| Ovid Therapeutics, Inc.(a) | 180,072 | 1,888,955 |
| Puma Biotechnology, Inc.(a) | 37,740 | 3,298,476 |
| Ra Pharmaceuticals, Inc.(a) | 57,168 | 1,071,328 |
| Sage Therapeutics, Inc.(a) | 24,485 | 1,949,985 |
| Spark Therapeutics, Inc.(a) | 35,130 | 2,098,666 |
| TESARO, Inc.(a) | 18,145 | 2,537,760 |
| Ultragenyx Pharmaceutical, Inc.(a) | 27,007 | 1,677,405 |
| Total | | 39,453,775 |
| Health Care Equipment & Supplies 4.7% |
| Analogic Corp. | 49,210 | 3,575,107 |
| Angiodynamics, Inc.(a) | 217,000 | 3,517,570 |
| Anika Therapeutics, Inc.(a) | 37,652 | 1,857,750 |
| Atrion Corp. | 2,900 | 1,865,570 |
| Endologix, Inc.(a) | 154,699 | 751,837 |
| Haemonetics Corp.(a) | 103,238 | 4,076,869 |
| Halyard Health, Inc.(a) | 70,400 | 2,765,312 |
| Integer Holdings Corp.(a) | 46,400 | 2,006,800 |
| iRhythm Technologies, Inc.(a) | 55,909 | 2,375,573 |
| Lantheus Holdings, Inc.(a) | 195,755 | 3,455,076 |
| LeMaitre Vascular, Inc. | 36,573 | 1,141,809 |
| Masimo Corp.(a) | 73,041 | 6,659,878 |
| Merit Medical Systems, Inc.(a) | 74,000 | 2,823,100 |
| Natus Medical, Inc.(a) | 47,556 | 1,773,839 |
| OraSure Technologies, Inc.(a) | 90,149 | 1,555,972 |
| Orthofix International NV(a) | 61,765 | 2,870,837 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Teleflex, Inc. | 11,800 | 2,451,568 |
| West Pharmaceutical Services, Inc. | 13,291 | 1,256,265 |
| Wright Medical Group NV(a) | 57,100 | 1,569,679 |
| Total | | 48,350,411 |
| Health Care Providers & Services 3.1% |
| Acadia Healthcare Co., Inc.(a) | 13,500 | 666,630 |
| Almost Family, Inc.(a) | 37,565 | 2,315,883 |
| AMN Healthcare Services, Inc.(a) | 154,961 | 6,051,227 |
| Chemed Corp. | 3,300 | 674,949 |
| Diplomat Pharmacy, Inc.(a) | 27,700 | 409,960 |
| Envision Healthcare Corp.(a) | 38,900 | 2,437,863 |
| HealthEquity, Inc.(a) | 28,929 | 1,441,532 |
| HealthSouth Corp. | 98,073 | 4,746,733 |
| LHC Group, Inc.(a) | 17,700 | 1,201,653 |
| Molina Healthcare, Inc.(a) | 81,445 | 5,634,365 |
| Providence Service Corp. (The)(a) | 62,800 | 3,178,308 |
| Tenet Healthcare Corp.(a) | 68,100 | 1,317,054 |
| Triple-S Management Corp., Class B(a) | 126,990 | 2,147,401 |
| Total | | 32,223,558 |
| Health Care Technology 0.4% |
| Evolent Health, Inc., Class A(a) | 71,864 | 1,821,752 |
| Medidata Solutions, Inc.(a) | 22,174 | 1,734,007 |
| Total | | 3,555,759 |
| Life Sciences Tools & Services 1.8% |
| Bio-Techne Corp. | 24,109 | 2,832,808 |
| Cambrex Corp.(a) | 45,557 | 2,722,031 |
| INC Research Holdings, Inc. Class A(a) | 75,880 | 4,438,980 |
| PAREXEL International Corp.(a) | 53,400 | 4,640,994 |
| Pra Health Sciences, Inc.(a) | 56,350 | 4,226,813 |
| Total | | 18,861,626 |
| Pharmaceuticals 1.1% |
| Aerie Pharmaceuticals, Inc.(a) | 43,550 | 2,288,552 |
| Impax Laboratories, Inc.(a) | 64,000 | 1,030,400 |
| Lannett Co., Inc.(a) | 57,100 | 1,164,840 |
| Pacira Pharmaceuticals, Inc.(a) | 48,800 | 2,327,760 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 41 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – U.S. Equities Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Phibro Animal Health Corp., Class A | 59,700 | 2,211,885 |
| Supernus Pharmaceuticals, Inc.(a) | 43,035 | 1,854,809 |
| Total | | 10,878,246 |
| Total Health Care | 153,323,375 |
| Industrials 14.4% |
| Aerospace & Defense 1.1% |
| Astronics Corp.(a) | 45,508 | 1,386,629 |
| Astronics Corp., Class B(a) | 6,440 | 196,420 |
| Axon Enterprise, Inc.(a) | 47,055 | 1,182,963 |
| Curtiss-Wright Corp. | 53,600 | 4,919,408 |
| HEICO Corp., Class A | 32,171 | 1,996,210 |
| Moog, Inc., Class A(a) | 17,600 | 1,262,272 |
| Total | | 10,943,902 |
| Air Freight & Logistics 0.3% |
| Forward Air Corp. | 7,100 | 378,288 |
| XPO Logistics, Inc.(a) | 46,000 | 2,972,980 |
| Total | | 3,351,268 |
| Airlines 0.7% |
| Alaska Air Group, Inc. | 27,000 | 2,423,520 |
| Hawaiian Holdings, Inc.(a) | 84,250 | 3,955,537 |
| Skywest, Inc. | 35,100 | 1,232,010 |
| Total | | 7,611,067 |
| Building Products 1.2% |
| Apogee Enterprises, Inc. | 26,700 | 1,517,628 |
| Caesarstone Ltd.(a) | 88,100 | 3,087,905 |
| Continental Building Product(a) | 156,740 | 3,652,042 |
| Gibraltar Industries, Inc.(a) | 104,400 | 3,721,860 |
| Total | | 11,979,435 |
| Commercial Services & Supplies 2.8% |
| ABM Industries, Inc. | 49,000 | 2,034,480 |
| ACCO Brands Corp.(a) | 280,600 | 3,268,990 |
| Brady Corp., Class A | 79,200 | 2,684,880 |
| Brink’s Co. (The) | 32,728 | 2,192,776 |
| Copart, Inc.(a) | 83,538 | 2,655,673 |
| Deluxe Corp. | 35,600 | 2,464,232 |
| Essendant, Inc. | 94,000 | 1,394,020 |
| Healthcare Services Group, Inc. | 26,460 | 1,239,122 |
| Knoll, Inc. | 49,839 | 999,272 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| MSA Safety, Inc. | 48,300 | 3,920,511 |
| Quad/Graphics, Inc. | 141,985 | 3,254,296 |
| Unifirst Corp. | 18,231 | 2,565,102 |
| Total | | 28,673,354 |
| Construction & Engineering 1.0% |
| Argan, Inc. | 55,500 | 3,330,000 |
| Granite Construction, Inc. | 40,200 | 1,939,248 |
| Jacobs Engineering Group, Inc. | 30,400 | 1,653,456 |
| MasTec, Inc.(a) | 43,600 | 1,968,540 |
| MYR Group, Inc.(a) | 11,600 | 359,832 |
| Primoris Services Corp. | 31,800 | 793,092 |
| Total | | 10,044,168 |
| Electrical Equipment 1.1% |
| Atkore International Group, Inc.(a) | 145,300 | 3,276,515 |
| EnerSys | 55,715 | 4,036,552 |
| Generac Holdings, Inc.(a) | 103,100 | 3,725,003 |
| Total | | 11,038,070 |
| Machinery 3.8% |
| Alamo Group, Inc. | 27,200 | 2,470,032 |
| Astec Industries, Inc. | 55,800 | 3,097,458 |
| Barnes Group, Inc. | 91,183 | 5,336,941 |
| Chart Industries, Inc.(a) | 35,700 | 1,239,861 |
| Energy Recovery, Inc.(a) | 16,200 | 134,298 |
| ESCO Technologies, Inc. | 20,477 | 1,221,453 |
| Global Brass & Copper Holdings, Inc. | 113,300 | 3,461,315 |
| Greenbrier Companies, Inc. (The) | 79,200 | 3,663,000 |
| Hillenbrand, Inc. | 22,200 | 801,420 |
| Kadant, Inc. | 10,700 | 804,640 |
| Kennametal, Inc. | 54,500 | 2,039,390 |
| Mueller Industries, Inc. | 45,300 | 1,379,385 |
| Navistar International Corp(a) | 47,000 | 1,232,810 |
| Nordson Corp. | 8,509 | 1,032,312 |
| Oshkosh Corp. | 36,403 | 2,507,439 |
| REV Group, Inc. | 61,837 | 1,711,648 |
| Toro Co. (The) | 44,245 | 3,065,736 |
| Wabash National Corp. | 185,730 | 4,082,345 |
| Total | | 39,281,483 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 42 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – U.S. Equities Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Professional Services 1.1% |
| ICF International, Inc.(a) | 36,843 | 1,735,305 |
| RPX Corp.(a) | 268,765 | 3,749,272 |
| TrueBlue, Inc.(a) | 129,500 | 3,431,750 |
| Wageworks, Inc.(a) | 36,904 | 2,479,949 |
| Total | | 11,396,276 |
| Road & Rail 0.4% |
| ArcBest Corp. | 173,980 | 3,583,988 |
| Saia, Inc.(a) | 18,900 | 969,570 |
| Total | | 4,553,558 |
| Trading Companies & Distributors 0.9% |
| Applied Industrial Technologies, Inc. | 69,185 | 4,085,374 |
| Neff Corp. Class A(a) | 109,000 | 2,071,000 |
| Rush Enterprises, Inc., Class A(a) | 17,900 | 665,522 |
| Triton International Ltd. | 34,000 | 1,136,960 |
| Watsco, Inc. | 7,437 | 1,146,785 |
| Total | | 9,105,641 |
| Total Industrials | 147,978,222 |
| Information Technology 16.6% |
| Communications Equipment 0.6% |
| ADTRAN, Inc. | 22,100 | 456,365 |
| InterDigital, Inc. | 15,700 | 1,213,610 |
| Netscout Systems, Inc.(a) | 66,100 | 2,273,840 |
| Oclaro, Inc.(a) | 198,000 | 1,849,320 |
| Total | | 5,793,135 |
| Electronic Equipment, Instruments & Components 3.5% |
| Anixter International, Inc.(a) | 48,800 | 3,816,160 |
| Benchmark Electronics, Inc.(a) | 123,400 | 3,985,820 |
| ePlus, Inc.(a) | 11,200 | 829,920 |
| IPG Photonics Corp.(a) | 16,124 | 2,339,592 |
| Methode Electronics, Inc. | 90,700 | 3,736,840 |
| Rogers Corp.(a) | 20,400 | 2,215,848 |
| Sanmina Corp.(a) | 114,965 | 4,380,167 |
| Scansource, Inc.(a) | 92,500 | 3,727,750 |
| Tech Data Corp.(a) | 44,800 | 4,524,800 |
| TTM Technologies, Inc.(a) | 116,000 | 2,013,760 |
| Vishay Intertechnology, Inc. | 250,800 | 4,163,280 |
| Total | | 35,733,937 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Internet Software & Services 2.9% |
| Alteryx, Inc., Class A(a) | 69,271 | 1,352,170 |
| Apptio, Inc., Class A(a) | 61,245 | 1,062,601 |
| Bankrate, Inc.(a) | 40,100 | 515,285 |
| CoStar Group, Inc.(a) | 8,527 | 2,247,717 |
| j2 Global, Inc. | 89,261 | 7,595,218 |
| LogMeIn, Inc. | 35,134 | 3,671,503 |
| Mimecast Ltd.(a) | 70,019 | 1,875,109 |
| MINDBODY, Inc., Class A(a) | 59,473 | 1,617,665 |
| NIC, Inc. | 131,441 | 2,490,807 |
| Nutanix, Inc., Class A(a) | 90,702 | 1,827,645 |
| Q2 Holdings, Inc.(a) | 45,966 | 1,698,444 |
| Shutterstock, Inc.(a) | 38,500 | 1,697,080 |
| SPS Commerce, Inc.(a) | 17,880 | 1,140,029 |
| WebMD Health Corp.(a) | 14,300 | 838,695 |
| Total | | 29,629,968 |
| IT Services 3.3% |
| Booz Allen Hamilton Holdings Corp. | 37,700 | 1,226,758 |
| Convergys Corp. | 155,800 | 3,704,924 |
| CoreLogic, Inc.(a) | 30,329 | 1,315,672 |
| Euronet Worldwide, Inc.(a) | 22,015 | 1,923,451 |
| Everi Holdings, Inc.(a) | 125,600 | 914,368 |
| EVERTEC, Inc. | 224,705 | 3,887,396 |
| ExlService Holdings, Inc.(a) | 22,745 | 1,264,167 |
| MAXIMUS, Inc. | 66,495 | 4,164,582 |
| Perficient, Inc.(a) | 34,100 | 635,624 |
| Science Applications International Corp. | 26,300 | 1,825,746 |
| TeleTech Holdings, Inc. | 50,500 | 2,060,400 |
| Travelport Worldwide Ltd. | 253,500 | 3,488,160 |
| Unisys Corp.(a) | 285,500 | 3,654,400 |
| WNS Holdings Ltd., ADR(a) | 98,339 | 3,378,928 |
| Total | | 33,444,576 |
| Semiconductors & Semiconductor Equipment 3.3% |
| Amkor Technology, Inc.(a) | 327,570 | 3,200,359 |
| Brooks Automation, Inc. | 42,000 | 910,980 |
| Cirrus Logic, Inc.(a) | 14,700 | 921,984 |
| Cypress Semiconductor Corp. | 163,000 | 2,224,950 |
| Diodes, Inc.(a) | 138,825 | 3,335,965 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 43 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – U.S. Equities Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Entegris, Inc.(a) | 191,600 | 4,205,620 |
| Ichor Holdings Ltd.(a) | 43,700 | 880,992 |
| IXYS Corp. | 29,600 | 486,920 |
| Kulicke & Soffa Industries, Inc.(a) | 76,500 | 1,455,030 |
| Marvell Technology Group Ltd. | 138,100 | 2,281,412 |
| Monolithic Power Systems, Inc. | 23,022 | 2,219,321 |
| ON Semiconductor Corp.(a) | 106,700 | 1,498,068 |
| Qorvo, Inc.(a) | 22,500 | 1,424,700 |
| Rudolph Technologies, Inc.(a) | 75,700 | 1,729,745 |
| Semtech Corp.(a) | 116,600 | 4,168,450 |
| Xcerra Corp.(a) | 329,011 | 3,214,437 |
| Total | | 34,158,933 |
| Software 3.0% |
| Aspen Technology, Inc.(a) | 109,070 | 6,027,208 |
| Barracuda Networks, Inc.(a) | 159,500 | 3,678,070 |
| Blackline, Inc.(a) | 42,154 | 1,506,584 |
| CommVault Systems, Inc.(a) | 72,700 | 4,103,915 |
| CyberArk Software Ltd.(a) | 23,216 | 1,159,639 |
| Ebix, Inc. | 13,500 | 727,650 |
| Guidewire Software, Inc.(a) | 23,547 | 1,617,915 |
| Manhattan Associates, Inc.(a) | 21,839 | 1,049,582 |
| Progress Software Corp. | 120,500 | 3,722,245 |
| Qualys, Inc.(a) | 73,939 | 3,016,711 |
| Take-Two Interactive Software, Inc.(a) | 25,000 | 1,834,500 |
| Tyler Technologies, Inc.(a) | 8,132 | 1,428,549 |
| VASCO Data Security International, Inc.(a) | 81,100 | 1,163,785 |
| Total | | 31,036,353 |
| Total Information Technology | 169,796,902 |
| Materials 4.0% |
| Chemicals 2.6% |
| Albemarle Corp. | 19,500 | 2,058,030 |
| Cabot Corp. | 19,400 | 1,036,542 |
| Ferro Corp.(a) | 18,000 | 329,220 |
| Huntsman Corp. | 81,700 | 2,111,128 |
| Innospec, Inc. | 59,725 | 3,914,974 |
| KMG Chemicals, Inc. | 11,300 | 549,971 |
| Koppers Holdings, Inc.(a) | 31,400 | 1,135,110 |
| Olin Corp. | 70,300 | 2,128,684 |
| Orion Engineered Carbons SA | 76,652 | 1,529,207 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Platform Specialty Products Corp.(a) | 101,700 | 1,289,556 |
| Quaker Chemical Corp. | 7,200 | 1,045,656 |
| Rayonier Advanced Materials, Inc. | 222,800 | 3,502,416 |
| Scotts Miracle-Gro Co. (The), Class A | 16,508 | 1,476,806 |
| Trinseo SA | 62,000 | 4,259,400 |
| Total | | 26,366,700 |
| Containers & Packaging 0.4% |
| Greif, Inc., Class A | 67,400 | 3,759,572 |
| Metals & Mining 0.9% |
| Alcoa Corp. | 63,000 | 2,056,950 |
| Materion Corp. | 91,855 | 3,435,377 |
| Schnitzer Steel Industries, Inc., Class A | 145,600 | 3,669,120 |
| Total | | 9,161,447 |
| Paper & Forest Products 0.1% |
| KapStone Paper and Packaging Corp. | 78,000 | 1,609,140 |
| Total Materials | 40,896,859 |
| Real Estate 7.2% |
| Equity Real Estate Investment Trusts (REITS) 7.1% |
| Alexandria Real Estate Equities, Inc. | 21,200 | 2,553,964 |
| American Assets Trust, Inc. | 49,200 | 1,937,988 |
| Ashford Hospitality Prime, Inc. | 235,600 | 2,424,324 |
| Ashford Hospitality Trust, Inc. | 52,700 | 320,416 |
| CBL & Associates Properties, Inc. | 416,800 | 3,513,624 |
| Chesapeake Lodging Trust | 50,000 | 1,223,500 |
| CoreCivic, Inc. | 71,473 | 1,971,225 |
| CorEnergy Infrastructure Trust, Inc. | 98,494 | 3,308,414 |
| DiamondRock Hospitality Co. | 127,800 | 1,399,410 |
| First Industrial Realty Trust, Inc. | 77,900 | 2,229,498 |
| Four Corners Property Trust, Inc. | 15,300 | 384,183 |
| Highwoods Properties, Inc. | 37,600 | 1,906,696 |
| Hospitality Properties Trust | 63,000 | 1,836,450 |
| Hudson Pacific Properties, Inc. | 51,100 | 1,747,109 |
| Lexington Realty Trust | 403,800 | 4,001,658 |
| Mack-Cali Realty Corp. | 70,700 | 1,918,798 |
| Mid-America Apartment Communities, Inc. | 18,400 | 1,938,992 |
| PS Business Parks, Inc. | 52,625 | 6,967,024 |
| QTS Realty Trust Inc., Class A | 41,800 | 2,187,394 |
| Ryman Hospitality Properties, Inc. | 67,865 | 4,344,039 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 44 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – U.S. Equities Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Sabra Health Care REIT, Inc. | 146,700 | 3,535,470 |
| Select Income REIT | 153,000 | 3,676,590 |
| Summit Hotel Properties, Inc. | 219,505 | 4,093,768 |
| Sun Communities, Inc. | 21,600 | 1,894,104 |
| Sunstone Hotel Investors, Inc. | 62,800 | 1,012,336 |
| Tanger Factory Outlet Centers, Inc. | 43,900 | 1,140,522 |
| Tier REIT, Inc. | 26,000 | 480,480 |
| UMH Properties, Inc. | 67,981 | 1,159,076 |
| Washington Prime Group, Inc. | 438,300 | 3,668,571 |
| Xenia Hotels & Resorts, Inc. | 185,500 | 3,593,135 |
| Total | | 72,368,758 |
| Real Estate Management & Development 0.1% |
| Colliers International Group, Inc. | 25,178 | 1,421,298 |
| Total Real Estate | 73,790,056 |
| Telecommunication Services 0.3% |
| Diversified Telecommunication Services 0.3% |
| ATN International, Inc. | 12,800 | 876,032 |
| Consolidated Communications Holdings, Inc. | 80,400 | 1,726,188 |
| Total | | 2,602,220 |
| Wireless Telecommunication Services —% |
| Boingo Wireless, Inc.(a) | 28,000 | 418,880 |
| Total Telecommunication Services | 3,021,100 |
| Utilities 3.4% |
| Electric Utilities 0.8% |
| Alliant Energy Corp. | 38,000 | 1,526,460 |
| Pinnacle West Capital Corp. | 30,100 | 2,563,316 |
| Portland General Electric Co. | 93,300 | 4,262,877 |
| Total | | 8,352,653 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Gas Utilities 1.6% |
| Chesapeake Utilities Corp. | 51,330 | 3,847,183 |
| New Jersey Resources Corp. | 54,600 | 2,167,620 |
| Northwest Natural Gas Co. | 32,200 | 1,927,170 |
| South Jersey Industries, Inc. | 68,000 | 2,323,560 |
| Southwest Gas Corp. | 82,095 | 5,997,861 |
| WGL Holdings, Inc. | 8,100 | 675,783 |
| Total | | 16,939,177 |
| Independent Power and Renewable Electricity Producers 0.4% |
| Ormat Technologies, Inc. | 67,100 | 3,937,428 |
| Multi-Utilities 0.2% |
| CMS Energy Corp. | 38,900 | 1,799,125 |
| Water Utilities 0.4% |
| SJW Corp. | 74,575 | 3,667,599 |
| Total Utilities | 34,695,982 |
Total Common Stocks
(Cost $914,340,844) | 1,015,351,064 |
|
| Money Market Funds 1.8% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(b),(c) | 18,690,918 | 18,690,918 |
Total Money Market Funds
(Cost $18,689,959) | 18,690,918 |
Total Investments
(Cost: $933,030,803) | 1,034,041,982 |
| Other Assets & Liabilities, Net | | (7,994,573) |
| Net Assets | 1,026,047,409 |
At June 30, 2017, securities and/or cash totaling $154,100 were pledged as collateral.
Investments in derivatives
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Russell 2000 Mini | 11 | USD | 777,865 | 09/2017 | — | (2,273) |
| Russell 2000 Mini | 46 | USD | 3,252,890 | 09/2017 | — | (25,975) |
| Total | | | 4,030,755 | | — | (28,248) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 45 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – U.S. Equities Fund, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (c) | As defined in the Investment Company Act of 1940, 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. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 15,973,478 | 183,055,769 | (180,338,329) | 18,690,918 | (3) | 74,528 | 18,690,918 |
Abbreviation Legend
| ADR | American Depositary Receipt |
Currency Legend
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 46 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Columbia Variable Portfolio – U.S. Equities Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 144,043,315 | — | — | — | 144,043,315 |
| Consumer Staples | 23,851,767 | — | — | — | 23,851,767 |
| Energy | 38,951,272 | — | — | — | 38,951,272 |
| Financials | 185,002,214 | — | — | — | 185,002,214 |
| Health Care | 153,323,375 | — | — | — | 153,323,375 |
| Industrials | 147,781,802 | 196,420 | — | — | 147,978,222 |
| Information Technology | 169,796,902 | — | — | — | 169,796,902 |
| Materials | 40,896,859 | — | — | — | 40,896,859 |
| Real Estate | 73,790,056 | — | — | — | 73,790,056 |
| Telecommunication Services | 3,021,100 | — | — | — | 3,021,100 |
| Utilities | 34,695,982 | — | — | — | 34,695,982 |
| Total Common Stocks | 1,015,154,644 | 196,420 | — | — | 1,015,351,064 |
| Money Market Funds | — | — | — | 18,690,918 | 18,690,918 |
| Total Investments | 1,015,154,644 | 196,420 | — | 18,690,918 | 1,034,041,982 |
| Derivatives | | | | | |
| Liability | | | | | |
| Futures Contracts | (28,248) | — | — | — | (28,248) |
| Total | 1,015,126,396 | 196,420 | — | 18,690,918 | 1,034,013,734 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
Derivative instruments are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 47 |
Portfolio of Investments
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Asset-Backed Securities — Non-Agency 4.9% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Avis Budget Rental Car Funding AESOP LLC(a) |
| Series 2012-3A Class A |
| 03/20/2019 | 2.100% | | 20,000,000 | 20,036,732 |
| Series 2013-1A Class A |
| 09/20/2019 | 1.920% | | 11,196,000 | 11,190,689 |
| Series 2014-1A Class A |
| 07/20/2020 | 2.460% | | 13,550,000 | 13,585,909 |
| BRE Grand Islander Timeshare Issuer LLC(a) |
| Series 2017-1A Class A |
| 05/25/2029 | 2.940% | | 7,271,110 | 7,273,822 |
| Enterprise Fleet Financing LLC(a) |
| Series 2016-1 Class A2 |
| 09/20/2021 | 1.830% | | 7,532,554 | 7,532,485 |
| Series 2017-2 Class A2 |
| 01/20/2023 | 1.970% | | 15,475,000 | 15,474,197 |
| Hertz Fleet Lease Funding LP(a),(b) |
| Series 2014-1 Class A |
| 04/10/2028 | 1.517% | | 1,386,396 | 1,386,468 |
| Series 2016-1 Class A1 |
| 04/10/2030 | 2.094% | | 8,960,902 | 8,987,224 |
| Hertz Vehicle Financing LLC(a) |
| Series 2013-1A Class A2 |
| 08/25/2019 | 1.830% | | 12,275,000 | 12,235,717 |
| Hilton Grand Vacations Trust(a) |
| Series 2013-A Class A |
| 01/25/2026 | 2.280% | | 3,084,397 | 3,064,823 |
| Series 2014-AA Class A |
| 11/25/2026 | 1.770% | | 5,170,989 | 5,075,250 |
| Series 2014-AA Class B |
| 11/25/2026 | 2.070% | | 2,647,238 | 2,616,319 |
| Series 2017-AA Class A |
| 12/26/2028 | 2.660% | | 6,505,314 | 6,493,840 |
| Honda Auto Receivables Owner Trust |
| Series 2017-1 Class A2 |
| 07/22/2019 | 1.420% | | 10,050,000 | 10,048,796 |
| Hyundai Auto Receivables Trust |
| Series 2017-A Class A2A |
| 02/18/2020 | 1.480% | | 11,250,000 | 11,243,116 |
| MVW Owner Trust(a) |
| Series 2015-1A Class A |
| 12/20/2032 | 2.520% | | 4,742,778 | 4,702,114 |
| Sierra Receivables Funding Co., LLC(a) |
| Series 2017-1A Class A |
| 03/20/2034 | 2.910% | | 9,262,318 | 9,349,831 |
| Sierra Timeshare Receivables Funding LLC(a) |
| Series 2013-1A Class A |
| 11/20/2029 | 1.590% | | 6,433,106 | 6,422,290 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2013-2A Class A |
| 11/20/2025 | 2.280% | | 2,322,952 | 2,319,077 |
| Series 2014-1 Class A |
| 03/20/2030 | 2.070% | | 5,375,731 | 5,368,690 |
| Series 2015-1A Class A |
| 03/22/2032 | 2.400% | | 6,299,313 | 6,295,199 |
| Series 2015-2A Class A |
| 06/20/2032 | 2.430% | | 5,273,711 | 5,272,300 |
| Series 2016-2A Class A |
| 07/20/2033 | 2.330% | | 7,925,660 | 7,948,432 |
| U.S. Airways Pass-Through Trust |
| Series 2013-1 Class A |
| 11/15/2025 | 3.950% | | 1,361,378 | 1,411,854 |
| VSE VOI Mortgage LLC(a) |
| Series 2016-A Class A |
| 07/20/2033 | 2.540% | | 10,537,256 | 10,488,801 |
Total Asset-Backed Securities — Non-Agency
(Cost $195,840,057) | 195,823,975 |
|
| Commercial Mortgage-Backed Securities - Non-Agency 8.4% |
| | | | |
| Banc of America Merrill Lynch Commercial Mortgage Securities Trust(a),(b) |
| Series 2014-ICTS Class A |
| 06/15/2028 | 1.959% | | 10,000,000 | 10,005,347 |
| Banc of America Merrill Lynch Commercial Mortgage Securities Trust(a) |
| Subordinated, Series 2015-200P Class B |
| 04/14/2033 | 3.490% | | 15,000,000 | 15,203,964 |
| BB-UBS Trust(a) |
| Series 2012-SHOW Class A |
| 11/05/2036 | 3.430% | | 15,875,000 | 16,281,400 |
| BLCP Hotel Trust(a),(b) |
| Series 2014-CLRN Class A |
| 08/15/2029 | 2.109% | | 16,324,653 | 16,334,873 |
| CD Mortgage Trust |
| Series 2016-CD1 Class AM |
| 08/10/2049 | 2.926% | | 5,125,000 | 4,960,798 |
| Colony Starwood Homes Trust(a),(b) |
| Series 2016-2A Class A |
| 12/17/2033 | 2.409% | | 17,459,970 | 17,571,113 |
| Commercial Mortgage Trust(b) |
| Series 2014-CR15 Class B |
| 02/10/2047 | 4.862% | | 10,000,000 | 10,802,443 |
| Series 2016-CR28 Class B |
| 02/10/2049 | 4.802% | | 11,055,000 | 11,677,121 |
| Commercial Mortgage Trust |
| Series 2014-LC17 Class B |
| 10/10/2047 | 4.490% | | 9,400,000 | 9,833,291 |
| Series 2014-UBS5 Class B |
| 09/10/2047 | 4.514% | | 14,225,000 | 14,865,964 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 48 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2015-CR22 Class B |
| 03/10/2048 | 3.926% | | 10,000,000 | 10,273,895 |
| Subordinated, Series 2015-LC21 Class AM |
| 07/10/2048 | 4.043% | | 20,000,000 | 20,982,940 |
| Core Industrial Trust(a) |
| Series 2015-CALW Class B |
| 02/10/2034 | 3.252% | | 8,750,000 | 8,933,832 |
| Series 2015-TEXW Class B |
| 02/10/2034 | 3.329% | | 6,400,000 | 6,525,258 |
| Series 2015-WEST Class A |
| 02/10/2037 | 3.292% | | 10,000,000 | 10,157,247 |
| DBCG Mortgage Trust(a),(b) |
| Series 2017-BBG Class A |
| 06/15/2034 | 1.800% | | 15,100,000 | 15,109,489 |
| GS Mortgage Securities Trust |
| Series 2015-GC28 Class AS |
| 02/10/2048 | 3.759% | | 9,337,000 | 9,671,417 |
| Invitation Homes Trust(a),(b) |
| Series 2014-SFR3 Class A |
| 12/17/2031 | 2.359% | | 3,379,265 | 3,384,918 |
| Irvine Core Office Trust(a),(b) |
| Series 2013-IRV Class A2 |
| 05/15/2048 | 3.279% | | 12,000,000 | 12,324,978 |
| JPMBB Commercial Mortgage Securities Trust |
| Series 2014-C21 Class B |
| 08/15/2047 | 4.341% | | 9,100,000 | 9,400,045 |
| JPMDB Commercial Mortgage Securities Trust |
| Series 2017-C5 Class A4 |
| 03/15/2050 | 3.414% | | 16,030,000 | 16,512,518 |
| JPMorgan Chase Commercial Mortgage Securities Trust(a),(b) |
| Series 2014-CBM Class B |
| 10/15/2029 | 2.559% | | 9,450,000 | 9,455,913 |
| JPMorgan Chase Commercial Mortgage Securities Trust |
| Series 2016-JP2 Class B |
| 08/15/2049 | 3.460% | | 9,200,000 | 9,068,711 |
| Series 2016-JP3 Class AS |
| 08/15/2049 | 3.144% | | 9,500,000 | 9,328,241 |
| JPMorgan Chase Commercial Mortgage Securities Trust(b) |
| Subordinated, Series 2013-C16 Class C |
| 12/15/2046 | 5.140% | | 5,440,000 | 5,581,937 |
| Morgan Stanley Capital I Trust(a),(b) |
| Series 2014-CPT Class C |
| 07/13/2029 | 3.560% | | 6,550,000 | 6,642,781 |
| Progress Residential Trust(a),(b) |
| Series 2016-SFR2 Class A |
| 01/17/2034 | 2.610% | | 7,175,000 | 7,283,757 |
| UBS Commercial Mortgage Trust |
| Series 2017-C1 Class A3 |
| 06/15/2050 | 3.196% | | 13,100,000 | 13,088,748 |
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Wells Fargo Commercial Mortgage Trust(c) |
| Series 2017-C38 Class A4 |
| 07/15/2050 | 3.190% | | 23,225,000 | 23,264,011 |
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $333,200,948) | 334,526,950 |
|
| Corporate Bonds & Notes(d) 39.6% |
| | | | |
| Aerospace & Defense 0.3% |
| Boeing Co. (The) |
| 10/30/2022 | 2.200% | | 2,460,000 | 2,424,202 |
| Lockheed Martin Corp. |
| 01/15/2026 | 3.550% | | 2,840,000 | 2,942,127 |
| 03/01/2045 | 3.800% | | 1,520,000 | 1,495,321 |
| Oshkosh Corp. |
| 03/01/2022 | 5.375% | | 4,260,000 | 4,434,200 |
| Rockwell Collins, Inc. |
| 04/15/2047 | 4.350% | | 1,000,000 | 1,044,830 |
| Total | 12,340,680 |
| Airlines 0.1% |
| United Airlines, Inc. Pass-Through Trust |
| 09/03/2022 | 4.625% | | 2,572,879 | 2,628,065 |
| Apartment REIT 0.1% |
| Essex Portfolio LP |
| 08/15/2022 | 3.625% | | 1,590,000 | 1,634,073 |
| 05/01/2023 | 3.250% | | 2,205,000 | 2,208,469 |
| Total | 3,842,542 |
| Automotive 1.5% |
| Ford Motor Credit Co. LLC |
| 05/15/2018 | 5.000% | | 8,940,000 | 9,169,973 |
| 01/15/2020 | 8.125% | | 1,600,000 | 1,818,846 |
| 08/02/2021 | 5.875% | | 5,150,000 | 5,729,622 |
| General Motors Co. |
| 04/01/2035 | 5.000% | | 2,950,000 | 2,968,541 |
| General Motors Financial Co., Inc. |
| 05/15/2018 | 3.250% | | 5,720,000 | 5,786,604 |
| 01/15/2019 | 3.100% | | 1,380,000 | 1,399,011 |
| 07/06/2021 | 3.200% | | 1,970,000 | 1,993,378 |
| 03/01/2026 | 5.250% | | 3,730,000 | 4,026,945 |
| Goodyear Tire & Rubber Co. (The) |
| 11/15/2023 | 5.125% | | 6,050,000 | 6,334,556 |
| Jaguar Land Rover Automotive PLC(a) |
| 12/15/2018 | 4.125% | | 3,340,000 | 3,413,844 |
| 03/15/2020 | 3.500% | | 2,000,000 | 2,030,152 |
| Nemak SAB de CV(a) |
| 02/28/2023 | 5.500% | | 1,700,000 | 1,760,452 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 49 |
Portfolio of Investments (continued)
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Tenneco, Inc. |
| 07/15/2026 | 5.000% | | 5,260,000 | 5,293,343 |
| ZF North America Capital, Inc.(a) |
| 04/29/2020 | 4.000% | | 6,500,000 | 6,725,842 |
| Total | 58,451,109 |
| Banking 8.3% |
| Ally Financial, Inc. |
| 05/21/2018 | 3.600% | | 4,836,000 | 4,892,001 |
| 03/30/2025 | 4.625% | | 4,000,000 | 4,087,856 |
| American Express Credit Corp. |
| 09/14/2020 | 2.600% | | 1,495,000 | 1,515,703 |
| Banco Inbursa SA Institucion de Banca Multiple(a) |
| 04/11/2027 | 4.375% | | 3,000,000 | 2,993,754 |
| Banco Santander SA |
| 04/11/2022 | 3.500% | | 3,600,000 | 3,682,465 |
| Bank of America Corp. |
| 07/01/2020 | 5.625% | | 2,670,000 | 2,923,423 |
| 01/24/2022 | 5.700% | | 6,910,000 | 7,785,711 |
| 01/21/2044 | 5.000% | | 2,130,000 | 2,416,856 |
| Subordinated |
| 08/26/2024 | 4.200% | | 10,620,000 | 11,025,079 |
| 01/22/2025 | 4.000% | | 1,750,000 | 1,778,705 |
| Bank of America Corp.(b) |
| 01/20/2048 | 4.443% | | 1,330,000 | 1,410,478 |
| Bank of America NA |
| Subordinated |
| 10/15/2036 | 6.000% | | 1,570,000 | 1,977,220 |
| Banque Fédérative du Crédit Mutuel SA(a) |
| 04/12/2019 | 2.000% | | 2,540,000 | 2,539,952 |
| Barclays Bank PLC |
| Subordinated |
| 10/14/2020 | 5.140% | | 1,030,000 | 1,102,686 |
| Barclays Bank PLC(b) |
| Subordinated |
| 01/16/2023 | 6.750% | GBP | 3,400,000 | 4,544,537 |
| Barclays PLC |
| 01/12/2026 | 4.375% | | 1,500,000 | 1,556,757 |
| 01/10/2047 | 4.950% | | 1,800,000 | 1,932,818 |
| BB&T Corp. |
| Subordinated |
| 09/16/2025 | 3.625% | | 1,493,000 | 1,547,486 |
| 10/30/2026 | 3.800% | | 1,650,000 | 1,726,251 |
| BBVA Bancomer SA(a) |
| Subordinated |
| 09/30/2022 | 6.750% | | 7,000,000 | 7,927,626 |
| BNP Paribas SA(a) |
| Subordinated |
| 09/28/2025 | 4.375% | | 1,600,000 | 1,656,312 |
| Corporate Bonds & Notes(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| BPCE SA(a) |
| Subordinated |
| 07/21/2024 | 5.150% | | 2,960,000 | 3,166,703 |
| Capital One Bank USA NA |
| 06/05/2019 | 2.300% | | 1,490,000 | 1,493,177 |
| Subordinated |
| 02/15/2023 | 3.375% | | 2,680,000 | 2,700,968 |
| Capital One Financial Corp. |
| Subordinated |
| 10/29/2025 | 4.200% | | 4,415,000 | 4,451,062 |
| Capital One NA |
| 08/17/2018 | 2.350% | | 3,500,000 | 3,514,101 |
| Citigroup, Inc. |
| 05/01/2018 | 1.750% | | 13,150,000 | 13,141,084 |
| 04/08/2019 | 2.550% | | 2,200,000 | 2,220,605 |
| 04/25/2022 | 2.750% | | 4,200,000 | 4,200,038 |
| Subordinated |
| 09/29/2027 | 4.450% | | 15,110,000 | 15,703,460 |
| Commerzbank AG(a) |
| Subordinated |
| 09/19/2023 | 8.125% | | 1,490,000 | 1,793,534 |
| Cooperatieve Rabobank UA |
| 02/08/2022 | 3.875% | | 3,590,000 | 3,810,322 |
| Subordinated |
| 11/09/2022 | 3.950% | | 1,000,000 | 1,045,295 |
| Credit Agricole SA |
| Subordinated |
| 12/18/2023 | 7.375% | GBP | 3,100,000 | 5,242,505 |
| Credit Suisse Group Funding Guernsey Ltd. |
| 04/16/2021 | 3.450% | | 3,420,000 | 3,509,491 |
| Discover Bank |
| 07/27/2026 | 3.450% | | 3,920,000 | 3,803,125 |
| Fifth Third Bancorp |
| Subordinated |
| 01/16/2024 | 4.300% | | 2,710,000 | 2,850,725 |
| Fifth Third Bank |
| 10/01/2021 | 2.875% | | 2,230,000 | 2,270,524 |
| Goldman Sachs Group, Inc. (The) |
| 12/13/2019 | 2.300% | | 9,240,000 | 9,266,260 |
| 03/15/2020 | 5.375% | | 7,570,000 | 8,165,328 |
| 09/15/2020 | 2.750% | | 1,530,000 | 1,548,005 |
| 01/24/2022 | 5.750% | | 3,100,000 | 3,489,775 |
| 01/23/2025 | 3.500% | | 6,510,000 | 6,579,755 |
| 11/16/2026 | 3.500% | | 1,300,000 | 1,290,644 |
| 07/08/2044 | 4.800% | | 4,730,000 | 5,249,203 |
| Subordinated |
| 10/21/2025 | 4.250% | | 2,040,000 | 2,107,310 |
| 05/22/2045 | 5.150% | | 1,750,000 | 1,940,213 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 50 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| HBOS PLC(a) |
| Subordinated |
| 05/21/2018 | 6.750% | | 2,280,000 | 2,367,547 |
| HSBC Bank PLC(a) |
| Subordinated |
| 07/07/2023 | 6.500% | GBP | 1,500,000 | 2,423,217 |
| HSBC Bank USA NA |
| Subordinated |
| 11/01/2034 | 5.875% | | 820,000 | 1,007,368 |
| HSBC Holdings PLC(b) |
| 03/13/2023 | 3.262% | | 1,950,000 | 1,989,252 |
| HSBC Holdings PLC |
| 03/08/2026 | 4.300% | | 6,000,000 | 6,368,466 |
| Subordinated |
| 11/23/2026 | 4.375% | | 4,090,000 | 4,240,688 |
| Intesa Sanpaolo SpA(a) |
| Subordinated |
| 06/26/2024 | 5.017% | | 3,080,000 | 3,127,848 |
| JPMorgan Chase & Co. |
| 03/01/2021 | 2.550% | | 1,770,000 | 1,777,857 |
| 05/10/2021 | 4.625% | | 7,100,000 | 7,649,547 |
| 09/23/2022 | 3.250% | | 3,280,000 | 3,364,112 |
| 01/23/2025 | 3.125% | | 7,500,000 | 7,455,007 |
| Subordinated |
| 09/10/2024 | 3.875% | | 5,470,000 | 5,649,695 |
| 06/01/2045 | 4.950% | | 2,400,000 | 2,669,945 |
| JPMorgan Chase & Co.(b) |
| 05/01/2028 | 3.540% | | 3,460,000 | 3,481,504 |
| KeyBank NA |
| Subordinated |
| 05/20/2026 | 3.400% | | 1,250,000 | 1,240,011 |
| KeyCorp |
| 12/13/2018 | 2.300% | | 3,440,000 | 3,457,042 |
| Morgan Stanley |
| 09/23/2019 | 5.625% | | 5,390,000 | 5,789,690 |
| 05/19/2022 | 2.750% | | 2,400,000 | 2,398,891 |
| 10/23/2024 | 3.700% | | 2,710,000 | 2,780,644 |
| 07/23/2025 | 4.000% | | 15,000,000 | 15,654,345 |
| 01/22/2047 | 4.375% | | 1,170,000 | 1,225,615 |
| PNC Bank NA |
| Subordinated |
| 07/25/2023 | 3.800% | | 1,750,000 | 1,841,065 |
| PNC Financial Services Group, Inc. (The) |
| 08/11/2020 | 4.375% | | 2,430,000 | 2,583,226 |
| Regions Bank |
| Subordinated |
| 06/26/2037 | 6.450% | | 2,000,000 | 2,408,114 |
| Corporate Bonds & Notes(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| SunTrust Bank |
| Subordinated |
| 05/15/2026 | 3.300% | | 1,500,000 | 1,467,520 |
| Synchrony Financial |
| 01/15/2019 | 2.600% | | 4,130,000 | 4,150,947 |
| 08/15/2019 | 3.000% | | 1,100,000 | 1,114,910 |
| Turkiye Garanti Bankasi AS(a) |
| 03/16/2023 | 5.875% | | 6,000,000 | 6,205,764 |
| U.S. Bancorp |
| 03/15/2022 | 3.000% | | 960,000 | 984,609 |
| Subordinated |
| 09/11/2024 | 3.600% | | 630,000 | 653,987 |
| UBS Group Funding Switzerland AG(a) |
| 05/23/2023 | 3.491% | | 4,300,000 | 4,412,772 |
| 09/24/2025 | 4.125% | | 1,720,000 | 1,800,611 |
| UniCredit SpA(a),(b) |
| Subordinated |
| 06/19/2032 | 5.861% | | 9,040,000 | 9,285,816 |
| US Bank NA |
| 01/27/2025 | 2.800% | | 2,390,000 | 2,367,637 |
| Wells Fargo & Co. |
| 07/22/2020 | 2.600% | | 5,390,000 | 5,456,125 |
| 01/24/2023 | 3.069% | | 2,850,000 | 2,885,183 |
| 09/29/2025 | 3.550% | | 4,890,000 | 4,972,387 |
| Subordinated |
| 08/15/2023 | 4.125% | | 1,300,000 | 1,374,517 |
| 06/03/2026 | 4.100% | | 1,750,000 | 1,812,274 |
| 01/15/2044 | 5.606% | | 2,861,000 | 3,398,642 |
| 11/04/2044 | 4.650% | | 2,295,000 | 2,408,375 |
| Total | 333,279,660 |
| Brokerage/Asset Managers/Exchanges 0.1% |
| Jefferies Group LLC |
| 04/13/2018 | 5.125% | | 1,870,000 | 1,917,932 |
| 01/15/2027 | 4.850% | | 1,840,000 | 1,923,632 |
| Total | 3,841,564 |
| Building Materials 0.3% |
| Masco Corp. |
| 04/01/2025 | 4.450% | | 6,250,000 | 6,709,788 |
| 04/01/2026 | 4.375% | | 1,000,000 | 1,062,658 |
| Owens Corning |
| 12/15/2022 | 4.200% | | 2,185,000 | 2,305,225 |
| Total | 10,077,671 |
| Cable and Satellite 1.6% |
| CCO Holdings LLC/Capital Corp. |
| 09/30/2022 | 5.250% | | 6,110,000 | 6,300,773 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 51 |
Portfolio of Investments (continued)
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CCO Holdings LLC/Capital Corp.(a) |
| 05/01/2027 | 5.125% | | 3,000,000 | 3,075,423 |
| Charter Communications Operating LLC/Capital |
| 07/23/2025 | 4.908% | | 11,070,000 | 11,958,976 |
| 10/23/2045 | 6.484% | | 1,000,000 | 1,203,290 |
| Comcast Corp. |
| 03/01/2026 | 3.150% | | 1,550,000 | 1,559,012 |
| 08/15/2035 | 4.400% | | 1,650,000 | 1,791,887 |
| 11/15/2035 | 6.500% | | 178,000 | 236,020 |
| 05/15/2038 | 6.400% | | 4,910,000 | 6,540,007 |
| 03/01/2044 | 4.750% | | 808,000 | 898,932 |
| CSC Holdings LLC(a) |
| 04/15/2027 | 5.500% | | 4,800,000 | 5,062,565 |
| DISH DBS Corp. |
| 07/15/2017 | 4.625% | | 2,040,000 | 2,041,691 |
| NBCUniversal Media LLC |
| 04/01/2021 | 4.375% | | 5,420,000 | 5,842,868 |
| 01/15/2023 | 2.875% | | 1,510,000 | 1,532,609 |
| Sirius XM Radio, Inc.(a) |
| 07/15/2024 | 6.000% | | 1,900,000 | 2,020,232 |
| 04/15/2025 | 5.375% | | 4,000,000 | 4,142,284 |
| Time Warner Cable LLC |
| 07/01/2018 | 6.750% | | 1,570,000 | 1,642,966 |
| 09/01/2041 | 5.500% | | 730,000 | 785,139 |
| 09/15/2042 | 4.500% | | 960,000 | 916,241 |
| Virgin Media Secured Finance PLC(a) |
| 01/15/2026 | 5.250% | | 6,100,000 | 6,345,507 |
| Total | 63,896,422 |
| Chemicals 0.3% |
| Ashland LLC(b) |
| 08/15/2022 | 4.750% | | 3,110,000 | 3,251,527 |
| Eastman Chemical Co. |
| 08/15/2022 | 3.600% | | 1,420,000 | 1,473,087 |
| LyondellBasell Industries NV |
| 04/15/2019 | 5.000% | | 1,689,000 | 1,765,672 |
| 02/26/2055 | 4.625% | | 1,800,000 | 1,757,831 |
| Mosaic Co. (The) |
| 11/15/2043 | 5.625% | | 1,610,000 | 1,643,237 |
| Sherwin-Williams Co. (The) |
| 06/01/2027 | 3.450% | | 1,840,000 | 1,851,375 |
| Total | 11,742,729 |
| Construction Machinery 0.3% |
| Caterpillar Financial Services Corp. |
| 06/01/2022 | 2.850% | | 2,890,000 | 2,936,731 |
| John Deere Capital Corp. |
| 10/15/2021 | 3.150% | | 1,250,000 | 1,292,651 |
| Corporate Bonds & Notes(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| United Rentals North America, Inc. |
| 07/15/2023 | 4.625% | | 3,300,000 | 3,426,327 |
| 11/15/2024 | 5.750% | | 3,780,000 | 3,966,279 |
| Total | 11,621,988 |
| Consumer Products 0.4% |
| Newell Brands, Inc. |
| 11/15/2023 | 5.000% | | 2,000,000 | 2,144,078 |
| 04/01/2046 | 5.500% | | 2,280,000 | 2,742,949 |
| Newell, Inc. |
| 04/01/2026 | 4.200% | | 2,820,000 | 2,994,863 |
| Spectrum Brands, Inc. |
| 07/15/2025 | 5.750% | | 5,810,000 | 6,230,946 |
| Total | 14,112,836 |
| Diversified Manufacturing 0.2% |
| General Electric Co. |
| 10/09/2022 | 2.700% | | 3,900,000 | 3,962,252 |
| 10/09/2042 | 4.125% | | 2,160,000 | 2,272,879 |
| United Technologies Corp. |
| 04/15/2040 | 5.700% | | 1,420,000 | 1,785,020 |
| 11/01/2046 | 3.750% | | 1,800,000 | 1,762,400 |
| Total | 9,782,551 |
| Electric 2.0% |
| AES Corp. (The) |
| 05/15/2023 | 4.875% | | 2,000,000 | 2,033,800 |
| 05/15/2026 | 6.000% | | 2,250,000 | 2,411,041 |
| Calpine Corp.(a) |
| 01/15/2024 | 5.875% | | 1,500,000 | 1,546,871 |
| Calpine Corp. |
| 01/15/2025 | 5.750% | | 2,860,000 | 2,689,870 |
| CMS Energy Corp. |
| 06/15/2019 | 8.750% | | 3,330,000 | 3,739,926 |
| Consolidated Edison Co. of New York, Inc. |
| 03/01/2043 | 3.950% | | 2,290,000 | 2,312,976 |
| Covanta Holding Corp. |
| 03/01/2024 | 5.875% | | 3,540,000 | 3,469,434 |
| Dominion Energy, Inc. |
| 06/15/2018 | 6.400% | | 1,880,000 | 1,962,182 |
| 09/15/2022 | 2.750% | | 2,630,000 | 2,622,678 |
| 12/01/2024 | 3.625% | | 1,820,000 | 1,860,633 |
| 10/01/2025 | 3.900% | | 3,000,000 | 3,108,480 |
| 08/01/2041 | 4.900% | | 2,050,000 | 2,230,560 |
| Duke Energy Corp. |
| 09/15/2021 | 3.550% | | 2,860,000 | 2,978,601 |
| Duke Energy Florida LLC |
| 09/15/2037 | 6.350% | | 1,170,000 | 1,578,652 |
| 11/15/2042 | 3.850% | | 2,830,000 | 2,820,454 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 52 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Duke Energy Progress LLC |
| 08/15/2025 | 3.250% | | 1,570,000 | 1,603,541 |
| 12/01/2044 | 4.150% | | 1,565,000 | 1,640,971 |
| Enel Finance International NV(a) |
| 05/25/2022 | 2.875% | | 3,470,000 | 3,477,471 |
| Exelon Corp. |
| 12/01/2020 | 5.150% | | 2,020,000 | 2,171,399 |
| 04/15/2046 | 4.450% | | 1,960,000 | 2,024,694 |
| Exelon Generation Co. LLC |
| 06/15/2022 | 4.250% | | 900,000 | 947,960 |
| 06/15/2042 | 5.600% | | 760,000 | 761,225 |
| FirstEnergy Corp. |
| 03/15/2023 | 4.250% | | 6,480,000 | 6,815,729 |
| Florida Power & Light Co. |
| 02/01/2042 | 4.125% | | 3,380,000 | 3,583,408 |
| Georgia Power Co. |
| 03/15/2042 | 4.300% | | 700,000 | 721,165 |
| IPALCO Enterprises, Inc. |
| 05/01/2018 | 5.000% | | 2,521,000 | 2,562,077 |
| 07/15/2020 | 3.450% | | 3,270,000 | 3,309,024 |
| MidAmerican Energy Co. |
| 10/15/2044 | 4.400% | | 2,790,000 | 3,030,869 |
| NextEra Energy Capital Holdings, Inc.(b) |
| Junior Subordinated |
| 09/01/2067 | 7.300% | | 1,800,000 | 1,811,806 |
| Pacific Gas & Electric Co. |
| 12/01/2046 | 4.000% | | 2,515,000 | 2,585,817 |
| Potomac Electric Power Co. |
| 03/15/2024 | 3.600% | | 1,550,000 | 1,615,660 |
| Progress Energy, Inc. |
| 04/01/2022 | 3.150% | | 900,000 | 917,060 |
| Southern Power Co. |
| 09/15/2041 | 5.150% | | 500,000 | 529,154 |
| Xcel Energy, Inc. |
| 12/01/2026 | 3.350% | | 1,210,000 | 1,221,061 |
| 09/15/2041 | 4.800% | | 820,000 | 873,502 |
| Total | 79,569,751 |
| Environmental 0.2% |
| Republic Services, Inc. |
| 06/01/2022 | 3.550% | | 3,200,000 | 3,327,677 |
| Waste Management, Inc. |
| 06/30/2020 | 4.750% | | 2,890,000 | 3,111,620 |
| 03/01/2045 | 4.100% | | 2,222,000 | 2,333,244 |
| Total | 8,772,541 |
| Corporate Bonds & Notes(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Finance Companies 0.7% |
| AerCap Ireland Capital Ltd./Global Aviation Trust |
| 05/15/2019 | 3.750% | | 7,340,000 | 7,541,248 |
| CIT Group, Inc. |
| 08/15/2022 | 5.000% | | 2,930,000 | 3,159,129 |
| GE Capital International Funding Co. Unlimited Co. |
| 11/15/2020 | 2.342% | | 15,671,000 | 15,798,828 |
| International Lease Finance Corp. |
| 05/15/2019 | 6.250% | | 1,800,000 | 1,930,189 |
| Total | 28,429,394 |
| Food and Beverage 1.3% |
| Anheuser-Busch InBev Finance, Inc. |
| 02/01/2023 | 3.300% | | 7,150,000 | 7,355,555 |
| 02/01/2026 | 3.650% | | 4,710,000 | 4,851,173 |
| 02/01/2046 | 4.900% | | 6,200,000 | 6,996,880 |
| Anheuser-Busch InBev Worldwide, Inc. |
| 01/15/2019 | 7.750% | | 3,000,000 | 3,258,456 |
| Aramark Services, Inc.(a) |
| 04/01/2025 | 5.000% | | 2,410,000 | 2,543,442 |
| Constellation Brands, Inc. |
| 11/15/2019 | 3.875% | | 5,500,000 | 5,712,949 |
| 12/01/2025 | 4.750% | | 3,470,000 | 3,793,078 |
| Kraft Heinz Foods Co. |
| 07/15/2025 | 3.950% | | 2,245,000 | 2,312,354 |
| 07/15/2045 | 5.200% | | 1,750,000 | 1,889,562 |
| 06/01/2046 | 4.375% | | 1,870,000 | 1,828,032 |
| Lamb Weston Holdings, Inc.(a) |
| 11/01/2024 | 4.625% | | 5,810,000 | 5,972,198 |
| Molson Coors Brewing Co. |
| 07/15/2026 | 3.000% | | 1,970,000 | 1,900,224 |
| Post Holdings, Inc.(a) |
| 08/15/2026 | 5.000% | | 3,000,000 | 2,990,961 |
| Sysco Corp. |
| 07/15/2026 | 3.300% | | 1,380,000 | 1,376,088 |
| Total | 52,780,952 |
| Gaming 0.5% |
| GLP Capital LP/Financing II, Inc. |
| 11/01/2020 | 4.875% | | 5,930,000 | 6,325,454 |
| International Game Technology PLC(a) |
| 02/15/2022 | 6.250% | | 5,773,000 | 6,310,426 |
| MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. |
| 09/01/2026 | 4.500% | | 5,830,000 | 5,881,310 |
| Total | 18,517,190 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 53 |
Portfolio of Investments (continued)
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Health Care 1.8% |
| Abbott Laboratories |
| 09/15/2018 | 2.000% | | 1,410,000 | 1,413,009 |
| 11/30/2026 | 3.750% | | 3,930,000 | 4,009,500 |
| Ascension Health Alliance |
| 11/15/2046 | 3.945% | | 600,000 | 609,196 |
| Becton Dickinson and Co. |
| 12/15/2024 | 3.734% | | 3,630,000 | 3,690,977 |
| 06/06/2027 | 3.700% | | 1,440,000 | 1,444,807 |
| Catholic Health Initiatives |
| 11/01/2022 | 2.950% | | 1,425,000 | 1,377,579 |
| CHS/Community Health Systems, Inc. |
| 03/31/2023 | 6.250% | | 3,000,000 | 3,102,693 |
| DaVita, Inc. |
| 07/15/2024 | 5.125% | | 6,480,000 | 6,580,148 |
| Express Scripts Holding Co. |
| 02/25/2026 | 4.500% | | 2,480,000 | 2,630,176 |
| 03/01/2027 | 3.400% | | 1,140,000 | 1,110,392 |
| Fresenius Medical Care US Finance II, Inc.(a) |
| 10/15/2020 | 4.125% | | 1,000,000 | 1,038,080 |
| HCA, Inc. |
| 03/15/2019 | 3.750% | | 7,020,000 | 7,158,217 |
| 03/15/2024 | 5.000% | | 1,000,000 | 1,057,225 |
| 02/01/2025 | 5.375% | | 2,100,000 | 2,211,932 |
| Medtronic, Inc. |
| 03/15/2020 | 2.500% | | 2,300,000 | 2,333,269 |
| 03/15/2025 | 3.500% | | 2,860,000 | 2,973,439 |
| 03/15/2035 | 4.375% | | 2,680,000 | 2,927,008 |
| NYU Hospitals Center |
| 07/01/2042 | 4.428% | | 1,000,000 | 1,033,086 |
| Quintiles IMS, Inc.(a) |
| 10/15/2026 | 5.000% | | 3,600,000 | 3,711,420 |
| Tenet Healthcare Corp. |
| 03/01/2019 | 5.000% | | 3,000,000 | 3,151,956 |
| 10/01/2021 | 4.375% | | 2,500,000 | 2,537,017 |
| THC Escrow Corp. III(a) |
| 05/01/2025 | 5.125% | | 3,100,000 | 3,111,169 |
| Thermo Fisher Scientific, Inc. |
| 08/15/2021 | 3.600% | | 3,590,000 | 3,740,256 |
| 02/15/2022 | 3.300% | | 896,000 | 924,007 |
| 02/01/2044 | 5.300% | | 1,470,000 | 1,723,061 |
| Universal Health Services, Inc.(a) |
| 08/01/2019 | 3.750% | | 1,000,000 | 1,025,003 |
| 08/01/2022 | 4.750% | | 2,000,000 | 2,066,256 |
| Zimmer Biomet Holdings, Inc. |
| 04/01/2020 | 2.700% | | 1,740,000 | 1,754,997 |
| Total | 70,445,875 |
| Corporate Bonds & Notes(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Healthcare Insurance 0.2% |
| Aetna, Inc. |
| 11/15/2022 | 2.750% | | 2,010,000 | 2,016,486 |
| UnitedHealth Group, Inc. |
| 12/15/2021 | 2.875% | | 2,110,000 | 2,159,298 |
| 03/15/2022 | 2.875% | | 3,600,000 | 3,678,340 |
| 07/15/2025 | 3.750% | | 1,860,000 | 1,964,480 |
| Total | 9,818,604 |
| Healthcare REIT 0.0% |
| Welltower, Inc. |
| 03/15/2023 | 3.750% | | 1,440,000 | 1,490,707 |
| Home Construction 0.5% |
| D.R. Horton, Inc. |
| 08/15/2023 | 5.750% | | 1,100,000 | 1,248,733 |
| Lennar Corp. |
| 12/15/2017 | 4.750% | | 2,150,000 | 2,161,496 |
| 04/01/2021 | 4.750% | | 5,205,000 | 5,515,890 |
| 04/30/2024 | 4.500% | | 2,000,000 | 2,067,174 |
| MDC Holdings, Inc. |
| 01/15/2024 | 5.500% | | 2,330,000 | 2,478,188 |
| Toll Brothers Finance Corp. |
| 11/01/2019 | 6.750% | | 675,000 | 742,366 |
| TRI Pointe Group, Inc./Homes |
| 06/15/2019 | 4.375% | | 3,540,000 | 3,628,114 |
| 06/15/2024 | 5.875% | | 2,600,000 | 2,745,595 |
| Total | 20,587,556 |
| Independent Energy 1.4% |
| Anadarko Petroleum Corp. |
| 03/15/2026 | 5.550% | | 2,710,000 | 3,010,767 |
| 09/15/2036 | 6.450% | | 1,610,000 | 1,894,633 |
| Antero Resources Corp. |
| 12/01/2022 | 5.125% | | 4,717,000 | 4,718,929 |
| Apache Corp. |
| 04/15/2043 | 4.750% | | 1,910,000 | 1,915,673 |
| Cimarex Energy Co. |
| 06/01/2024 | 4.375% | | 4,000,000 | 4,199,332 |
| Concho Resources, Inc. |
| 04/01/2023 | 5.500% | | 3,050,000 | 3,141,790 |
| 01/15/2025 | 4.375% | | 4,390,000 | 4,489,987 |
| ConocoPhillips Holding Co. |
| 04/15/2029 | 6.950% | | 2,560,000 | 3,297,736 |
| Continental Resources, Inc. |
| 09/15/2022 | 5.000% | | 2,820,000 | 2,767,080 |
| 06/01/2024 | 3.800% | | 1,500,000 | 1,374,601 |
| EnCana Corp. |
| 02/01/2038 | 6.500% | | 2,380,000 | 2,726,214 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 54 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| EOG Resources, Inc. |
| 02/01/2021 | 4.100% | | 1,830,000 | 1,927,962 |
| Hess Corp. |
| 01/15/2040 | 6.000% | | 2,910,000 | 2,966,521 |
| Marathon Oil Corp. |
| 06/01/2025 | 3.850% | | 3,450,000 | 3,375,169 |
| 06/01/2045 | 5.200% | | 1,000,000 | 960,943 |
| Newfield Exploration Co. |
| 01/30/2022 | 5.750% | | 6,320,000 | 6,654,720 |
| Noble Energy, Inc. |
| 12/15/2021 | 4.150% | | 2,640,000 | 2,780,245 |
| Range Resources Corp. |
| 05/15/2025 | 4.875% | | 3,000,000 | 2,843,607 |
| Whiting Petroleum Corp. |
| 03/15/2021 | 5.750% | | 1,500,000 | 1,413,577 |
| Total | 56,459,486 |
| Integrated Energy 0.7% |
| BP Capital Markets PLC |
| 10/01/2020 | 4.500% | | 1,440,000 | 1,545,415 |
| 05/10/2023 | 2.750% | | 2,380,000 | 2,368,352 |
| Cenovus Energy, Inc.(a) |
| 04/15/2027 | 4.250% | | 1,470,000 | 1,403,627 |
| Exxon Mobil Corp. |
| 03/06/2025 | 2.709% | | 3,740,000 | 3,718,084 |
| 03/01/2026 | 3.043% | | 2,800,000 | 2,820,160 |
| Lukoil International Finance BV(a) |
| 11/02/2026 | 4.750% | | 6,700,000 | 6,861,336 |
| Shell International Finance BV |
| 05/11/2025 | 3.250% | | 3,310,000 | 3,374,353 |
| 08/21/2042 | 3.625% | | 2,890,000 | 2,705,578 |
| 08/12/2043 | 4.550% | | 1,150,000 | 1,230,609 |
| Suncor Energy, Inc. |
| 06/15/2038 | 6.500% | | 900,000 | 1,150,555 |
| Total Capital Canada Ltd. |
| 07/15/2023 | 2.750% | | 2,550,000 | 2,564,907 |
| Total | 29,742,976 |
| Leisure 0.1% |
| Royal Caribbean Cruises Ltd. |
| 11/15/2022 | 5.250% | | 2,320,000 | 2,570,010 |
| Life Insurance 0.8% |
| American International Group, Inc. |
| 02/15/2024 | 4.125% | | 9,750,000 | 10,281,160 |
| 07/16/2044 | 4.500% | | 1,570,000 | 1,603,188 |
| CNP Assurances(a),(b) |
| Subordinated |
| 12/31/2049 | 4.000% | EUR | 5,000,000 | 6,089,045 |
| Corporate Bonds & Notes(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| MetLife, Inc. |
| 08/13/2042 | 4.125% | | 1,020,000 | 1,039,082 |
| 11/13/2043 | 4.875% | | 1,480,000 | 1,674,032 |
| Principal Financial Group, Inc. |
| 09/15/2022 | 3.300% | | 750,000 | 770,057 |
| Prudential Financial, Inc. |
| 06/21/2020 | 5.375% | | 1,270,000 | 1,384,690 |
| 12/14/2036 | 5.700% | | 510,000 | 623,213 |
| 05/12/2041 | 5.625% | | 3,230,000 | 3,934,951 |
| Prudential Financial, Inc.(b) |
| Junior Subordinated |
| 09/15/2042 | 5.875% | | 3,800,000 | 4,227,770 |
| Voya Financial, Inc. |
| 07/15/2043 | 5.700% | | 1,440,000 | 1,674,608 |
| Total | 33,301,796 |
| Lodging 0.1% |
| Hilton Domestic Operating Co., Inc.(a) |
| 09/01/2024 | 4.250% | | 5,230,000 | 5,295,631 |
| Media and Entertainment 1.7% |
| 21st Century Fox America, Inc. |
| 10/15/2025 | 3.700% | | 1,000,000 | 1,029,832 |
| 08/15/2039 | 6.900% | | 1,590,000 | 2,135,346 |
| 09/15/2044 | 4.750% | | 1,080,000 | 1,146,114 |
| Cablevision Holding SA(a) |
| 06/15/2021 | 6.500% | | 5,400,000 | 5,723,460 |
| CBS Corp. |
| 01/15/2025 | 3.500% | | 1,220,000 | 1,232,777 |
| 07/01/2042 | 4.850% | | 700,000 | 731,996 |
| Discovery Communications LLC |
| 08/15/2019 | 5.625% | | 827,000 | 883,985 |
| 04/01/2023 | 3.250% | | 3,260,000 | 3,216,603 |
| Interpublic Group of Companies, Inc. (The) |
| 03/15/2022 | 4.000% | | 1,565,000 | 1,641,012 |
| Lamar Media Corp. |
| 01/15/2024 | 5.375% | | 6,390,000 | 6,702,222 |
| Netflix, Inc. |
| 02/01/2021 | 5.375% | | 3,840,000 | 4,146,355 |
| 03/01/2024 | 5.750% | | 2,890,000 | 3,158,470 |
| Nielsen Finance LLC/Co.(a) |
| 04/15/2022 | 5.000% | | 4,876,000 | 5,057,573 |
| Omnicom Group, Inc. |
| 04/15/2026 | 3.600% | | 3,300,000 | 3,323,100 |
| S&P Global, Inc. |
| 08/14/2020 | 3.300% | | 1,690,000 | 1,729,985 |
| TEGNA, Inc. |
| 07/15/2020 | 5.125% | | 4,650,000 | 4,773,034 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 55 |
Portfolio of Investments (continued)
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Time Warner, Inc. |
| 01/15/2021 | 4.700% | | 1,900,000 | 2,037,201 |
| 07/15/2025 | 3.600% | | 7,000,000 | 7,015,078 |
| 02/15/2027 | 3.800% | | 2,000,000 | 2,011,226 |
| 12/15/2043 | 5.350% | | 1,000,000 | 1,100,343 |
| Viacom Inc.(b) |
| Junior Subordinated |
| 02/28/2057 | 6.250% | | 950,000 | 987,599 |
| Viacom, Inc. |
| 06/15/2022 | 3.125% | | 3,500,000 | 3,504,015 |
| 09/01/2023 | 4.250% | | 2,640,000 | 2,754,705 |
| Walt Disney Co. (The) |
| 06/01/2044 | 4.125% | | 1,100,000 | 1,153,865 |
| Total | 67,195,896 |
| Metals and Mining 0.5% |
| Barrick North America Finance LLC |
| 05/01/2043 | 5.750% | | 710,000 | 858,648 |
| Constellium NV(a) |
| 03/01/2025 | 6.625% | | 1,950,000 | 1,864,561 |
| Freeport-McMoRan, Inc. |
| 03/15/2023 | 3.875% | | 2,760,000 | 2,579,648 |
| Glencore Finance Canada Ltd.(a) |
| 11/15/2021 | 4.950% | | 1,830,000 | 1,956,491 |
| Southern Copper Corp. |
| 11/08/2042 | 5.250% | | 1,030,000 | 1,031,349 |
| Steel Dynamics, Inc. |
| 10/01/2024 | 5.500% | | 5,000,000 | 5,307,640 |
| 12/15/2026 | 5.000% | | 3,500,000 | 3,593,986 |
| Vale Overseas Ltd. |
| 08/10/2026 | 6.250% | | 1,800,000 | 1,947,510 |
| Total | 19,139,833 |
| Midstream 2.2% |
| AmeriGas Partners LP/Finance Corp. |
| 08/20/2026 | 5.875% | | 5,000,000 | 5,121,705 |
| 05/20/2027 | 5.750% | | 1,500,000 | 1,523,947 |
| Boardwalk Pipelines LP |
| 07/15/2027 | 4.450% | | 1,340,000 | 1,369,160 |
| Enbridge Energy Partners LP |
| 03/15/2020 | 5.200% | | 2,020,000 | 2,157,633 |
| Enbridge, Inc. |
| 10/01/2023 | 4.000% | | 1,450,000 | 1,518,844 |
| 06/10/2044 | 4.500% | | 1,300,000 | 1,270,307 |
| Energy Transfer Equity LP |
| 10/15/2020 | 7.500% | | 1,662,000 | 1,861,324 |
| Corporate Bonds & Notes(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Energy Transfer LP |
| 10/01/2020 | 4.150% | | 2,140,000 | 2,222,516 |
| 02/01/2023 | 3.600% | | 2,770,000 | 2,784,000 |
| 03/15/2035 | 4.900% | | 1,500,000 | 1,464,882 |
| 02/01/2042 | 6.500% | | 1,771,000 | 1,977,461 |
| Enterprise Products Operating LLC |
| 09/01/2020 | 5.200% | | 5,020,000 | 5,448,432 |
| 03/15/2044 | 4.850% | | 4,160,000 | 4,404,724 |
| Enterprise Products Operating LLC(b) |
| 01/15/2068 | 7.034% | | 2,020,000 | 2,067,122 |
| Kinder Morgan Energy Partners LP |
| 04/01/2020 | 6.500% | | 1,870,000 | 2,058,427 |
| 09/15/2020 | 5.300% | | 1,600,000 | 1,722,640 |
| 09/01/2039 | 6.500% | | 2,000,000 | 2,273,114 |
| Kinder Morgan, Inc. |
| 06/01/2045 | 5.550% | | 2,510,000 | 2,660,771 |
| Magellan Midstream Partners LP |
| 07/15/2019 | 6.550% | | 2,740,000 | 2,969,730 |
| MPLX LP |
| 06/01/2025 | 4.875% | | 4,700,000 | 4,990,568 |
| 03/01/2047 | 5.200% | | 650,000 | 670,065 |
| Plains All American Pipeline LP/Finance Corp. |
| 06/01/2022 | 3.650% | | 3,360,000 | 3,423,921 |
| Sabine Pass Liquefaction LLC |
| 03/01/2025 | 5.625% | | 6,800,000 | 7,500,903 |
| Suburban Propane Partners LP/Energy Finance Corp. |
| 03/01/2025 | 5.750% | | 958,000 | 953,456 |
| Sunoco Logistics Partners Operations LP |
| 01/15/2023 | 3.450% | | 4,665,000 | 4,676,518 |
| 07/15/2026 | 3.900% | | 1,350,000 | 1,324,307 |
| Targa Resources Partners LP/Finance Corp. |
| 11/15/2023 | 4.250% | | 2,140,000 | 2,088,287 |
| Tesoro Logistics LP/Finance Corp. |
| 10/15/2019 | 5.500% | | 2,000,000 | 2,107,686 |
| TransCanada PipeLines Ltd. |
| 08/01/2022 | 2.500% | | 1,800,000 | 1,797,802 |
| Williams Companies, Inc. (The) |
| 01/15/2023 | 3.700% | | 4,075,000 | 4,017,151 |
| Williams Partners LP |
| 11/15/2020 | 4.125% | | 3,530,000 | 3,684,526 |
| 09/15/2045 | 5.100% | | 2,660,000 | 2,755,808 |
| Total | 86,867,737 |
| Natural Gas 0.2% |
| NiSource Finance Corp. |
| 02/01/2045 | 5.650% | | 1,870,000 | 2,247,641 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 56 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Sempra Energy |
| 10/01/2022 | 2.875% | | 1,830,000 | 1,837,404 |
| 06/15/2027 | 3.250% | | 2,160,000 | 2,128,512 |
| Total | 6,213,557 |
| Office REIT 0.1% |
| Boston Properties LP |
| 02/01/2026 | 3.650% | | 1,400,000 | 1,419,216 |
| Kilroy Realty LP |
| 01/15/2023 | 3.800% | | 3,200,000 | 3,289,159 |
| 10/01/2025 | 4.375% | | 690,000 | 722,263 |
| Total | 5,430,638 |
| Oil Field Services 0.1% |
| Ensco PLC |
| 03/15/2025 | 5.200% | | 950,000 | 767,667 |
| Halliburton Co. |
| 11/15/2025 | 3.800% | | 2,930,000 | 3,001,756 |
| Noble Holding International Ltd. |
| 01/15/2024 | 7.750% | | 2,150,000 | 1,700,551 |
| Total | 5,469,974 |
| Other Financial Institutions 0.1% |
| GrupoSura Finance SA(a) |
| 04/29/2026 | 5.500% | | 4,600,000 | 4,954,347 |
| Other REIT 0.1% |
| Hospitality Properties Trust |
| 03/15/2024 | 4.650% | | 2,130,000 | 2,222,152 |
| Packaging 0.7% |
| Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) |
| 02/15/2025 | 6.000% | | 5,150,000 | 5,409,411 |
| Ball Corp. |
| 11/15/2023 | 4.000% | | 5,810,000 | 5,931,510 |
| Berry Plastics Corp. |
| 07/15/2023 | 5.125% | | 6,454,000 | 6,720,370 |
| Crown Americas LLC/Capital Corp. IV |
| 01/15/2023 | 4.500% | | 6,040,000 | 6,328,905 |
| Reynolds Group Issuer, Inc./LLC |
| 10/15/2020 | 5.750% | | 4,000,000 | 4,092,276 |
| Total | 28,482,472 |
| Paper 0.3% |
| Georgia-Pacific LLC(a) |
| 11/01/2020 | 5.400% | | 4,310,000 | 4,722,385 |
| International Paper Co. |
| 08/15/2047 | 4.400% | | 2,580,000 | 2,602,828 |
| Corporate Bonds & Notes(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| WestRock RKT Co. |
| 03/01/2023 | 4.000% | | 3,005,000 | 3,145,964 |
| Total | 10,471,177 |
| Pharmaceuticals 2.0% |
| AbbVie, Inc. |
| 11/06/2022 | 2.900% | | 2,420,000 | 2,443,186 |
| 05/14/2025 | 3.600% | | 4,230,000 | 4,326,042 |
| 11/06/2042 | 4.400% | | 2,420,000 | 2,483,694 |
| 05/14/2046 | 4.450% | | 610,000 | 630,942 |
| Actavis, Inc. |
| 10/01/2022 | 3.250% | | 3,980,000 | 4,065,876 |
| Allergan Funding SCS |
| 06/15/2024 | 3.850% | | 1,810,000 | 1,885,432 |
| 03/15/2035 | 4.550% | | 2,580,000 | 2,753,296 |
| Amgen Inc. |
| 06/15/2051 | 4.663% | | 3,496,000 | 3,706,617 |
| Baxalta, Inc. |
| 06/22/2018 | 2.000% | | 2,000,000 | 2,003,202 |
| 06/23/2025 | 4.000% | | 2,910,000 | 3,035,802 |
| Biogen, Inc. |
| 09/15/2022 | 3.625% | | 5,820,000 | 6,091,340 |
| Celgene Corp. |
| 08/15/2022 | 3.250% | | 2,520,000 | 2,590,893 |
| 08/15/2025 | 3.875% | | 6,240,000 | 6,526,123 |
| 08/15/2045 | 5.000% | | 1,450,000 | 1,629,371 |
| Forest Laboratories LLC(a) |
| 02/15/2021 | 4.875% | | 1,335,000 | 1,432,363 |
| Gilead Sciences, Inc. |
| 12/01/2021 | 4.400% | | 4,940,000 | 5,324,352 |
| 03/01/2026 | 3.650% | | 8,830,000 | 9,081,955 |
| Mallinckrodt International Finance SA |
| 04/15/2018 | 3.500% | | 4,400,000 | 4,402,160 |
| Merck & Co., Inc. |
| 09/15/2022 | 2.400% | | 2,155,000 | 2,172,981 |
| Mylan NV |
| 06/15/2026 | 3.950% | | 1,390,000 | 1,409,784 |
| Perrigo Finance Unlimited Co. |
| 03/15/2021 | 3.500% | | 1,791,000 | 1,849,818 |
| Shire Acquisitions Investments Ireland DAC |
| 09/23/2021 | 2.400% | | 5,000,000 | 4,948,365 |
| Valeant Pharmaceuticals International, Inc.(a) |
| 03/15/2024 | 7.000% | | 3,200,000 | 3,375,754 |
| 04/15/2025 | 6.125% | | 3,550,000 | 3,009,789 |
| Total | 81,179,137 |
| Property & Casualty 0.6% |
| Allstate Corp. (The)(b) |
| 08/15/2053 | 5.750% | | 1,460,000 | 1,599,065 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 57 |
Portfolio of Investments (continued)
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Berkshire Hathaway Finance Corp. |
| 05/15/2022 | 3.000% | | 1,440,000 | 1,483,016 |
| Berkshire Hathaway, Inc. |
| 03/15/2023 | 2.750% | | 2,080,000 | 2,107,631 |
| 02/11/2043 | 4.500% | | 3,510,000 | 3,873,064 |
| Chubb INA Holdings, Inc. |
| 03/15/2025 | 3.150% | | 3,840,000 | 3,891,617 |
| 05/03/2026 | 3.350% | | 1,480,000 | 1,513,994 |
| Hartford Financial Services Group, Inc. (The) |
| 10/15/2036 | 5.950% | | 550,000 | 670,837 |
| Liberty Mutual Group, Inc.(a) |
| 05/01/2022 | 4.950% | | 2,060,000 | 2,258,314 |
| Markel Corp. |
| 07/01/2022 | 4.900% | | 3,050,000 | 3,309,683 |
| 03/30/2023 | 3.625% | | 860,000 | 886,157 |
| Travelers Companies, Inc. (The) |
| 08/25/2045 | 4.300% | | 1,120,000 | 1,199,073 |
| WR Berkley Corp. |
| 03/15/2022 | 4.625% | | 1,860,000 | 1,998,710 |
| 08/01/2044 | 4.750% | | 780,000 | 803,845 |
| Total | 25,595,006 |
| Railroads 0.4% |
| Burlington Northern Santa Fe LLC |
| 09/01/2020 | 3.600% | | 1,881,000 | 1,962,423 |
| 09/15/2041 | 4.950% | | 2,350,000 | 2,710,866 |
| 03/15/2043 | 4.450% | | 2,430,000 | 2,644,037 |
| 04/01/2045 | 4.150% | | 1,595,000 | 1,667,721 |
| Norfolk Southern Corp. |
| 04/01/2018 | 5.750% | | 1,280,000 | 1,317,083 |
| 12/01/2021 | 3.250% | | 2,300,000 | 2,371,498 |
| Union Pacific Corp. |
| 09/15/2041 | 4.750% | | 2,150,000 | 2,415,636 |
| 11/15/2045 | 4.050% | | 1,000,000 | 1,034,298 |
| Total | 16,123,562 |
| Refining 0.2% |
| Phillips 66 |
| 04/01/2022 | 4.300% | | 5,500,000 | 5,888,421 |
| Tesoro Corp. |
| 10/01/2022 | 5.375% | | 1,800,000 | 1,861,027 |
| Total | 7,749,448 |
| Restaurants 0.2% |
| BC ULC/New Red Finance, Inc.(a) |
| 01/15/2022 | 4.625% | | 6,750,000 | 6,918,750 |
| McDonalds Corp. |
| 05/26/2025 | 3.375% | | 2,000,000 | 2,045,804 |
| Total | 8,964,554 |
| Corporate Bonds & Notes(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Retail REIT 0.1% |
| VEREIT Operating Partnership LP |
| 06/01/2021 | 4.125% | | 5,100,000 | 5,311,834 |
| Retailers 1.1% |
| CVS Health Corp. |
| 07/20/2022 | 3.500% | | 2,500,000 | 2,595,892 |
| 12/01/2022 | 2.750% | | 2,500,000 | 2,504,285 |
| 07/20/2045 | 5.125% | | 2,180,000 | 2,499,961 |
| Dollar General Corp. |
| 04/15/2023 | 3.250% | | 2,100,000 | 2,138,386 |
| Hanesbrands, Inc.(a) |
| 05/15/2024 | 4.625% | | 3,640,000 | 3,700,024 |
| Home Depot, Inc. (The) |
| 02/15/2024 | 3.750% | | 1,360,000 | 1,447,946 |
| 04/01/2041 | 5.950% | | 3,590,000 | 4,736,438 |
| Macy’s Retail Holdings, Inc. |
| 02/15/2023 | 2.875% | | 2,040,000 | 1,868,428 |
| PVH Corp. |
| 12/15/2022 | 4.500% | | 5,470,000 | 5,647,480 |
| SACI Falabella(a) |
| 04/30/2023 | 3.750% | | 5,000,000 | 5,115,945 |
| Sally Holdings LLC/Capital, Inc. |
| 12/01/2025 | 5.625% | | 3,100,000 | 3,165,732 |
| Target Corp. |
| 04/15/2026 | 2.500% | | 2,560,000 | 2,428,219 |
| Wal-Mart Stores, Inc. |
| 04/01/2040 | 5.625% | | 5,040,000 | 6,476,969 |
| 04/22/2044 | 4.300% | | 500,000 | 552,317 |
| Total | 44,878,022 |
| Supermarkets 0.1% |
| Kroger Co. (The) |
| 01/15/2021 | 3.300% | | 5,130,000 | 5,249,898 |
| Technology 2.5% |
| Apple, Inc. |
| 02/09/2027 | 3.350% | | 1,400,000 | 1,432,054 |
| 05/11/2027 | 3.200% | | 1,710,000 | 1,728,552 |
| Cisco Systems, Inc. |
| 06/15/2022 | 3.000% | | 3,250,000 | 3,347,438 |
| 02/15/2039 | 5.900% | | 1,200,000 | 1,559,886 |
| CommScope Technologies LLC(a) |
| 03/15/2027 | 5.000% | | 6,810,000 | 6,796,523 |
| Dell International LLC/EMC Corp.(a) |
| 06/15/2024 | 7.125% | | 2,500,000 | 2,748,980 |
| 06/15/2026 | 6.020% | | 6,870,000 | 7,582,989 |
| Equifax, Inc. |
| 12/15/2022 | 3.300% | | 1,908,000 | 1,950,344 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 58 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Fidelity National Information Services, Inc. |
| 06/05/2024 | 3.875% | | 2,046,000 | 2,145,086 |
| 08/15/2026 | 3.000% | | 2,710,000 | 2,627,329 |
| First Data Corp.(a) |
| 01/15/2024 | 5.000% | | 8,130,000 | 8,360,689 |
| Hewlett Packard Enterprise Co.(b) |
| 10/15/2020 | 3.600% | | 5,400,000 | 5,572,492 |
| 10/15/2025 | 4.900% | | 3,010,000 | 3,157,728 |
| Intel Corp. |
| 05/11/2027 | 3.150% | | 2,300,000 | 2,309,274 |
| Microsoft Corp. |
| 02/12/2025 | 2.700% | | 6,020,000 | 5,990,899 |
| 11/03/2025 | 3.125% | | 1,480,000 | 1,510,895 |
| 08/08/2036 | 3.450% | | 2,200,000 | 2,199,287 |
| 02/06/2047 | 4.250% | | 4,300,000 | 4,643,377 |
| NXP BV/Funding LLC(a) |
| 06/15/2020 | 4.125% | | 5,000,000 | 5,249,545 |
| 09/01/2022 | 3.875% | | 2,300,000 | 2,394,974 |
| Oracle Corp. |
| 10/15/2022 | 2.500% | | 1,630,000 | 1,636,056 |
| 07/15/2023 | 3.625% | | 2,690,000 | 2,842,195 |
| 07/08/2034 | 4.300% | | 2,050,000 | 2,221,417 |
| 07/15/2046 | 4.000% | | 2,180,000 | 2,204,054 |
| Sanmina Corp.(a) |
| 06/01/2019 | 4.375% | | 2,000,000 | 2,048,970 |
| Seagate HDD Cayman |
| 11/15/2018 | 3.750% | | 750,000 | 767,184 |
| 06/01/2023 | 4.750% | | 4,380,000 | 4,550,859 |
| 01/01/2025 | 4.750% | | 1,150,000 | 1,158,450 |
| Tencent Holdings Ltd.(a) |
| 05/02/2019 | 3.375% | | 5,000,000 | 5,116,980 |
| Western Digital Corp.(a) |
| 04/01/2023 | 7.375% | | 3,000,000 | 3,292,500 |
| Total | 99,147,006 |
| Tobacco 0.1% |
| Altria Group, Inc. |
| 08/09/2022 | 2.850% | | 4,650,000 | 4,716,988 |
| Transportation Services 0.1% |
| FedEx Corp. |
| 01/15/2047 | 4.400% | | 1,360,000 | 1,397,594 |
| Ford Motor Co. |
| 12/08/2026 | 4.346% | | 1,960,000 | 2,016,846 |
| Total | 3,414,440 |
| Wireless 0.6% |
| America Movil SAB de CV |
| 07/16/2022 | 3.125% | | 3,490,000 | 3,558,673 |
| Corporate Bonds & Notes(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| American Tower Corp. |
| 09/01/2020 | 5.050% | | 1,950,000 | 2,098,678 |
| 10/15/2026 | 3.375% | | 3,650,000 | 3,571,634 |
| Crown Castle International Corp. |
| 01/15/2023 | 5.250% | | 6,310,000 | 7,004,775 |
| IHS Netherlands Holdco BV(a) |
| 10/27/2021 | 9.500% | | 5,000,000 | 5,131,190 |
| Sprint Communications, Inc.(a) |
| 11/15/2018 | 9.000% | | 1,569,000 | 1,704,670 |
| Sprint Communications, Inc. |
| 11/15/2022 | 6.000% | | 1,930,000 | 2,045,626 |
| Total | 25,115,246 |
| Wirelines 1.8% |
| AT&T, Inc. |
| 03/01/2021 | 5.000% | | 2,600,000 | 2,807,930 |
| 08/15/2021 | 3.875% | | 3,080,000 | 3,216,546 |
| 02/17/2023 | 3.600% | | 2,900,000 | 2,961,947 |
| 04/01/2024 | 4.450% | | 2,800,000 | 2,949,705 |
| 05/15/2025 | 3.400% | | 8,470,000 | 8,312,746 |
| 02/15/2039 | 6.550% | | 2,450,000 | 2,967,173 |
| 12/15/2042 | 4.300% | | 2,020,000 | 1,881,349 |
| 03/01/2047 | 5.450% | | 1,000,000 | 1,076,788 |
| British Telecommunications PLC |
| 01/15/2018 | 5.950% | | 3,115,000 | 3,184,408 |
| CenturyLink, Inc. |
| 09/15/2019 | 6.150% | | 1,505,000 | 1,608,423 |
| Deutsche Telekom International Finance BV(a) |
| 01/19/2027 | 3.600% | | 3,510,000 | 3,559,263 |
| Frontier Communications Corp. |
| 04/15/2020 | 8.500% | | 2,208,000 | 2,320,266 |
| Orange SA |
| 09/14/2021 | 4.125% | | 2,252,000 | 2,397,925 |
| 02/06/2044 | 5.500% | | 720,000 | 858,324 |
| Telefonica Emisiones SAU |
| 02/16/2021 | 5.462% | | 2,410,000 | 2,652,692 |
| 03/08/2047 | 5.213% | | 1,220,000 | 1,316,380 |
| Verizon Communications, Inc. |
| 09/14/2018 | 3.650% | | 4,840,000 | 4,946,146 |
| 11/01/2022 | 2.450% | | 1,430,000 | 1,403,395 |
| 03/16/2027 | 4.125% | | 2,100,000 | 2,165,854 |
| 03/15/2034 | 5.050% | | 3,830,000 | 4,050,803 |
| 11/01/2041 | 4.750% | | 7,410,000 | 7,341,932 |
| 08/21/2046 | 4.862% | | 2,761,000 | 2,758,209 |
| 08/21/2054 | 5.012% | | 1,992,000 | 1,970,851 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 59 |
Portfolio of Investments (continued)
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Zayo Group LLC/Capital, Inc.(a) |
| 01/15/2027 | 5.750% | | 3,800,000 | 3,981,484 |
| Total | 72,690,539 |
Total Corporate Bonds & Notes
(Cost $1,545,389,678) | 1,589,983,749 |
|
| Foreign Government Obligations 3.8% |
| | | | |
| Argentina 0.2% |
| Argentine Republic Government International Bond |
| 04/22/2026 | 7.500% | | 5,250,000 | 5,650,160 |
| 01/26/2027 | 6.875% | | 3,000,000 | 3,103,737 |
| Total | 8,753,897 |
| Canada 0.1% |
| CNOOC Nexen Finance ULC |
| 04/30/2024 | 4.250% | | 2,170,000 | 2,279,850 |
| NOVA Chemicals Corp.(a) |
| 06/01/2024 | 4.875% | | 3,430,000 | 3,412,222 |
| Total | 5,692,072 |
| Chile 0.1% |
| Chile Government International Bond |
| 09/14/2021 | 3.250% | | 2,300,000 | 2,387,082 |
| 10/30/2042 | 3.625% | | 800,000 | 793,174 |
| Total | 3,180,256 |
| Colombia 0.3% |
| Colombia Government International Bond |
| 01/28/2026 | 4.500% | | 3,600,000 | 3,829,547 |
| 09/18/2037 | 7.375% | | 5,350,000 | 6,889,248 |
| 01/18/2041 | 6.125% | | 1,420,000 | 1,637,026 |
| Total | 12,355,821 |
| Dominican Republic 0.1% |
| Dominican Republic International Bond(a) |
| 01/29/2026 | 6.875% | | 1,450,000 | 1,616,148 |
| 01/25/2027 | 5.950% | | 1,100,000 | 1,147,806 |
| Total | 2,763,954 |
| Egypt 0.1% |
| Egypt Government International Bond(a) |
| 01/31/2022 | 6.125% | | 600,000 | 612,856 |
| 06/11/2025 | 5.875% | | 3,300,000 | 3,223,104 |
| 01/31/2027 | 7.500% | | 1,000,000 | 1,061,552 |
| Total | 4,897,512 |
| Germany 0.1% |
| KFW |
| 10/04/2022 | 2.000% | | 2,880,000 | 2,864,197 |
| Foreign Government Obligations (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Hungary 0.1% |
| Hungary Government International Bond |
| 03/29/2041 | 7.625% | | 1,900,000 | 2,829,778 |
| Indonesia 0.1% |
| Indonesia Government International Bond(a) |
| 01/08/2026 | 4.750% | | 4,200,000 | 4,513,467 |
| 01/08/2046 | 5.950% | | 700,000 | 830,422 |
| Total | 5,343,889 |
| Italy 0.1% |
| Republic of Italy |
| 09/27/2023 | 6.875% | | 2,900,000 | 3,459,027 |
| Mexico 0.7% |
| Mexico Government International Bond |
| 01/21/2026 | 4.125% | | 4,000,000 | 4,160,060 |
| 03/28/2027 | 4.150% | | 2,500,000 | 2,589,140 |
| 03/08/2044 | 4.750% | | 4,774,000 | 4,779,695 |
| Pemex Project Funding Master Trust |
| 03/05/2020 | 6.000% | | 1,635,000 | 1,755,012 |
| Petroleos Mexicanos |
| 01/24/2022 | 4.875% | | 4,620,000 | 4,748,048 |
| 08/04/2026 | 6.875% | | 5,000,000 | 5,534,460 |
| 06/15/2035 | 6.625% | | 470,000 | 486,101 |
| 06/02/2041 | 6.500% | | 850,000 | 846,278 |
| 06/27/2044 | 5.500% | | 2,460,000 | 2,169,204 |
| Total | 27,067,998 |
| Namibia 0.1% |
| Namibia International Bonds(a) |
| 10/29/2025 | 5.250% | | 3,500,000 | 3,597,087 |
| Norway 0.1% |
| Statoil ASA |
| 01/17/2023 | 2.450% | | 2,750,000 | 2,721,381 |
| 05/15/2043 | 3.950% | | 1,130,000 | 1,114,841 |
| Total | 3,836,222 |
| Panama 0.1% |
| Panama Government International Bond |
| 01/26/2036 | 6.700% | | 3,000,000 | 3,859,503 |
| Paraguay 0.1% |
| Paraguay Government International Bond(a) |
| 04/15/2026 | 5.000% | | 2,300,000 | 2,429,028 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 60 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
| Foreign Government Obligations (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Peru 0.1% |
| Peruvian Government International Bond |
| 08/25/2027 | 4.125% | | 4,300,000 | 4,677,097 |
| 03/14/2037 | 6.550% | | 780,000 | 1,025,339 |
| Total | 5,702,436 |
| Philippines 0.2% |
| Philippine Government International Bond |
| 10/23/2034 | 6.375% | | 4,700,000 | 6,306,404 |
| Poland 0.1% |
| Poland Government International Bond |
| 01/22/2024 | 4.000% | | 5,300,000 | 5,666,368 |
| Qatar 0.2% |
| Ras Laffan Liquefied Natural Gas Co., Ltd. III(a) |
| 09/30/2027 | 5.838% | | 6,000,000 | 6,711,486 |
| Russian Federation 0.1% |
| Russian Foreign Bond - Eurobond(a) |
| 06/24/2028 | 12.750% | | 2,000,000 | 3,491,104 |
| Saudi Arabia 0.1% |
| Saudi Arabia Government International Bond(a) |
| 10/26/2021 | 2.375% | | 4,300,000 | 4,228,710 |
| Serbia 0.1% |
| Serbia International Bond(a) |
| 09/28/2021 | 7.250% | | 4,500,000 | 5,188,761 |
| Slovenia 0.0% |
| Slovenia Government International Bond(a) |
| 02/18/2024 | 5.250% | | 1,000,000 | 1,144,381 |
| South Africa 0.0% |
| South Africa Government International Bond |
| 01/17/2024 | 4.665% | | 1,530,000 | 1,546,654 |
| Tunisia 0.1% |
| Banque Centrale de Tunisie International Bond(a) |
| 01/30/2025 | 5.750% | | 3,000,000 | 2,877,795 |
| Turkey 0.3% |
| Finansbank AS(a) |
| 04/30/2019 | 6.250% | | 6,900,000 | 7,186,943 |
| Turkey Government International Bond |
| 03/23/2023 | 3.250% | | 30,000 | 28,099 |
| 04/14/2026 | 4.250% | | 3,100,000 | 2,939,538 |
| 03/25/2027 | 6.000% | | 3,000,000 | 3,189,663 |
| Total | 13,344,243 |
| Foreign Government Obligations (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Uruguay 0.0% |
| Uruguay Government International Bond |
| 06/18/2050 | 5.100% | | 1,400,000 | 1,425,459 |
| Virgin Islands 0.1% |
| Sinopec Group Overseas Development 2015 Ltd.(a) |
| 04/28/2020 | 2.500% | | 2,000,000 | 2,009,742 |
Total Foreign Government Obligations
(Cost $148,011,141) | 152,573,784 |
|
| Inflation-Indexed Bonds 4.3% |
| | | | |
| United States 4.3% |
| U.S. Treasury Inflation-Indexed Bond |
| 07/15/2026 | 0.125% | | 178,214,964 | 172,008,621 |
Total Inflation-Indexed Bonds
(Cost $174,973,710) | 172,008,621 |
|
| Municipal Bonds 1.5% |
| Issue Description | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Higher Education 0.2% |
| Los Angeles Community College District |
| Unlimited General Obligation Bonds |
Build America Bonds
Series 2010 |
| 08/01/2049 | 6.750% | | 2,050,000 | 3,105,976 |
| Rutgers, The State University of New Jersey |
| Revenue Bonds |
Build America Bonds
Series 2010 |
| 05/01/2040 | 5.665% | | 525,000 | 634,142 |
| University of California |
| Revenue Bonds |
Taxable General
Series 2013-AJ |
| 05/15/2031 | 4.601% | | 1,000,000 | 1,110,370 |
| University of Texas System (The) |
| Revenue Bonds |
Build America Bonds
Series 2010D |
| 08/15/2042 | 5.134% | | 2,310,000 | 2,801,175 |
| Total | 7,651,663 |
| Local General Obligation 0.0% |
| City of Chicago |
| Unlimited General Obligation Bonds |
| Taxable |
| 01/01/2029 | 7.045% | | 1,000,000 | 1,040,070 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 61 |
Portfolio of Investments (continued)
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
| Municipal Bonds (continued) |
| Issue Description | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| City of New York |
| Unlimited General Obligation Bonds |
Taxable Build America Bonds
Series 2010F-1 |
| 12/01/2037 | 6.271% | | 950,000 | 1,276,857 |
| Total | 2,316,927 |
| Municipal Power 0.0% |
| Sacramento Municipal Utility District |
| Revenue Bonds |
Build America Bonds
Series 2010 |
| 05/15/2036 | 6.156% | | 900,000 | 1,135,836 |
| Other Bond Issue 0.1% |
| City of San Francisco Public Utilities Commission Water |
| Revenue Bonds |
Build America Bonds
Series 2010 |
| 11/01/2040 | 6.000% | | 1,050,000 | 1,322,832 |
| San Diego County Regional Airport Authority |
| Revenue Bonds |
Taxable Senior Consolidated Rental Car Facility
Series 2014 |
| 07/01/2043 | 5.594% | | 935,000 | 1,038,654 |
| Total | 2,361,486 |
| Ports 0.1% |
| Port Authority of New York & New Jersey |
| Revenue Bonds |
Consolidated 168th
Series 2011 |
| 10/01/2051 | 4.926% | | 2,000,000 | 2,354,100 |
Consolidated 174th
Series 2012 |
| 10/01/2062 | 4.458% | | 1,990,000 | 2,168,125 |
| Total | 4,522,225 |
| Sales Tax 0.1% |
| Santa Clara Valley Transportation Authority |
| Revenue Bonds |
Build America Bonds
Series 2010 |
| 04/01/2032 | 5.876% | | 2,220,000 | 2,731,621 |
| Special Non Property Tax 0.0% |
| Missouri Highway & Transportation Commission |
| Revenue Bonds |
Build America Bonds
Series 2009 |
| 05/01/2033 | 5.445% | | 1,700,000 | 2,034,577 |
| Municipal Bonds (continued) |
| Issue Description | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| State Appropriated 0.1% |
| Kentucky Turnpike Authority |
| Revenue Bonds |
Build America Bonds
Series 2010B |
| 07/01/2030 | 5.722% | | 2,050,000 | 2,369,329 |
| State General Obligation 0.4% |
| State of California |
| Unlimited General Obligation Bonds |
Build America Bonds
Series 2009 |
| 10/01/2039 | 7.300% | | 3,740,000 | 5,469,039 |
Build America Bonds
Series 2010 |
| 11/01/2040 | 7.600% | | 1,245,000 | 1,938,714 |
Taxable Build America Bonds
Series 2009 |
| 04/01/2039 | 7.550% | | 1,000,000 | 1,525,980 |
| State of Illinois |
| Unlimited General Obligation Bonds |
Taxable Pension
Series 2003 |
| 06/01/2033 | 5.100% | | 3,220,000 | 3,013,534 |
| State of Washington |
| Unlimited General Obligation Bonds |
Build America Bonds
Series 2010 |
| 08/01/2040 | 5.140% | | 3,545,000 | 4,330,891 |
| Total | 16,278,158 |
| Transportation 0.1% |
| Metropolitan Transportation Authority |
| Revenue Bonds |
Taxable Build America Bonds
Series 2010 |
| 11/15/2040 | 6.687% | | 1,650,000 | 2,255,286 |
Taxable Build America Bonds
Series 2010 |
| 11/15/2040 | 6.814% | | 1,100,000 | 1,536,304 |
| Total | 3,791,590 |
| Turnpike / Bridge / Toll Road 0.2% |
| Bay Area Toll Authority |
| Revenue Bonds |
Build America Bonds
Subordinated Series 2010-S1 |
| 04/01/2040 | 6.918% | | 1,265,000 | 1,776,212 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 62 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
| Municipal Bonds (continued) |
| Issue Description | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| New Jersey Turnpike Authority |
| Revenue Bonds |
Taxable Build America Bonds
Series 2009 |
| 01/01/2040 | 7.414% | | 1,275,000 | 1,915,063 |
Taxable Build America Bonds
Series 2010A |
| 01/01/2041 | 7.102% | | 2,020,000 | 2,944,554 |
| Total | 6,635,829 |
| Water & Sewer 0.2% |
| City of San Francisco Public Utilities Commission Water |
| Revenue Bonds |
Build America Bonds
Series 2010 |
| 11/01/2050 | 6.950% | | 270,000 | 395,493 |
| New York City Water & Sewer System |
| Revenue Bonds |
Build America Bonds
Series 2010 |
| 06/15/2042 | 5.724% | | 2,000,000 | 2,647,820 |
| Ohio Water Development Authority Water Pollution Control |
| Revenue Bonds |
Taxable Loan Fund-Water Quality
Series 2010B-2 |
| 12/01/2034 | 4.879% | | 1,160,000 | 1,321,530 |
| San Diego County Water Authority Financing Corp. |
| Revenue Bonds |
Build America Bonds
Series 2010 |
| 05/01/2049 | 6.138% | | 1,900,000 | 2,566,444 |
| Total | 6,931,287 |
Total Municipal Bonds
(Cost $49,654,007) | 58,760,528 |
|
| Residential Mortgage-Backed Securities - Agency 22.7% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal Home Loan Mortgage Corp. |
11/01/2022-
06/01/2033 | 5.000% | | 1,352,844 | 1,455,352 |
03/01/2034-
08/01/2038 | 5.500% | | 3,001,540 | 3,363,021 |
| 02/01/2038 | 6.000% | | 952,530 | 1,076,555 |
| 02/01/2043 | 3.000% | | 16,164,029 | 16,227,436 |
| Federal Home Loan Mortgage Corp.(b) |
| 05/01/2035 | 3.222% | | 307,969 | 324,425 |
| 12/01/2035 | 2.872% | | 3,016,924 | 3,180,198 |
| 07/01/2036 | 2.837% | | 2,952,770 | 3,121,308 |
| 07/01/2036 | 3.490% | | 2,631,950 | 2,774,882 |
| 10/01/2036 | 2.686% | | 2,235,380 | 2,359,887 |
| 04/01/2037 | 2.949% | | 2,083,191 | 2,190,922 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 02/01/2038 | 3.742% | | 1,523,713 | 1,590,088 |
| 04/01/2038 | 4.304% | | 714,242 | 740,330 |
| 06/01/2038 | 3.524% | | 814,073 | 835,757 |
| 07/01/2038 | 5.120% | | 270,993 | 280,724 |
| 07/01/2040 | 3.130% | | 480,053 | 508,462 |
| 09/01/2040 | 4.067% | | 1,038,556 | 1,070,017 |
| 02/01/2041 | 3.754% | | 732,243 | 759,105 |
| 05/01/2041 | 3.630% | | 243,953 | 258,162 |
| 07/01/2041 | 3.205% | | 1,121,864 | 1,171,381 |
| 07/01/2041 | 3.669% | | 1,237,952 | 1,290,127 |
| 07/01/2041 | 4.256% | | 1,591,838 | 1,649,127 |
| 12/01/2042 | 2.073% | | 4,056,403 | 4,121,594 |
| 02/01/2043 | 1.990% | | 1,290,008 | 1,340,386 |
| 02/01/2043 | 2.316% | | 4,168,222 | 4,211,461 |
| 06/01/2043 | 1.814% | | 1,145,305 | 1,187,683 |
| Federal National Mortgage Association |
08/01/2018-
05/01/2039 | 6.500% | | 910,567 | 1,043,827 |
07/01/2031-
01/01/2042 | 5.000% | | 26,327,288 | 28,850,615 |
04/01/2033-
01/01/2039 | 5.500% | | 12,309,318 | 13,775,991 |
07/01/2033-
11/01/2040 | 4.500% | | 15,432,856 | 16,781,250 |
12/01/2033-
09/01/2037 | 6.000% | | 5,689,543 | 6,470,748 |
10/01/2040-
08/11/2046 | 4.000% | | 107,539,173 | 113,221,734 |
12/01/2040-
08/11/2046 | 3.500% | | 233,180,596 | 239,766,439 |
| 08/11/2046 | 3.000% | | 112,000,000 | 111,675,779 |
| Federal National Mortgage Association(b) |
| 06/01/2035 | 2.939% | | 4,013,330 | 4,168,063 |
| 06/01/2035 | 2.940% | | 5,806,739 | 6,036,028 |
| 06/01/2037 | 2.888% | | 1,352,368 | 1,413,362 |
| 03/01/2038 | 2.815% | | 2,986,311 | 3,130,142 |
| 06/01/2038 | 5.103% | | 776,186 | 820,475 |
| 03/01/2039 | 3.074% | | 2,578,932 | 2,710,044 |
| 03/01/2040 | 3.295% | | 885,674 | 930,732 |
| 08/01/2040 | 3.613% | | 859,704 | 895,707 |
| 10/01/2040 | 3.930% | | 1,660,187 | 1,720,587 |
| 08/01/2041 | 3.113% | | 1,469,462 | 1,543,083 |
| 09/01/2041 | 3.306% | | 793,121 | 824,559 |
| 04/01/2047 | 3.180% | | 7,438,867 | 7,595,756 |
| CMO Series 2005-106 Class UF |
| 11/25/2035 | 1.324% | | 1,670,155 | 1,669,032 |
| CMO Series 2006-43 Class FM |
| 06/25/2036 | 1.516% | | 618,165 | 617,377 |
| CMO Series 2007-36 Class FB |
| 04/25/2037 | 1.616% | | 2,625,701 | 2,633,492 |
| Federal National Mortgage Association(c) |
| 08/11/2046 | 4.500% | | 58,850,000 | 63,048,809 |
| Federal National Mortgage Association(b),(e) |
| 03/01/2047 | 3.204% | | 8,022,982 | 8,198,546 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 63 |
Portfolio of Investments (continued)
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Government National Mortgage Association |
07/20/2039-
10/20/2040 | 5.000% | | 11,431,944 | 12,624,608 |
02/15/2040-
06/15/2041 | 4.500% | | 25,524,863 | 27,893,954 |
07/15/2040-
09/20/2045 | 4.000% | | 26,481,858 | 27,904,823 |
04/20/2042-
04/20/2045 | 3.500% | | 49,151,093 | 51,077,822 |
| 07/20/2046 | 2.500% | | 18,868,347 | 18,419,825 |
| Government National Mortgage Association(c) |
| 07/20/2047 | 2.500% | | 15,000,000 | 14,631,426 |
| 07/20/2047 | 3.500% | | 15,000,000 | 15,536,718 |
| 07/20/2047 | 4.000% | | 45,000,000 | 47,351,952 |
Total Residential Mortgage-Backed Securities - Agency
(Cost $914,391,945) | 912,071,695 |
|
| Residential Mortgage-Backed Securities - Non-Agency 8.2% |
| | | | |
| Bear Stearns Adjustable Rate Mortgage Trust(b) |
| CMO Series 2005-6 Class 1A1 |
| 08/25/2035 | 3.389% | | 3,934,816 | 3,619,007 |
| CMO Series 2006-1 Class A1 |
| 02/25/2036 | 3.040% | | 4,849,067 | 4,834,796 |
| Citicorp Mortgage Securities Trust |
| CMO Series 2007-8 Class 1A3 |
| 09/25/2037 | 6.000% | | 2,112,020 | 2,181,033 |
| Citigroup Mortgage Loan Trust, Inc.(b) |
| CMO Series 2004-UST1 Class A4 |
| 08/25/2034 | 3.272% | | 856,986 | 831,734 |
| CMO Series 2005-4 Class A |
| 08/25/2035 | 3.083% | | 3,726,111 | 3,763,810 |
| CMO Series 2005-6 Class A2 |
| 09/25/2035 | 3.180% | | 2,608,883 | 2,687,612 |
| Countrywide Home Loan Mortgage Pass-Through Trust |
| CMO Series 2004-4 Class A19 |
| 05/25/2034 | 5.250% | | 712,748 | 725,619 |
| CMO Series 2004-5 Class 2A4 |
| 05/25/2034 | 5.500% | | 180,763 | 182,933 |
| Credit Suisse First Boston Mortgage Securities Corp.(b) |
| 07/25/2035 | 5.442% | | 6,923,064 | 6,597,869 |
| Credit Suisse First Boston Mortgage-Backed Trust(b) |
| CMO Series 2004-AR6 Class 2A1 |
| 10/25/2034 | 3.433% | | 2,600,590 | 2,588,830 |
| Credit Suisse Mortgage Capital Trust(a) |
| CMO Series 2017-HL1 Class A3 |
| 06/25/2047 | 3.500% | | 15,925,000 | 16,260,918 |
| Fannie Mae Connecticut Avenue Securities(b) |
| CMO Series 14-C02 Class 1M2 |
| 05/25/2024 | 3.624% | | 11,575,000 | 12,235,669 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2016-C03 Class 2M2 |
| 10/25/2028 | 6.924% | | 6,000,000 | 6,997,917 |
| CMO Series 2016-C04 Class 1M2 |
| 01/25/2029 | 5.274% | | 5,745,000 | 6,304,745 |
| CMO Series 2016-C05 Class 2M2 |
| 01/25/2029 | 5.474% | | 4,200,000 | 4,626,441 |
| CMO Series 2017-C03 Class 1M2 |
| 10/25/2029 | 4.024% | | 8,495,000 | 8,723,910 |
| Series 2014-C02 Class 2M2 |
| 05/25/2024 | 3.624% | | 8,908,319 | 9,310,697 |
| Series 2017-C01 Class 1M2 |
| 07/25/2029 | 4.574% | | 10,720,000 | 11,314,912 |
| First Horizon Mortgage Pass-Through Trust(b) |
| CMO Series 2005-AR3 Class 4A1 |
| 08/25/2035 | 3.100% | | 840,958 | 822,519 |
| CMO Series 2006-AR4 Class 1A2 |
| 01/25/2037 | 2.986% | | 4,441,150 | 3,936,897 |
| Freddie Mac Structured Agency Credit Risk Debt Notes(b) |
| CMO Series 2015-HQ2 Class M3 |
| 05/25/2025 | 4.466% | | 5,972,000 | 6,584,313 |
| CMO Series 2016-HQA3 Class M2 |
| 03/25/2029 | 2.566% | | 5,575,000 | 5,664,984 |
| CMO Series 2017-HQA2 Class M1 |
| 12/25/2029 | 1.959% | | 10,000,000 | 10,016,216 |
| GSR Mortgage Loan Trust(b) |
| CMO Series 2005-AR6 Class 2A1 |
| 09/25/2035 | 3.109% | | 2,869,849 | 2,915,136 |
| GSR Mortgage Loan Trust |
| Series 2005-6F Class 1A5 |
| 07/25/2035 | 5.250% | | 2,235,917 | 2,324,321 |
| JPMorgan Mortgage Trust(b) |
| CMO Series 2005-A4 Class 1A1 |
| 07/25/2035 | 3.411% | | 1,509,088 | 1,504,603 |
| CMO Series 2005-A4 Class 2A1 |
| 07/25/2035 | 3.658% | | 950,333 | 946,890 |
| CMO Series 2005-S2 Class 3A1 |
| 02/25/2032 | 7.150% | | 555,553 | 577,313 |
| CMO Series 2006-A3 Class 7A1 |
| 04/25/2035 | 3.614% | | 1,464,014 | 1,453,094 |
| CMO Series 2006-A4 Class 3A1 |
| 06/25/2036 | 3.473% | | 3,451,946 | 3,054,905 |
| JPMorgan Mortgage Trust |
| CMO Series 2006-S1 Class 1A2 |
| 04/25/2036 | 6.500% | | 5,642,041 | 5,882,890 |
| MASTR Adjustable Rate Mortgages Trust(b) |
| CMO Series 2004-13 Class 3A7 |
| 11/21/2034 | 3.190% | | 1,692,189 | 1,731,190 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 64 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Merrill Lynch Mortgage Investors Trust(b) |
| CMO Series 2005-A2 Class A2 |
| 02/25/2035 | 2.981% | | 2,705,939 | 2,702,490 |
| Mill City Mortgage Loan Trust(a),(b) |
| CMO Series 2017-2 Class A1 |
| 07/25/2059 | 2.750% | | 10,000,000 | 10,095,000 |
| New Residential Mortgage Loan Trust(a),(b) |
| CMO Series 2017-2A Class A3 |
| 03/25/2057 | 4.000% | | 7,541,414 | 7,852,232 |
| PHH Mortgage Capital Trust(b) |
| CMO Series 2007-6 Class A1 |
| 12/18/2037 | 5.829% | | 195,276 | 200,625 |
| RALI Trust |
| CMO Series 2006-QS17 Class A5 |
| 12/25/2036 | 6.000% | | 7,255,433 | 6,237,068 |
| Sequoia Mortgage Trust(b) |
| CMO Series 2012-1 Class 1A1 |
| 01/25/2042 | 2.865% | | 244,553 | 245,846 |
| Sequoia Mortgage Trust(a) |
| CMO Series 2013-12 Class A1 |
| 12/25/2043 | 4.000% | | 1,784,491 | 1,834,510 |
| Structured Adjustable Rate Mortgage Loan Trust(b) |
| CMO Series 2004-8 Class 2A1 |
| 07/25/2034 | 3.264% | | 3,608,190 | 3,611,109 |
| Thornburg Mortgage Securities Trust(b) |
| CMO Series 2006-4 Class A2B |
| 07/25/2036 | 2.989% | | 9,493,684 | 9,235,874 |
| WaMu Mortgage Pass-Through Certificates Trust |
| CMO Series 2003-S11 Class 3A5 |
| 11/25/2033 | 5.950% | | 425,766 | 445,491 |
| WaMu Mortgage Pass-Through Certificates Trust(b) |
| Series 2005-AR7 |
| 08/25/2035 | 2.932% | | 4,638,405 | 4,647,596 |
| Wells Fargo Mortgage-Backed Securities(b) |
| Series 2005-AR4 |
| 04/25/2035 | 3.315% | | 3,030,591 | 3,034,609 |
| Wells Fargo Mortgage-Backed Securities Trust |
| CMO Series 2004-4 Class A9 |
| 05/25/2034 | 5.500% | | 809,117 | 825,968 |
| CMO Series 2005-17 Class 1A1 |
| 01/25/2036 | 5.500% | | 123,416 | 121,196 |
| CMO Series 2005-17 Class 2A1 |
| 01/25/2036 | 5.500% | | 5,696,988 | 5,682,475 |
| CMO Series 2005-18 Class 1A1 |
| 01/25/2036 | 5.500% | | 4,906,286 | 4,857,192 |
| CMO Series 2005-9 Class 1A11 |
| 10/25/2035 | 5.500% | | 845,113 | 846,511 |
| CMO Series 2006-10 Class A4 |
| 08/25/2036 | 6.000% | | 717,334 | 716,009 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2006-13 Class A5 |
| 10/25/2036 | 6.000% | | 3,700,349 | 3,656,744 |
| CMO Series 2006-7 Class 3A1 |
| 06/25/2036 | 6.000% | | 1,632,925 | 1,601,581 |
| CMO Series 2006-8 Class A10 |
| 07/25/2036 | 6.000% | | 2,385,167 | 2,401,775 |
| CMO Series 2006-8 Class A15 |
| 07/25/2036 | 6.000% | | 3,485,034 | 3,509,300 |
| CMO Series 2006-8 Class A9 |
| 07/25/2036 | 6.000% | | 3,010,167 | 3,031,127 |
| CMO Series 2007-11 Class A3 |
| 08/25/2037 | 6.000% | | 817,210 | 821,420 |
| CMO Series 2007-11 Class A36 |
| 08/25/2037 | 6.000% | | 5,945,921 | 5,976,555 |
| CMO Series 2007-13 Class A1 |
| 09/25/2037 | 6.000% | | 3,603,974 | 3,629,250 |
| CMO Series 2007-14 Class 2A2 |
| 10/25/2022 | 5.500% | | 623,723 | 637,983 |
| CMO Series 2007-15 Class A1 |
| 11/25/2037 | 6.000% | | 1,368,155 | 1,359,279 |
| CMO Series 2007-16 Class 1A1 |
| 12/28/2037 | 6.000% | | 480,256 | 500,096 |
| CMO Series 2007-4 Class A15 |
| 04/25/2037 | 6.000% | | 1,353,487 | 1,379,403 |
| CMO Series 2007-7 Class A1 |
| 06/25/2037 | 6.000% | | 2,015,514 | 2,026,327 |
| CMO Series 2008-1 Class 4A1 |
| 02/25/2038 | 5.750% | | 1,283,427 | 1,345,878 |
| Series 2006-6 Class 1A16 |
| 05/25/2036 | 5.750% | | 6,742,978 | 6,758,238 |
| Series 2007-10 Class 2A9 |
| 07/25/2037 | 6.000% | | 6,751,642 | 6,611,316 |
| Series 2007-12 Class A7 |
| 09/25/2037 | 5.500% | | 1,598,172 | 1,606,492 |
| Series 2007-8 Class 2A2 |
| 07/25/2037 | 6.000% | | 3,324,808 | 3,319,919 |
| Wells Fargo Mortgage-Backed Securities Trust(b) |
| CMO Series 2004-A Class A1 |
| 02/25/2034 | 3.112% | | 462,494 | 467,607 |
| CMO Series 2004-Z Class 2A2 |
| 12/25/2034 | 2.999% | | 2,767,316 | 2,805,748 |
| CMO Series 2005-AR10 Class 2A17 |
| 06/25/2035 | 3.152% | | 5,145,717 | 5,250,794 |
| CMO Series 2005-AR12 Class 2A6 |
| 06/25/2035 | 3.161% | | 3,094,951 | 3,113,513 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 65 |
Portfolio of Investments (continued)
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2005-AR16 Class 3A2 |
| 03/25/2035 | 3.208% | | 2,858,710 | 2,878,006 |
| CMO Series 2005-AR16 Class 6A3 |
| 10/25/2035 | 3.264% | | 5,511,440 | 5,516,045 |
| CMO Series 2006-AR10 Class 1A1 |
| 07/25/2036 | 3.247% | | 1,488,630 | 1,436,450 |
| CMO Series 2006-AR10 Class 2A1 |
| 07/25/2036 | 3.270% | | 1,599,795 | 1,578,788 |
| CMO Series 2006-AR10 Class 4A1 |
| 07/25/2036 | 3.167% | | 4,991,850 | 5,008,072 |
| CMO Series 2006-AR14 Class 1A7 |
| 10/25/2036 | 3.075% | | 4,206,245 | 3,947,325 |
| CMO Series 2006-AR16 Class A1 |
| 10/25/2036 | 3.268% | | 5,140,962 | 4,989,253 |
| CMO Series 2006-AR19 Class A1 |
| 12/25/2036 | 3.028% | | 5,528,651 | 5,101,396 |
| CMO Series 2006-AR5 Class 2A1 |
| 04/25/2036 | 3.330% | | 6,913,887 | 6,522,732 |
| CMO Series 2006-AR7 Class 2A1 |
| 05/25/2036 | 3.329% | | 2,473,428 | 2,360,876 |
| CMO Series 2007-AR10 Class 1A1 |
| 01/25/2038 | 6.388% | | 632,595 | 610,635 |
| CMO Series 2007-AR7 Class A1 |
| 12/28/2037 | 3.169% | | 1,085,009 | 1,041,189 |
| Series 2006-AR1 Class 1A1 |
| 03/25/2036 | 3.227% | | 5,079,486 | 4,799,793 |
| Series 2006-AR10 Class 5A6 |
| 07/25/2036 | 3.324% | | 2,201,124 | 2,203,142 |
| Series 2006-AR12 Class 1A1 |
| 09/25/2036 | 3.278% | | 1,964,965 | 1,895,334 |
| Series 2006-AR14 Class 2A1 |
| 10/25/2036 | 3.076% | | 2,971,039 | 2,838,500 |
| Series 2006-AR2 Class 2A3 |
| 03/25/2036 | 3.107% | | 1,555,961 | 1,559,836 |
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $327,726,898) | 330,493,241 |
|
| U.S. Government & Agency Obligations 1.1% |
| | | | |
| Federal National Mortgage Association |
| 04/24/2026 | 2.125% | | 5,300,000 | 5,167,972 |
| 11/15/2030 | 6.625% | | 27,260,000 | 38,908,470 |
Total U.S. Government & Agency Obligations
(Cost $40,500,154) | 44,076,442 |
|
| U.S. Treasury Obligations 12.6% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| U.S. Treasury |
| 01/31/2018 | 0.875% | | 35,000,000 | 34,936,314 |
| 01/31/2019 | 1.125% | | 40,000,000 | 39,857,978 |
| 02/28/2019 | 1.500% | | 15,000,000 | 15,033,907 |
| 07/31/2019 | 1.625% | | 50,000,000 | 50,233,616 |
| 09/30/2019 | 1.750% | | 15,000,000 | 15,110,643 |
| 11/30/2019 | 1.500% | | 20,000,000 | 20,020,299 |
| 01/15/2020 | 1.375% | | 65,000,000 | 64,844,947 |
| 06/30/2020 | 1.625% | | 10,000,000 | 10,019,485 |
| 02/15/2039 | 3.500% | | 5,400,000 | 6,104,194 |
| 11/15/2039 | 4.375% | | 15,000,000 | 19,122,275 |
| 02/15/2040 | 4.625% | | 10,100,000 | 13,321,185 |
| 11/15/2041 | 3.125% | | 2,300,000 | 2,436,000 |
| 02/15/2042 | 3.125% | | 12,000,000 | 12,710,699 |
| 05/15/2042 | 3.000% | | 11,200,000 | 11,602,952 |
| 11/15/2042 | 2.750% | | 2,800,000 | 2,768,080 |
| 05/15/2043 | 2.875% | | 9,500,000 | 9,594,274 |
| 11/15/2043 | 3.750% | | 5,000,000 | 5,879,754 |
| 08/15/2044 | 3.125% | | 38,000,000 | 40,160,124 |
| 11/15/2044 | 3.000% | | 36,000,000 | 37,160,778 |
| 02/15/2045 | 2.500% | | 17,100,000 | 15,965,575 |
| 05/15/2045 | 3.000% | | 21,100,000 | 21,752,389 |
| U.S. Treasury(f) |
| 11/15/2018 | 1.250% | | 58,000,000 | 57,933,089 |
Total U.S. Treasury Obligations
(Cost $505,703,836) | 506,568,557 |
| Money Market Funds 2.0% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(g),(h) | 79,937,301 | 79,937,301 |
Total Money Market Funds
(Cost $79,929,307) | 79,937,301 |
Total Investments
(Cost: $4,315,321,681) | 4,376,824,843 |
| Other Assets & Liabilities, Net | | (363,940,332) |
| Net Assets | 4,012,884,511 |
At June 30, 2017, securities and/or cash totaling $3,261,645 were pledged as collateral.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 66 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
Investments in derivatives
| Forward foreign currency exchange contracts open at June 30, 2017 |
| Counterparty | Exchange
date | Currency to
be delivered | Currency to
be received | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| JPMorgan | 9/21/2017 | 8,073,403,718 CLP | 12,072,379 USD | — | (61,535) |
| JPMorgan | 9/21/2017 | 4,897,407 EUR | 5,545,535 USD | — | (71,509) |
| JPMorgan | 9/21/2017 | 3,472,225,834 HUF | 12,718,352 USD | — | (165,165) |
| JPMorgan | 9/21/2017 | 39,504,932 USD | 143,707,091 TRY | 427,093 | — |
| UBS | 9/21/2017 | 9,369,536 GBP | 12,184,688 USD | — | (48,608) |
| Total | | | | 427,093 | (346,817) |
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| U.S. Long Bond | 40 | USD | 6,147,500 | 09/2017 | 2,408 | — |
| U.S. Treasury 2-Year Note | 1,000 | USD | 216,109,376 | 09/2017 | — | (330,235) |
| U.S. Treasury 5-Year Note | 400 | USD | 47,134,375 | 09/2017 | — | (129,364) |
| Total | | | 269,391,251 | | 2,408 | (459,599) |
| Short futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| U.S. Treasury Ultra 10-Year Note | (850) | USD | (114,590,625) | 09/2017 | 99,392 | — |
Cleared credit default swap contracts outstanding at June 30, 2017
| Sell protection |
| Counterparty | Reference
entity | Expiration
date | Receive fixed
rate (%) | Implied
credit
spread (%)* | Notional
currency | Notional
amount | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Goldman Sachs | Markit CDX North America High Yield Index, Series 27 | 12/20/2021 | 5.000 | 3.106 | USD | 19,800,000 | 309,700 | — |
| Goldman Sachs | Markit CDX North America High Yield Index, Series 28 | 6/20/2022 | 5.000 | 3.390 | USD | 20,000,000 | 107,383 | — |
| Total | | | | | | | 417,083 | — |
| * | 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 SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At June 30, 2017, the value of these securities amounted to $670,848,970, which represents 16.72% of net assets. |
| (b) | Variable rate security. |
| (c) | Represents a security purchased on a when-issued basis. |
| (d) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
| (e) | Represents a security purchased on a forward commitment basis. |
| (f) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (g) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 67 |
Portfolio of Investments (continued)
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| (h) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 30,179,932 | 664,758,040 | (615,000,671) | 79,937,301 | (868) | 276,634 | 79,937,301 |
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
Currency Legend
| CLP | Chilean Peso |
| EUR | Euro |
| GBP | British Pound |
| HUF | Hungarian Forint |
| TRY | Turkish Lira |
| USD | US Dollar |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 68 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – American Century Diversified Bond Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Asset-Backed Securities — Non-Agency | — | 195,823,975 | — | — | 195,823,975 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 311,262,939 | 23,264,011 | — | 334,526,950 |
| Corporate Bonds & Notes | — | 1,589,983,749 | — | — | 1,589,983,749 |
| Foreign Government Obligations | — | 152,573,784 | — | — | 152,573,784 |
| Inflation-Indexed Bonds | — | 172,008,621 | — | — | 172,008,621 |
| Municipal Bonds | — | 58,760,528 | — | — | 58,760,528 |
| Residential Mortgage-Backed Securities - Agency | — | 912,071,695 | — | — | 912,071,695 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 314,232,323 | 16,260,918 | — | 330,493,241 |
| U.S. Government & Agency Obligations | — | 44,076,442 | — | — | 44,076,442 |
| U.S. Treasury Obligations | 506,568,557 | — | — | — | 506,568,557 |
| Money Market Funds | — | — | — | 79,937,301 | 79,937,301 |
| Total Investments | 506,568,557 | 3,750,794,056 | 39,524,929 | 79,937,301 | 4,376,824,843 |
| Derivatives | | | | | |
| Asset | | | | | |
| Forward Foreign Currency Exchange Contracts | — | 427,093 | — | — | 427,093 |
| Futures Contracts | 101,800 | — | — | — | 101,800 |
| Swap Contracts | — | 417,083 | — | — | 417,083 |
| Liability | | | | | |
| Forward Foreign Currency Exchange Contracts | — | (346,817) | — | — | (346,817) |
| Futures Contracts | (459,599) | — | — | — | (459,599) |
| Total | 506,210,758 | 3,751,291,415 | 39,524,929 | 79,937,301 | 4,376,964,403 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
Derivative instruments are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between levels during the period.
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain residential and commercial backed securities classified as Level 3 securities are valued using the market approach and utilize single market quotations from broker dealers which may have included, but were not limited to, observable transactions for identical or similar assets in the market and the distressed nature of the security. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, manual price reviews and other control procedures. Significant increases (decreases) to any of these inputs would result in a significantly lower (higher) valuation measurement.
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 69 |
Portfolio of Investments
Variable Portfolio – CenterSquare Real Estate Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 98.9% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 1.7% |
| Hotels, Restaurants & Leisure 1.7% |
| Hotels, Resorts & Cruise Lines 1.7% |
| Hilton Worldwide Holdings, Inc. | 123,600 | 7,644,660 |
| Total Consumer Discretionary | 7,644,660 |
| Real Estate 97.2% |
| Equity Real Estate Investment Trusts (REITS) 97.2% |
| Diversified REITs 3.8% |
| PS Business Parks, Inc. | 24,410 | 3,231,640 |
| STORE Capital Corp. | 420,765 | 9,446,174 |
| Washington Real Estate Investment Trust | 115,047 | 3,669,999 |
| Total | | 16,347,813 |
| Health Care REITs 11.5% |
| HCP, Inc. | 492,130 | 15,728,475 |
| Healthcare Realty Trust, Inc. | 46,370 | 1,583,536 |
| Healthcare Trust of America, Inc., Class A | 285,730 | 8,889,060 |
| Medical Properties Trust, Inc. | 361,200 | 4,648,644 |
| Omega Healthcare Investors, Inc. | 83,360 | 2,752,547 |
| Ventas, Inc. | 69,850 | 4,853,178 |
| Welltower, Inc. | 155,500 | 11,639,175 |
| Total | | 50,094,615 |
| Hotel & Resort REITs 4.3% |
| Chesapeake Lodging Trust | 162,842 | 3,984,744 |
| DiamondRock Hospitality Co. | 188,200 | 2,060,790 |
| Host Hotels & Resorts, Inc. | 483,110 | 8,826,420 |
| Sunstone Hotel Investors, Inc. | 244,660 | 3,943,919 |
| Total | | 18,815,873 |
| Industrial REITs 9.1% |
| DCT Industrial Trust, Inc. | 31,980 | 1,709,011 |
| Duke Realty Corp. | 290,390 | 8,116,400 |
| First Industrial Realty Trust, Inc. | 81,330 | 2,327,665 |
| ProLogis, Inc. | 370,040 | 21,699,146 |
| STAG Industrial, Inc. | 213,560 | 5,894,256 |
| Total | | 39,746,478 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Office REITs 18.4% |
| Alexandria Real Estate Equities, Inc. | 81,420 | 9,808,667 |
| Boston Properties, Inc. | 141,700 | 17,431,934 |
| Columbia Property Trust, Inc. | 167,030 | 3,738,131 |
| Cousins Properties, Inc. | 310,750 | 2,731,493 |
| Douglas Emmett, Inc. | 336,680 | 12,864,543 |
| Highwoods Properties, Inc. | 181,420 | 9,199,808 |
| Mack-Cali Realty Corp. | 203,650 | 5,527,061 |
| Parkway, Inc. | 113,714 | 2,602,914 |
| Vornado Realty Trust | 174,260 | 16,363,014 |
| Total | | 80,267,565 |
| Residential REITs 20.2% |
| American Homes 4 Rent, Class A | 189,270 | 4,271,824 |
| Apartment Investment & Management Co., Class A | 149,410 | 6,420,148 |
| AvalonBay Communities, Inc. | 100,270 | 19,268,886 |
| Colony Starwood Homes | 359,400 | 12,331,014 |
| Education Realty Trust, Inc. | 109,320 | 4,236,150 |
| Equity Residential | 91,500 | 6,023,445 |
| Essex Property Trust, Inc. | 54,630 | 14,054,660 |
| Invitation Homes, Inc. | 116,781 | 2,525,973 |
| Sun Communities, Inc. | 77,224 | 6,771,772 |
| UDR, Inc. | 302,170 | 11,775,565 |
| Total | | 87,679,437 |
| Retail REITs 15.5% |
| DDR Corp. | 441,480 | 4,004,224 |
| General Growth Properties, Inc. | 428,170 | 10,087,685 |
| Kimco Realty Corp. | 344,080 | 6,313,868 |
| Macerich Co. (The) | 70,790 | 4,110,067 |
| Regency Centers Corp. | 157,141 | 9,843,312 |
| Simon Property Group, Inc. | 183,340 | 29,657,079 |
| Weingarten Realty Investors | 117,260 | 3,529,526 |
| Total | | 67,545,761 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 70 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – CenterSquare Real Estate Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Specialized REITs 14.4% |
| CubeSmart | 630,610 | 15,159,864 |
| CyrusOne, Inc. | 163,310 | 9,104,532 |
| Digital Realty Trust, Inc. | 31,760 | 3,587,292 |
| Equinix, Inc. | 59,060 | 25,346,190 |
| Public Storage | 45,490 | 9,486,030 |
| Total | | 62,683,908 |
| Total Equity Real Estate Investment Trusts (REITS) | 423,181,450 |
| Total Real Estate | 423,181,450 |
Total Common Stocks
(Cost: $432,963,374) | 430,826,110 |
|
| Money Market Funds 1.3% |
| Issuer | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(a),(b) | 5,579,045 | 5,579,045 |
Total Money Market Funds
(Cost: $5,578,557) | 5,579,045 |
Total Investments
(Cost $438,541,931) | 436,405,155 |
| Other Assets & Liabilities, Net | | (1,015,075) |
| Net Assets | $435,390,080 |
Notes to Portfolio of Investments
| (a) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (b) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 6,686,172 | 41,760,080 | (42,867,207) | 5,579,045 | (562) | 22,187 | 5,579,045 |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 71 |
Portfolio of Investments (continued)
Variable Portfolio – CenterSquare Real Estate Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 7,644,660 | — | — | — | 7,644,660 |
| Real Estate | 423,181,450 | — | — | — | 423,181,450 |
| Total Common Stocks | 430,826,110 | — | — | — | 430,826,110 |
| Money Market Funds | — | — | — | 5,579,045 | 5,579,045 |
| Total Investments | 430,826,110 | — | — | 5,579,045 | 436,405,155 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 72 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments
Variable Portfolio – Columbia Wanger International Equities Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 96.9% |
| Issuer | Shares | Value ($) |
| Australia 0.4% |
| Domino’s Pizza Enterprises Ltd. | 12,124 | 485,150 |
| Belgium 0.8% |
| Melexis NV | 10,228 | 839,929 |
| Brazil 0.5% |
| Odontoprev SA | 148,100 | 520,355 |
| Cambodia 0.8% |
| NagaCorp Ltd. | 1,537,000 | 807,274 |
| Canada 4.9% |
| AG Growth International, Inc. | 26,487 | 1,178,925 |
| Boardwalk Real Estate Investment Trust | 20,427 | 749,001 |
| CAE, Inc. | 55,431 | 955,766 |
| ShawCor Ltd. | 22,521 | 459,867 |
| Tahoe Resources, Inc. | 57,212 | 493,237 |
| Uni-Select, Inc. | 24,801 | 598,988 |
| Vermilion Energy, Inc. | 23,589 | 748,343 |
| Total | 5,184,127 |
| Cayman Islands 1.8% |
| Netshoes Cayman Ltd.(a) | 46,764 | 889,919 |
| Silicon Motion Technology Corp., ADR | 21,688 | 1,046,012 |
| Total | 1,935,931 |
| China 1.5% |
| 51job, Inc., ADR(a) | 18,035 | 806,706 |
| China Medical System Holdings Ltd. | 445,000 | 769,434 |
| Total | 1,576,140 |
| Denmark 2.2% |
| SimCorp AS | 28,995 | 1,756,531 |
| William Demant Holding AS(a) | 21,380 | 553,354 |
| Total | 2,309,885 |
| Finland 1.6% |
| Munksjo OYJ | 31,534 | 641,095 |
| Tikkurila OYJ | 50,573 | 1,093,433 |
| Total | 1,734,528 |
| France 1.6% |
| Akka Technologies | 10,547 | 545,816 |
| Elior Group | 40,000 | 1,162,251 |
| Total | 1,708,067 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Germany 7.5% |
| AURELIUS Equity Opportunities SE & Co. KGaA | 28,210 | 1,515,470 |
| CTS Eventim AG & Co. KGaA | 14,092 | 623,205 |
| Deutsche Beteiligungs AG | 32,204 | 1,435,777 |
| Nemetschek SE | 19,642 | 1,462,703 |
| Norma Group SE | 17,881 | 929,441 |
| Stroeer SE & Co. KGaA | 24,597 | 1,473,221 |
| Vapiano SE(a) | 20,000 | 520,820 |
| Total | 7,960,637 |
| Hong Kong 1.0% |
| Vitasoy International Holdings Ltd. | 500,000 | 1,029,171 |
| India 3.5% |
| Amara Raja Batteries Ltd.(a) | 55,202 | 716,884 |
| Care Ratings Ltd. | 23,826 | 590,396 |
| GRUH Finance Ltd. | 134,008 | 922,865 |
| TVS Motor Co., Ltd. | 116,195 | 986,525 |
| United Breweries Ltd. | 46,190 | 558,341 |
| Total | 3,775,011 |
| Indonesia 1.3% |
| PT Link Net Tbk | 1,426,300 | 553,825 |
| PT Media Nusantara Citra Tbk(a) | 4,154,420 | 572,719 |
| PT Tower Bersama Infrastructure Tbk | 472,700 | 239,884 |
| Total | 1,366,428 |
| Ireland 0.6% |
| UDG Healthcare PLC | 58,725 | 662,372 |
| Italy 2.6% |
| Brembo SpA | 112,543 | 1,646,610 |
| Industria Macchine Automatiche SpA | 12,000 | 1,102,631 |
| Total | 2,749,241 |
| Japan 19.6% |
| Aeon Credit Service Co., Ltd. | 37,800 | 802,196 |
| Aeon Mall Co., Ltd. | 80,300 | 1,586,483 |
| Aica Kogyo Co., Ltd. | 26,400 | 806,132 |
| Asahi Intecc Co., Ltd. | 18,400 | 837,276 |
| CyberAgent, Inc. | 29,400 | 913,064 |
| Daiseki Co., Ltd. | 29,300 | 651,914 |
| DIP Corp. | 5,100 | 103,748 |
| Glory Ltd. | 24,300 | 798,098 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 73 |
Portfolio of Investments (continued)
Variable Portfolio – Columbia Wanger International Equities Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Hikari Tsushin, Inc. | 11,900 | 1,253,734 |
| Istyle, Inc. | 103,800 | 822,525 |
| Milbon Co., Ltd. | 22,000 | 1,236,964 |
| MonotaRO Co., Ltd | 28,900 | 933,972 |
| Nakanishi, Inc. | 15,000 | 608,386 |
| NGK Spark Plug Co., Ltd. | 34,100 | 730,440 |
| Nihon M&A Center, Inc. | 13,400 | 490,499 |
| Nippon Shinyaku Co., Ltd. | 9,500 | 608,135 |
| Nissan Chemical Industries Ltd. | 21,500 | 712,443 |
| NOF Corp. | 68,000 | 867,931 |
| OSG Corp. | 24,000 | 490,025 |
| Otsuka Corp. | 11,800 | 734,008 |
| Persol Holdings Co., Ltd. | 49,200 | 924,379 |
| Seria Co., Ltd. | 12,600 | 608,732 |
| Seven Bank Ltd. | 254,500 | 912,499 |
| Sohgo Security Services Co., Ltd. | 23,200 | 1,047,250 |
| Ushio, Inc. | 49,200 | 620,994 |
| Yonex Co., Ltd. | 88,100 | 796,821 |
| Total | 20,898,648 |
| Malta 1.4% |
| Kindred Group PLC | 133,899 | 1,514,662 |
| Mexico 1.3% |
| Grupo Aeroportuario del Centro Norte SAB de CV | 130,700 | 787,207 |
| Grupo Aeroportuario del Sureste SAB de CV, ADR | 2,934 | 617,313 |
| Total | 1,404,520 |
| Netherlands 1.3% |
| Aalberts Industries NV | 36,305 | 1,445,496 |
| New Zealand 0.5% |
| Restaurant Brands New Zealand Ltd. | 128,284 | 588,525 |
| Norway 1.3% |
| Atea ASA | 103,423 | 1,387,438 |
| Philippines 1.0% |
| Melco Resorts And Entertainment Philippines Corp.(a) | 2,530,800 | 438,492 |
| Puregold Price Club, Inc. | 683,700 | 603,623 |
| Total | 1,042,115 |
| Singapore 0.7% |
| Mapletree Commercial Trust | 662,578 | 767,614 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| South Africa 1.5% |
| AECI Ltd. | 64,997 | 528,025 |
| Clicks Group Ltd. | 57,556 | 615,925 |
| Famous Brands Ltd. | 47,441 | 456,913 |
| Total | 1,600,863 |
| South Korea 4.8% |
| GS Retail Co., Ltd. | 4,473 | 201,689 |
| Koh Young Technology, Inc. | 29,501 | 1,547,345 |
| Korea Investment Holdings Co., Ltd. | 17,515 | 1,073,279 |
| Medy-Tox, Inc. | 2,195 | 1,074,891 |
| Modetour Network, Inc. | 43,160 | 1,193,912 |
| Total | 5,091,116 |
| Spain 3.1% |
| Bolsas y Mercados Españoles SHMSF SA | 15,362 | 554,708 |
| Hispania Activos Inmobiliarios SOCIMI SA | 66,707 | 1,102,841 |
| Prosegur Cia de Seguridad SA, Registered Shares | 107,000 | 695,375 |
| Viscofan SA | 15,557 | 920,404 |
| Total | 3,273,328 |
| Sweden 4.1% |
| Byggmax Group AB | 122,128 | 887,906 |
| NetEnt AB | 66,707 | 583,163 |
| Recipharm AB, B Shares(a) | 71,789 | 1,048,114 |
| Sweco AB, Class B | 45,532 | 1,125,775 |
| Trelleborg AB, Class B | 33,638 | 767,812 |
| Total | 4,412,770 |
| Switzerland 1.0% |
| Inficon Holding AG | 2,080 | 1,024,924 |
| Taiwan 3.0% |
| Basso Industry Corp. | 272,000 | 760,107 |
| Silergy Corp. | 80,500 | 1,550,021 |
| Voltronic Power Technology Corp. | 53,691 | 883,715 |
| Total | 3,193,843 |
| Thailand 1.5% |
| Beauty Community PCL(a) | 1,750,900 | 556,044 |
| Home Product Center PCL, Foreign Registered Shares | 1,930,400 | 545,091 |
| Tisco Financial Group PCL | 245,400 | 548,793 |
| Total | 1,649,928 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 74 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Columbia Wanger International Equities Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Turkey 0.6% |
| Logo Yazilim Sanayi Ve Ticaret AS(a) | 35,460 | 594,620 |
| United Kingdom 16.9% |
| Assura PLC | 926,246 | 769,676 |
| Big Yellow Group PLC | 179,424 | 1,850,831 |
| Connect Group PLC | 333,538 | 489,805 |
| Domino’s Pizza Group PLC | 193,851 | 742,042 |
| DS Smith PLC | 172,907 | 1,066,560 |
| Halma PLC | 121,408 | 1,739,406 |
| Hastings Group Holdings PLC | 463,283 | 1,894,081 |
| JD Sports Fashion PLC | 99,000 | 451,299 |
| LivaNova PLC(a) | 17,740 | 1,085,865 |
| Ocado Group PLC(a) | 178,209 | 671,721 |
| Polypipe Group PLC | 303,747 | 1,512,437 |
| PureCircle Ltd.(a) | 127,318 | 630,136 |
| Rightmove PLC | 28,000 | 1,549,915 |
| Shaftesbury PLC | 62,663 | 793,710 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Spirax-Sarco Engineering PLC | 21,927 | 1,527,896 |
| WH Smith PLC | 53,040 | 1,184,755 |
| Total | 17,960,135 |
| United States 0.7% |
| Ultragenyx Pharmaceutical, Inc.(a) | 12,462 | 774,015 |
Total Common Stocks
(Cost $88,926,866) | 103,268,806 |
|
| Money Market Funds 2.8% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(b),(c) | 2,911,703 | 2,911,703 |
Total Money Market Funds
(Cost $2,911,608) | 2,911,703 |
Total Investments
(Cost $91,838,474) | 106,180,509 |
| Other Assets & Liabilities, Net | | 362,183 |
| Net Assets | $106,542,692 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 1,658,199 | 18,229,725 | (16,976,221) | 2,911,703 | (224) | 11,630 | 2,911,703 |
Abbreviation Legend
| ADR | American Depositary Receipt |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 75 |
Portfolio of Investments (continued)
Variable Portfolio – Columbia Wanger International Equities Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Foreign equity securities actively traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Australia | — | 485,150 | — | — | 485,150 |
| Belgium | — | 839,929 | — | — | 839,929 |
| Brazil | 520,355 | — | — | — | 520,355 |
| Cambodia | — | 807,274 | — | — | 807,274 |
| Canada | 5,184,127 | — | — | — | 5,184,127 |
| Cayman Islands | 1,935,931 | — | — | — | 1,935,931 |
| China | 806,706 | 769,434 | — | — | 1,576,140 |
| Denmark | — | 2,309,885 | — | — | 2,309,885 |
| Finland | — | 1,734,528 | — | — | 1,734,528 |
| France | — | 1,708,067 | — | — | 1,708,067 |
| Germany | — | 7,960,637 | — | — | 7,960,637 |
| Hong Kong | — | 1,029,171 | — | — | 1,029,171 |
| India | — | 3,775,011 | — | — | 3,775,011 |
| Indonesia | — | 1,366,428 | — | — | 1,366,428 |
| Ireland | — | 662,372 | — | — | 662,372 |
| Italy | — | 2,749,241 | — | — | 2,749,241 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 76 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Columbia Wanger International Equities Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Japan | — | 20,898,648 | — | — | 20,898,648 |
| Malta | — | 1,514,662 | — | — | 1,514,662 |
| Mexico | 1,404,520 | — | — | — | 1,404,520 |
| Netherlands | — | 1,445,496 | — | — | 1,445,496 |
| New Zealand | — | 588,525 | — | — | 588,525 |
| Norway | — | 1,387,438 | — | — | 1,387,438 |
| Philippines | — | 1,042,115 | — | — | 1,042,115 |
| Singapore | — | 767,614 | — | — | 767,614 |
| South Africa | — | 1,600,863 | — | — | 1,600,863 |
| South Korea | — | 5,091,116 | — | — | 5,091,116 |
| Spain | — | 3,273,328 | — | — | 3,273,328 |
| Sweden | — | 4,412,770 | — | — | 4,412,770 |
| Switzerland | — | 1,024,924 | — | — | 1,024,924 |
| Taiwan | — | 3,193,843 | — | — | 3,193,843 |
| Thailand | — | 1,649,928 | — | — | 1,649,928 |
| Turkey | — | 594,620 | — | — | 594,620 |
| United Kingdom | 1,085,865 | 16,874,270 | — | — | 17,960,135 |
| United States | 774,015 | — | — | — | 774,015 |
| Total Common Stocks | 11,711,519 | 91,557,287 | — | — | 103,268,806 |
| Money Market Funds | — | — | — | 2,911,703 | 2,911,703 |
| Total Investments | 11,711,519 | 91,557,287 | — | 2,911,703 | 106,180,509 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets. These assets include certain foreign securities for which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 77 |
Portfolio of Investments
Variable Portfolio – DFA International Value Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 97.7% |
| Issuer | Shares | Value ($) |
| Australia 6.5% |
| Aurizon Holdings Ltd. | 617,474 | 2,543,326 |
| Australia and New Zealand Banking Group Ltd. | 765,441 | 16,894,576 |
| Bank of Queensland Ltd. | 70,056 | 616,367 |
| Bendigo & Adelaide Bank Ltd. | 257,509 | 2,192,067 |
| BHP Billiton Ltd. | 1,516,066 | 27,022,236 |
| BHP Billiton Ltd., ADR | 101,907 | 3,626,870 |
| BlueScope Steel Ltd. | 120,159 | 1,216,496 |
| Boral Ltd. | 620,840 | 3,314,802 |
| Fortescue Metals Group Ltd. | 1,423,473 | 5,698,298 |
| Incitec Pivot Ltd. | 802,476 | 2,104,872 |
| LendLease Group | 102,565 | 1,312,689 |
| National Australia Bank Ltd. | 21,507 | 489,251 |
| Newcrest Mining Ltd. | 333,125 | 5,170,019 |
| Origin Energy Ltd.(a) | 723,564 | 3,815,141 |
| QBE Insurance Group Ltd. | 408,034 | 3,703,513 |
| Rio Tinto Ltd. | 38,337 | 1,863,126 |
| Santos Ltd.(a) | 1,196,416 | 2,782,663 |
| South32 Ltd. | 1,569,231 | 3,231,842 |
| South32 Ltd., ADR | 31,453 | 323,651 |
| Star Entertainment Group Ltd. (The) | 208,588 | 809,586 |
| Suncorp Group Ltd. | 374,180 | 4,261,911 |
| Tatts Group Ltd. | 92,360 | 296,702 |
| Woodside Petroleum Ltd. | 636,196 | 14,593,736 |
| Total | 107,883,740 |
| Austria 0.1% |
| OMV AG | 25,700 | 1,333,665 |
| Belgium 0.9% |
| Ageas | 97,010 | 3,906,806 |
| KBC Group NV | 56,957 | 4,320,197 |
| Solvay SA | 41,161 | 5,523,913 |
| UCB SA | 17,518 | 1,205,093 |
| Total | 14,956,009 |
| Denmark 1.9% |
| AP Moller - Maersk A/S, Class A | 1,833 | 3,499,688 |
| AP Moller - Maersk A/S, Class B | 2,830 | 5,690,124 |
| Carlsberg A/S, Class B | 49,567 | 5,295,237 |
| Danske Bank A/S | 93,041 | 3,578,528 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| DSV A/S | 75,484 | 4,637,785 |
| ISS A/S | 87,856 | 3,450,625 |
| Vestas Wind Systems A/S | 63,235 | 5,837,510 |
| Total | 31,989,497 |
| Finland 1.1% |
| Fortum OYJ | 203,581 | 3,192,499 |
| Stora Enso OYJ, Class R | 459,813 | 5,939,732 |
| UPM-Kymmene OYJ | 336,711 | 9,598,976 |
| Total | 18,731,207 |
| France 10.7% |
| AXA SA | 90,991 | 2,489,012 |
| BNP Paribas SA | 295,742 | 21,300,509 |
| Bollore SA | 278,871 | 1,267,998 |
| Bouygues SA | 108,687 | 4,583,131 |
| Casino Guichard Perrachon SA | 37,370 | 2,213,495 |
| Cie de Saint-Gobain | 73,468 | 3,925,378 |
| Cie Generale des Etablissements Michelin | 14,253 | 1,894,883 |
| CNP Assurances | 124,419 | 2,793,076 |
| Credit Agricole SA | 259,825 | 4,179,851 |
| Electricite de France SA | 122,155 | 1,322,922 |
| Engie SA | 862,887 | 13,023,992 |
| Natixis SA | 201,159 | 1,350,262 |
| Orange SA | 1,134,294 | 17,994,960 |
| Peugeot SA | 425,485 | 8,487,423 |
| Renault SA | 169,899 | 15,378,469 |
| SCOR SE | 82,148 | 3,256,677 |
| Societe Generale SA | 411,399 | 22,136,011 |
| STMicroelectronics NV | 423,156 | 6,075,175 |
| Total SA | 844,616 | 41,756,088 |
| Vivendi SA | 134,470 | 2,993,369 |
| Total | 178,422,681 |
| Germany 8.5% |
| Allianz SE, Registered Shares | 137,087 | 26,993,335 |
| Bayerische Motoren Werke AG | 217,491 | 20,190,543 |
| Commerzbank AG(a) | 461,923 | 5,502,714 |
| Daimler AG, Registered Shares | 527,311 | 38,165,728 |
| Deutsche Bank AG, Registered Shares | 450,290 | 7,984,485 |
| Deutsche Bank AG, Registered Shares | 82,065 | 1,459,936 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 78 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – DFA International Value Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Deutsche Lufthansa AG, Registered Shares | 218,589 | 4,974,503 |
| E.ON SE | 36,786 | 346,541 |
| Fraport AG Frankfurt Airport Services Worldwide | 11,462 | 1,011,959 |
| Fresenius Medical Care AG & Co. KGaA | 18,741 | 1,801,661 |
| Hannover Rueckversicherung AG | 8,448 | 1,012,650 |
| HeidelbergCement AG | 86,649 | 8,377,483 |
| Linde AG | 14,719 | 2,787,314 |
| Metro AG | 167,433 | 5,651,907 |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Registered Shares | 31,973 | 6,447,244 |
| Talanx AG | 43,989 | 1,642,914 |
| Telefonica Deutschland Holding AG | 278,615 | 1,391,576 |
| Uniper SE | 165,242 | 3,101,796 |
| Volkswagen AG | 21,503 | 3,333,972 |
| Total | 142,178,261 |
| Hong Kong 3.0% |
| Cathay Pacific Airways Ltd. | 998,000 | 1,549,142 |
| CK Hutchison Holdings Ltd. | 945,768 | 11,868,959 |
| FIH Mobile Ltd. | 133,000 | 41,059 |
| Guoco Group Ltd. | 1,000 | 11,467 |
| Hang Lung Group Ltd. | 594,000 | 2,457,732 |
| Hang Lung Properties Ltd. | 1,090,000 | 2,724,070 |
| Henderson Land Development Co., Ltd. | 95,925 | 534,866 |
| Hopewell Holdings Ltd. | 200,500 | 763,675 |
| Kerry Properties Ltd. | 416,000 | 1,412,481 |
| MTR Corp. | 197,416 | 1,110,926 |
| New World Development Co., Ltd. | 3,853,718 | 4,884,946 |
| NWS Holdings Ltd. | 658,296 | 1,294,661 |
| Shangri-La Asia Ltd. | 738,000 | 1,251,512 |
| Sino Land Co., Ltd. | 118,598 | 194,309 |
| Sun Hung Kai Properties Ltd. | 472,476 | 6,940,755 |
| Swire Pacific Ltd., Class A | 438,000 | 4,275,606 |
| Swire Pacific Ltd., Class B | 510,000 | 892,158 |
| Wharf Holdings Ltd. (The) | 158,000 | 1,307,400 |
| Wheelock & Co., Ltd. | 684,000 | 5,159,140 |
| Yue Yuen Industrial Holdings Ltd. | 162,000 | 671,894 |
| Total | 49,346,758 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Ireland 0.4% |
| Bank of Ireland(a) | 10,702,889 | 2,811,589 |
| CRH PLC | 69,274 | 2,450,782 |
| CRH PLC, ADR | 53,470 | 1,896,581 |
| Paddy Power Betfair PLC | 255 | 27,223 |
| Total | 7,186,175 |
| Israel 0.5% |
| Bank Hapoalim BM | 540,665 | 3,645,796 |
| Bank Leumi Le-Israel BM | 720,740 | 3,501,721 |
| Mizrahi Tefahot Bank Ltd. | 47,591 | 865,309 |
| Teva Pharmaceutical Industries Ltd., ADR | 3,676 | 122,117 |
| Total | 8,134,943 |
| Italy 1.0% |
| Fiat Chrysler Automobiles NV(a) | 161,203 | 1,699,409 |
| Mediobanca SpA | 311,573 | 3,074,656 |
| Telecom Italia SpA(a) | 571,520 | 527,431 |
| UniCredit SpA(a) | 610,372 | 11,398,177 |
| Total | 16,699,673 |
| Japan 24.3% |
| Aeon Co., Ltd. | 184,000 | 2,798,568 |
| Aisin Seiki Co., Ltd. | 44,300 | 2,277,313 |
| Alfresa Holdings Corp. | 40,100 | 775,258 |
| Amada Holdings Co., Ltd. | 31,600 | 366,550 |
| Aoyama Trading Co., Ltd. | 2,800 | 99,946 |
| Asahi Glass Co., Ltd. | 154,600 | 6,529,197 |
| Asahi Kasei Corp. | 156,000 | 1,682,977 |
| Bank of Kyoto Ltd. (The) | 115,000 | 1,089,747 |
| Canon Marketing Japan, Inc. | 26,800 | 610,940 |
| Chiba Bank Ltd. (The) | 267,000 | 1,943,071 |
| Chugoku Bank Ltd. (The) | 51,000 | 765,683 |
| Citizen Watch Co., Ltd. | 223,000 | 1,569,108 |
| Coca-Cola Bottlers Japan, Inc. | 28,525 | 825,959 |
| COMSYS Holdings Corp. | 19,000 | 392,298 |
| Concordia Financial Group Ltd. | 496,000 | 2,513,920 |
| Credit Saison Co., Ltd. | 32,800 | 642,255 |
| Dai Nippon Printing Co., Ltd. | 218,000 | 2,428,510 |
| Daido Steel Co., Ltd. | 37,000 | 213,361 |
| Dai-ichi Life Holdings, Inc. | 226,200 | 4,105,850 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 79 |
Portfolio of Investments (continued)
Variable Portfolio – DFA International Value Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Daiwa Securities Group, Inc. | 32,000 | 190,551 |
| Denka Co., Ltd. | 185,000 | 957,341 |
| Denso Corp. | 20,800 | 882,713 |
| DIC Corp. | 32,100 | 1,159,821 |
| Ebara Corp. | 52,600 | 1,465,530 |
| Fuji Media Holdings, Inc. | 11,100 | 151,318 |
| FUJIFILM Holdings Corp. | 158,900 | 5,729,531 |
| Fukuoka Financial Group, Inc. | 326,000 | 1,555,415 |
| Furukawa Electric Co., Ltd. | 9,900 | 441,395 |
| Glory Ltd. | 16,800 | 551,771 |
| Gunma Bank Ltd. (The) | 114,000 | 686,477 |
| H2O Retailing Corp. | 53,300 | 972,468 |
| Hachijuni Bank Ltd. (The) | 126,000 | 802,818 |
| Hankyu Hanshin Holdings, Inc. | 106,200 | 3,825,886 |
| Heiwa Corp. | 11,800 | 263,430 |
| Hiroshima Bank Ltd. (The) | 161,000 | 716,678 |
| Hitachi Capital Corp. | 30,500 | 735,452 |
| Hitachi Chemical Co., Ltd. | 63,500 | 1,903,769 |
| Hitachi Construction Machine Co., Ltd. | 58,800 | 1,479,181 |
| Hitachi Ltd. | 2,518,000 | 15,525,212 |
| Hitachi Metals Ltd. | 141,200 | 1,970,076 |
| Hitachi Transport System Ltd | 20,800 | 490,482 |
| Hokuhoku Financial Group, Inc. | 36,100 | 577,447 |
| Honda Motor Co., Ltd. | 849,700 | 23,280,151 |
| House Foods Group, Inc. | 20,800 | 521,807 |
| Ibiden Co., Ltd. | 82,900 | 1,433,725 |
| Idemitsu Kosan Co., Ltd. | 42,100 | 1,197,690 |
| IHI Corp.(a) | 159,000 | 543,364 |
| Iida Group Holdings Co., Ltd. | 63,400 | 1,058,241 |
| Inpex Corp. | 460,300 | 4,444,410 |
| Isetan Mitsukoshi Holdings Ltd. | 97,400 | 979,864 |
| ITOCHU Corp. | 308,000 | 4,585,790 |
| Iyo Bank Ltd. (The) | 77,600 | 644,595 |
| J Front Retailing Co., Ltd. | 183,300 | 2,824,738 |
| JFE Holdings, Inc. | 321,700 | 5,601,308 |
| JSR Corp. | 41,200 | 713,223 |
| JTEKT Corp. | 161,100 | 2,370,642 |
| JX Holdings, Inc. | 846,100 | 3,702,121 |
| Kamigumi Co., Ltd. | 103,000 | 1,082,718 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Kaneka Corp. | 193,000 | 1,477,116 |
| Kawasaki Heavy Industries Ltd. | 75,000 | 223,247 |
| Kawasaki Kisen Kaisha Ltd.(a) | 453,000 | 1,091,379 |
| Kinden Corp. | 26,800 | 432,697 |
| Kobe Steel Ltd.(a) | 206,500 | 2,129,270 |
| Konica Minolta, Inc. | 374,000 | 3,120,228 |
| K’s Holdings Corp. | 40,400 | 789,902 |
| Kuraray Co., Ltd. | 273,000 | 4,971,069 |
| Kyocera Corp. | 54,700 | 3,179,204 |
| Kyushu Financial Group, Inc. | 52,800 | 334,569 |
| LIXIL Group Corp. | 129,600 | 3,248,438 |
| Marubeni Corp. | 777,900 | 5,039,745 |
| Mazda Motor Corp. | 444,700 | 6,247,544 |
| Mebuki Financial Group, Inc. | 122,850 | 458,690 |
| Medipal Holdings Corp. | 53,600 | 993,855 |
| Mitsubishi Chemical Holdings Corp. | 507,200 | 4,225,866 |
| Mitsubishi Corp. | 244,100 | 5,131,231 |
| Mitsubishi Gas Chemical Co., Inc. | 97,800 | 2,077,214 |
| Mitsubishi Heavy Industries Ltd. | 1,582,000 | 6,513,344 |
| Mitsubishi Logistics Corp. | 24,000 | 320,241 |
| Mitsubishi Materials Corp. | 85,900 | 2,606,757 |
| Mitsubishi UFJ Financial Group, Inc. | 3,240,800 | 21,859,353 |
| Mitsubishi UFJ Lease & Finance Co., Ltd. | 364,700 | 2,000,944 |
| Mitsui & Co., Ltd. | 327,100 | 4,682,710 |
| Mitsui Chemicals, Inc. | 533,000 | 2,838,424 |
| Mitsui OSK Lines Ltd. | 589,000 | 1,739,259 |
| Mizuho Financial Group, Inc. | 5,450,900 | 9,994,082 |
| MS&AD Insurance Group Holdings, Inc. | 73,300 | 2,472,314 |
| NEC Corp. | 2,162,000 | 5,747,468 |
| NH Foods Ltd. | 55,000 | 1,673,105 |
| NHK Spring Co., Ltd. | 130,800 | 1,380,987 |
| Nikon Corp. | 125,000 | 2,003,644 |
| Nippo Corp. | 34,000 | 684,268 |
| Nippon Electric Glass Co., Ltd. | 31,200 | 1,138,101 |
| Nippon Express Co., Ltd. | 647,000 | 4,060,033 |
| Nippon Paper Industries Co., Ltd. | 66,000 | 1,352,928 |
| Nippon Shokubai Co., Ltd. | 17,600 | 1,136,841 |
| Nippon Steel & Sumitomo Metal Corp. | 365,300 | 8,277,967 |
| Nippon Yusen KK(a) | 1,273,000 | 2,379,858 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 80 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – DFA International Value Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Nissan Motor Co., Ltd. | 1,204,800 | 12,029,848 |
| Nisshinbo Holdings, Inc. | 61,000 | 620,666 |
| NOK Corp. | 67,600 | 1,435,125 |
| Nomura Holdings, Inc. | 171,000 | 1,031,206 |
| Nomura Real Estate Holdings, Inc. | 72,800 | 1,432,680 |
| NTN Corp. | 202,000 | 939,982 |
| Obayashi Corp. | 146,000 | 1,720,191 |
| Oji Holdings Corp. | 638,000 | 3,303,242 |
| ORIX Corp. | 293,500 | 4,566,819 |
| Resona Holdings, Inc. | 989,550 | 5,466,088 |
| Ricoh Co., Ltd. | 608,700 | 5,392,244 |
| Rohm Co., Ltd. | 19,900 | 1,534,318 |
| Sankyo Co., Ltd. | 15,700 | 533,334 |
| SBI Holdings, Inc. | 83,700 | 1,138,205 |
| Sega Sammy Holdings, Inc. | 13,100 | 176,617 |
| Seino Holdings Corp. | 62,000 | 826,549 |
| Sekisui House Ltd. | 127,100 | 2,246,315 |
| Shinsei Bank Ltd. | 575,000 | 1,007,263 |
| Shizuoka Bank Ltd. (The) | 138,000 | 1,251,568 |
| Sojitz Corp. | 524,100 | 1,290,167 |
| Sompo Holdings, Inc. | 15,700 | 609,393 |
| Sumitomo Chemical Co., Ltd. | 1,182,000 | 6,831,721 |
| Sumitomo Corp. | 206,900 | 2,698,012 |
| Sumitomo Electric Industries Ltd. | 593,300 | 9,178,595 |
| Sumitomo Forestry Co., Ltd. | 81,100 | 1,277,521 |
| Sumitomo Heavy Industries Ltd. | 287,000 | 1,904,426 |
| Sumitomo Metal Mining Co., Ltd. | 236,000 | 3,154,396 |
| Sumitomo Mitsui Financial Group, Inc. | 469,600 | 18,335,280 |
| Sumitomo Mitsui Trust Holdings, Inc. | 84,800 | 3,045,956 |
| Sumitomo Rubber Industries Ltd. | 140,000 | 2,370,973 |
| Suzuken Co., Ltd. | 31,240 | 1,039,920 |
| T&D Holdings, Inc. | 290,400 | 4,440,838 |
| Taiheiyo Cement Corp. | 598,000 | 2,186,906 |
| Takashimaya Co., Ltd. | 154,000 | 1,469,173 |
| TDK Corp. | 87,000 | 5,750,867 |
| Teijin Ltd. | 117,200 | 2,261,619 |
| THK Co., Ltd. | 48,500 | 1,382,212 |
| Tokai Rika Co., Ltd. | 29,900 | 553,163 |
| Tokio Marine Holdings, Inc. | 3,000 | 124,840 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Tokyo Broadcasting System Holdings, Inc. | 6,900 | 122,390 |
| Toppan Printing Co., Ltd. | 206,000 | 2,265,179 |
| Tosoh Corp. | 345,000 | 3,555,645 |
| Toyo Seikan Group Holdings Ltd. | 65,700 | 1,112,222 |
| Toyoda Gosei Co., Ltd. | 49,300 | 1,181,299 |
| Toyota Industries Corp. | 35,100 | 1,856,450 |
| Toyota Motor Corp. | 150,174 | 7,893,671 |
| Toyota Motor Corp., ADR | 1,076 | 113,001 |
| Toyota Tsusho Corp. | 128,100 | 3,851,427 |
| Ube Industries Ltd. | 267,000 | 689,209 |
| Yamada Denki Co., Ltd. | 401,400 | 1,995,779 |
| Yamaguchi Financial Group, Inc. | 82,000 | 993,185 |
| Yokohama Rubber Co., Ltd. (The) | 75,400 | 1,520,002 |
| Zeon Corp. | 16,000 | 171,258 |
| Total | 403,562,507 |
| Luxembourg 0.3% |
| ArcelorMittal (a) | 237,169 | 5,379,726 |
| Netherlands 2.6% |
| Aegon NV | 491,501 | 2,509,875 |
| Akzo Nobel NV | 22,303 | 1,938,268 |
| Coca-Cola European Partners PLC | 289 | 11,734 |
| Gemalto NV | 6,348 | 381,007 |
| ING Groep NV | 1,051,946 | 18,142,344 |
| Koninklijke Ahold Delhaize NV | 305,310 | 5,837,401 |
| Koninklijke DSM NV | 76,856 | 5,586,386 |
| Koninklijke Philips NV | 186,509 | 6,623,894 |
| NN Group NV | 63,270 | 2,248,850 |
| Total | 43,279,759 |
| New Zealand 0.1% |
| Auckland International Airport Ltd. | 64,079 | 334,825 |
| Fletcher Building Ltd. | 284,555 | 1,666,328 |
| Fonterra Co-operative Group Ltd. | 13,365 | 58,763 |
| Total | 2,059,916 |
| Norway 0.6% |
| DNB ASA | 201,416 | 3,425,791 |
| Norsk Hydro ASA | 350,117 | 1,940,819 |
| Statoil ASA | 67,470 | 1,118,477 |
| Storebrand ASA | 148,298 | 1,023,143 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 81 |
Portfolio of Investments (continued)
Variable Portfolio – DFA International Value Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Subsea 7 SA | 80,532 | 1,083,245 |
| Yara International ASA | 22,014 | 826,901 |
| Total | 9,418,376 |
| Portugal 0.1% |
| Banco Espirito Santo SA, Registered Shares(a),(b) | 533,756 | 18,289 |
| EDP Renovaveis SA | 114,029 | 906,848 |
| Total | 925,137 |
| Singapore 1.0% |
| CapitaLand Ltd. | 688,100 | 1,748,476 |
| City Developments Ltd. | 239,800 | 1,867,950 |
| DBS Group Holdings Ltd. | 40,861 | 614,990 |
| Frasers Centrepoint Ltd. | 88,900 | 121,407 |
| Golden Agri-Resources Ltd. | 3,841,000 | 1,046,200 |
| Hutchison Port Holdings Trust | 3,346,800 | 1,437,939 |
| Keppel Corp., Ltd. | 954,500 | 4,358,899 |
| Olam International Ltd. | 61,700 | 87,408 |
| SembCorp Industries Ltd. | 464,000 | 1,037,292 |
| Singapore Airlines Ltd. | 367,500 | 2,700,849 |
| UOL Group Ltd. | 149,189 | 827,763 |
| Wilmar International Ltd. | 68,000 | 165,400 |
| Total | 16,014,573 |
| Spain 4.2% |
| Banco de Sabadell SA | 1,972,020 | 4,006,917 |
| Banco Santander SA | 8,031,388 | 53,130,289 |
| CaixaBank SA | 142,253 | 679,142 |
| Iberdrola SA | 346,012 | 2,739,904 |
| Repsol SA | 636,174 | 9,736,519 |
| Total | 70,292,771 |
| Sweden 2.6% |
| Boliden AB | 363,429 | 9,917,543 |
| Essity AB, Class A(a) | 12,348 | 338,281 |
| Essity AB, Class B(a) | 108,139 | 2,958,686 |
| Millicom International Cellular SA, SDR | 10,211 | 603,107 |
| Nordea Bank AB | 864,788 | 11,003,985 |
| Saab AB, Class B | 3,486 | 172,134 |
| Skandinaviska Enskilda Banken AB, Class A | 231,256 | 2,797,131 |
| Svenska Cellulosa AB SCA, Class A | 12,348 | 106,995 |
| Svenska Cellulosa AB, Class B | 108,139 | 818,292 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Tele2 AB, Class B | 60,553 | 633,942 |
| Telefonaktiebolaget LM Ericsson | 4,557 | 32,238 |
| Telefonaktiebolaget LM Ericsson, Class B | 1,002,250 | 7,167,681 |
| Telia Co. AB | 1,482,770 | 6,827,145 |
| Total | 43,377,160 |
| Switzerland 8.5% |
| Adecco Group AG, Registered Shares | 128,304 | 9,754,262 |
| Baloise Holding AG, Registered Shares | 26,347 | 4,071,984 |
| Cie Financiere Richemont SA, Class A, Registered Shares | 144,284 | 11,886,991 |
| Clariant AG, Registered Shares | 284,151 | 6,258,493 |
| Credit Suisse Group AG, Registered Shares | 391,997 | 5,665,949 |
| Dufry AG, Registered Shares(a) | 22,922 | 3,755,393 |
| Flughafen Zurich AG, Registered Shares | 3,142 | 771,328 |
| Helvetia Holding AG | 244 | 139,570 |
| Julius Baer Group Ltd. | 56,932 | 2,995,327 |
| LafargeHolcim Ltd., Registered Shares | 211,080 | 12,084,985 |
| Novartis AG, Registered Shares | 319,574 | 26,595,062 |
| Swatch Group AG (The) | 26,722 | 9,867,828 |
| Swatch Group AG (The), Registered Shares | 37,823 | 2,763,063 |
| Swiss Life Holding AG, Registered Shares | 9,366 | 3,160,744 |
| Swiss Re AG | 139,648 | 12,764,780 |
| UBS AG | 756,661 | 12,814,866 |
| UBS Group AG, Registered Shares | 62,395 | 1,059,467 |
| Zurich Insurance Group AG | 50,637 | 14,738,541 |
| Total | 141,148,633 |
| United Kingdom 18.8% |
| Anglo American PLC(a) | 776,984 | 10,362,701 |
| Antofagasta PLC | 270,996 | 2,821,904 |
| Barclays Bank PLC | 4,199,939 | 11,090,849 |
| Barclays Bank PLC, ADR | 117,884 | 1,248,392 |
| Barratt Developments PLC | 180,010 | 1,321,148 |
| BHP Billiton PLC, ADR | 45,867 | 1,410,869 |
| BP PLC | 49,625 | 286,200 |
| BP PLC, ADR | 1,169,994 | 40,540,292 |
| Carnival PLC, ADR | 15,928 | 1,053,159 |
| Glencore PLC | 6,830,842 | 25,551,689 |
| HSBC Holdings PLC, ADR | 1,045,848 | 48,516,889 |
| J Sainsbury PLC | 1,589,428 | 5,210,567 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 82 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – DFA International Value Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Kingfisher PLC | 941,951 | 3,689,119 |
| Lloyds Banking Group PLC | 14,960,621 | 12,889,629 |
| Lloyds Banking Group PLC, ADR | 379,855 | 1,340,888 |
| Pearson PLC | 101,366 | 912,947 |
| Pearson PLC, ADR | 124,352 | 1,115,437 |
| Royal Bank of Scotland Group PLC(a) | 177,084 | 570,150 |
| Royal Bank of Scotland Group PLC, ADR(a) | 370,125 | 2,416,916 |
| Royal Dutch Shell PLC, ADR, Class A | 673,089 | 35,801,604 |
| Royal Dutch Shell PLC, ADR, Class B | 597,642 | 32,529,654 |
| Royal Dutch Shell PLC, Class A | 399,552 | 10,603,250 |
| Royal Mail PLC | 349,635 | 1,918,069 |
| Standard Chartered PLC(a) | 498,488 | 5,046,014 |
| Vodafone Group PLC | 19,438,554 | 55,129,374 |
| Total | 313,377,710 |
Total Common Stocks
(Cost $1,525,923,959) | 1,625,698,877 |
| Preferred Stocks 1.3% |
| Issuer | Coupon
Rate | Shares | Value ($) |
| Germany 1.3% |
| BMW AG | — | 24,443 | 2,015,090 |
| Porsche Automobil Holding SE | — | 48,915 | 2,748,159 |
| Volkswagen AG | — | 105,527 | 16,072,359 |
| Total | 20,835,608 |
Total Preferred Stocks
(Cost $31,070,795) | 20,835,608 |
| Money Market Funds 0.6% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(c),(d) | 9,740,967 | 9,740,967 |
Total Money Market Funds
(Cost $9,740,291) | 9,740,967 |
Total Investments
(Cost $1,566,735,045) | 1,656,275,452 |
| Other Assets & Liabilities, Net | | 7,042,095 |
| Net Assets | $1,663,317,547 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2017, the value of these securities amounted to $18,289, which represents less than 0.01% of net assets. |
| (c) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (d) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 7,944,436 | 162,242,072 | (160,445,541) | 9,740,967 | (912) | 28,410 | 9,740,967 |
Abbreviation Legend
| ADR | American Depositary Receipt |
| SDR | Swedish Depositary Receipt |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 83 |
Portfolio of Investments (continued)
Variable Portfolio – DFA International Value Fund, June 30, 2017 (Unaudited)
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Foreign equity securities actively traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Australia | 3,950,521 | 103,933,219 | — | — | 107,883,740 |
| Austria | — | 1,333,665 | — | — | 1,333,665 |
| Belgium | — | 14,956,009 | — | — | 14,956,009 |
| Denmark | — | 31,989,497 | — | — | 31,989,497 |
| Finland | — | 18,731,207 | — | — | 18,731,207 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 84 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – DFA International Value Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| France | — | 178,422,681 | — | — | 178,422,681 |
| Germany | 1,459,936 | 140,718,325 | — | — | 142,178,261 |
| Hong Kong | — | 49,346,758 | — | — | 49,346,758 |
| Ireland | 1,896,581 | 5,289,594 | — | — | 7,186,175 |
| Israel | 122,117 | 8,012,826 | — | — | 8,134,943 |
| Italy | — | 16,699,673 | — | — | 16,699,673 |
| Japan | 113,001 | 403,449,506 | — | — | 403,562,507 |
| Luxembourg | — | 5,379,726 | — | — | 5,379,726 |
| Netherlands | — | 43,279,759 | — | — | 43,279,759 |
| New Zealand | — | 2,059,916 | — | — | 2,059,916 |
| Norway | — | 9,418,376 | — | — | 9,418,376 |
| Portugal | — | 906,848 | 18,289 | — | 925,137 |
| Singapore | — | 16,014,573 | — | — | 16,014,573 |
| Spain | — | 70,292,771 | — | — | 70,292,771 |
| Sweden | — | 43,377,160 | — | — | 43,377,160 |
| Switzerland | 1,059,467 | 140,089,166 | — | — | 141,148,633 |
| United Kingdom | 165,974,100 | 147,403,610 | — | — | 313,377,710 |
| Total Common Stocks | 174,575,723 | 1,451,104,865 | 18,289 | — | 1,625,698,877 |
| Preferred Stocks | | | | | |
| Germany | — | 20,835,608 | — | — | 20,835,608 |
| Total Preferred Stocks | — | 20,835,608 | — | — | 20,835,608 |
| Money Market Funds | — | — | — | 9,740,967 | 9,740,967 |
| Total Investments | 174,575,723 | 1,471,940,473 | 18,289 | 9,740,967 | 1,656,275,452 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets. These assets include certain foreign securities for which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
There were no transfers of financial assets between levels during the period.
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain common stock classified as Level 3 securities are valued using the market approach. To determine fair value for these securities, management considered various factors which may have included, but were not limited to, the halt price of the security, discount rates observed in the market for similar assets as well as the movement in certain foreign or domestic market indices. Significant increases (decreases) to any of these inputs would result in a significantly lower (higher) fair value measurement. Generally, a change in observable yields on comparable securities would result in a directionally similar change to discount rates.
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 85 |
Portfolio of Investments
Variable Portfolio – Eaton Vance Floating-Rate Income Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 1.9% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary —% |
| Media —% |
| Nelson Education Ltd.(a),(b),(c) | 167,955 | 0 |
| Total Consumer Discretionary | 0 |
| Financials 0.1% |
| Capital Markets 0.1% |
| RCS Capital Corp.(b) | 5,645 | 91,731 |
| Total Financials | 91,731 |
| Health Care —% |
| Health Care Providers & Services —% |
| Millennium Health LLC(b) | 16,788 | 30,689 |
| Total Health Care | 30,689 |
| Industrials 1.5% |
| Commercial Services & Supplies 1.4% |
| IAP Worldwide Services, Inc.(a),(b),(d) | 121 | 1,967,865 |
| Machinery 0.1% |
| Ameriforge Group, Inc.(b) | 5,874 | 199,716 |
| Total Industrials | 2,167,581 |
| Information Technology 0.3% |
| Internet Software & Services 0.3% |
| Answers Corp.(b) | 22,610 | 341,976 |
| Total Information Technology | 341,976 |
| Utilities —% |
| Gas Utilities —% |
| Southcross Holding GP LLC(b),(c) | 48 | — |
| Southcross Holdings LP Class A-II(b) | 48 | 28,440 |
| Total | | 28,440 |
| Total Utilities | 28,440 |
Total Common Stocks
(Cost $865,633) | 2,660,417 |
| Senior Loans 93.0% |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Aerospace & Defense 2.7% |
| Armor Holding II LLC(e),(f) |
| 1st Lien Term Loan |
| 06/26/2020 | 5.800% | | 610,446 | 611,209 |
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| IAP Worldwide Services, Inc.(a),(e),(f),(g),(h) |
| 1st Lien Term Loan |
| 07/18/2018 | 6.250% | | 678,751 | 671,692 |
| IAP Worldwide Services, Inc.(e),(f) |
| 2nd Lien Term Loan |
| 07/18/2019 | 8.000% | | 911,006 | 883,676 |
| TransDigm, Inc.(e),(f) |
| Tranche D Term Loan |
| 06/04/2021 | 4.292% | | 1,270,529 | 1,269,106 |
| Tranche F Term Loan |
| 06/09/2023 | 4.226% | | 140,684 | 140,396 |
| Wesco Aircraft Hardware Corp.(e),(f) |
| Tranche A Term Loan |
| 11/30/2020 | 4.230% | | 288,750 | 288,028 |
| Total | 3,864,107 |
| Airlines 0.5% |
| Avolon Borrower 1 LLC(e),(f) |
| Tranche B2 Term Loan |
| 03/21/2022 | 3.962% | | 650,000 | 653,803 |
| Automotive 2.0% |
| American Axle & Manufacturing, Inc.(e),(f) |
| Tranche B Term Loan |
| 04/06/2024 | 3.470% | | 495,000 | 490,050 |
| Cooper-Standard Automotive, Inc.(e),(f) |
| Tranche B1 Term Loan |
| 11/02/2023 | 3.546% | | 505,373 | 504,953 |
| Dayco Products LLC(e),(f) |
| Term Loan |
| 05/19/2023 | 6.178% | | 175,000 | 174,563 |
| Federal-Mogul Corp.(e),(f) |
| Tranche C Term Loan |
| 04/15/2021 | 4.927% | | 546,706 | 548,073 |
| Gates Global LLC(e),(f) |
| Tranche B1 Term Loan |
| 04/01/2024 | 4.546% | | 772,214 | 771,511 |
| Sage Automotive Interiors, Inc.(e),(f) |
| Term Loan |
| 11/08/2022 | 6.226% | | 298,500 | 299,992 |
| Total | 2,789,142 |
| Banking 0.3% |
| NXT Capital, Inc.(e),(f) |
| Term Loan |
| 11/23/2022 | 5.730% | | 373,250 | 378,382 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 86 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Eaton Vance Floating-Rate Income Fund, June 30, 2017 (Unaudited)
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Brokerage/Asset Managers/Exchanges 1.3% |
| Aretec Group, Inc.(e),(f) |
| 1st Lien Term Loan |
| 11/23/2020 | 8.000% | | 193,448 | 196,350 |
| 2nd Lien Term Loan PIK |
| 05/23/2021 | 2.000% | | 452,952 | 446,158 |
| Guggenheim Partners Investment Management Holdings LLC(e),(f) |
| Tranche B Term Loan |
| 07/21/2023 | 3.966% | | 1,013,930 | 1,019,253 |
| LPL Holdings, Inc.(e),(f) |
| Term Loan |
| 03/11/2024 | 3.825% | | 224,438 | 224,859 |
| Total | 1,886,620 |
| Building Materials 2.0% |
| American Builders & Contractors Supply Co., Inc.(e),(f) |
| Tranche B1 Term Loan |
| 10/31/2023 | 3.726% | | 399,000 | 399,798 |
| CPG International LLC(e),(f) |
| Term Loan |
| 05/05/2024 | 5.046% | | 293,933 | 295,221 |
| Ply Gem Industries, Inc.(e),(f) |
| Term Loan |
| 02/01/2021 | 4.296% | | 602,944 | 605,392 |
| QUIKRETE Holdings, Inc.(e),(f) |
| 1st Lien Term Loan |
| 11/15/2023 | 3.976% | | 796,998 | 794,670 |
| Summit Materials LLC(e),(f) |
| Term Loan |
| 07/18/2022 | 3.976% | | 762,947 | 764,854 |
| Total | 2,859,935 |
| Cable and Satellite 3.4% |
| Charter Communications Operating LLC(e),(f) |
| Tranche I1 Term Loan |
| 01/15/2024 | 3.476% | | 296,250 | 297,195 |
| CSC Holdings LLC(e),(f) |
| Term Loan |
| 07/17/2025 | 3.459% | | 759,937 | 754,048 |
| Radiate Holdco LLC(e),(f) |
| Term Loan |
| 02/01/2024 | 4.226% | | 99,750 | 98,242 |
| Telenet Financing LLC(e),(f) |
| Tranche AI Term Loan |
| 06/30/2025 | 3.909% | | 375,000 | 375,049 |
| 06/30/2025 | 3.909% | | 100,000 | 100,013 |
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Telesat Canada(e),(f) |
| Tranche B4 Term Loan |
| 11/17/2023 | 4.300% | | 719,572 | 722,659 |
| UPC Financing Partnership(e),(f) |
| Term Loan |
| 04/15/2025 | 3.909% | | 400,000 | 400,416 |
| Virgin Media Bristol LLC(e),(f) |
| Tranche I Term Loan |
| 01/31/2025 | 3.909% | | 1,550,000 | 1,549,612 |
| Ziggo Secured Finance Partnership(e),(f) |
| Tranche E Term Loan |
| 04/15/2025 | 3.659% | | 550,000 | 548,124 |
| Total | 4,845,358 |
| Chemicals 5.8% |
| A. Schulman, Inc.(e),(f) |
| Tranche B Term Loan |
| 06/01/2022 | 4.323% | | 865,714 | 865,714 |
| Aruba Investments, Inc.(e),(f) |
| Tranche B1 Term Loan |
| 02/02/2022 | 4.796% | | 164,187 | 164,118 |
| Ashland LLC(e),(f) |
| Tranche B Term Loan |
| 05/17/2024 | 3.208% | | 100,000 | 100,313 |
| Atotech USA, Inc.(e),(f) |
| Tranche B1 Term Loan |
| 01/31/2024 | 4.296% | | 375,000 | 375,469 |
| Axalta Coating Systems US Holdings, Inc.(e),(f) |
| Tranche B2 Term Loan |
| 06/01/2024 | 3.000% | | 875,000 | 877,100 |
| Huntsman International LLC(e),(f) |
| Tranche B Term Loan |
| 10/01/2021 | 3.871% | | 124,063 | 124,256 |
| 04/01/2023 | 4.121% | | 297,750 | 298,643 |
| Ineos US Finance LLC(e),(f) |
| Term Loan |
| 03/31/2022 | 3.976% | | 905,486 | 906,808 |
| Kraton Polymers LLC(e),(f) |
| Term Loan |
| 01/06/2022 | 5.226% | | 346,635 | 349,499 |
| MacDermid, Inc.(e),(f) |
| Tranche B6 Term Loan |
| 06/07/2023 | 4.226% | | 1,125,527 | 1,126,371 |
| Minerals Technologies, Inc.(e),(f) |
| Tranche B1 Term Loan |
| 02/14/2024 | 3.522% | | 381,198 | 382,151 |
| PQ Corp.(e),(f) |
| Tranche B1 Term Loan |
| 11/04/2022 | 5.476% | | 371,257 | 374,970 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 87 |
Portfolio of Investments (continued)
Variable Portfolio – Eaton Vance Floating-Rate Income Fund, June 30, 2017 (Unaudited)
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Trinseo Materials Operating SCA/Finance, Inc.(e),(f) |
| Tranche B Term Loan |
| 11/05/2021 | 4.476% | | 784,000 | 789,880 |
| Tronox Pigments BV(e),(f) |
| Term Loan |
| 03/19/2020 | 4.796% | | 779,670 | 783,568 |
| Univar USA, Inc.(e),(f) |
| Tranche B2 Term Loan |
| 07/01/2022 | 3.976% | | 417,589 | 417,785 |
| Zep, Inc.(e),(f) |
| Term Loan |
| 06/27/2022 | 5.226% | | 294,000 | 294,368 |
| Total | 8,231,013 |
| Construction Machinery 0.6% |
| CPM Acquisition Corp.(e),(f) |
| 1st Lien Term Loan |
| 04/11/2022 | 5.476% | | 171,913 | 173,632 |
| Doosan Bobcat, Inc.(e),(f) |
| Tranche B Term Loan |
| 05/18/2024 | 3.929% | | 374,063 | 374,904 |
| IES Global BV(e),(f) |
| Term Loan |
| 08/16/2019 | 7.296% | | 260,513 | 257,908 |
| Total | 806,444 |
| Consumer Cyclical Services 5.0% |
| AlixPartners LLP(e),(f) |
| Term Loan |
| 04/04/2024 | 4.296% | | 299,250 | 300,372 |
| Camelot US Acquisition 1 Co.(e),(f) |
| Term Loan |
| 10/03/2023 | 4.726% | | 322,566 | 324,296 |
| DTZ US Borrower LLC/AUS Holdco PTY Ltd.(e),(f) |
| 1st Lien Term Loan |
| 11/04/2021 | 4.447% | | 813,080 | 811,454 |
| Electro Rent Corp.(e),(f) |
| 1st Lien Term Loan |
| 01/31/2024 | 6.226% | | 199,000 | 200,120 |
| Garda World Security Corp.(e),(f) |
| Tranche B Term Loan |
| 05/24/2024 | 5.226% | | 321,174 | 323,046 |
| IG Investments Holdings LLC(e),(f) |
| Term Loan |
| 10/31/2021 | 5.296% | | 781,673 | 787,051 |
| Monitronics International, Inc.(e),(f) |
| Tranche B2 Term Loan |
| 09/30/2022 | 6.796% | | 148,875 | 150,115 |
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| PFS Holding Corp.(e),(f) |
| 1st Lien Term Loan |
| 01/31/2021 | 4.730% | | 193,500 | 180,599 |
| Protection 1 Security Solutions(e),(f) |
| Tranche B1 1st Lien Term Loan |
| 05/02/2022 | 3.974% | | 447,940 | 447,662 |
| Realogy Group LLC(e),(f) |
| Tranche B Term Loan |
| 07/20/2022 | 3.476% | | 291,575 | 292,304 |
| ServiceMaster Co. LLC (The)(e),(f) |
| Tranche C Term Loan |
| 11/08/2023 | 3.726% | | 1,442,750 | 1,448,463 |
| Spin Holdco(e),(f) |
| Tranche B1 1st Lien Term Loan |
| 11/14/2022 | 4.966% | | 445,443 | 442,548 |
| TransUnion LLC(e),(f) |
| Tranche B2 Term Loan |
| 04/09/2023 | 3.726% | | 493,632 | 496,451 |
| U.S. Anesthesia Partners, Inc.(e),(f),(i) |
| 1st Lien Term Loan |
| 06/23/2024 | 4.466% | | 400,000 | 400,000 |
| Weight Watchers International, Inc.(e),(f) |
| Tranche B2 Term Loan |
| 04/02/2020 | 4.377% | | 482,209 | 463,890 |
| Total | 7,068,371 |
| Consumer Products 2.3% |
| Bombardier Recreational Products, Inc.(e),(f) |
| Tranche B Term Loan |
| 06/30/2023 | 4.230% | | 671,625 | 674,701 |
| KIK Custom Products, Inc.(e),(f) |
| Term Loan |
| 08/26/2022 | 5.793% | | 209,982 | 211,775 |
| Nature’s Bounty Co. (The)(e),(f) |
| Tranche B1 Term Loan |
| 05/05/2023 | 4.796% | | 743,015 | 743,416 |
| Prestige Brands, Inc.(e),(f) |
| Tranche B4 Term Loan |
| 01/26/2024 | 3.976% | | 963,821 | 967,300 |
| Serta Simmons Holdings, LLC(e),(f) |
| 1st Lien Term Loan |
| 11/08/2023 | 4.586% | | 673,312 | 672,255 |
| Total | 3,269,447 |
| Diversified Manufacturing 4.4% |
| Accudyne Industries Borrower SCA/LLC(e),(f) |
| Term Loan |
| 12/13/2019 | 4.226% | | 581,738 | 576,555 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 88 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Eaton Vance Floating-Rate Income Fund, June 30, 2017 (Unaudited)
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Ameriforge Group, Inc.(e),(f) |
| Term Loan |
| 06/08/2022 | 9.296% | | 90,253 | 90,253 |
| Apex Tool Group LLC(e),(f) |
| Term Loan |
| 01/31/2020 | 4.500% | | 470,842 | 458,190 |
| Bright Bidco BV(e),(f),(i) |
| Term Loan |
| 04/17/2023 | 5.648% | | 175,000 | 177,450 |
| Filtration Group Corp.(e),(f) |
| 1st Lien Term Loan |
| 11/23/2020 | 0.000% | | 300,000 | 300,438 |
| Gardner Denver, Inc.(e),(f) |
| Term Loan |
| 07/30/2020 | 4.546% | | 831,802 | 832,618 |
| Milacron LLC(e),(f) |
| Tranche B Term Loan |
| 09/28/2023 | 4.226% | | 422,875 | 423,403 |
| MTS Systems Corp.(e),(f) |
| Tranche B Term Loan |
| 07/05/2023 | 5.330% | | 198,500 | 199,989 |
| Pelican Products, Inc.(e),(f) |
| 1st Lien Term Loan |
| 04/10/2020 | 5.546% | | 289,589 | 290,072 |
| Rexnord LLC(e),(f) |
| Tranche B Term Loan |
| 08/21/2023 | 3.971% | | 1,001,115 | 1,000,835 |
| STS Operating, Inc.(e),(f) |
| Term Loan |
| 02/12/2021 | 4.959% | | 233,581 | 234,165 |
| Travelport Finance SARL(e),(f) |
| Tranche C Term Loan |
| 09/02/2021 | 4.432% | | 287,610 | 287,970 |
| Wash Multifamily Parent, Inc.(e),(f) |
| 1st Lien Term Loan |
| 05/16/2022 | 4.476% | | 168,401 | 168,401 |
| 05/16/2022 | 4.476% | | 29,080 | 29,080 |
| Welbilt, Inc.(e),(f) |
| Tranche B Term Loan |
| 03/03/2023 | 4.226% | | 125,385 | 126,482 |
| Zekelman Industries, Inc.(e),(f) |
| Term Loan |
| 06/14/2021 | 4.789% | | 1,007,008 | 1,011,791 |
| Total | 6,207,692 |
| Electric 1.1% |
| Calpine Corp.(e),(f) |
| Term Loan |
| 01/15/2024 | 4.050% | | 1,282,646 | 1,279,645 |
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Eastern Power LLC(e),(f) |
| Term Loan |
| 10/02/2023 | 5.226% | | 180,376 | 179,429 |
| Southcross Holdings Borrower LP(e) |
| Tranche B Term Loan PIK |
| 04/13/2023 | 3.500% | | 45,146 | 39,277 |
| Talen Energy Supply LLC(e),(f) |
| Term Loan |
| 04/15/2024 | 5.226% | | 124,625 | 115,357 |
| Total | 1,613,708 |
| Environmental 0.6% |
| Advanced Disposal Services, Inc.(e),(f) |
| Term Loan |
| 11/10/2023 | 3.939% | | 317,958 | 318,925 |
| EnergySolutions LLC(e),(f) |
| Term Loan |
| 05/29/2020 | 6.980% | | 556,500 | 559,282 |
| Total | 878,207 |
| Finance Companies 0.5% |
| FinCo I LLC(e),(f),(i) |
| Term Loan |
| 06/10/2022 | 3.986% | | 200,000 | 201,084 |
| Freedom Mortgage Corp.(e),(f),(i) |
| Term Loan |
| 02/23/2022 | 6.862% | | 373,281 | 377,947 |
| LSF9 Atlantis Holdings LLC(e),(f) |
| Term Loan |
| 05/01/2023 | 7.060% | | 150,000 | 151,376 |
| Total | 730,407 |
| Food and Beverage 4.0% |
| B&G Foods, Inc.(e),(f) |
| Tranche B2 Term Loan |
| 11/02/2022 | 3.476% | | 853,480 | 856,817 |
| Blue Buffalo Pet Products, Inc.(e),(f) |
| Term Loan |
| 05/27/2024 | 3.216% | | 150,000 | 151,000 |
| Centerplate, Inc.(e),(f) |
| Tranche A Term Loan |
| 11/26/2019 | 4.978% | | 383,856 | 382,416 |
| Del Monte Foods, Inc.(e),(f) |
| 1st Lien Term Loan |
| 02/18/2021 | 4.435% | | 489,873 | 393,123 |
| Dole Food Co., Inc.(e),(f) |
| Tranche B Term Loan |
| 04/06/2024 | 4.153% | | 275,000 | 275,344 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 89 |
Portfolio of Investments (continued)
Variable Portfolio – Eaton Vance Floating-Rate Income Fund, June 30, 2017 (Unaudited)
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Flavors Holdings, Inc.(e),(f) |
| Tranche B 1st Lien Term Loan |
| 04/03/2020 | 7.046% | | 265,385 | 247,691 |
| HLF Financing SARL(e),(f) |
| Term Loan |
| 02/15/2023 | 6.726% | | 245,312 | 247,766 |
| Jacobs Douwe Egberts International BV(e),(f) |
| Tranche B5 Term Loan |
| 07/04/2022 | 3.438% | | 125,000 | 125,391 |
| JBS USA Lux SA(e),(f) |
| Term Loan |
| 10/30/2022 | 5.750% | | 972,562 | 947,276 |
| Nomad Foods LLC(e),(f) |
| Tranche B2 Term Loan |
| 05/15/2024 | 3.909% | | 100,000 | 100,156 |
| Pinnacle Foods Finance LLC(e),(f) |
| Term Loan |
| 02/02/2024 | 3.076% | | 1,119,375 | 1,122,353 |
| Post Holdings, Inc.(e),(f) |
| Tranche A Term Loan |
| 05/24/2024 | 3.470% | | 275,000 | 275,195 |
| TKC Holdings, Inc.(e),(f) |
| 1st Lien Term Loan |
| 02/01/2023 | 5.376% | | 149,625 | 149,205 |
| US Foods, Inc.(e),(f) |
| Term Loan |
| 06/27/2023 | 3.980% | | 397,990 | 399,451 |
| Total | 5,673,184 |
| Foreign Agencies 0.3% |
| CITGO Holding, Inc.(e),(f) |
| Term Loan |
| 05/12/2018 | 9.796% | | 138,241 | 140,185 |
| CITGO Petroleum Corp.(e),(f) |
| Tranche B Term Loan |
| 07/29/2021 | 4.796% | | 248,087 | 248,087 |
| Total | 388,272 |
| Gaming 1.3% |
| Amaya Holdings BV(e),(f) |
| Tranche B3 1st Lien Term Loan |
| 08/01/2021 | 4.796% | | 611,269 | 611,825 |
| Boyd Gaming Corp.(e),(f) |
| Tranche B Term Loan |
| 09/15/2023 | 3.688% | | 173,870 | 174,197 |
| Caesars Entertainment Operating Co., Inc.(e),(j) |
| Tranche B6 Term Loan |
| 03/01/2017 | 0.000% | | 471,986 | 560,337 |
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Eldorado Resorts, Inc.(e),(f) |
| Term Loan |
| 04/17/2024 | 3.375% | | 199,500 | 197,754 |
| MGM Growth Properties Operating Partnership LP(e),(f) |
| Term Loan |
| 04/25/2023 | 3.476% | | 296,250 | 296,511 |
| Total | 1,840,624 |
| Health Care 8.6% |
| Alere, Inc.(e),(f) |
| Tranche B Term Loan |
| 06/20/2022 | 4.480% | | 496,203 | 497,091 |
| Auris Luxembourg III SARL(e),(f) |
| Tranche B7 Term Loan |
| 01/17/2022 | 4.296% | | 494,949 | 495,568 |
| CareCore National LLC(e),(f) |
| Term Loan |
| 03/05/2021 | 5.226% | | 524,086 | 529,327 |
| Change Healthcare Holdings, Inc.(e),(f) |
| Term Loan |
| 03/01/2024 | 3.976% | | 1,047,375 | 1,046,935 |
| CHG Healthcare Services, Inc.(e),(f) |
| 1st Lien Term Loan |
| 06/07/2023 | 4.422% | | 321,062 | 324,006 |
| CHS/Community Health Systems, Inc.(e),(f) |
| Tranche G Term Loan |
| 12/31/2019 | 3.952% | | 664,531 | 663,280 |
| Tranche H Term Loan |
| 01/27/2021 | 4.202% | | 303,094 | 302,413 |
| Concentra, Inc.(e),(f) |
| Tranche B 1st Lien Term Loan |
| 06/01/2022 | 4.211% | | 288,494 | 287,773 |
| CPI Holdco LLC(e),(f),(i) |
| 1st Lien Term Loan |
| 03/21/2024 | 5.300% | | 299,750 | 300,874 |
| Envision Healthcare Corp.(e),(f),(i) |
| Term Loan |
| 12/01/2023 | 4.300% | | 1,095,375 | 1,099,756 |
| Genoa, a QoL Healthcare Co. LLC(e),(f) |
| 1st Lien Term Loan |
| 10/30/2023 | 4.976% | | 272,937 | 273,688 |
| Greatbatch Ltd.(e),(f) |
| Tranche B Term Loan |
| 10/27/2022 | 4.710% | | 424,573 | 425,846 |
| Inventiv Group Holdings, Inc.(e),(f) |
| Term Loan |
| 11/09/2023 | 4.952% | | 348,250 | 348,685 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 90 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Eaton Vance Floating-Rate Income Fund, June 30, 2017 (Unaudited)
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Jaguar Holding Co. I LLC(e),(f) |
| Term Loan |
| 08/18/2022 | 4.013% | | 959,592 | 959,765 |
| Kindred Healthcare, Inc.(e),(f) |
| Term Loan |
| 04/09/2021 | 4.688% | | 1,167,010 | 1,169,928 |
| Kinetic Concepts, Inc.(e),(f) |
| Term Loan |
| 02/02/2024 | 4.546% | | 425,000 | 422,697 |
| Millennium Health LLC(e),(f) |
| Term Loan |
| 12/21/2020 | 7.726% | | 91,326 | 54,720 |
| MPH Acquisition Holdings LLC(e),(f) |
| Term Loan |
| 06/07/2023 | 4.228% | | 1,008,288 | 1,007,501 |
| Onex Carestream Finance LP(e),(f) |
| 1st Lien Term Loan |
| 06/07/2019 | 5.275% | | 132,876 | 132,046 |
| Opal Acquisition, Inc.(e),(f) |
| Tranche B Term Loan |
| 11/27/2020 | 5.236% | | 290,235 | 268,650 |
| Ortho-Clinical Diagnostics Holdings SARL(e),(f) |
| Term Loan |
| 06/30/2021 | 0.000% | | 497,442 | 494,234 |
| Select Medical Corp.(e),(f) |
| Tranche B Term Loan |
| 03/06/2024 | 4.650% | | 249,375 | 251,091 |
| Surgery Center Holdings, Inc.(e),(f),(i) |
| Term Loan |
| 06/20/2024 | 0.000% | | 550,000 | 551,721 |
| Team Health Holdings, Inc.(e),(f) |
| Term Loan |
| 02/06/2024 | 3.976% | | 324,187 | 321,250 |
| Total | 12,228,845 |
| Healthcare REIT 0.3% |
| Quality Care Properties, Inc.(e),(f) |
| 1st Lien Term Loan |
| 10/31/2022 | 6.476% | | 398,000 | 399,493 |
| Independent Energy 0.8% |
| MEG Energy Corp.(e),(f) |
| Term Loan |
| 12/31/2023 | 4.696% | | 659,676 | 641,951 |
| Sheridan Investment Partners I LLC(e),(f) |
| Tranche B2 Term Loan |
| 10/01/2019 | 4.730% | | 367,207 | 308,454 |
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Sheridan Production Partners I-A LP(e),(f) |
| Tranche B2 Term Loan |
| 10/01/2019 | 4.730% | | 48,658 | 40,873 |
| Sheridan Production Partners I-M LP(e),(f) |
| Tranche B2 Term Loan |
| 10/01/2019 | 4.730% | | 29,721 | 24,965 |
| Ultra Resources, Inc.(e),(f) |
| Term Loan |
| 04/12/2024 | 4.117% | | 200,000 | 198,500 |
| Total | 1,214,743 |
| Leisure 1.3% |
| AMC Entertainment Holdings, Inc.(e),(f) |
| Term Loan |
| 12/15/2022 | 3.459% | | 320,125 | 320,698 |
| 12/15/2023 | 3.466% | | 74,813 | 74,925 |
| ClubCorp Club Operations, Inc.(e),(f) |
| Tranche B Term Loan |
| 12/15/2022 | 4.046% | | 265,222 | 266,715 |
| Delta 2 SARL(e),(f),(i) |
| Tranche B3 Term Loan |
| 02/01/2024 | 0.000% | | 500,000 | 500,105 |
| Seaworld Parks & Entertainment, Inc.(e),(f) |
| Tranche B5 Term Loan |
| 04/01/2024 | 4.296% | | 483,200 | 481,871 |
| UFC Holdings LLC(e),(f) |
| 1st Lien Term Loan |
| 08/18/2023 | 4.470% | | 198,500 | 198,784 |
| Total | 1,843,098 |
| Life Insurance 0.2% |
| AssuredPartners, Inc.(e),(f) |
| Term Loan |
| 10/21/2022 | 4.726% | | 321,346 | 321,012 |
| Lodging 1.5% |
| CityCenter Holdings LLC(e),(f) |
| Tranche B Term Loan |
| 04/18/2024 | 3.716% | | 325,000 | 325,315 |
| Hilton Worldwide Finance LLC(e),(f) |
| Tranche B2 Term Loan |
| 10/25/2023 | 3.216% | | 1,422,510 | 1,426,223 |
| Playa Resorts Holding BV(e),(f) |
| Term Loan |
| 04/29/2024 | 4.170% | | 400,000 | 399,812 |
| Total | 2,151,350 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 91 |
Portfolio of Investments (continued)
Variable Portfolio – Eaton Vance Floating-Rate Income Fund, June 30, 2017 (Unaudited)
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Media and Entertainment 4.5% |
| ALM Media LLC(e),(f) |
| Tranche B 1st Lien Term Loan |
| 07/31/2020 | 5.796% | | 325,937 | 296,603 |
| CBS Radio, Inc.(e),(f) |
| Tranche B Term Loan |
| 10/17/2023 | 4.716% | | 180,132 | 180,357 |
| CBS Radio, Inc.(e),(f),(i) |
| Tranche B1 Term Loan |
| 10/17/2023 | 0.000% | | 75,000 | 75,329 |
| Cumulus Media Holdings, Inc.(e),(f) |
| Term Loan |
| 12/23/2020 | 4.480% | | 800,000 | 644,800 |
| Emerald Expositions Holding, Inc.(e),(f) |
| Term Loan |
| 05/22/2024 | 4.296% | | 175,000 | 175,875 |
| Entercom Radio LLC(e),(f) |
| Tranche B Term Loan |
| 11/01/2023 | 4.703% | | 143,125 | 143,626 |
| Extreme Reach, Inc.(e),(f) |
| 1st Lien Term Loan |
| 02/07/2020 | 7.550% | | 453,055 | 451,641 |
| Getty Images, Inc.(e),(f) |
| Term Loan |
| 10/18/2019 | 4.796% | | 781,586 | 718,574 |
| iHeartCommunications, Inc.(e),(f) |
| Tranche E Term Loan |
| 07/30/2019 | 8.726% | | 300,000 | 244,125 |
| Intelsat Jackson Holdings SA(e),(f) |
| Tranche B2 Term Loan |
| 06/30/2019 | 4.000% | | 1,100,000 | 1,089,858 |
| Match Group, Inc.(e),(f) |
| Tranche B1 Term Loan |
| 11/16/2022 | 4.367% | | 76,562 | 76,754 |
| Mission Broadcasting, Inc.(e),(f) |
| Tranche B Term Loan |
| 01/17/2024 | 4.246% | | 46,400 | 46,475 |
| Nexstar Broadcasting, Inc.(e),(f) |
| Tranche B Term Loan |
| 01/17/2024 | 4.238% | | 469,600 | 470,356 |
| Raycom TV Broadcasting LLC(e),(f) |
| Tranche B Term Loan |
| 08/04/2021 | 4.226% | | 919,742 | 919,742 |
| Townsquare Media, Inc.(e),(f) |
| Tranche B Term Loan |
| 04/01/2022 | 4.296% | | 684,379 | 684,379 |
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Univision Communications, Inc.(e),(f) |
| 1st Lien Term Loan |
| 03/15/2024 | 3.976% | | 223,793 | 219,223 |
| Total | 6,437,717 |
| Metals and Mining 0.6% |
| Fairmount Santrol, Inc.(e),(f) |
| Tranche B2 Term Loan |
| 09/05/2019 | 4.796% | | 459,317 | 432,676 |
| Murray Energy Corp.(e),(f) |
| Tranche B2 Term Loan |
| 04/16/2020 | 8.546% | | 152,627 | 148,811 |
| Neenah Foundry Co.(e),(f) |
| Term Loan |
| 04/26/2019 | 7.751% | | 344,233 | 339,070 |
| Total | 920,557 |
| Midstream 0.2% |
| Energy Transfer Equity LP(e),(f) |
| Term Loan |
| 02/02/2024 | 3.826% | | 232,353 | 231,047 |
| Oil Field Services 0.9% |
| Bronco Midstream Funding LLC(e),(f) |
| Term Loan |
| 08/17/2020 | 5.172% | | 287,503 | 289,659 |
| EagleClaw Midstream Ventures(e),(f) |
| Term Loan |
| 06/06/2024 | 0.000% | | 125,000 | 123,438 |
| Fieldwood Energy LLC(e),(f) |
| Term Loan |
| 10/01/2018 | 4.171% | | 390,177 | 374,082 |
| Paragon Offshore Finance Co.(e),(f) |
| Term Loan |
| 07/16/2021 | 6.000% | | 666,562 | 254,960 |
| Sonneborn Dutch Holdings BV(e),(f) |
| Term Loan |
| 12/10/2020 | 4.976% | | 44,833 | 45,281 |
| Sonneborn LLC(e),(f) |
| Term Loan |
| 12/10/2020 | 4.976% | | 254,051 | 256,592 |
| Total | 1,344,012 |
| Other Financial Institutions 2.9% |
| Altisource Solutions SARL(e),(f) |
| Tranche B Term Loan |
| 12/09/2020 | 0.000% | | 169,811 | 146,321 |
| Citco III Ltd.(e),(f) |
| Term Loan |
| 03/31/2022 | 4.226% | | 1,278,653 | 1,286,645 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 92 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Eaton Vance Floating-Rate Income Fund, June 30, 2017 (Unaudited)
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Corporate Capital Trust, Inc.(e),(f) |
| Tranche B Term Loan |
| 05/20/2019 | 4.563% | | 749,813 | 757,311 |
| Focus Financial Partners LLC(e),(f),(i) |
| Term Loan |
| 03/07/2024 | 0.000% | | 175,000 | 176,094 |
| MediArena Acquisition BV(e),(f) |
| Tranche B 1st Lien Term Loan |
| 08/13/2021 | 6.898% | | 340,375 | 318,533 |
| NFP Corp.(e),(f) |
| Tranche B Term Loan |
| 01/08/2024 | 4.796% | | 323,999 | 324,504 |
| PGX Holdings, Inc.(e),(f) |
| 1st Lien Term Loan |
| 09/29/2020 | 6.480% | | 401,705 | 400,532 |
| Tecostar Holdings, Inc.(e),(f) |
| 1st Lien Term Loan |
| 05/01/2024 | 4.922% | | 125,000 | 124,896 |
| Walter Investment Management Corp.(e),(f) |
| Tranche B Term Loan |
| 12/18/2020 | 4.976% | | 621,115 | 562,109 |
| Total | 4,096,945 |
| Other Industry 2.5% |
| Generac Power Systems, Inc.(e),(f) |
| Term Loan |
| 05/31/2023 | 3.398% | | 584,277 | 583,792 |
| Husky Injection Molding Systems Ltd.(e),(f) |
| Term Loan |
| 06/30/2021 | 4.476% | | 431,221 | 432,786 |
| KUEHG Corp.(e),(f) |
| Tranche B2 Term Loan |
| 08/12/2022 | 5.046% | | 370,137 | 371,758 |
| Nord Anglia Education Finance Ltd.(e),(f) |
| Term Loan |
| 03/31/2021 | 4.702% | | 679,000 | 681,974 |
| RE/MAX LLC(e),(f) |
| Term Loan |
| 12/15/2023 | 4.046% | | 1,050,099 | 1,051,412 |
| Uber Technologies, Inc.(e),(f) |
| Term Loan |
| 07/13/2023 | 5.216% | | 521,062 | 520,901 |
| Total | 3,642,623 |
| Other REIT 0.5% |
| ESH Hospitality, Inc.(e),(f) |
| Term Loan |
| 08/30/2023 | 3.726% | | 694,759 | 697,190 |
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Other Utility 0.5% |
| EWT Holdings III Corp.(e),(f) |
| 1st Lien Term Loan |
| 01/15/2021 | 5.046% | | 497,422 | 499,288 |
| Lightstone Holdco LLC(e),(f) |
| Tranche B Term Loan |
| 01/30/2024 | 5.726% | | 234,330 | 227,886 |
| Tranche C Term Loan |
| 01/30/2024 | 5.726% | | 14,493 | 14,094 |
| Total | 741,268 |
| Packaging 2.2% |
| Berry Global Group, Inc.(e),(f) |
| Tranche I Term Loan |
| 10/01/2022 | 3.681% | | 763,399 | 763,826 |
| BWAY Holding Co.(e),(f) |
| Term Loan |
| 04/03/2024 | 4.326% | | 150,000 | 149,919 |
| Consolidated Container Co. LLC(e),(f) |
| 1st Lien Term Loan |
| 05/22/2024 | 4.726% | | 75,000 | 75,297 |
| Expera Specialty Solutions LLC(e),(f) |
| Tranche B Term Loan |
| 11/03/2023 | 5.976% | | 148,875 | 149,061 |
| Novolex (e),(f) |
| Term Loan |
| 12/29/2023 | 4.398% | | 500,000 | 501,145 |
| Reynolds Group Holdings, Inc.(e),(f) |
| Term Loan |
| 02/05/2023 | 4.226% | | 1,487,880 | 1,488,966 |
| Total | 3,128,214 |
| Pharmaceuticals 3.3% |
| Amneal Pharmaceuticals LLC(e),(f) |
| Tranche B Term Loan |
| 11/01/2019 | 4.796% | | 576,270 | 579,630 |
| Arbor Pharmaceuticals LLC(e),(f) |
| Term Loan |
| 07/05/2023 | 6.296% | | 245,313 | 247,459 |
| Endo Finance Co. I SARL(e),(f) |
| Term Loan |
| 04/29/2024 | 5.500% | | 775,000 | 781,781 |
| Grifols Worldwide Operations Ltd.(e),(f) |
| Tranche B Term Loan |
| 01/31/2025 | 3.436% | | 523,688 | 524,039 |
| Horizon Pharma, Inc.(e),(f) |
| Term Loan |
| 03/29/2024 | 4.875% | | 399,000 | 399,898 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 93 |
Portfolio of Investments (continued)
Variable Portfolio – Eaton Vance Floating-Rate Income Fund, June 30, 2017 (Unaudited)
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Indivior Finance SARL(e),(f) |
| Term Loan |
| 12/19/2019 | 9.250% | | 239,323 | 240,558 |
| Mallinckrodt International Finance SA(e),(f) |
| Tranche B Term Loan |
| 09/24/2024 | 4.046% | | 224,438 | 223,755 |
| Patheon Holdings I BV(e),(f) |
| Tranche B Term Loan |
| 04/22/2024 | 4.504% | | 425,000 | 425,531 |
| Valeant Pharmaceuticals International, Inc.(e),(f) |
| Tranche BF Term Loan |
| 04/01/2022 | 5.830% | | 1,242,462 | 1,258,776 |
| Total | 4,681,427 |
| Property & Casualty 1.2% |
| Alliant Holdings Intermediate LLC(e),(f) |
| Term Loan |
| 08/12/2022 | 4.417% | | 269,502 | 268,963 |
| AmWINS Group, Inc.(e),(f) |
| 1st Lien Term Loan |
| 01/25/2024 | 4.130% | | 348,250 | 348,034 |
| Asurion LLC(e),(f) |
| 2nd Lien Term Loan |
| 03/03/2021 | 8.726% | | 525,000 | 526,969 |
| Tranche B5 Term Loan |
| 11/03/2023 | 4.226% | | 268,837 | 270,181 |
| USI, Inc.(e),(f) |
| Term Loan |
| 05/16/2024 | 4.180% | | 350,000 | 347,375 |
| Total | 1,761,522 |
| Refining 0.2% |
| Seadrill Operating LP(e),(f) |
| Term Loan |
| 02/21/2021 | 4.296% | | 463,864 | 295,018 |
| Restaurants 1.3% |
| Burger King/Tim Hortons(e),(f) |
| Tranche B3 Term Loan |
| 02/16/2024 | 3.503% | | 919,912 | 917,328 |
| Landry’s, Inc.(e),(f) |
| Tranche B Term Loan |
| 10/04/2023 | 3.913% | | 668,688 | 666,180 |
| NPC International, Inc.(e),(f) |
| 1st Lien Term Loan |
| 04/19/2024 | 4.716% | | 150,000 | 151,032 |
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Yum! Brands, Inc.(e),(f) |
| Tranche B Term Loan |
| 06/16/2023 | 3.209% | | 148,877 | 149,286 |
| Total | 1,883,826 |
| Retailers 2.9% |
| Ascena Retail Group, Inc.(e),(f) |
| Tranche B Term Loan |
| 08/21/2022 | 5.625% | | 207,882 | 174,101 |
| Bass Pro Group LLC(e),(f) |
| Term Loan |
| 12/15/2023 | 6.296% | | 200,000 | 194,100 |
| BJ’s Wholesale Club, Inc.(e),(f) |
| Tranche B 1st Lien Term Loan |
| 02/03/2024 | 4.968% | | 150,000 | 145,172 |
| Evergreen Acqco 1 LP(e),(f) |
| Term Loan |
| 07/09/2019 | 5.000% | | 641,330 | 603,921 |
| Harbor Freight Tools USA, Inc.(e),(f) |
| Term Loan |
| 08/18/2023 | 4.476% | | 347,125 | 346,737 |
| Hoya Midco LLC Term Loan(e),(f),(h) |
| Term Loan |
| 06/27/2024 | 0.000% | | 175,000 | 175,219 |
| J. Crew Group, Inc.(e),(f) |
| Term Loan |
| 03/05/2021 | 4.246% | | 489,899 | 290,128 |
| Men’s Wearhouse, Inc. (The)(e),(f) |
| Tranche B Term Loan |
| 06/18/2021 | 4.613% | | 310,626 | 296,843 |
| Party City Holdings, Inc.(e),(f) |
| Term Loan |
| 08/19/2022 | 4.188% | | 432,902 | 433,136 |
| PetSmart, Inc.(e),(f) |
| Tranche B2 Term Loan |
| 03/11/2022 | 4.220% | | 591,936 | 549,843 |
| Rite Aid Corp.(e),(f) |
| Tranche 1 2nd Lien Term Loan |
| 08/21/2020 | 5.980% | | 425,000 | 428,187 |
| Tranche 2 2nd Lien Term Loan |
| 06/21/2021 | 5.105% | | 500,000 | 501,250 |
| Total | 4,138,637 |
| Supermarkets 0.9% |
| Albertsons LLC(e),(f) |
| Tranche B4 Term Loan |
| 08/25/2021 | 3.976% | | 390,484 | 385,213 |
| Tranche B5 Term Loan |
| 12/21/2022 | 4.293% | | 796,005 | 786,604 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 94 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Eaton Vance Floating-Rate Income Fund, June 30, 2017 (Unaudited)
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Tranche B6 Term Loan |
| 06/22/2023 | 4.251% | | 171,000 | 168,934 |
| Total | 1,340,751 |
| Technology 15.0% |
| Ancestry.com Operations, Inc.(e),(f) |
| 1st Lien Term Loan |
| 10/19/2023 | 4.340% | | 321,750 | 322,821 |
| Answers Finance LLC(e),(f) |
| 2nd Lien Term Loan |
| 09/15/2021 | 9.000% | | 117,465 | 113,941 |
| Applied Systems, Inc.(e),(f) |
| 1st Lien Term Loan |
| 01/25/2021 | 4.546% | | 1,089,793 | 1,096,146 |
| Aptean, Inc.(e),(f),(i) |
| 1st Lien Term Loan |
| 12/09/2022 | 5.550% | | 399,125 | 399,999 |
| Ascend Learning LLC(e),(f) |
| 1st Lien Term Loan |
| 07/31/2019 | 5.726% | | 1,011,885 | 1,011,885 |
| Tranche B Term Loan |
| 06/28/2024 | 4.545% | | 175,000 | 174,125 |
| Auction.com LLC(e),(f) |
| Term Loan |
| 05/12/2019 | 6.230% | | 586,500 | 590,166 |
| Avast Holding BV(e),(f) |
| Term Loan |
| 09/30/2023 | 4.546% | | 292,547 | 295,153 |
| Campaign Monitor Finance Propriety Ltd.(e),(f) |
| Term Loan |
| 03/18/2021 | 6.546% | | 286,575 | 264,008 |
| Cypress Intermediate Holdings III, Inc.(e),(f) |
| 1st Lien Term Loan |
| 04/29/2024 | 4.230% | | 200,000 | 199,150 |
| Cypress Semiconductor Corp.(e),(f) |
| Term Loan |
| 07/05/2021 | 4.840% | | 168,438 | 169,953 |
| EIG Investors Corp.(e),(f),(i) |
| Term Loan |
| 02/09/2023 | 5.242% | | 822,125 | 823,835 |
| Electrical Components International, Inc.(e),(f) |
| Term Loan |
| 05/28/2021 | 6.046% | | 511,412 | 513,330 |
| Evergreen Skills SARL(e),(f) |
| 1st Lien Term Loan |
| 04/28/2021 | 5.976% | | 583,065 | 550,267 |
| Excelitas Technologies Corp.(e),(f) |
| Tranche B Term Loan |
| 11/02/2020 | 6.300% | | 292,111 | 291,381 |
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| First Data Corp.(e),(f) |
| Term Loan |
| 07/08/2022 | 3.466% | | 91,619 | 91,433 |
| 04/26/2024 | 3.716% | | 893,837 | 893,515 |
| Global Eagle Entertainment, Inc.(e),(f) |
| Term Loan |
| 01/06/2023 | 8.322% | | 173,906 | 152,864 |
| Global Payments, Inc.(e),(f) |
| Tranche B2 Term Loan |
| 04/21/2023 | 3.226% | | 51,514 | 51,643 |
| Go Daddy Operating Co. LLC(e),(f) |
| Term Loan |
| 02/15/2024 | 3.726% | | 849,087 | 850,573 |
| Hyland Software, Inc.(e),(f) |
| Tranche 1 1st Lien Term Loan |
| 07/01/2022 | 4.476% | | 605,940 | 609,273 |
| Infoblox, Inc.(e),(f) |
| 1st Lien Term Loan |
| 11/07/2023 | 6.226% | | 270,000 | 271,350 |
| Infor US, Inc.(e),(f) |
| Tranche B6 Term Loan |
| 02/01/2022 | 4.046% | | 1,131,658 | 1,123,782 |
| Informatica Corp.(e),(f) |
| Term Loan |
| 08/05/2022 | 4.796% | | 793,949 | 792,956 |
| Information Resources, Inc.(e),(f) |
| 1st Lien Term Loan |
| 01/18/2024 | 5.466% | | 274,313 | 274,998 |
| ION Trading Technologies SARL(e),(f) |
| Tranche B1 1st Lien Term Loan |
| 08/11/2023 | 4.046% | | 827,416 | 819,663 |
| IPC Corp.(e),(f) |
| Tranche B1 1st Lien Term Loan |
| 08/06/2021 | 5.672% | | 293,250 | 277,121 |
| Kronos, Inc.(e),(f) |
| 1st Lien Term Loan |
| 11/01/2023 | 4.680% | | 870,630 | 875,854 |
| MA FinanceCo LLC(e),(f) |
| Tranche B2 Term Loan |
| 11/19/2021 | 3.672% | | 490,083 | 489,167 |
| Tranche B3 Term Loan |
| 06/21/2024 | 3.964% | | 77,387 | 77,484 |
| MACOM Technology Solutions Holdings, Inc.(e),(f) |
| Term Loan |
| 05/17/2024 | 3.459% | | 736,399 | 733,027 |
| Micro Holding Corp.(e),(f) |
| 1st Lien Term Loan |
| 07/08/2021 | 4.976% | | 64,374 | 64,777 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 95 |
Portfolio of Investments (continued)
Variable Portfolio – Eaton Vance Floating-Rate Income Fund, June 30, 2017 (Unaudited)
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Micro Holding Corp.(e),(f),(g),(i) |
| Delayed Draw Term Loan |
| 07/08/2021 | 4.750% | | 35,294 | 35,515 |
| Misys Ltd.(e),(f) |
| 1st Lien Term Loan |
| 06/13/2024 | 4.736% | | 425,000 | 424,843 |
| ProQuest LLC(e),(f) |
| Term Loan |
| 10/24/2021 | 5.476% | | 440,900 | 442,280 |
| Renaissance Learning, Inc.(e),(f) |
| 1st Lien Term Loan |
| 04/09/2021 | 5.046% | | 557,750 | 559,317 |
| Rocket Software, Inc.(e),(f) |
| 1st Lien Term Loan |
| 10/14/2023 | 5.546% | | 173,688 | 174,990 |
| Seattle SpinCo, Inc.(e),(f) |
| Term Loan |
| 06/21/2024 | 4.030% | | 522,613 | 523,266 |
| SGS Cayman LP(e),(f) |
| Term Loan |
| 04/23/2021 | 6.671% | | 91,132 | 85,892 |
| SS&C Technologies Holdings, Inc.(e),(f) |
| Tranche B1 Term Loan |
| 07/08/2022 | 3.476% | | 209,282 | 210,002 |
| Tranche B2 Term Loan |
| 07/08/2022 | 3.476% | | 12,694 | 12,738 |
| Sutherland Global Services, Inc.(e),(f) |
| Term Loan |
| 04/23/2021 | 6.671% | | 390,494 | 368,040 |
| Synchronoss Technologies, Inc.(e),(f) |
| Term Loan |
| 01/19/2024 | 4.082% | | 125,000 | 122,438 |
| Syniverse Holdings, Inc.(e),(f) |
| Tranche B Term Loan |
| 04/23/2019 | 4.296% | | 488,014 | 455,073 |
| Tempo Acquisition, LLC(e),(f) |
| Term Loan |
| 05/01/2024 | 4.060% | | 150,000 | 150,258 |
| Veritas US, Inc.(e),(f) |
| Tranche B Term Loan |
| 01/27/2023 | 5.796% | | 251,819 | 252,081 |
| VF Holdings Corp.(e),(f) |
| Tranche B1 1st Lien Term Loan |
| 06/30/2023 | 4.546% | | 546,372 | 545,575 |
| Wall Street Systems, Inc.(e),(f) |
| Term Loan |
| 08/26/2023 | 4.792% | | 497,500 | 499,679 |
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Western Digital Corp.(e),(f) |
| Tranche B2 Term Loan |
| 04/29/2023 | 3.976% | | 336,609 | 337,746 |
| Zebra Technologies Corp.(e),(f) |
| Term Loan |
| 10/27/2021 | 3.723% | | 850,267 | 852,605 |
| Total | 21,317,978 |
| Transportation Services 0.5% |
| Kenan Advantage Group Holdings Corp.(e),(f) |
| Term Loan |
| 07/29/2022 | 4.226% | | 270,870 | 271,040 |
| 07/29/2022 | 4.226% | | 82,372 | 82,424 |
| Stena International SA(e),(f) |
| Term Loan |
| 03/03/2021 | 4.300% | | 383,875 | 329,173 |
| Total | 682,637 |
| Wireless 0.7% |
| Digicel International Finance Ltd.(e),(f) |
| Tranche B 1st Lien Term Loan |
| 05/27/2024 | 4.940% | | 125,000 | 125,742 |
| Numericable US LLC(e),(f) |
| Tranche B11 Term Loan |
| 07/31/2025 | 3.944% | | 300,000 | 297,282 |
| Sprint Communications, Inc.(e),(f) |
| Term Loan |
| 02/02/2024 | 3.750% | | 548,625 | 548,510 |
| Total | 971,534 |
| Wirelines 1.4% |
| CenturyLink, Inc.(e),(f) |
| Tranche B Term Loan |
| 01/31/2025 | 1.375% | | 825,000 | 815,150 |
| Consolidated Communication(e),(f),(h) |
| Term Loan |
| 10/05/2023 | 0.000% | | 100,000 | 100,225 |
| Frontier Communications Corp.(e),(f) |
| Tranche B1 Term Loan |
| 06/15/2024 | 4.910% | | 300,000 | 295,473 |
| Level 3 Financing, Inc.(e),(f) |
| Tranche B Term Loan |
| 02/22/2024 | 3.466% | | 525,000 | 525,987 |
| Onvoy LLC(e),(f) |
| 1st Lien Term Loan |
| 02/10/2024 | 5.796% | | 249,375 | 249,998 |
| Total | 1,986,833 |
Total Senior Loans
(Cost $133,792,512) | 132,442,993 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 96 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Eaton Vance Floating-Rate Income Fund, June 30, 2017 (Unaudited)
| Money Market Funds 6.8% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(k),(l) | 9,661,653 | 9,661,653 |
Total Money Market Funds
(Cost $9,661,435) | 9,661,653 |
Total Investments
(Cost: $144,319,580) | 144,765,063 |
| Other Assets & Liabilities, Net | | (2,371,840) |
| Net Assets | 142,393,223 |
Notes to Portfolio of Investments
| (a) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2017, the value of these securities amounted to $2,639,557, which represents 1.85% of net assets. |
| (b) | Non-income producing investment. |
| (c) | Negligible market value. |
| (d) | Denotes a restricted security, which is subject to restrictions on resale under federal securities laws. These securities are valued at fair value determined in good faith under consistently applied procedures established by the Fund’s Board of Trustees. At June 30, 2017, the market value of these securities amounted to $1,967,865, which represents 1.38% of total net assets. Additional information on these securities is as follows: |
| Security | Acquisition
Dates | Shares | Cost ($) | Value ($) |
| IAP Worldwide Services, Inc. | 7/22/14-9/8/14 | 121 | 142,684 | 1,967,865 |
| (e) | Senior loans have interest rates that float periodically based primarily on the London Interbank Offered Rate (“LIBOR”) and other short-term rates. The interest rate shown reflects the weighted average coupon as of June 30, 2017. The interest rate shown for senior loans purchased on a when-issued or delayed delivery basis, if any, reflects an estimated average coupon. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted. |
| (f) | Variable rate security. |
| (g) | At June 30, 2017, the Fund had unfunded senior loan commitments pursuant to the terms of the loan agreement. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement. |
| Borrower | Unfunded Commitment ($) |
IAP Worldwide Services, Inc.
1st Lien Term Loan
6.250% | 678,751 |
Micro Holding Corp.
Delayed Draw Term Loan
4.750% | 35,294 |
| (h) | Represents a security purchased on a when-issued basis. |
| (i) | Represents a security purchased on a forward commitment basis. |
| (j) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2017, the value of these securities amounted to $560,337, which represents 0.39% of net assets. |
| (k) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (l) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 12,636,604 | 35,136,271 | (38,111,222) | 9,661,653 | (339) | 45,021 | 9,661,653 |
Abbreviation Legend
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 97 |
Portfolio of Investments (continued)
Variable Portfolio – Eaton Vance Floating-Rate Income Fund, June 30, 2017 (Unaudited)
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | — | — | 0* | — | 0* |
| Financials | — | — | 91,731 | — | 91,731 |
| Health Care | — | 30,689 | — | — | 30,689 |
| Industrials | — | 199,716 | 1,967,865 | — | 2,167,581 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 98 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Eaton Vance Floating-Rate Income Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Information Technology | — | 341,976 | — | — | 341,976 |
| Utilities | — | 28,440 | — | — | 28,440 |
| Total Common Stocks | — | 600,821 | 2,059,596 | — | 2,660,417 |
| Senior Loans | — | 125,383,969 | 7,059,024 | — | 132,442,993 |
| Money Market Funds | — | — | — | 9,661,653 | 9,661,653 |
| Total Investments | — | 125,984,790 | 9,118,620 | 9,661,653 | 144,765,063 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
There were no transfers of financial assets between Levels 1 and 2 during the period.
Financial assets were transferred from Level 2 to Level 3 due to utilizing a single market quotation from a broker dealer. As a result, management concluded that the market input(s) were generally unobservable.
Financial assets were transferred from Level 3 to Level 2 as observable market inputs were utilized and management determined that there was sufficient, reliable and observable market data to value these assets as of period end.
Transfers between Levels are determined based on the fair value at the beginning of the period for security positions held throughout the period.
The following table is a reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
| Investments in securities | Balance
as of
12/31/2016
($) | Increase
(decrease)
in accrued
discounts/
premiums
($) | Realized
gain (loss)
($) | Change
in unrealized
appreciation
(depreciation)(a)
($) | Purchases
($) | Sales
($) | Transfers
into
Level 3
($) | Transfers
out of
Level 3
($) | Balance
as of
06/30/2017
($) |
| Common Stocks | 2,171,273 | — | — | (93,677) | — | — | — | (18,000) | 2,059,596 |
| Corporate Bonds & Notes | — | (5,015) | (43,895) | 48,910 | — | — | — | — | — |
| Senior Loans | 8,211,984 | 12,933 | 32,889 | 40,496 | — | (2,327,405) | 2,758,517 | (1,670,390) | 7,059,024 |
| Total | 10,383,257 | 7,918 | (11,006) | (4,271) | — | (2,327,405) | 2,758,517 | (1,688,390) | 9,118,620 |
(a) Change in unrealized appreciation (depreciation) relating to securities held at June 30, 2017 was $(62,788), which is comprised of Senior Loans of $15,773 and Common Stocks of $(78,561).
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances.
Certain senior loans classified as Level 3 securities are valued using the market approach and utilize single market quotations from broker dealers which may have included, but were not limited to, observable transactions for identical or similar assets in the market and the distressed nature of the security. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, manual price reviews and other control procedures. Significant increases (decreases) to any of these inputs would result in a significantly lower (higher) valuation measurement.
Certain common stock classified as Level 3 securities are valued using the market approach. To determine fair value for these securities, management considered various factors which may have included, but were not limited to, estimated cash flows of the securities, discount rates observed in the market for similar assets as well as observed yields on securities management deemed comparable. Significant increases (decreases) to any of these inputs would result in a significantly lower (higher) fair value measurement. Generally, a change in observable yields on comparable securities would result in a directionally similar change to discount rates.
Fair value at
June 30, 2017 | Valuation technique | Unobservable input | Range(weighted average) |
| $1,967,865 | Market approach | Market multiple | 4.7x — 7.2x |
Certain common stocks classified as Level 3 are valued using an income approach. To determine fair value for these securities, management considered estimates of future distributions from the liquidation of the company assets. Significant increases (decreases) to any of these inputs would result in a significantly lower (higher) fair value measurement.
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 99 |
Portfolio of Investments
Variable Portfolio – Jennison Mid Cap Growth Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 95.9% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 19.3% |
| Auto Components 1.4% |
| Delphi Automotive PLC | 75,506 | 6,618,101 |
| Hotels, Restaurants & Leisure 4.9% |
| Aramark | 156,940 | 6,431,401 |
| Hilton Worldwide Holdings, Inc. | 145,036 | 8,970,477 |
| Norwegian Cruise Line Holdings Ltd.(a) | 96,264 | 5,226,172 |
| Vail Resorts, Inc. | 12,247 | 2,484,059 |
| Total | | 23,112,109 |
| Household Durables 1.5% |
| Mohawk Industries, Inc.(a) | 10,220 | 2,470,072 |
| Newell Brands, Inc. | 90,296 | 4,841,671 |
| Total | | 7,311,743 |
| Internet & Direct Marketing Retail 0.8% |
| Expedia, Inc. | 26,571 | 3,957,751 |
| Media 1.9% |
| AMC Networks, Inc., Class A(a) | 95,073 | 5,077,849 |
| Cinemark Holdings, Inc. | 104,040 | 4,041,954 |
| Total | | 9,119,803 |
| Multiline Retail 3.1% |
| Dollar General Corp. | 59,066 | 4,258,068 |
| Dollar Tree, Inc.(a) | 151,274 | 10,577,078 |
| Total | | 14,835,146 |
| Specialty Retail 5.2% |
| Advance Auto Parts, Inc. | 29,240 | 3,409,092 |
| AutoZone, Inc.(a) | 4,235 | 2,415,898 |
| Burlington Stores, Inc.(a) | 69,263 | 6,371,504 |
| Ross Stores, Inc. | 86,521 | 4,994,857 |
| Ulta Beauty, Inc.(a) | 26,948 | 7,743,238 |
| Total | | 24,934,589 |
| Textiles, Apparel & Luxury Goods 0.5% |
| Coach, Inc. | 51,913 | 2,457,561 |
| Total Consumer Discretionary | 92,346,803 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Consumer Staples 4.5% |
| Food & Staples Retailing 1.1% |
| Sprouts Farmers Market, Inc.(a) | 115,399 | 2,616,096 |
| US Foods Holding Corp.(a) | 100,483 | 2,735,147 |
| Total | | 5,351,243 |
| Food Products 1.9% |
| Hain Celestial Group, Inc. (The)(a) | 106,702 | 4,142,171 |
| TreeHouse Foods, Inc.(a) | 59,552 | 4,864,803 |
| Total | | 9,006,974 |
| Household Products 1.5% |
| Church & Dwight Co., Inc. | 90,676 | 4,704,271 |
| Clorox Co. (The) | 18,797 | 2,504,512 |
| Total | | 7,208,783 |
| Total Consumer Staples | 21,567,000 |
| Energy 2.0% |
| Energy Equipment & Services 0.5% |
| Patterson-UTI Energy, Inc. | 128,678 | 2,598,009 |
| Oil, Gas & Consumable Fuels 1.5% |
| Noble Energy, Inc. | 150,257 | 4,252,273 |
| Targa Resources Corp. | 64,741 | 2,926,293 |
| Total | | 7,178,566 |
| Total Energy | 9,776,575 |
| Financials 9.1% |
| Banks 1.4% |
| First Republic Bank | 69,508 | 6,957,751 |
| Capital Markets 3.9% |
| Affiliated Managers Group, Inc. | 47,244 | 7,835,890 |
| Intercontinental Exchange, Inc. | 77,452 | 5,105,636 |
| TD Ameritrade Holding Corp. | 132,421 | 5,692,778 |
| Total | | 18,634,304 |
| Consumer Finance 1.7% |
| SLM Corp.(a) | 704,565 | 8,102,497 |
| Mortgage Real Estate Investment Trusts (REITS) 2.1% |
| MFA Financial, Inc. | 393,158 | 3,298,596 |
| Starwood Property Trust, Inc. | 291,982 | 6,537,477 |
| Total | | 9,836,073 |
| Total Financials | 43,530,625 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 100 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Jennison Mid Cap Growth Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Health Care 14.0% |
| Biotechnology 1.8% |
| Alexion Pharmaceuticals, Inc.(a) | 7,895 | 960,584 |
| BioMarin Pharmaceutical, Inc.(a) | 58,957 | 5,354,475 |
| Incyte Corp.(a) | 18,325 | 2,307,301 |
| Total | | 8,622,360 |
| Health Care Equipment & Supplies 4.6% |
| Align Technology, Inc.(a) | 32,449 | 4,871,244 |
| Cooper Companies, Inc. (The) | 19,516 | 4,672,521 |
| DexCom, Inc.(a) | 65,549 | 4,794,909 |
| Edwards Lifesciences Corp.(a) | 41,944 | 4,959,459 |
| West Pharmaceutical Services, Inc. | 26,097 | 2,466,688 |
| Total | | 21,764,821 |
| Health Care Providers & Services 4.4% |
| Centene Corp.(a) | 80,913 | 6,463,331 |
| Henry Schein, Inc.(a) | 32,310 | 5,913,376 |
| Laboratory Corp. of America Holdings(a) | 34,506 | 5,318,755 |
| Universal Health Services, Inc., Class B | 27,898 | 3,405,788 |
| Total | | 21,101,250 |
| Life Sciences Tools & Services 1.6% |
| Illumina, Inc.(a) | 22,290 | 3,867,761 |
| Quintiles IMS Holdings, Inc.(a) | 42,671 | 3,819,054 |
| Total | | 7,686,815 |
| Pharmaceuticals 1.6% |
| Zoetis, Inc. | 120,552 | 7,520,034 |
| Total Health Care | 66,695,280 |
| Industrials 13.8% |
| Airlines 0.9% |
| Spirit Airlines, Inc.(a) | 82,258 | 4,248,626 |
| Building Products 1.0% |
| Allegion PLC | 59,474 | 4,824,531 |
| Commercial Services & Supplies 2.0% |
| Copart, Inc.(a) | 77,740 | 2,471,355 |
| Stericycle, Inc.(a) | 90,857 | 6,934,206 |
| Total | | 9,405,561 |
| Construction & Engineering 0.8% |
| Quanta Services, Inc.(a) | 123,192 | 4,055,480 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Electrical Equipment 2.0% |
| AMETEK, Inc. | 159,456 | 9,658,250 |
| Industrial Conglomerates 2.7% |
| Carlisle Companies, Inc. | 25,748 | 2,456,359 |
| Roper Technologies, Inc. | 45,601 | 10,558,000 |
| Total | | 13,014,359 |
| Machinery 0.5% |
| Allison Transmission Holdings, Inc. | 64,190 | 2,407,767 |
| Professional Services 1.8% |
| IHS Markit Ltd.(a) | 200,109 | 8,812,800 |
| Road & Rail 0.8% |
| JB Hunt Transport Services, Inc. | 39,398 | 3,600,189 |
| Trading Companies & Distributors 1.3% |
| Fastenal Co. | 68,680 | 2,989,641 |
| MSC Industrial Direct Co., Inc., Class A | 35,718 | 3,070,319 |
| Total | | 6,059,960 |
| Total Industrials | 66,087,523 |
| Information Technology 22.3% |
| Communications Equipment 1.4% |
| Palo Alto Networks, Inc.(a) | 49,186 | 6,581,579 |
| Electronic Equipment, Instruments & Components 3.6% |
| Amphenol Corp., Class A | 104,562 | 7,718,767 |
| CDW Corp. | 57,593 | 3,601,290 |
| Flex Ltd.(a) | 204,315 | 3,332,378 |
| IPG Photonics Corp.(a) | 17,036 | 2,471,923 |
| Total | | 17,124,358 |
| IT Services 5.6% |
| Fidelity National Information Services, Inc. | 67,276 | 5,745,370 |
| FleetCor Technologies, Inc.(a) | 33,564 | 4,840,264 |
| Global Payments, Inc. | 86,192 | 7,784,862 |
| Vantiv, Inc., Class A(a) | 133,414 | 8,450,443 |
| Total | | 26,820,939 |
| Semiconductors & Semiconductor Equipment 3.4% |
| Analog Devices, Inc. | 122,242 | 9,510,428 |
| Marvell Technology Group Ltd. | 135,726 | 2,242,193 |
| Microchip Technology, Inc. | 59,772 | 4,613,203 |
| Total | | 16,365,824 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 101 |
Portfolio of Investments (continued)
Variable Portfolio – Jennison Mid Cap Growth Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Software 8.3% |
| Check Point Software Technologies Ltd.(a) | 55,461 | 6,049,686 |
| Electronic Arts, Inc.(a) | 70,377 | 7,440,257 |
| Intuit, Inc. | 29,800 | 3,957,738 |
| Red Hat, Inc.(a) | 104,475 | 10,003,481 |
| ServiceNow, Inc.(a) | 70,757 | 7,500,242 |
| Splunk, Inc.(a) | 80,287 | 4,567,527 |
| Total | | 39,518,931 |
| Total Information Technology | 106,411,631 |
| Materials 4.5% |
| Chemicals 2.6% |
| Albemarle Corp. | 18,951 | 2,000,088 |
| Axalta Coating Systems Ltd.(a) | 134,921 | 4,322,869 |
| FMC Corp. | 80,945 | 5,913,032 |
| Total | | 12,235,989 |
| Construction Materials 0.9% |
| Vulcan Materials Co. | 34,604 | 4,383,635 |
| Containers & Packaging 1.0% |
| Sealed Air Corp. | 106,784 | 4,779,652 |
| Total Materials | 21,399,276 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Real Estate 6.4% |
| Equity Real Estate Investment Trusts (REITS) 4.9% |
| Equinix, Inc. | 17,053 | 7,318,465 |
| Park Hotels & Resorts, Inc. | 69,403 | 1,871,105 |
| SBA Communications Corp(a) | 105,702 | 14,259,200 |
| Total | | 23,448,770 |
| Real Estate Management & Development 1.5% |
| CBRE Group, Inc., Class A(a) | 201,226 | 7,324,627 |
| Total Real Estate | 30,773,397 |
Total Common Stocks
(Cost $389,539,919) | 458,588,110 |
|
| Money Market Funds 3.3% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(b),(c) | 15,463,744 | 15,463,744 |
Total Money Market Funds
(Cost $15,463,321) | 15,463,744 |
Total Investments
(Cost: $405,003,240) | 474,051,854 |
| Other Assets & Liabilities, Net | | 3,992,599 |
| Net Assets | 478,044,453 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 15,402,040 | 49,319,547 | (49,257,843) | 15,463,744 | (882) | 60,217 | 15,463,744 |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 102 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Jennison Mid Cap Growth Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 92,346,803 | — | — | — | 92,346,803 |
| Consumer Staples | 21,567,000 | — | — | — | 21,567,000 |
| Energy | 9,776,575 | — | — | — | 9,776,575 |
| Financials | 43,530,625 | — | — | — | 43,530,625 |
| Health Care | 66,695,280 | — | — | — | 66,695,280 |
| Industrials | 66,087,523 | — | — | — | 66,087,523 |
| Information Technology | 106,411,631 | — | — | — | 106,411,631 |
| Materials | 21,399,276 | — | — | — | 21,399,276 |
| Real Estate | 30,773,397 | — | — | — | 30,773,397 |
| Total Common Stocks | 458,588,110 | — | — | — | 458,588,110 |
| Money Market Funds | — | — | — | 15,463,744 | 15,463,744 |
| Total Investments | 458,588,110 | — | — | 15,463,744 | 474,051,854 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 103 |
Portfolio of Investments
Variable Portfolio – Los Angeles Capital Large Cap Growth Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 99.2% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 17.1% |
| Automobiles —% |
| Thor Industries, Inc. | 350 | 36,582 |
| Distributors 0.7% |
| Pool Corp. | 88,631 | 10,420,347 |
| Diversified Consumer Services 0.5% |
| Graham Holdings Co., Class B | 1,092 | 654,818 |
| Service Corp. International | 174,665 | 5,842,544 |
| ServiceMaster Global Holdings, Inc.(a) | 26,400 | 1,034,616 |
| Total | | 7,531,978 |
| Hotels, Restaurants & Leisure 6.0% |
| Aramark | 79,125 | 3,242,542 |
| Choice Hotels International, Inc. | 127,600 | 8,198,300 |
| Domino’s Pizza, Inc. | 5,894 | 1,246,758 |
| Hilton Worldwide Holdings, Inc. | 63,200 | 3,908,920 |
| Las Vegas Sands Corp. | 66,725 | 4,263,060 |
| Marriott International, Inc., Class A | 96,229 | 9,652,731 |
| McDonald’s Corp. | 169,022 | 25,887,410 |
| Starbucks Corp. | 13,190 | 769,109 |
| Vail Resorts, Inc. | 48,633 | 9,864,231 |
| Wyndham Worldwide Corp. | 14,133 | 1,419,095 |
| Yum! Brands, Inc. | 259,826 | 19,164,766 |
| Total | | 87,616,922 |
| Household Durables 0.5% |
| Leggett & Platt, Inc. | 37,275 | 1,958,056 |
| Tupperware Brands Corp. | 82,200 | 5,772,906 |
| Total | | 7,730,962 |
| Internet & Direct Marketing Retail 5.5% |
| Amazon.com, Inc.(a) | 66,931 | 64,789,208 |
| Netflix, Inc.(a) | 107,382 | 16,043,944 |
| Total | | 80,833,152 |
| Media 2.1% |
| AMC Networks, Inc., Class A(a) | 190,370 | 10,167,661 |
| Cable One, Inc. | 1,553 | 1,104,028 |
| Cinemark Holdings, Inc. | 29,000 | 1,126,650 |
| Comcast Corp., Class A | 5,950 | 231,574 |
| DISH Network Corp., Class A(a) | 15,575 | 977,487 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Madison Square Garden Co. (The), Class A(a) | 37,140 | 7,312,866 |
| Walt Disney Co. (The) | 92,851 | 9,865,419 |
| Total | | 30,785,685 |
| Specialty Retail 0.9% |
| Home Depot, Inc. (The) | 79,058 | 12,127,497 |
| Textiles, Apparel & Luxury Goods 0.9% |
| Carter’s, Inc. | 145,938 | 12,981,185 |
| Total Consumer Discretionary | 250,064,310 |
| Consumer Staples 5.9% |
| Beverages 2.6% |
| Coca-Cola Co. (The) | 467,560 | 20,970,066 |
| PepsiCo, Inc. | 149,430 | 17,257,671 |
| Total | | 38,227,737 |
| Food Products 0.5% |
| Blue Buffalo Pet Products, Inc.(a) | 46,400 | 1,058,384 |
| General Mills, Inc. | 38,825 | 2,150,905 |
| Hershey Co. (The) | 29,456 | 3,162,691 |
| McCormick & Co., Inc. | 12,457 | 1,214,682 |
| Total | | 7,586,662 |
| Household Products 0.5% |
| Clorox Co. (The) | 26,379 | 3,514,738 |
| Energizer Holdings, Inc. | 83,800 | 4,024,076 |
| Total | | 7,538,814 |
| Tobacco 2.3% |
| Altria Group, Inc. | 346,795 | 25,825,824 |
| Philip Morris International, Inc. | 57,141 | 6,711,210 |
| Total | | 32,537,034 |
| Total Consumer Staples | 85,890,247 |
| Financials 3.1% |
| Banks 0.3% |
| First Hawaiian, Inc. | 128,980 | 3,949,368 |
| Capital Markets 1.4% |
| Artisan Partners Asset Management, Inc., Class A | 154,575 | 4,745,452 |
| CBOE Holdings, Inc. | 94,610 | 8,647,354 |
| Eaton Vance Corp. | 83,800 | 3,965,416 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 104 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Los Angeles Capital Large Cap Growth Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Factset Research Systems, Inc. | 3,104 | 515,823 |
| Federated Investors, Inc., Class B | 105,895 | 2,991,534 |
| Total | | 20,865,579 |
| Insurance 1.4% |
| Aon PLC | 149,721 | 19,905,407 |
| Arthur J Gallagher & Co. | 21,000 | 1,202,250 |
| Total | | 21,107,657 |
| Total Financials | 45,922,604 |
| Health Care 15.6% |
| Biotechnology 2.0% |
| AbbVie, Inc. | 145,775 | 10,570,145 |
| Alkermes PLC(a) | 35,855 | 2,078,514 |
| Amgen, Inc. | 34,029 | 5,860,815 |
| BioMarin Pharmaceutical, Inc.(a) | 20,323 | 1,845,735 |
| Celgene Corp.(a) | 41,097 | 5,337,267 |
| Exelixis, Inc.(a) | 82,400 | 2,029,512 |
| Incyte Corp.(a) | 5,563 | 700,437 |
| Ionis Pharmaceuticals, Inc.(a) | 6,020 | 306,238 |
| Vertex Pharmaceuticals, Inc.(a) | 573 | 73,843 |
| Total | | 28,802,506 |
| Health Care Equipment & Supplies 6.1% |
| ABIOMED, Inc.(a) | 10,347 | 1,482,725 |
| Align Technology, Inc.(a) | 100 | 15,012 |
| Baxter International, Inc. | 176,045 | 10,657,764 |
| Becton Dickinson and Co. | 143,241 | 27,947,752 |
| Boston Scientific Corp.(a) | 369,050 | 10,230,066 |
| Cooper Companies, Inc. (The) | 61,867 | 14,812,197 |
| Danaher Corp. | 86,436 | 7,294,334 |
| DexCom, Inc.(a) | 525 | 38,404 |
| Edwards Lifesciences Corp.(a) | 19,509 | 2,306,744 |
| IDEXX Laboratories, Inc.(a) | 18,732 | 3,023,719 |
| Intuitive Surgical, Inc.(a) | 3,104 | 2,903,389 |
| Medtronic PLC | 11,800 | 1,047,250 |
| Teleflex, Inc. | 9,204 | 1,912,223 |
| West Pharmaceutical Services, Inc. | 65,729 | 6,212,705 |
| Total | | 89,884,284 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Health Care Providers & Services 3.0% |
| Aetna, Inc. | 16,618 | 2,523,111 |
| Centene Corp.(a) | 148,995 | 11,901,720 |
| CIGNA Corp. | 2,856 | 478,066 |
| DaVita, Inc.(a) | 29,303 | 1,897,662 |
| HCA Healthcare, Inc.(a) | 20,540 | 1,791,088 |
| Premier, Inc.(a) | 149,519 | 5,382,684 |
| UnitedHealth Group, Inc. | 106,642 | 19,773,560 |
| WellCare Health Plans, Inc.(a) | 309 | 55,484 |
| Total | | 43,803,375 |
| Health Care Technology 0.1% |
| Veeva Systems Inc., Class A(a) | 24,011 | 1,472,114 |
| Life Sciences Tools & Services 2.3% |
| Agilent Technologies, Inc. | 227,605 | 13,499,253 |
| Bio-Techne Corp. | 17,058 | 2,004,315 |
| Bruker Corp. | 73,450 | 2,118,298 |
| Mettler-Toledo International, Inc.(a) | 16,469 | 9,692,665 |
| QIAGEN NV | 43,432 | 1,456,275 |
| Quintiles IMS Holdings, Inc.(a) | 35,510 | 3,178,145 |
| Thermo Fisher Scientific, Inc. | 7,823 | 1,364,879 |
| Waters Corp.(a) | 4,500 | 827,280 |
| Total | | 34,141,110 |
| Pharmaceuticals 2.1% |
| Allergan PLC | 26,525 | 6,447,962 |
| Bristol-Myers Squibb Co. | 133,030 | 7,412,432 |
| Eli Lilly & Co. | 35,596 | 2,929,551 |
| Johnson & Johnson | 6,859 | 907,377 |
| Merck & Co., Inc. | 15,030 | 963,273 |
| Mylan NV(a) | 20,225 | 785,134 |
| Zoetis, Inc. | 183,265 | 11,432,071 |
| Total | | 30,877,800 |
| Total Health Care | 228,981,189 |
| Industrials 9.8% |
| Aerospace & Defense 0.7% |
| BWX Technologies, Inc. | 114,775 | 5,595,281 |
| Hexcel Corp. | 75,360 | 3,978,254 |
| Northrop Grumman Corp. | 1,270 | 326,022 |
| Total | | 9,899,557 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 105 |
Portfolio of Investments (continued)
Variable Portfolio – Los Angeles Capital Large Cap Growth Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Air Freight & Logistics 0.3% |
| United Parcel Service, Inc., Class B | 40,036 | 4,427,581 |
| Airlines 0.1% |
| Southwest Airlines Co. | 27,730 | 1,723,142 |
| Building Products 0.7% |
| Allegion PLC | 34,968 | 2,836,604 |
| AO Smith Corp. | 124,075 | 6,989,145 |
| Total | | 9,825,749 |
| Commercial Services & Supplies 0.9% |
| KAR Auction Services, Inc. | 183,025 | 7,681,559 |
| Waste Management, Inc. | 79,450 | 5,827,658 |
| Total | | 13,509,217 |
| Industrial Conglomerates 1.8% |
| 3M Co. | 62,972 | 13,110,141 |
| General Electric Co. | 217,220 | 5,867,112 |
| Honeywell International, Inc. | 57,387 | 7,649,113 |
| Total | | 26,626,366 |
| Machinery 3.2% |
| Cummins, Inc. | 5,019 | 814,182 |
| Deere & Co. | 238,185 | 29,437,284 |
| Fortive Corp. | 4,750 | 300,913 |
| Graco, Inc. | 102,347 | 11,184,480 |
| Illinois Tool Works, Inc. | 21,224 | 3,040,338 |
| Toro Co. (The) | 31,910 | 2,211,044 |
| Total | | 46,988,241 |
| Professional Services 0.5% |
| Dun & Bradstreet Corp. (The) | 43,754 | 4,731,995 |
| IHS Markit Ltd.(a) | 64,580 | 2,844,103 |
| Total | | 7,576,098 |
| Road & Rail 0.1% |
| Landstar System, Inc. | 12,164 | 1,041,239 |
| Trading Companies & Distributors 1.5% |
| HD Supply Holdings, Inc.(a) | 134,925 | 4,132,753 |
| MSC Industrial Direct Co., Inc., Class A | 24,112 | 2,072,667 |
| Watsco, Inc. | 95,870 | 14,783,154 |
| Total | | 20,988,574 |
| Total Industrials | 142,605,764 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Information Technology 41.2% |
| Communications Equipment 1.3% |
| CommScope Holding Co., Inc.(a) | 57,450 | 2,184,823 |
| F5 Networks, Inc.(a) | 54,281 | 6,896,944 |
| Harris Corp. | 6,550 | 714,474 |
| Juniper Networks, Inc. | 39,040 | 1,088,435 |
| Motorola Solutions, Inc. | 84,474 | 7,327,275 |
| Palo Alto Networks, Inc.(a) | 5,650 | 756,027 |
| Total | | 18,967,978 |
| Electronic Equipment, Instruments & Components 0.5% |
| Amphenol Corp., Class A | 23,200 | 1,712,624 |
| Cognex Corp. | 920 | 78,108 |
| Keysight Technologies, Inc.(a) | 10,950 | 426,283 |
| National Instruments Corp. | 123,195 | 4,954,903 |
| Total | | 7,171,918 |
| Internet Software & Services 9.5% |
| Alphabet, Inc., Class A(a) | 40,929 | 38,050,873 |
| Alphabet, Inc., Class C | 41,371 | 37,595,069 |
| eBay, Inc.(a) | 148,900 | 5,199,588 |
| Facebook, Inc., Class A(a) | 384,272 | 58,017,386 |
| Total | | 138,862,916 |
| IT Services 6.6% |
| Accenture PLC, Class A | 54,281 | 6,713,474 |
| Alliance Data Systems Corp. | 7,157 | 1,837,130 |
| Automatic Data Processing, Inc. | 41,637 | 4,266,127 |
| Booz Allen Hamilton Holdings Corp. | 302,555 | 9,845,140 |
| CoreLogic, Inc.(a) | 41,950 | 1,819,791 |
| DST Systems, Inc. | 142,150 | 8,770,655 |
| Euronet Worldwide, Inc.(a) | 102,347 | 8,942,057 |
| FleetCor Technologies, Inc.(a) | 124 | 17,882 |
| Global Payments, Inc. | 5,100 | 460,632 |
| International Business Machines Corp. | 29,424 | 4,526,294 |
| Jack Henry & Associates, Inc. | 69,785 | 7,248,568 |
| MasterCard, Inc., Class A | 127,043 | 15,429,372 |
| Paychex, Inc. | 46,775 | 2,663,368 |
| PayPal Holdings, Inc.(a) | 41,950 | 2,251,457 |
| Sabre Corp. | 127,175 | 2,768,600 |
| Teradata Corp.(a) | 215,585 | 6,357,602 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 106 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Los Angeles Capital Large Cap Growth Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Total System Services, Inc. | 32,600 | 1,898,950 |
| Vantiv, Inc., Class A(a) | 56,300 | 3,566,042 |
| Visa, Inc., Class A | 83,736 | 7,852,762 |
| Total | | 97,235,903 |
| Semiconductors & Semiconductor Equipment 5.5% |
| Advanced Micro Devices, Inc.(a) | 223,650 | 2,791,152 |
| Analog Devices, Inc. | 1,260 | 98,028 |
| Applied Materials, Inc. | 52,175 | 2,155,349 |
| Broadcom Ltd. | 113,561 | 26,465,391 |
| Intel Corp. | 72,925 | 2,460,489 |
| KLA-Tencor Corp. | 37,252 | 3,408,931 |
| Maxim Integrated Products, Inc. | 10,875 | 488,288 |
| NVIDIA Corp. | 159,244 | 23,020,313 |
| Skyworks Solutions, Inc. | 34,116 | 3,273,430 |
| Texas Instruments, Inc. | 68,232 | 5,249,088 |
| Xilinx, Inc. | 175,550 | 11,291,376 |
| Total | | 80,701,835 |
| Software 10.8% |
| Activision Blizzard, Inc. | 25,940 | 1,493,366 |
| Adobe Systems, Inc.(a) | 112,429 | 15,901,958 |
| Autodesk, Inc.(a) | 44,360 | 4,472,375 |
| Citrix Systems, Inc.(a) | 58,853 | 4,683,522 |
| Dell Technologies, Inc. - VMware, Inc., Class V(a) | 28,090 | 1,716,580 |
| Electronic Arts, Inc.(a) | 89,627 | 9,475,367 |
| Fortinet, Inc.(a) | 40,455 | 1,514,635 |
| Intuit, Inc. | 85,297 | 11,328,295 |
| Manhattan Associates, Inc.(a) | 14,025 | 674,042 |
| Microsoft Corp. | 967,080 | 66,660,824 |
| Nuance Communications, Inc.(a) | 219,440 | 3,820,450 |
| Oracle Corp. | 131,300 | 6,583,382 |
| PTC, Inc.(a) | 1,035 | 57,049 |
| Salesforce.com, Inc.(a) | 18,324 | 1,586,858 |
| ServiceNow, Inc.(a) | 29,251 | 3,100,606 |
| Symantec Corp. | 708,129 | 20,004,644 |
| Synopsys, Inc.(a) | 27,395 | 1,997,917 |
| Take-Two Interactive Software, Inc.(a) | 37,750 | 2,770,095 |
| Total | | 157,841,965 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Technology Hardware, Storage & Peripherals 7.0% |
| Apple, Inc. | 696,382 | 100,292,936 |
| NCR Corp.(a) | 64,375 | 2,629,075 |
| Total | | 102,922,011 |
| Total Information Technology | 603,704,526 |
| Materials 3.8% |
| Chemicals 1.2% |
| Eastman Chemical Co. | 7,550 | 634,125 |
| Ecolab, Inc. | 12,314 | 1,634,683 |
| FMC Corp. | 36,150 | 2,640,757 |
| PPG Industries, Inc. | 31,947 | 3,512,892 |
| Scotts Miracle-Gro Co. (The), Class A | 97,672 | 8,737,737 |
| Total | | 17,160,194 |
| Construction Materials —% |
| Eagle Materials, Inc. | 6,478 | 598,697 |
| Containers & Packaging 2.6% |
| AptarGroup, Inc. | 153,433 | 13,327,190 |
| Avery Dennison Corp. | 71,338 | 6,304,139 |
| Bemis Co., Inc. | 78,520 | 3,631,550 |
| Crown Holdings, Inc.(a) | 36,400 | 2,171,624 |
| Graphic Packaging Holding Co. | 664,010 | 9,150,058 |
| International Paper Co. | 13,640 | 772,160 |
| Sealed Air Corp. | 27,290 | 1,221,501 |
| Silgan Holdings, Inc. | 54,910 | 1,745,040 |
| Total | | 38,323,262 |
| Total Materials | 56,082,153 |
| Real Estate 2.6% |
| Equity Real Estate Investment Trusts (REITS) 2.6% |
| American Tower Corp. | 19,820 | 2,622,582 |
| Care Capital Properties, Inc. | 219,825 | 5,869,327 |
| Empire State Realty Trust, Inc., Class A | 11,440 | 237,609 |
| Equinix, Inc. | 20,364 | 8,739,414 |
| Equity LifeStyle Properties, Inc. | 52,757 | 4,555,039 |
| Healthcare Trust of America, Inc., Class A | 227,480 | 7,076,903 |
| Lamar Advertising Co., Class A | 5,650 | 415,671 |
| Life Storage, Inc. | 14,127 | 1,046,811 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 107 |
Portfolio of Investments (continued)
Variable Portfolio – Los Angeles Capital Large Cap Growth Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Senior Housing Properties Trust | 44,140 | 902,222 |
| Tanger Factory Outlet Centers, Inc. | 270,250 | 7,021,095 |
| Total | | 38,486,673 |
| Total Real Estate | 38,486,673 |
| Telecommunication Services 0.1% |
| Diversified Telecommunication Services 0.1% |
| Zayo Group Holdings, Inc.(a) | 18,750 | 579,375 |
| Total Telecommunication Services | 579,375 |
Total Common Stocks
(Cost $1,364,159,601) | 1,452,316,841 |
|
| Money Market Funds 0.9% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(b),(c) | 13,636,172 | 13,636,172 |
Total Money Market Funds
(Cost $13,635,728) | 13,636,172 |
Total Investments
(Cost: $1,377,795,329) | 1,465,953,013 |
| Other Assets & Liabilities, Net | | (1,276,548) |
| Net Assets | 1,464,676,465 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 5,860,732 | 350,505,491 | (342,730,051) | 13,636,172 | 399 | 84,556 | 13,636,172 |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 108 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Los Angeles Capital Large Cap Growth Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 250,064,310 | — | — | — | 250,064,310 |
| Consumer Staples | 85,890,247 | — | — | — | 85,890,247 |
| Financials | 45,922,604 | — | — | — | 45,922,604 |
| Health Care | 228,981,189 | — | — | — | 228,981,189 |
| Industrials | 142,605,764 | — | — | — | 142,605,764 |
| Information Technology | 603,704,526 | — | — | — | 603,704,526 |
| Materials | 56,082,153 | — | — | — | 56,082,153 |
| Real Estate | 38,486,673 | — | — | — | 38,486,673 |
| Telecommunication Services | 579,375 | — | — | — | 579,375 |
| Total Common Stocks | 1,452,316,841 | — | — | — | 1,452,316,841 |
| Money Market Funds | — | — | — | 13,636,172 | 13,636,172 |
| Total Investments | 1,452,316,841 | — | — | 13,636,172 | 1,465,953,013 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 109 |
Portfolio of Investments
Variable Portfolio – MFS® Value Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 99.0% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 6.5% |
| Auto Components 1.1% |
| Delphi Automotive PLC | 264,228 | 23,159,584 |
| Automobiles 0.2% |
| Harley-Davidson, Inc. | 75,095 | 4,056,632 |
| Household Durables 0.2% |
| Newell Brands, Inc. | 75,104 | 4,027,076 |
| Media 4.2% |
| Comcast Corp., Class A | 760,159 | 29,585,388 |
| Interpublic Group of Companies, Inc. (The) | 453,393 | 11,153,468 |
| Omnicom Group, Inc. | 353,038 | 29,266,850 |
| Time Warner, Inc. | 188,666 | 18,943,953 |
| Walt Disney Co. (The) | 45,894 | 4,876,238 |
| Total | | 93,825,897 |
| Multiline Retail 0.2% |
| Target Corp. | 96,437 | 5,042,691 |
| Specialty Retail 0.2% |
| Advance Auto Parts, Inc. | 40,487 | 4,720,379 |
| Textiles, Apparel & Luxury Goods 0.4% |
| Hanesbrands, Inc. | 418,374 | 9,689,542 |
| Total Consumer Discretionary | 144,521,801 |
| Consumer Staples 12.1% |
| Beverages 1.6% |
| Diageo PLC | 774,094 | 22,871,436 |
| PepsiCo, Inc. | 113,950 | 13,160,085 |
| Total | | 36,031,521 |
| Food & Staples Retailing 1.6% |
| CVS Health Corp. | 439,647 | 35,373,998 |
| Food Products 3.8% |
| Archer-Daniels-Midland Co. | 188,192 | 7,787,385 |
| Danone SA | 136,164 | 10,234,749 |
| General Mills, Inc. | 316,216 | 17,518,366 |
| JM Smucker Co. (The) | 75,964 | 8,988,820 |
| Nestlé SA, Registered Shares | 451,410 | 39,284,769 |
| Total | | 83,814,089 |
| Household Products 0.5% |
| Procter & Gamble Co. (The) | 125,534 | 10,940,288 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Personal Products 0.4% |
| Coty, Inc., Class A | 475,083 | 8,912,557 |
| Tobacco 4.2% |
| Altria Group, Inc. | 148,899 | 11,088,509 |
| Philip Morris International, Inc. | 699,873 | 82,200,084 |
| Total | | 93,288,593 |
| Total Consumer Staples | 268,361,046 |
| Energy 4.7% |
| Energy Equipment & Services 1.5% |
| Schlumberger Ltd. | 495,669 | 32,634,847 |
| Oil, Gas & Consumable Fuels 3.2% |
| Chevron Corp. | 168,773 | 17,608,087 |
| EOG Resources, Inc. | 210,815 | 19,082,974 |
| Exxon Mobil Corp. | 245,387 | 19,810,093 |
| Occidental Petroleum Corp. | 248,653 | 14,886,855 |
| Total | | 71,388,009 |
| Total Energy | 104,022,856 |
| Financials 30.3% |
| Banks 13.7% |
| Citigroup, Inc. | 711,029 | 47,553,619 |
| JPMorgan Chase & Co. | 1,129,223 | 103,210,982 |
| PNC Financial Services Group, Inc. (The) | 246,480 | 30,777,958 |
| U.S. Bancorp | 946,612 | 49,148,095 |
| Wells Fargo & Co. | 1,311,347 | 72,661,737 |
| Total | | 303,352,391 |
| Capital Markets 7.8% |
| Bank of New York Mellon Corp. (The) | 493,048 | 25,155,309 |
| BlackRock, Inc. | 51,199 | 21,626,970 |
| Franklin Resources, Inc. | 199,075 | 8,916,569 |
| Goldman Sachs Group, Inc. (The) | 210,614 | 46,735,247 |
| Moody’s Corp. | 127,444 | 15,507,386 |
| Nasdaq, Inc. | 315,007 | 22,519,850 |
| S&P Global, Inc. | 36,392 | 5,312,868 |
| State Street Corp. | 212,917 | 19,105,042 |
| T. Rowe Price Group, Inc. | 109,031 | 8,091,191 |
| Total | | 172,970,432 |
| Consumer Finance 1.0% |
| American Express Co. | 257,983 | 21,732,488 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 110 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – MFS® Value Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Insurance 7.8% |
| Aon PLC | 300,322 | 39,927,810 |
| Chubb Ltd. | 312,473 | 45,427,325 |
| MetLife, Inc. | 564,069 | 30,989,951 |
| Prudential Financial, Inc. | 125,447 | 13,565,838 |
| Travelers Companies, Inc. (The) | 343,951 | 43,520,120 |
| Total | | 173,431,044 |
| Total Financials | 671,486,355 |
| Health Care 15.5% |
| Health Care Equipment & Supplies 5.2% |
| Abbott Laboratories | 732,069 | 35,585,874 |
| Danaher Corp. | 280,142 | 23,641,183 |
| Medtronic PLC | 642,245 | 56,999,244 |
| Total | | 116,226,301 |
| Health Care Providers & Services 1.9% |
| CIGNA Corp. | 76,453 | 12,797,468 |
| Express Scripts Holding Co.(a) | 161,938 | 10,338,122 |
| McKesson Corp. | 96,812 | 15,929,446 |
| UnitedHealth Group, Inc. | 14,751 | 2,735,130 |
| Total | | 41,800,166 |
| Life Sciences Tools & Services 1.3% |
| Thermo Fisher Scientific, Inc. | 158,864 | 27,717,002 |
| Pharmaceuticals 7.1% |
| Johnson & Johnson | 601,490 | 79,571,112 |
| Merck & Co., Inc. | 331,390 | 21,238,785 |
| Novartis AG, Registered Shares | 63,840 | 5,312,788 |
| Pfizer, Inc. | 1,412,036 | 47,430,289 |
| Roche Holding AG, Genusschein Shares | 18,312 | 4,663,459 |
| Total | | 158,216,433 |
| Total Health Care | 343,959,902 |
| Industrials 15.9% |
| Aerospace & Defense 3.4% |
| Lockheed Martin Corp. | 87,373 | 24,255,618 |
| Northrop Grumman Corp. | 111,596 | 28,647,809 |
| United Technologies Corp. | 188,552 | 23,024,085 |
| Total | | 75,927,512 |
| Air Freight & Logistics 1.5% |
| United Parcel Service, Inc., Class B | 295,266 | 32,653,467 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Building Products 2.2% |
| Johnson Controls International PLC | 1,132,517 | 49,105,937 |
| Electrical Equipment 0.9% |
| Eaton Corp. PLC | 265,170 | 20,638,181 |
| Industrial Conglomerates 4.0% |
| 3M Co. | 233,349 | 48,580,928 |
| Honeywell International, Inc. | 300,783 | 40,091,366 |
| Total | | 88,672,294 |
| Machinery 2.1% |
| Illinois Tool Works, Inc. | 135,210 | 19,368,832 |
| Ingersoll-Rand PLC | 147,176 | 13,450,415 |
| Stanley Black & Decker, Inc. | 89,838 | 12,642,902 |
| Total | | 45,462,149 |
| Professional Services 0.5% |
| Equifax, Inc. | 72,540 | 9,968,447 |
| Road & Rail 1.3% |
| Canadian National Railway Co. | 163,012 | 13,212,123 |
| Union Pacific Corp. | 149,568 | 16,289,451 |
| Total | | 29,501,574 |
| Total Industrials | 351,929,561 |
| Information Technology 7.1% |
| IT Services 5.6% |
| Accenture PLC, Class A | 471,398 | 58,302,505 |
| Amdocs Ltd. | 86,656 | 5,585,846 |
| Cognizant Technology Solutions Corp., Class A | 136,474 | 9,061,873 |
| DXC Technology Co. | 68,050 | 5,220,796 |
| Fidelity National Information Services, Inc. | 250,920 | 21,428,568 |
| Fiserv, Inc.(a) | 87,299 | 10,680,160 |
| International Business Machines Corp. | 85,465 | 13,147,081 |
| Total | | 123,426,829 |
| Semiconductors & Semiconductor Equipment 1.3% |
| Texas Instruments, Inc. | 375,101 | 28,856,520 |
| Software 0.2% |
| Oracle Corp. | 95,802 | 4,803,512 |
| Total Information Technology | 157,086,861 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 111 |
Portfolio of Investments (continued)
Variable Portfolio – MFS® Value Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Materials 4.0% |
| Chemicals 3.5% |
| EI du Pont de Nemours & Co. | 104,892 | 8,465,833 |
| Monsanto Co. | 74,781 | 8,851,079 |
| PPG Industries, Inc. | 390,054 | 42,890,338 |
| Sherwin-Williams Co. (The) | 50,783 | 17,822,802 |
| Total | | 78,030,052 |
| Containers & Packaging 0.5% |
| Crown Holdings, Inc.(a) | 183,103 | 10,923,925 |
| Total Materials | 88,953,977 |
| Real Estate 0.4% |
| Equity Real Estate Investment Trusts (REITS) 0.4% |
| Public Storage | 42,036 | 8,765,767 |
| Total Real Estate | 8,765,767 |
| Telecommunication Services 0.9% |
| Diversified Telecommunication Services 0.9% |
| Verizon Communications, Inc. | 410,214 | 18,320,157 |
| Total Telecommunication Services | 18,320,157 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Utilities 1.6% |
| Electric Utilities 1.6% |
| Duke Energy Corp. | 339,935 | 28,415,167 |
| Xcel Energy, Inc. | 152,824 | 7,011,565 |
| Total | | 35,426,732 |
| Total Utilities | 35,426,732 |
Total Common Stocks
(Cost $1,567,867,227) | 2,192,835,015 |
|
| Money Market Funds 1.1% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(b),(c) | 24,308,239 | 24,308,239 |
Total Money Market Funds
(Cost $24,307,989) | 24,308,239 |
Total Investments
(Cost: $1,592,175,216) | 2,217,143,254 |
| Other Assets & Liabilities, Net | | (1,290,878) |
| Net Assets | 2,215,852,376 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 32,188,757 | 125,687,823 | (133,568,341) | 24,308,239 | (6,880) | 119,750 | 24,308,239 |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 112 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – MFS® Value Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Foreign equity securities actively traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 144,521,801 | — | — | — | 144,521,801 |
| Consumer Staples | 195,970,092 | 72,390,954 | — | — | 268,361,046 |
| Energy | 104,022,856 | — | — | — | 104,022,856 |
| Financials | 671,486,355 | — | — | — | 671,486,355 |
| Health Care | 333,983,655 | 9,976,247 | — | — | 343,959,902 |
| Industrials | 351,929,561 | — | — | — | 351,929,561 |
| Information Technology | 157,086,861 | — | — | — | 157,086,861 |
| Materials | 88,953,977 | — | — | — | 88,953,977 |
| Real Estate | 8,765,767 | — | — | — | 8,765,767 |
| Telecommunication Services | 18,320,157 | — | — | — | 18,320,157 |
| Utilities | 35,426,732 | — | — | — | 35,426,732 |
| Total Common Stocks | 2,110,467,814 | 82,367,201 | — | — | 2,192,835,015 |
| Money Market Funds | — | — | — | 24,308,239 | 24,308,239 |
| Total Investments | 2,110,467,814 | 82,367,201 | — | 24,308,239 | 2,217,143,254 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 113 |
Portfolio of Investments (continued)
Variable Portfolio – MFS® Value Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets. These assets include certain foreign securities for which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 114 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments
Variable Portfolio – Morgan Stanley Advantage Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 96.3% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 29.8% |
| Hotels, Restaurants & Leisure 6.2% |
| Dunkin’ Brands Group, Inc. | 398,444 | 21,962,233 |
| Starbucks Corp. | 1,350,580 | 78,752,320 |
| Total | | 100,714,553 |
| Internet & Direct Marketing Retail 13.5% |
| Amazon.com, Inc.(a) | 143,271 | 138,686,328 |
| Priceline Group, Inc. (The)(a) | 43,038 | 80,503,440 |
| Total | | 219,189,768 |
| Media 1.0% |
| Walt Disney Co. (The) | 149,535 | 15,888,094 |
| Multiline Retail 1.3% |
| Dollar Tree, Inc.(a) | 313,158 | 21,896,007 |
| Specialty Retail 3.2% |
| Home Depot, Inc. (The) | 167,367 | 25,674,098 |
| Tiffany & Co. | 277,445 | 26,043,762 |
| Total | | 51,717,860 |
| Textiles, Apparel & Luxury Goods 4.6% |
| LVMH Moet Hennessy Louis Vuitton SE | 229,111 | 57,124,537 |
| Nike, Inc., Class B | 317,480 | 18,731,320 |
| Total | | 75,855,857 |
| Total Consumer Discretionary | 485,262,139 |
| Financials 12.5% |
| Capital Markets 7.6% |
| MSCI, Inc. | 437,581 | 45,066,467 |
| S&P Global, Inc. | 539,889 | 78,818,395 |
| Total | | 123,884,862 |
| Diversified Financial Services 4.9% |
| Berkshire Hathaway, Inc., Class B(a) | 470,180 | 79,634,387 |
| Total Financials | 203,519,249 |
| Health Care 4.3% |
| Health Care Equipment & Supplies 1.5% |
| Danaher Corp. | 293,632 | 24,779,605 |
| Pharmaceuticals 2.8% |
| Zoetis, Inc. | 737,982 | 46,035,317 |
| Total Health Care | 70,814,922 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Industrials 14.0% |
| Aerospace & Defense 7.6% |
| TransDigm Group, Inc. | 159,018 | 42,755,170 |
| United Technologies Corp. | 666,877 | 81,432,350 |
| Total | | 124,187,520 |
| Machinery 1.1% |
| Fortive Corp. | 273,315 | 17,314,506 |
| Professional Services 5.3% |
| IHS Markit Ltd.(a) | 951,480 | 41,903,179 |
| Verisk Analytics, Inc.(a) | 528,027 | 44,549,638 |
| Total | | 86,452,817 |
| Total Industrials | 227,954,843 |
| Information Technology 34.1% |
| Internet Software & Services 17.0% |
| Alphabet, Inc., Class C(a) | 112,912 | 102,606,522 |
| Facebook, Inc., Class A(a) | 930,152 | 140,434,349 |
| Twitter, Inc.(a) | 1,871,391 | 33,441,757 |
| Total | | 276,482,628 |
| IT Services 7.7% |
| MasterCard, Inc., Class A | 634,983 | 77,118,685 |
| Visa, Inc., Class A | 504,275 | 47,290,910 |
| Total | | 124,409,595 |
| Software 9.4% |
| Activision Blizzard, Inc. | 707,886 | 40,752,997 |
| Salesforce.com, Inc.(a) | 665,123 | 57,599,651 |
| Workday, Inc., Class A(a) | 568,426 | 55,137,322 |
| Total | | 153,489,970 |
| Total Information Technology | 554,382,193 |
| Materials 1.6% |
| Chemicals 1.6% |
| Sherwin-Williams Co. (The) | 72,762 | 25,536,551 |
| Total Materials | 25,536,551 |
Total Common Stocks
(Cost $1,345,415,233) | 1,567,469,897 |
|
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 115 |
Portfolio of Investments (continued)
Variable Portfolio – Morgan Stanley Advantage Fund, June 30, 2017 (Unaudited)
| Money Market Funds 3.2% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(b),(c) | 51,563,498 | 51,563,498 |
Total Money Market Funds
(Cost $51,561,309) | 51,563,498 |
Total Investments
(Cost: $1,396,976,542) | 1,619,033,395 |
| Other Assets & Liabilities, Net | | 8,932,350 |
| Net Assets | 1,627,965,745 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 32,408,120 | 516,592,686 | (497,437,308) | 51,563,498 | (33,684) | 232,370 | 51,563,498 |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Foreign equity securities actively traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing
The accompanying Notes to Financial Statements are an integral part of this statement.
| 116 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Morgan Stanley Advantage Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 428,137,602 | 57,124,537 | — | — | 485,262,139 |
| Financials | 203,519,249 | — | — | — | 203,519,249 |
| Health Care | 70,814,922 | — | — | — | 70,814,922 |
| Industrials | 227,954,843 | — | — | — | 227,954,843 |
| Information Technology | 554,382,193 | — | — | — | 554,382,193 |
| Materials | 25,536,551 | — | — | — | 25,536,551 |
| Total Common Stocks | 1,510,345,360 | 57,124,537 | — | — | 1,567,469,897 |
| Money Market Funds | — | — | — | 51,563,498 | 51,563,498 |
| Total Investments | 1,510,345,360 | 57,124,537 | — | 51,563,498 | 1,619,033,395 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets. These assets include certain foreign securities for which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 117 |
Portfolio of Investments
Variable Portfolio – Oppenheimer International Growth Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 98.6% |
| Issuer | Shares | Value ($) |
| Australia 2.8% |
| CSL Ltd. | 196,256 | 20,828,600 |
| James Hardie Industries PLC | 877,127 | 13,823,409 |
| Sonic Healthcare Ltd. | 675,192 | 12,571,257 |
| Total | 47,223,266 |
| Belgium 0.7% |
| Anheuser-Busch InBev SA/NV | 101,067 | 11,163,587 |
| Canada 4.8% |
| Alimentation Couche-Tard, Inc., Class B | 323,922 | 15,526,674 |
| CCL Industries, Inc. | 471,590 | 23,859,516 |
| Dollarama, Inc. | 227,415 | 21,729,637 |
| Saputo, Inc. | 580,253 | 18,457,307 |
| Total | 79,573,134 |
| Denmark 4.6% |
| Coloplast A/S, Class B | 192,408 | 16,077,469 |
| Novo Nordisk A/S, Class B | 390,109 | 16,706,074 |
| Novozymes AS, Class B | 347,112 | 15,189,999 |
| Pandora A/S | 141,819 | 13,233,550 |
| William Demant Holding AS(a) | 575,871 | 14,904,616 |
| Total | 76,111,708 |
| Finland 1.0% |
| Nokia OYJ | 2,837,711 | 17,356,041 |
| France 17.4% |
| Airbus Group SE | 243,830 | 20,051,305 |
| AtoS | 149,299 | 20,957,129 |
| Danone SA | 145,248 | 10,917,547 |
| Dassault Systemes | 181,605 | 16,280,403 |
| Edenred | 779,877 | 20,335,509 |
| Essilor International SA | 140,527 | 17,880,019 |
| Hermes International | 38,510 | 19,029,757 |
| Iliad SA | 84,050 | 19,881,119 |
| Legrand SA | 260,250 | 18,206,223 |
| LVMH Moet Hennessy Louis Vuitton SE | 83,260 | 20,759,322 |
| Pernod Ricard SA | 87,550 | 11,724,438 |
| Schneider Electric SE | 191,318 | 14,699,423 |
| SEB SA | 134,751 | 24,201,688 |
| STMicroelectronics NV | 1,081,680 | 15,529,486 |
| Technicolor SA | 2,190,990 | 9,554,310 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Valeo SA | 438,440 | 29,540,074 |
| Total | 289,547,752 |
| Germany 10.7% |
| Bayer AG, Registered Shares | 123,364 | 15,949,897 |
| Bayerische Motoren Werke AG | 155,263 | 14,413,674 |
| Brenntag AG | 283,337 | 16,400,720 |
| Continental AG | 119,318 | 25,749,920 |
| Infineon Technologies AG | 1,797,484 | 37,949,626 |
| ProSiebenSat.1 Media AG | 328,624 | 13,752,377 |
| SAP SE | 309,331 | 32,309,495 |
| Scout24 AG(b) | 247,447 | 9,113,130 |
| United Internet AG | 239,182 | 13,152,330 |
| Total | 178,791,169 |
| India 2.2% |
| Hero Honda Motors Ltd. | 456,079 | 26,096,464 |
| ICICI Bank Ltd., ADR | 1,137,925 | 10,207,187 |
| Total | 36,303,651 |
| Japan 8.4% |
| Hoya Corp. | 317,900 | 16,550,310 |
| Keyence Corp. | 57,820 | 25,453,975 |
| Koito Manufacturing Co., Ltd. | 341,300 | 17,648,809 |
| Kubota Corp. | 610,500 | 10,319,159 |
| Nidec Corp. | 222,000 | 22,808,281 |
| Nippon Telegraph & Telephone Corp. | 651,700 | 30,762,914 |
| Subaru Corp. | 481,200 | 16,316,558 |
| Total | 139,860,006 |
| Luxembourg 1.0% |
| SES SA FDR | 732,270 | 17,166,329 |
| Netherlands 5.9% |
| Aalberts Industries NV | 537,755 | 21,410,897 |
| ASML Holding NV | 142,068 | 18,514,199 |
| Boskalis Westminster | 333,447 | 10,829,367 |
| Gemalto NV | 192,303 | 11,542,019 |
| Heineken NV | 226,632 | 22,035,701 |
| Koninklijke Vopak NV | 293,178 | 13,595,038 |
| Total | 97,927,221 |
| South Africa 0.7% |
| SPAR Group Ltd. (The) | 953,533 | 11,232,484 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 118 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Oppenheimer International Growth Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Spain 5.2% |
| Amadeus IT Group SA, Class A | 347,040 | 20,750,054 |
| Grifols SA | 860,461 | 23,964,974 |
| Industria de Diseno Textil SA | 367,260 | 14,098,249 |
| Prosegur Cash SA(a),(b) | 3,352,939 | 8,807,984 |
| Prosegur Cia de Seguridad SA, Registered Shares | 2,938,056 | 19,093,931 |
| Total | 86,715,192 |
| Sweden 2.2% |
| Atlas Copco AB, Class A | 594,061 | 22,776,088 |
| Swedish Match AB | 382,328 | 13,464,778 |
| Total | 36,240,866 |
| Switzerland 10.5% |
| ABB Ltd. | 302,849 | 7,478,845 |
| Barry Callebaut AG | 11,755 | 16,157,149 |
| Cie Financiere Richemont SA, Class A, Registered Shares | 214,459 | 17,668,434 |
| Lonza Group AG, Registered Shares | 115,643 | 25,000,306 |
| Roche Holding AG, Genusschein Shares | 67,697 | 17,240,179 |
| SGS SA, Registered Shares | 3,593 | 8,700,538 |
| Sika AG | 2,911 | 18,700,344 |
| Sonova Holding AG | 97,191 | 15,781,248 |
| Temenos Group AG | 279,695 | 24,968,080 |
| UBS AG | 617,921 | 10,465,155 |
| Vifor Pharma AG | 106,103 | 11,695,784 |
| Total | 173,856,062 |
| Thailand 0.9% |
| CP ALL PCL, Foreign Registered Shares | 8,352,000 | 15,418,703 |
| United Kingdom 18.0% |
| BT Group PLC | 3,358,565 | 12,893,431 |
| Bunzl PLC | 687,628 | 20,491,347 |
| Burberry Group PLC | 690,347 | 14,934,752 |
| Diageo PLC | 283,596 | 8,379,147 |
| Dignity PLC | 311,288 | 10,079,162 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Domino’s Pizza Group PLC | 3,226,638 | 12,351,246 |
| Essentra PLC | 1,418,830 | 10,431,704 |
| Experian PLC | 682,752 | 14,005,689 |
| Inmarsat PLC | 920,654 | 9,227,117 |
| Intertek Group PLC | 312,660 | 17,172,632 |
| NEX Group PLC | 1,447,358 | 11,772,518 |
| Prudential PLC | 747,966 | 17,155,452 |
| Reckitt Benckiser Group PLC | 183,106 | 18,563,777 |
| Royal Mail PLC | 1,438,931 | 7,893,857 |
| Spectris PLC | 295,622 | 9,714,377 |
| TechnipFMC PLC(a) | 446,002 | 12,095,728 |
| Travis Perkins PLC | 788,208 | 14,937,048 |
| Tullett Prebon PLC, Registered Shares | 1,978,358 | 12,040,974 |
| Unilever PLC | 283,907 | 15,364,133 |
| Vodafone Group PLC | 5,604,755 | 15,895,557 |
| Weir Group PLC (The) | 263,396 | 5,938,369 |
| Whitbread PLC | 229,101 | 11,837,231 |
| Wolseley PLC | 273,618 | 16,795,891 |
| Total | 299,971,139 |
| United States 1.6% |
| Carnival Corp. | 417,060 | 27,346,624 |
Total Common Stocks
(Cost $1,465,891,178) | 1,641,804,934 |
|
| Money Market Funds 1.5% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(c),(d) | 24,880,804 | 24,880,804 |
Total Money Market Funds
(Cost $24,878,627) | 24,880,804 |
Total Investments
(Cost $1,490,769,805) | 1,666,685,738 |
| Other Assets & Liabilities, Net | | (2,423,016) |
| Net Assets | $1,664,262,722 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 119 |
Portfolio of Investments (continued)
Variable Portfolio – Oppenheimer International Growth Fund, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At June 30, 2017, the value of these securities amounted to $17,921,114, which represents 1.08% of net assets. |
| (c) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (d) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 36,215,369 | 446,722,761 | (458,057,326) | 24,880,804 | (24) | 146,973 | 24,880,804 |
Abbreviation Legend
| ADR | American Depositary Receipt |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Foreign equity securities actively traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 120 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Oppenheimer International Growth Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Australia | — | 47,223,266 | — | — | 47,223,266 |
| Belgium | — | 11,163,587 | — | — | 11,163,587 |
| Canada | 79,573,134 | — | — | — | 79,573,134 |
| Denmark | — | 76,111,708 | — | — | 76,111,708 |
| Finland | — | 17,356,041 | — | — | 17,356,041 |
| France | — | 289,547,752 | — | — | 289,547,752 |
| Germany | — | 178,791,169 | — | — | 178,791,169 |
| India | 10,207,187 | 26,096,464 | — | — | 36,303,651 |
| Japan | — | 139,860,006 | — | — | 139,860,006 |
| Luxembourg | — | 17,166,329 | — | — | 17,166,329 |
| Netherlands | — | 97,927,221 | — | — | 97,927,221 |
| South Africa | — | 11,232,484 | — | — | 11,232,484 |
| Spain | — | 86,715,192 | — | — | 86,715,192 |
| Sweden | — | 36,240,866 | — | — | 36,240,866 |
| Switzerland | — | 173,856,062 | — | — | 173,856,062 |
| Thailand | — | 15,418,703 | — | — | 15,418,703 |
| United Kingdom | — | 299,971,139 | — | — | 299,971,139 |
| United States | 27,346,624 | — | — | — | 27,346,624 |
| Total Common Stocks | 117,126,945 | 1,524,677,989 | — | — | 1,641,804,934 |
| Money Market Funds | — | — | — | 24,880,804 | 24,880,804 |
| Total Investments | 117,126,945 | 1,524,677,989 | — | 24,880,804 | 1,666,685,738 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets. These assets include certain foreign securities for which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 121 |
Portfolio of Investments
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Asset-Backed Securities — Non-Agency 14.5% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Academic Loan Funding Trust(a),(b) |
| Series 2012-1A Class A1 |
| 12/27/2022 | 1.824% | | 82,907 | 82,946 |
| Series 2013-1A Class A |
| 12/26/2044 | 2.016% | | 1,200,643 | 1,194,838 |
| Access Point Financial, Inc.(a) |
| Series 2016-1A Class A |
| 02/16/2021 | 6.250% | | 1,635,276 | 1,636,549 |
| Ally Auto Receivables Trust |
| Series 2013-2 Class A4 |
| 11/15/2018 | 1.240% | | 213,789 | 213,770 |
| Series 2015-2 Class A4 |
| 06/15/2020 | 1.840% | | 9,422,000 | 9,444,699 |
| Series 2016-1 Class A3 |
| 04/15/2020 | 1.470% | | 669,000 | 668,786 |
| Series 2017-3 Class A4 |
| 03/15/2022 | 2.010% | | 2,243,000 | 2,240,749 |
| Ally Master Owner Trust(b) |
| Series 2017-2 Class A |
| 06/15/2021 | 1.554% | | 1,354,000 | 1,353,424 |
| Series 2017-3 Class A1 |
| 06/15/2022 | 1.574% | | 1,431,000 | 1,431,005 |
| Ally Master Owner Trust |
| Series 2017-3 Class A2 |
| 06/15/2022 | 2.040% | | 2,166,000 | 2,160,755 |
| American Credit Acceptance Receivables Trust(a) |
| Series 2015-2 Class C |
| 05/12/2021 | 4.320% | | 858,000 | 871,616 |
| Series 2016-3 Class A |
| 11/12/2020 | 1.700% | | 377,695 | 377,148 |
| Series 2016-4 |
| 02/13/2023 | 2.910% | | 1,371,000 | 1,375,658 |
| American Tower Trust I(a) |
| Pass-Through Certificates |
| 03/15/2043 | 1.551% | | 500,000 | 495,600 |
| Series 13 Class 2A |
| 03/15/2023 | 3.070% | | 1,900,000 | 1,914,494 |
| AmeriCredit Automobile Receivables Trust |
| Series 2017-1 Class B |
| 02/18/2022 | 2.300% | | 1,107,000 | 1,109,288 |
| Series 2017-1 Class C |
| 08/18/2022 | 2.710% | | 594,000 | 596,651 |
| Series 2017-1 Class D |
| 01/18/2023 | 3.130% | | 1,332,000 | 1,339,993 |
| Anchor Assets IX LLC(a) |
| Series 2016-1 Class A |
| 02/15/2020 | 5.125% | | 7,550,000 | 7,550,000 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Avis Budget Rental Car Funding AESOP LLC(a) |
| Series 2014-2A Class A |
| 02/20/2021 | 2.500% | | 1,700,000 | 1,695,615 |
| Series 2015-1A Class A |
| 07/20/2021 | 2.500% | | 3,530,000 | 3,514,153 |
| Axis Equipment Finance Receivables II LLC(a) |
| Series 2015-1A Class A2 |
| 03/20/2020 | 1.900% | | 310,158 | 308,853 |
| AXIS Equipment Finance Receivables IV LLC(a) |
| Series 2016-1A Class A |
| 11/20/2021 | 2.210% | | 1,389,685 | 1,385,828 |
| BCC Funding Corp. X(a) |
| Series 2015-1 Class A2 |
| 10/20/2020 | 2.224% | | 928,830 | 927,871 |
| BCC Funding XIII LLC(a) |
| Series 2016-1 |
| 12/20/2021 | 2.200% | | 2,294,386 | 2,293,787 |
| BXG Receivables Note Trust(a) |
| Series 2012-A Class A |
| 12/02/2027 | 2.660% | | 316,663 | 313,231 |
| Cabela’s Credit Card Master Note Trust |
| Series 2015-2 Class A1 |
| 07/17/2023 | 2.250% | | 926,000 | 931,265 |
| California Republic Auto Receivables Trust |
| Series 2015-2 Class A3 |
| 08/15/2019 | 1.310% | | 359,054 | 358,899 |
| Series 2016-1 Class A4 |
| 10/15/2021 | 2.240% | | 7,896,000 | 7,944,115 |
| Capital Auto Receivables Asset Trust |
| Series 2015-4 Class A2 |
| 03/20/2019 | 1.620% | | 1,762,017 | 1,762,461 |
| Series 2016-3 Class A4 |
| 03/22/2021 | 1.690% | | 530,000 | 528,790 |
| CarFinance Capital Auto Trust(a) |
| Series 2014-1A Class B |
| 04/15/2020 | 2.720% | | 182,667 | 182,998 |
| Series 2014-2A Class A |
| 11/16/2020 | 1.440% | | 239,795 | 239,625 |
| Series 2015-1A Class A |
| 06/15/2021 | 1.750% | | 142,660 | 142,545 |
| Carlyle Global Market Strategies Commodities Funding Ltd.(a),(b),(c) |
| Series 2014-1A Class A |
| 10/15/2021 | 3.058% | | 1,079,070 | 517,953 |
| CarMax Auto Owner Trust |
| Series 2013-2 Class A4 |
| 11/15/2018 | 0.840% | | 1,240,891 | 1,240,650 |
| Carnow Auto Receivables Trust(a) |
| Series 2016-1A Class A |
| 05/15/2019 | 2.260% | | 2,253,186 | 2,254,915 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 122 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2016-1A Class B |
| 02/15/2021 | 3.490% | | 2,200,000 | 2,192,022 |
| Chase Funding Trust(b) |
| Series 2003-2 Class 2A2 |
| 02/25/2033 | 1.776% | | 629,361 | 580,904 |
| Series 2003-4 Class 1A5 |
| 05/25/2033 | 5.318% | | 454,590 | 462,101 |
| Series 2003-6 Class 1A5 |
| 11/25/2034 | 5.850% | | 474,983 | 490,603 |
| Chrysler Capital Auto Receivables Trust(a) |
| Series 2014-BA Class A3 |
| 05/15/2019 | 1.270% | | 32,818 | 32,816 |
| Citi Held for Asset Issuance(a) |
| Series 2016-MF1 Class A |
| 08/15/2022 | 4.480% | | 1,129,918 | 1,143,153 |
| Series 2016-MF1 Class B |
| 08/15/2022 | 6.640% | | 3,250,000 | 3,327,056 |
| Subordinated, Series 2015-PM1 Class B |
| 12/15/2021 | 2.930% | | 422,259 | 421,206 |
| CLUB Credit Trust(a) |
| Series 2017-NP1 Class A |
| 04/17/2023 | 2.390% | | 658,000 | 657,826 |
| Conix Mortgage Asset Trust(a),(c) |
| Series 2013-1 Class A |
| 12/25/2047 | 4.704% | | 1,078,519 | 115,725 |
| Continental Credit Card(a) |
| Series 2016-1A Class A |
| 01/15/2023 | 4.560% | | 1,078,688 | 1,078,581 |
| COOF Securitization Trust Ltd.(a),(b),(d) |
| CMO Series 2014-1 Class A |
| 06/25/2040 | 3.031% | | 1,762,937 | 203,812 |
| CPS Auto Receivables Trust(a) |
| Series 2013-A Class A |
| 06/15/2020 | 1.310% | | 862,985 | 862,675 |
| Series 2014-C Class A |
| 02/15/2019 | 1.310% | | 78,422 | 78,417 |
| Series 2014-C Class C |
| 08/17/2020 | 3.770% | | 2,096,000 | 2,131,223 |
| Series 2015-A Class C |
| 02/16/2021 | 4.000% | | 219,000 | 223,352 |
| Series 2015-B Class A |
| 11/15/2019 | 1.650% | | 1,335,680 | 1,335,273 |
| Series 2015-C Class D |
| 08/16/2021 | 4.630% | | 1,376,000 | 1,367,418 |
| Series 2016-A Class A |
| 10/15/2019 | 2.250% | | 654,737 | 656,028 |
| Series 2016-A Class B |
| 05/15/2020 | 3.340% | | 1,436,395 | 1,452,811 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2016-B Class A |
| 11/15/2019 | 2.070% | | 235,086 | 235,301 |
| Subordinated, Series 2014-B Class B |
| 05/15/2020 | 2.320% | | 1,548,229 | 1,551,074 |
| Subordinated, Series 2015-B Class C |
| 05/17/2021 | 4.200% | | 1,480,000 | 1,463,831 |
| Subordinated, Series 2016-C Class C |
| 06/15/2022 | 3.270% | | 1,050,000 | 1,047,503 |
| Credit Acceptance Auto Loan Trust(a) |
| Series 2014-2A Class A |
| 03/15/2022 | 1.880% | | 563,782 | 563,868 |
| Series 2015-2A Class A |
| 02/15/2023 | 2.400% | | 2,821,000 | 2,824,463 |
| Series 2015-2A Class C |
| 02/15/2024 | 3.760% | | 434,000 | 439,198 |
| Series 2017-1A Class A |
| 10/15/2025 | 2.560% | | 1,688,000 | 1,693,417 |
| Subordinated, Series 2017-1A Class B |
| 12/15/2025 | 3.040% | | 740,000 | 741,883 |
| Subordinated, Series 2017-1A Class C |
| 02/17/2026 | 3.480% | | 620,000 | 625,085 |
| Subordinated, Series 2017-2A Class C |
| 06/15/2026 | 3.350% | | 344,000 | 343,994 |
| Discover Card Execution Note Trust(b) |
| Series 2017-A5 Class A5 |
| 12/15/2026 | 1.816% | | 2,753,000 | 2,753,055 |
| Drive Auto Receivables Trust(a) |
| Series 2015-AA Class D |
| 07/15/2022 | 4.120% | | 883,000 | 895,543 |
| Series 2016-AA Class B |
| 05/15/2020 | 3.170% | | 1,395,602 | 1,398,227 |
| Series 2016-AA Class C |
| 05/17/2021 | 3.910% | | 2,428,000 | 2,465,453 |
| Series 2017-AA Class C |
| 01/18/2022 | 2.980% | | 1,260,000 | 1,267,680 |
| Subordinated, Series 2015-BA Class D |
| 07/15/2021 | 3.840% | | 1,921,000 | 1,949,708 |
| Subordinated, Series 2015-CA Class D |
| 09/15/2021 | 4.200% | | 1,058,824 | 1,067,012 |
| Subordinated, Series 2015-DA Class D |
| 01/17/2023 | 4.590% | | 1,320,000 | 1,364,308 |
| Subordinated, Series 2016-BA Class B |
| 06/15/2020 | 2.560% | | 318,000 | 319,042 |
| Subordinated, Series 2016-CA Class D |
| 03/15/2024 | 4.180% | | 2,915,000 | 2,976,372 |
| Subordinated, Series 2017-AA Class B |
| 01/15/2021 | 2.510% | | 790,000 | 793,036 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 123 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Subordinated, Series 2017-AA Class D |
| 05/15/2024 | 4.160% | | 1,677,000 | 1,703,221 |
| Drive Auto Receivables Trust |
| Subordinated, Series 2017-1 Class C |
| 04/15/2022 | 2.840% | | 1,505,000 | 1,503,092 |
| Subordinated, Series 2017-1 Class D |
| 03/15/2023 | 3.840% | | 1,710,000 | 1,706,260 |
| DT Auto Owner Trust(a) |
| Series 2016-2A Class A |
| 08/15/2019 | 1.730% | | 180,100 | 180,041 |
| Series 2016-3A Class A |
| 11/15/2019 | 1.750% | | 540,704 | 540,896 |
| Series 2016-3A Class B |
| 07/15/2020 | 2.650% | | 1,000,000 | 1,004,561 |
| Subordinated, Series 2015-2A Class D |
| 02/15/2022 | 4.250% | | 1,055,000 | 1,077,104 |
| Subordinated, Series 2016-4A |
| 08/17/2020 | 2.020% | | 868,000 | 866,541 |
| 10/17/2022 | 3.770% | | 1,497,400 | 1,506,123 |
| Subordinated, Series 2017-1A Class D |
| 11/15/2022 | 3.550% | | 1,528,000 | 1,531,433 |
| Subordinated, Series 2017-2A Class C |
| 01/17/2023 | 3.030% | | 1,282,000 | 1,282,739 |
| ENGS Commercial Finance Trust(a) |
| Series 2016-1A Class A2 |
| 02/22/2022 | 2.630% | | 1,095,815 | 1,094,187 |
| Enterprise Fleet Financing LLC(a) |
| Series 2017-2 Class A3 |
| 01/20/2023 | 2.220% | | 1,717,000 | 1,716,963 |
| Exeter Automobile Receivables Trust(a) |
| Series 2014-2A Class C |
| 12/16/2019 | 3.260% | | 405,000 | 407,071 |
| Series 2014-3A Class B |
| 11/15/2019 | 2.770% | | 295,577 | 296,222 |
| Series 2015-2A Class A |
| 11/15/2019 | 1.540% | | 277,363 | 277,326 |
| Series 2016-1A Class A |
| 07/15/2020 | 2.350% | | 455,642 | 455,532 |
| Series 2016-2A Class A |
| 07/15/2020 | 2.210% | | 966,836 | 965,922 |
| Series 2017-1A Class C |
| 12/15/2022 | 3.950% | | 810,000 | 819,441 |
| Subordinated, Series 2016-1A Class C |
| 10/15/2021 | 5.520% | | 2,230,000 | 2,320,112 |
| Subordinated, Series 2016-3A Class B |
| 08/16/2021 | 2.840% | | 1,102,000 | 1,099,471 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| First Investors Auto Owner Trust(a) |
| Series 2014-3A Class A3 |
| 11/16/2020 | 1.670% | | 535,359 | 535,428 |
| Series 2015-2A Class A1 |
| 12/16/2019 | 1.590% | | 290,111 | 290,113 |
| Series 2015-2A Class D |
| 12/15/2021 | 4.220% | | 280,000 | 277,707 |
| Series 2016-1A Class A1 |
| 05/15/2020 | 1.920% | | 333,388 | 333,626 |
| Series 2016-2A Class A1 |
| 11/16/2020 | 1.530% | | 1,145,587 | 1,142,228 |
| FirstKey Lending Trust(a) |
| Series 2015-SFR1 Class A |
| 03/09/2047 | 2.553% | | 1,858,061 | 1,840,970 |
| Series 2015-SFR1 Class B |
| 03/09/2047 | 3.417% | | 1,202,000 | 1,185,756 |
| Flagship Credit Auto Trust(a) |
| Series 2014-1 Class B |
| 02/18/2020 | 2.550% | | 162,280 | 162,150 |
| Series 2014-2 Class A |
| 12/16/2019 | 1.430% | | 166,686 | 166,569 |
| Series 2014-2 Class B |
| 11/16/2020 | 2.840% | | 446,000 | 447,188 |
| Series 2014-2 Class C |
| 12/15/2020 | 3.950% | | 220,000 | 220,264 |
| Series 2015-3 Class A |
| 10/15/2020 | 2.380% | | 1,921,114 | 1,923,631 |
| Series 2016-1 Class A |
| 12/15/2020 | 2.770% | | 1,341,991 | 1,352,065 |
| Series 2016-1 Class C |
| 06/15/2022 | 6.220% | | 3,000,000 | 3,218,656 |
| Subordinated, Series 2015-3 Class B |
| 03/15/2022 | 3.680% | | 757,000 | 756,522 |
| Subordinated, Series 2015-3 Class C |
| 03/15/2022 | 4.650% | | 693,000 | 712,687 |
| Subordinated, Series 2016-4 Class C |
| 11/15/2022 | 2.710% | | 1,312,000 | 1,298,977 |
| Ford Credit Auto Owner Trust |
| Series 2015-A Class A4 |
| 06/15/2020 | 1.640% | | 892,000 | 892,503 |
| Series 2017-A Class A3 |
| 06/15/2021 | 1.670% | | 1,424,000 | 1,422,945 |
| GLC Trust(a) |
| Series 2014-A Class A |
| 07/15/2021 | 3.000% | | 151,291 | 149,400 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 124 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| GLS Auto Receivables Trust(a) |
| Series 2015-1A Class A |
| 12/15/2020 | 2.250% | | 829,731 | 828,669 |
| Series 2016-1A |
| 10/15/2020 | 2.730% | | 1,337,763 | 1,333,012 |
| Subordinated, Series 2015-1A Class B |
| 12/15/2020 | 4.430% | | 954,000 | 952,582 |
| Subordinated, Series 2016-1A Class B |
| 01/15/2021 | 4.390% | | 840,000 | 838,010 |
| GMAT Trust(a),(b) |
| Series 2013-1A Class A |
| 11/25/2043 | 6.967% | | 433,400 | 434,264 |
| GO Financial Auto Securitization Trust(a) |
| Series 2015-2 Class A |
| 11/15/2018 | 3.270% | | 134,654 | 134,607 |
| Subordinated, Series 2015-1 Class B |
| 10/15/2020 | 3.590% | | 453,057 | 452,304 |
| Subordinated, Series 2015-2 Class B |
| 08/17/2020 | 4.800% | | 1,873,000 | 1,867,324 |
| Gold Key Resorts(a) |
| Series 2014-A Class A |
| 03/17/2031 | 3.220% | | 497,990 | 499,490 |
| Goodgreen Trust(a) |
| Series 2017-1A Class A |
| 10/15/2052 | 3.740% | | 504,369 | 510,151 |
| Green Tree Agency Advance Funding Trust I(a) |
| Series 2016-T1 Class AT1 |
| 10/15/2048 | 2.380% | | 1,068,000 | 1,063,577 |
| Subordinated, CMO Series 2016-T1 |
| 10/15/2048 | 3.122% | | 1,498,000 | 1,488,757 |
| HERO Funding Trust(a) |
| Series 2016-3A Class A1 |
| 09/20/2042 | 3.080% | | 1,533,261 | 1,554,823 |
| Series 2017-1A Class A2 |
| 09/20/2047 | 4.460% | | 1,855,289 | 1,913,176 |
| Hertz Vehicle Financing II LP(a) |
| Series 2015-3A Class A |
| 09/25/2021 | 2.670% | | 10,608,000 | 10,551,378 |
| Hilton Grand Vacations Trust(a) |
| Series 2017-AA Class A |
| 12/26/2028 | 2.660% | | 1,189,439 | 1,187,341 |
| Honda Auto Receivables Owner Trust |
| Series 2015-1 Class A4 |
| 11/16/2020 | 1.320% | | 10,997,000 | 10,980,919 |
| Kabbage Asset Securitization LLC(a) |
| Series 2017-1 Class A |
| 03/15/2022 | 4.571% | | 4,595,000 | 4,700,179 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| LendingClub Issuance Trust(a) |
| Series 2016-NP1 Class A |
| 06/15/2022 | 3.750% | | 654,752 | 658,672 |
| Lendmark Funding Trust(a) |
| Series 2016-A Class A |
| 08/21/2023 | 4.820% | | 2,397,000 | 2,457,791 |
| Series 2017-1A Class A |
| 01/22/2024 | 2.830% | | 1,067,000 | 1,066,782 |
| LV Tower 52 Issuer(a) |
| Series 2013-1 Class A |
| 02/15/2023 | 5.500% | | 5,218,694 | 5,244,787 |
| Series 2013-1 Class M |
| 02/15/2023 | 7.500% | | 1,966,997 | 1,976,832 |
| Mariner Finance Issuance Trust(a) |
| Series 2017-AA Class A |
| 02/20/2029 | 3.620% | | 2,300,000 | 2,317,825 |
| Marlette Funding Trust(a) |
| Series 2016-1A Class A |
| 01/17/2023 | 3.060% | | 1,571,672 | 1,569,056 |
| Mid-State Capital Corp. Trust(a) |
| Series 2006-1 Class M1 |
| 10/15/2040 | 6.083% | | 1,256,319 | 1,308,339 |
| Series 2010-1 Class M |
| 12/15/2045 | 5.250% | | 1,031,838 | 1,085,001 |
| Murray Hill Marketplace Trust(a) |
| Series 2016-LC1 Class A |
| 11/25/2022 | 4.190% | | 1,936,408 | 1,953,781 |
| Nationstar HECM Loan Trust(a) |
| Series 2015-2A Class A |
| 11/25/2025 | 2.883% | | 290,010 | 290,103 |
| Series 2015-2A Class M1 |
| 11/25/2025 | 4.115% | | 1,964,000 | 1,964,628 |
| Series 2016-1A Class M1 |
| 02/25/2026 | 4.360% | | 1,962,000 | 1,962,628 |
| Series 2016-2A Class A |
| 06/25/2026 | 2.239% | | 378,259 | 382,525 |
| Series 2016-3A Class A |
| 08/25/2026 | 2.013% | | 767,692 | 775,688 |
| Subordinated, Series 2017-1A Class M1 |
| 05/25/2027 | 2.942% | | 215,000 | 215,073 |
| Navient Private Education Loan Trust(a),(b) |
| Series 2014-AA Class A3 |
| 10/15/2031 | 2.759% | | 2,731,000 | 2,781,740 |
| Series 2015-AA Class A2B |
| 12/15/2028 | 2.359% | | 790,001 | 801,007 |
| Series 2016-AA Class A2B |
| 12/15/2045 | 3.309% | | 5,231,000 | 5,426,716 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 125 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Navient Private Education Loan Trust(a) |
| Series 2016-AA Class A2A |
| 12/15/2045 | 3.910% | | 3,185,000 | 3,305,078 |
| Navient Student Loan Trust(b) |
| Series 2014-1 Class A3 |
| 06/25/2031 | 1.534% | | 919,000 | 912,558 |
| Navient Student Loan Trust(a),(b) |
| Series 2016-1A Class A |
| 02/25/2070 | 1.724% | | 13,212,055 | 13,051,101 |
| Series 2016-5A Class A |
| 06/25/2065 | 2.274% | | 1,473,119 | 1,496,383 |
| Series 2017-2A Class A |
| 12/27/2066 | 2.074% | | 4,046,478 | 4,070,574 |
| NCUA Guaranteed Notes(b) |
| CMO Series 2010-A1 Class A |
| 12/07/2020 | 1.446% | | 99,857 | 99,917 |
| Nelnet Student Loan Trust(b) |
| Series 2005-1 Class A5 |
| 10/25/2033 | 1.266% | | 1,921,445 | 1,883,594 |
| Series 2005-2 Class A5 |
| 03/23/2037 | 1.387% | | 623,178 | 608,552 |
| Series 2005-3 Class A5 |
| 12/24/2035 | 1.407% | | 9,567,514 | 9,386,737 |
| Series 2006-2 Class A5 |
| 01/25/2030 | 1.256% | | 675,699 | 674,144 |
| Nelnet Student Loan Trust(a),(b) |
| Series 2014-4A Class A1 |
| 11/27/2039 | 1.756% | | 5,504,609 | 5,521,217 |
| Series 2016-1A Class A |
| 09/25/2065 | 2.016% | | 2,656,129 | 2,683,936 |
| New Residential Advance Receivables Trust Advance Receivables Backed Notes(a) |
| Series 2016-T2 Class AT2 |
| 10/15/2049 | 2.575% | | 2,410,000 | 2,394,363 |
| NRPL Trust(a),(b) |
| Series 2015-1A Class A1 |
| 11/01/2054 | 3.875% | | 918,201 | 924,272 |
| NRPL Trust(a) |
| Series 2015-2A Class A1 |
| 10/25/2057 | 3.750% | | 4,388,687 | 4,433,617 |
| Series 2015-2A Class A2 |
| 10/25/2057 | 3.750% | | 1,250,000 | 1,227,471 |
| NRZ Advance Receivables Trust(a) |
| Series 2016-T1 Class AT1 |
| 06/15/2049 | 2.751% | | 1,008,500 | 1,000,590 |
| Ocwen Master Advance Receivables Trust(a) |
| Series 2015-T3 Class AT3 |
| 11/15/2047 | 3.211% | | 5,024,000 | 5,012,153 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2016-T1 Class AT1 |
| 08/17/2048 | 2.521% | | 3,612,000 | 3,606,356 |
| Subordinated, Series 2015-T3 Class CT3 |
| 11/15/2047 | 4.196% | | 852,000 | 852,000 |
| Subordinated, Series 2015-T3 Class DT3 |
| 11/15/2047 | 4.687% | | 2,000,000 | 2,001,182 |
| OnDeck Asset Securitization Trust II LLC(a) |
| Series 2016-1A Class A |
| 05/17/2020 | 4.210% | | 2,168,000 | 2,157,774 |
| OneMain Direct Auto Receivables Trust(a) |
| Series 2016-1A Class A |
| 01/15/2021 | 2.040% | | 1,166,489 | 1,167,880 |
| OneMain Financial Issuance Trust(a) |
| Series 2014-1A Class A |
| 06/18/2024 | 2.430% | | 379,160 | 379,304 |
| Series 2014-1A Class B |
| 06/18/2024 | 3.240% | | 402,000 | 402,403 |
| Series 2014-2A Class A |
| 09/18/2024 | 2.470% | | 1,601,594 | 1,603,676 |
| Series 2015-1A Class A |
| 03/18/2026 | 3.190% | | 1,726,000 | 1,741,494 |
| Series 2015-2A Class A |
| 07/18/2025 | 2.570% | | 6,689,626 | 6,699,801 |
| Series 2015-2A Class B |
| 07/18/2025 | 3.100% | | 1,395,000 | 1,373,806 |
| Series 2016-1A Class A |
| 02/20/2029 | 3.660% | | 2,505,000 | 2,563,605 |
| Subordinated, Series 2014-2A Class B |
| 09/18/2024 | 3.020% | | 1,119,000 | 1,123,456 |
| Oportun Funding II LLC(a) |
| Series 2016-A Class A |
| 03/08/2021 | 4.700% | | 2,901,000 | 2,911,056 |
| Subordinated, Series 2016-A Class B |
| 03/08/2021 | 6.410% | | 811,000 | 803,771 |
| Oportun Funding III LLC(a) |
| Series 2016-B Class A |
| 07/08/2021 | 3.690% | | 2,856,000 | 2,860,468 |
| Oportun Funding IV LLC(a) |
| Series 2016-C Class B |
| 11/08/2021 | 4.850% | | 1,085,492 | 1,107,299 |
| Oportun Funding VI LLC(a) |
| Series 2017-A Class A |
| 06/08/2023 | 3.230% | | 838,000 | 841,917 |
| PFS Tax Lien Trust(a) |
| Series 2014-1 Class NOTE |
| 05/15/2029 | 1.440% | | 155,094 | 153,907 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 126 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Prestige Auto Receivables Trust(a) |
| Series 2014-1A Class A3 |
| 04/15/2020 | 1.520% | | 100,603 | 100,589 |
| Progreso Receivables Funding IV LLC(a) |
| Series 2015-B Class A |
| 07/28/2020 | 3.000% | | 1,203,000 | 1,207,582 |
| Series 2015-B Class B |
| 07/28/2020 | 5.000% | | 605,000 | 602,366 |
| Progress Residential Trust(a) |
| Series 2015-SFR2 Class A |
| 06/12/2032 | 2.740% | | 3,525,486 | 3,531,745 |
| Series 2015-SFR2 Class C |
| 06/12/2032 | 3.436% | | 2,500,000 | 2,505,566 |
| Series 2015-SFR3 Class A |
| 11/12/2032 | 3.067% | | 5,434,197 | 5,493,903 |
| Series 2015-SFR3 Class D |
| 11/12/2032 | 4.673% | | 1,295,000 | 1,334,950 |
| Series 2015-SFR3 Class E |
| 11/12/2032 | 5.660% | | 1,000,000 | 1,047,319 |
| Prosper Marketplace Issuance Trust(a) |
| Series 2017-1A Class A |
| 06/15/2023 | 2.560% | | 1,255,000 | 1,257,761 |
| Purchasing Power Funding LLC(a) |
| Series 2015-A Class A2 |
| 12/15/2019 | 4.750% | | 3,500,000 | 3,512,033 |
| Purchasing Power Funding LLC(a),(b) |
| Series 2016-A Class A1 |
| 02/27/2019 | 1.739% | | 2,260,462 | 2,260,462 |
| RBSHD Trust(a),(b) |
| Series 2013-1A Class A |
| 10/25/2047 | 7.685% | | 1,059,085 | 1,059,789 |
| Renew (a) |
| Series 2017-1A Class A |
| 09/20/2052 | 3.670% | | 724,841 | 722,585 |
| Santander Drive Auto Receivables Trust |
| Series 2016-2 Class A3 |
| 05/15/2020 | 1.560% | | 777,000 | 776,843 |
| Saxon Asset Securities Trust(b) |
| CMO Series 2003-1 Class AF6 |
| 06/25/2033 | 4.795% | | 11,675 | 11,767 |
| Sierra Auto Receivables Securitization Trust(a) |
| Series 2016-1A |
| 01/18/2022 | 2.850% | | 401,047 | 401,401 |
| Skopos Auto Receivables Trust(a) |
| Series 2015-2A Class A |
| 02/15/2020 | 3.550% | | 133,548 | 133,614 |
| SLM Private Education Loan Trust(a) |
| Series 2012-D Class A2 |
| 02/15/2046 | 2.950% | | 7,403,483 | 7,448,287 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| SLM Student Loan Trust(b) |
| Series 2007-2 Class A4 |
| 07/25/2022 | 1.216% | | 2,150,000 | 2,081,718 |
| Series 2012-1 Class A3 |
| 09/25/2028 | 1.974% | | 6,034,904 | 6,094,391 |
| Series 2012-2 Class A |
| 01/25/2029 | 1.724% | | 9,355,753 | 9,374,795 |
| Series 2013-6 Class A3 |
| 06/25/2055 | 1.674% | | 5,599,000 | 5,626,868 |
| Subordinated, Series 2012-6 Class B |
| 04/27/2043 | 2.024% | | 2,461,000 | 2,247,423 |
| SMB Private Education Loan Trust(a),(b) |
| Series 2015-B Class A1 |
| 02/15/2023 | 1.859% | | 19,269 | 19,270 |
| Series 2017-A Class A2B |
| 09/15/2034 | 2.059% | | 15,032,000 | 15,081,568 |
| SMB Private Education Loan Trust(a) |
| Series 2015-B Class A2A |
| 07/15/2027 | 2.980% | | 6,000,000 | 6,138,899 |
| Series 2016-A Class A2A |
| 05/15/2031 | 2.700% | | 7,655,000 | 7,685,445 |
| Series 2016-C Class A2A |
| 09/15/2034 | 2.340% | | 5,230,000 | 5,153,095 |
| Series 2017-A Class A2A |
| 09/15/2034 | 2.880% | | 9,251,000 | 9,326,093 |
| SoFi Consumer Loan Program LLC(a) |
| Series 2016-2A Class A |
| 10/27/2025 | 3.090% | | 1,431,940 | 1,444,753 |
| SoFi Professional Loan Program LLC(a) |
| Series 2017-B Class A2FX |
| 05/25/2040 | 2.740% | | 4,500,000 | 4,525,071 |
| Series 2017-C Class A2B |
| 07/25/2040 | 2.630% | | 2,043,000 | 2,035,259 |
| SoFi Professional Loan Program LLC(a),(b) |
| Series 2017-C Class A1 |
| 07/25/2040 | 2.630% | | 3,500,000 | 3,499,777 |
| Springleaf Funding Trust(a) |
| Series 2015-AA Class A |
| 11/15/2024 | 3.160% | | 1,537,000 | 1,550,617 |
| Series 2015-AA Class B |
| 11/15/2024 | 3.620% | | 363,000 | 361,202 |
| Synchrony Credit Card Master Note Trust |
| Series 2015-1 Class A |
| 03/15/2023 | 2.370% | | 814,000 | 822,102 |
| Series 2015-4 Class A |
| 09/15/2023 | 2.380% | | 1,475,000 | 1,487,696 |
| Series 2016-3 Class A |
| 09/15/2022 | 1.580% | | 3,387,000 | 3,363,791 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 127 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2017-1 Class A |
| 06/15/2023 | 1.930% | | 2,067,000 | 2,060,763 |
| Toyota Auto Receivables Owner Trust |
| Series 2017-B Class A4 |
| 09/15/2022 | 2.050% | | 8,000,000 | 8,025,793 |
| Trafigura Securitisation Finance PLC(a),(b) |
| Series 2014-1A Class A |
| 10/15/2018 | 2.109% | | 2,391,000 | 2,388,889 |
| Tricolor Auto Securitization Trust(a) |
| Series 2017-1 Class A |
| 05/15/2020 | 5.090% | | 2,881,063 | 2,879,318 |
| Tricon American Homes Trust(a),(b) |
| Series 2015-SFR1 Class A |
| 05/17/2032 | 2.409% | | 567,682 | 566,909 |
| Tricon American Homes Trust(a) |
| Series 2016-SFR1 Class A |
| 11/17/2033 | 2.589% | | 1,715,000 | 1,694,627 |
| Upstart Securitization Trust(a) |
| Series 2017-1 Class A |
| 06/20/2024 | 2.639% | | 1,096,000 | 1,095,718 |
| Vericrest Opportunity Loan Transferee XXIV LLC(a),(b) |
| Series 2015-NPL6 Class A1 |
| 02/25/2055 | 3.500% | | 686,215 | 686,330 |
| Vericrest Opportunity Loan Transferee XXV LLC(a),(b) |
| Series 2015-NPL8 Class A1 |
| 06/26/2045 | 3.500% | | 4,569,189 | 4,580,386 |
| Vericrest Opportunity Loan Transferee XXXIII LLC(a),(b) |
| Series 2015-NPL5 Class A1 |
| 03/25/2055 | 3.500% | | 1,293,427 | 1,293,645 |
| Verizon Owner Trust(a) |
| Series 2017-2A Class A |
| 12/20/2021 | 1.920% | | 5,354,000 | 5,356,572 |
| VM DEBT LLC(a) |
| Series 2017-1 Class A |
| 10/02/2024 | 6.500% | | 1,970,000 | 1,970,000 |
| Westgate Resorts LLC(a) |
| Series 2017-1A Class B |
| 12/20/2030 | 3.050% | | 993,357 | 991,720 |
| Westlake Automobile Receivables Trust(a) |
| Series 2016-2A |
| 06/17/2019 | 1.570% | | 1,045,636 | 1,045,513 |
| 06/15/2021 | 4.100% | | 799,000 | 811,621 |
| Series 2016-3A Class C |
| 01/18/2022 | 2.460% | | 1,294,000 | 1,289,413 |
| Series 2017-1A Class C |
| 10/17/2022 | 2.700% | | 508,000 | 508,796 |
| Subordinated, Series 2015-3A Class D |
| 05/17/2021 | 4.400% | | 1,000,000 | 1,014,281 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| World Financial Network Credit Card Master Trust |
| Series 2016-A Class A |
| 04/15/2025 | 2.030% | | 5,681,000 | 5,614,099 |
Total Asset-Backed Securities — Non-Agency
(Cost $484,159,718) | 484,646,958 |
|
| Commercial Mortgage-Backed Securities - Agency 7.7% |
| | | | |
| Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates |
| Series KJ02 Class A2 |
| 09/25/2020 | 2.597% | | 746,791 | 758,834 |
| Series KJ07 Class A2 |
| 12/25/2022 | 2.312% | | 5,000,000 | 4,932,561 |
| Series KS07 Class A2 |
| 09/25/2025 | 2.735% | | 3,600,000 | 3,581,412 |
| Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates |
| Series KPLB Class A |
| 05/25/2025 | 2.770% | | 7,500,000 | 7,537,559 |
| Federal National Mortgage Association |
| 01/01/2018 | 3.520% | | 2,288,117 | 2,289,814 |
| 03/01/2018 | 3.800% | | 1,507,110 | 1,514,256 |
| 08/01/2019 | 2.030% | | 247,167 | 249,302 |
| 11/01/2019 | 4.130% | | 1,500,000 | 1,570,375 |
| 12/01/2019 | 4.180% | | 2,420,571 | 2,536,590 |
| 01/01/2020 | 4.540% | | 1,338,564 | 1,412,287 |
| 04/01/2020 | 4.382% | | 1,975,145 | 2,088,399 |
| 07/01/2020 | 4.066% | | 2,310,000 | 2,442,118 |
| 10/01/2020 | 3.290% | | 1,406,924 | 1,459,121 |
| 11/01/2020 | 3.372% | | 805,115 | 836,698 |
| 01/01/2021 | 4.284% | | 1,116,436 | 1,196,266 |
| 05/01/2021 | 4.360% | | 1,435,409 | 1,544,092 |
| 05/01/2021 | 4.390% | | 1,425,877 | 1,534,281 |
| 06/01/2021 | 4.240% | | 1,888,909 | 2,025,885 |
| 07/01/2021 | 4.314% | | 1,881,467 | 2,020,206 |
| 08/01/2021 | 3.870% | | 1,828,941 | 1,946,530 |
| 08/01/2021 | 4.130% | | 1,367,510 | 1,463,457 |
| 09/01/2021 | 2.120% | | 2,800,000 | 2,769,209 |
| 11/01/2021 | 4.600% | | 1,754,652 | 1,900,738 |
| 06/01/2022 | 2.790% | | 2,612,851 | 2,685,782 |
| 06/01/2022 | 2.790% | | 1,883,555 | 1,936,654 |
| 07/01/2022 | 2.670% | | 5,000,000 | 5,115,312 |
| 08/01/2022 | 2.650% | | 7,000,000 | 7,155,231 |
| 11/01/2022 | 2.450% | | 6,000,000 | 6,064,319 |
| 12/01/2022 | 2.390% | | 1,814,321 | 1,831,535 |
| 12/01/2022 | 2.400% | | 1,800,000 | 1,814,982 |
| 02/01/2023 | 2.400% | | 2,000,000 | 2,015,974 |
| 02/01/2023 | 2.460% | | 2,708,965 | 2,723,084 |
| 04/01/2023 | 2.500% | | 6,000,000 | 6,057,023 |
| 04/01/2023 | 2.640% | | 2,812,414 | 2,846,180 |
| 04/01/2023 | 2.706% | | 1,340,807 | 1,361,311 |
| 05/01/2023 | 2.520% | | 3,000,000 | 3,031,062 |
| 06/01/2023 | 2.420% | | 2,780,478 | 2,783,003 |
| 06/01/2023 | 2.510% | | 1,847,785 | 1,858,190 |
| 07/01/2023 | 2.784% | | 2,621,252 | 2,676,538 |
| 07/01/2023 | 3.670% | | 6,000,000 | 6,381,977 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 128 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Commercial Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 08/01/2023 | 3.590% | | 2,500,000 | 2,649,083 |
| 10/01/2023 | 3.760% | | 1,928,558 | 2,058,175 |
| 11/01/2023 | 3.690% | | 1,200,000 | 1,277,648 |
| 07/01/2025 | 3.070% | | 10,000,000 | 10,217,141 |
| 09/01/2025 | 3.100% | | 2,500,000 | 2,555,051 |
| 12/01/2025 | 3.765% | | 7,000,000 | 7,506,792 |
| 07/01/2026 | 4.450% | | 2,755,094 | 3,008,519 |
| 10/01/2026 | 3.235% | | 1,432,983 | 1,477,174 |
| 12/01/2026 | 3.240% | | 1,500,000 | 1,544,522 |
| 02/01/2027 | 3.340% | | 1,000,000 | 1,032,390 |
| 03/01/2027 | 2.910% | | 3,521,000 | 3,538,265 |
| 05/01/2027 | 2.885% | | 2,372,385 | 2,380,861 |
| 06/01/2027 | 3.000% | | 2,000,000 | 2,016,532 |
| 06/01/2027 | 3.110% | | 6,631,612 | 6,771,717 |
| 07/01/2027 | 3.210% | | 970,655 | 1,001,086 |
| 08/01/2027 | 3.390% | | 7,622,561 | 7,934,933 |
| 02/01/2030 | 2.920% | | 2,983,431 | 2,967,382 |
| 02/01/2030 | 3.550% | | 1,000,000 | 1,037,972 |
| 06/01/2030 | 3.130% | | 4,812,000 | 4,719,243 |
| 07/01/2030 | 3.210% | | 4,205,000 | 4,259,325 |
| 07/01/2030 | 3.300% | | 4,022,000 | 4,107,200 |
| 07/01/2030 | 3.340% | | 2,500,000 | 2,565,309 |
| 09/01/2030 | 3.390% | | 5,829,875 | 5,997,874 |
| 09/01/2030 | 3.410% | | 7,500,000 | 7,534,332 |
| 06/01/2037 | 5.832% | | 1,141,017 | 1,274,122 |
| Series 2010-M3 Class A3 |
| 03/25/2020 | 4.332% | | 3,400,577 | 3,589,050 |
| Series 2011-M1 Class A3 |
| 06/25/2021 | 3.763% | | 1,473,291 | 1,546,644 |
| Series 2012-M8 Class ASQ3 |
| 12/25/2019 | 1.801% | | 800,000 | 801,742 |
| Series 2013-M7 Class A2 |
| 12/27/2022 | 2.280% | | 1,878,000 | 1,870,488 |
| Series 2015-M10 Class A2 |
| 04/25/2027 | 3.092% | | 11,666,000 | 11,842,999 |
| Series 2017-M5 Class A2 |
| 04/25/2029 | 3.303% | | 1,929,000 | 1,959,452 |
| Series 2017-T1 Class A |
| 06/25/2027 | 2.898% | | 2,780,000 | 2,763,742 |
| Federal National Mortgage Association(b) |
| Series 2012-M11 Class FA |
| 08/25/2019 | 1.544% | | 160,959 | 160,922 |
| Series 2013-M13 Class A2 |
| 04/25/2023 | 2.622% | | 4,118,000 | 4,166,521 |
| Series 2014-M12 Class ASV2 |
| 10/25/2021 | 2.614% | | 1,500,000 | 1,530,523 |
| Series 2014-M3 Class A2 |
| 01/25/2024 | 3.501% | | 2,000,000 | 2,122,558 |
| Series 2015-M11 Class A2 |
| 04/25/2025 | 2.928% | | 2,000,000 | 2,021,931 |
| Commercial Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2017-M7 Class A2 |
| 02/25/2027 | 2.961% | | 1,049,000 | 1,053,690 |
| FREMF Mortgage Trust(a),(b) |
| Subordinated, Series 2015-K44 Class B |
| 01/25/2048 | 3.810% | | 3,410,000 | 3,441,370 |
| Subordinated, Series 2016-K59 Class B |
| 11/25/2049 | 3.695% | | 2,383,000 | 2,325,891 |
| Subordinated, Series 2016-K722 Class B |
| 07/25/2049 | 3.966% | | 1,400,000 | 1,426,718 |
| Government National Mortgage Association(b) |
| CMO Series 2013-H08 Class FA |
| 03/20/2063 | 1.343% | | 3,044,085 | 3,029,804 |
| CMO Series 2015-H15 Class FJ |
| 06/20/2065 | 1.433% | | 3,607,775 | 3,590,377 |
| CMO Series 2015-H16 Class FG |
| 07/20/2065 | 1.433% | | 3,946,809 | 3,928,546 |
| CMO Series 2015-H16 Class FL |
| 07/20/2065 | 1.433% | | 1,912,493 | 1,902,972 |
| CMO Series 2015-H18 Class FA |
| 06/20/2065 | 1.443% | | 1,428,310 | 1,423,121 |
| Series 2014-168 Class VB |
| 06/16/2047 | 3.449% | | 3,618,792 | 3,744,291 |
Total Commercial Mortgage-Backed Securities - Agency
(Cost $254,840,938) | 259,624,147 |
|
| Commercial Mortgage-Backed Securities - Non-Agency 3.3% |
| | | | |
| A10 Term Asset Financing LLC(a) |
| Series 2013-2 Class A |
| 11/15/2027 | 2.620% | | 400,386 | 400,164 |
| Series 2013-2 Class B |
| 11/15/2027 | 4.380% | | 657,000 | 655,479 |
| Series 2014-1 Class A2 |
| 04/15/2033 | 3.020% | | 147,549 | 147,438 |
| American Homes 4 Rent(a) |
| Series 2015-SFR1 Class A |
| 04/17/2052 | 3.467% | | 1,200,919 | 1,234,539 |
| Series 2015-SFR1 Class E |
| 04/17/2052 | 5.639% | | 1,150,000 | 1,236,546 |
| American Homes 4 Rent Trust(a) |
| Series 2014-SFR2 Class A |
| 10/17/2036 | 3.786% | | 2,487,475 | 2,607,643 |
| Series 2014-SFR2 Class E |
| 10/17/2036 | 6.231% | | 500,000 | 554,757 |
| Series 2014-SFR3 Class A |
| 12/17/2036 | 3.678% | | 1,103,227 | 1,149,370 |
| Series 2014-SFR3 Class E |
| 12/17/2036 | 6.418% | | 1,000,000 | 1,122,764 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 129 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Subordinated, Series 2014-SFR3 Class C |
| 12/17/2036 | 4.596% | | 200,000 | 211,135 |
| Subordinated, Series 2015-SFR2 Class D |
| 10/17/2045 | 5.036% | | 2,000,000 | 2,133,697 |
| Subordinated, Series 2015-SFR2 Class E |
| 10/17/2045 | 6.070% | | 1,820,000 | 2,013,152 |
| B2R Mortgage Trust(a) |
| Series 2015-1 Class A1 |
| 05/15/2048 | 2.524% | | 845,285 | 836,250 |
| Series 2015-2 Class A |
| 11/15/2048 | 3.336% | | 2,881,738 | 2,917,289 |
| Banc of America Commercial Mortgage Trust |
| Series 2007-5 Class A4 |
| 02/10/2051 | 5.492% | | 466,015 | 466,639 |
| BB-UBS Trust(a) |
| Series 2012-SHOW Class A |
| 11/05/2036 | 3.430% | | 3,700,000 | 3,794,720 |
| Series 2012-TFT Class A |
| 06/05/2030 | 2.892% | | 386,000 | 382,893 |
| Bear Stearns Commercial Mortgage Securities Trust(a),(b),(d) |
| CMO Series 2007-T26 Class X1 |
| 01/12/2045 | 0.082% | | 16,027,393 | 14,163 |
| Camden Property Trust(a) |
| Series 2016-SFR1 Class A |
| 12/05/2026 | 5.000% | | 5,009,651 | 4,998,692 |
| CFCRE Commercial Mortgage Trust |
| Series 2016-C4 Class A4 |
| 05/10/2058 | 3.283% | | 1,030,000 | 1,034,909 |
| Series 2017-C8 Class A1 |
| 06/15/2050 | 1.965% | | 727,000 | 725,631 |
| Series 2017-C8 Class A4 |
| 06/15/2050 | 3.572% | | 2,779,000 | 2,836,362 |
| Series 2017-C8 Class ASB |
| 06/15/2050 | 3.367% | | 1,040,000 | 1,064,779 |
| Citigroup Commercial Mortgage Trust |
| Series 2013-GC11 Class AAB |
| 04/10/2046 | 2.690% | | 558,000 | 567,656 |
| Citigroup Commercial Mortgage Trust(a) |
| Series 2013-SMP Class A |
| 01/12/2030 | 2.110% | | 852,664 | 853,799 |
| Citigroup/Deutsche Bank Commercial Mortgage Trust(a),(b),(d) |
| CMO Series 2006-CD2 Class X |
| 01/15/2046 | 0.023% | | 8,286,243 | 56 |
| CMO Series 2007-CD4 Class XC |
| 12/11/2049 | 0.744% | | 2,215,312 | 158 |
| COBALT CMBS Commercial Mortgage Trust(b),(d) |
| CMO Series 2006-C1 Class |
| 08/15/2048 | 1.027% | | 937,832 | 6,119 |
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Colony American Finance Ltd.(a) |
| Series 2016-2 Class A |
| 11/15/2048 | 2.554% | | 1,342,272 | 1,314,031 |
| Commercial Mortgage Trust(b),(d) |
| CMO Series 2012-CR2 Class XA |
| 08/15/2045 | 1.841% | | 2,218,698 | 153,483 |
| Commercial Mortgage Trust |
| Series 2012-LC4 Class A4 |
| 12/10/2044 | 3.288% | | 5,000,000 | 5,165,146 |
| Series 2013-CR9 Class ASB |
| 07/10/2045 | 3.834% | | 3,784,000 | 3,998,520 |
| Series 2014-CR19 Class ASB |
| 08/10/2047 | 3.499% | | 1,100,000 | 1,151,550 |
| Series 2014-UBS2 Class A5 |
| 03/10/2047 | 3.961% | | 2,809,000 | 2,963,602 |
| Series 2014-UBS4 Class A5 |
| 08/10/2047 | 3.694% | | 627,000 | 650,660 |
| Series 2015-CR25 Class A4 |
| 08/10/2048 | 3.759% | | 2,187,000 | 2,288,604 |
| Commercial Mortgage Trust(a) |
| Series 2013-300P Class A1 |
| 08/10/2030 | 4.353% | | 2,000,000 | 2,174,614 |
| Commercial Mortgage Trust(a),(b) |
| Series 2013-SFS Class A2 |
| 04/12/2035 | 3.086% | | 624,000 | 631,667 |
| Series 2014-TWC Class A |
| 02/13/2032 | 1.978% | | 1,875,000 | 1,878,505 |
| CSAIL Commercial Mortgage Trust |
| Series 2015-C4 Class A4 |
| 11/15/2048 | 3.808% | | 1,364,000 | 1,425,527 |
| DBJPM Mortgage Trust |
| Series 2017-C6 Class A5 |
| 06/10/2050 | 3.328% | | 438,000 | 444,856 |
| Series 2017-C6 Class ASB |
| 06/10/2050 | 3.121% | | 347,000 | 353,183 |
| Greenwich Capital Commercial Funding Corp.(b) |
| Series 2006-GG7 Class AM |
| 07/10/2038 | 5.951% | | 125,367 | 125,318 |
| GS Mortgage Securities Corp. II(a) |
| Series 2012-ALOH Class A |
| 04/10/2034 | 3.551% | | 2,000,000 | 2,097,388 |
| Series 2013-KING Class A |
| 12/10/2027 | 2.706% | | 905,303 | 916,434 |
| GS Mortgage Securities Corp. Trust(a),(b),(d) |
| CMO Series 2006-GG8 Class X |
| 11/10/2039 | 1.074% | | 2,344,232 | 56 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 130 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| GS Mortgage Securities Corp. Trust(a) |
| Series 2013-NYC5 Class A |
| 01/10/2030 | 2.318% | | 1,222,000 | 1,223,850 |
| GS Mortgage Securities Trust |
| Series 2013-GC14 Class AAB |
| 08/10/2046 | 3.817% | | 2,000,000 | 2,112,732 |
| Series 2015-GC32 Class AAB |
| 07/10/2048 | 3.513% | | 7,000,000 | 7,297,828 |
| JPMBB Commercial Mortgage Securities Trust |
| Series 2013-C15 Class A2 |
| 11/15/2045 | 2.977% | | 1,042,512 | 1,056,897 |
| Series 2014-C21 Class A5 |
| 08/15/2047 | 3.775% | | 1,372,000 | 1,442,153 |
| Series 2014-C21 Class ASB |
| 08/15/2047 | 3.428% | | 528,000 | 549,565 |
| Series 2015-C28 Class A3 |
| 10/15/2048 | 2.912% | | 3,279,000 | 3,264,485 |
| Series 2015-C30 Class ASB |
| 07/15/2048 | 3.559% | | 845,000 | 884,412 |
| JPMCC Commercial Mortgage Securities Trust |
| Series 2017-JP6 Class ASB |
| 07/15/2050 | 3.283% | | 2,855,000 | 2,934,641 |
| JPMorgan Chase Commercial Mortgage Securities Trust(b),(d) |
| CMO Series 2006-CB15 Class X1 |
| 06/12/2043 | 0.475% | | 12,854,503 | 38,809 |
| JPMorgan Chase Commercial Mortgage Securities Trust(a),(b),(d) |
| CMO Series 2010-C2 Class XA |
| 11/15/2043 | 1.791% | | 6,709,153 | 224,239 |
| JPMorgan Chase Commercial Mortgage Securities Trust |
| Series 20 13-C13 Class A2 |
| 01/15/2046 | 2.665% | | 1,891,798 | 1,911,059 |
| JPMorgan Chase Commercial Mortgage Securities Trust(b) |
| Series 2006-LDP9 Class A3SF |
| 05/15/2047 | 1.314% | | 295,162 | 294,383 |
| JPMorgan Chase Commercial Mortgage Securities Trust(a) |
| Series 2011-C4 Class A3 |
| 07/15/2046 | 4.106% | | 928,371 | 944,239 |
| KGS-Alpha SBA COOF Trust(a),(b),(d) |
| CMO Series 2012-2 Class A |
| 08/25/2038 | 0.802% | | 5,011,308 | 120,585 |
| CMO Series 2013-2 Class A |
| 03/25/2039 | 1.668% | | 6,320,482 | 284,422 |
| CMO Series 2014-2 Class A |
| 04/25/2040 | 3.386% | | 1,700,065 | 157,256 |
| Ladder Capital Commercial Mortgage Trust(a) |
| Series 2013-GCP Class A2 |
| 02/15/2036 | 3.985% | | 1,535,000 | 1,601,880 |
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| LB-UBS Commercial Mortgage Trust(a),(b),(d) |
| CMO Series 2006-C1 Class XCL |
| 02/15/2041 | 0.327% | | 6,751,352 | 507 |
| Merrill Lynch/Countrywide Commercial Mortgage Trust(a),(b),(d) |
| CMO Series 2006-4 Class XC |
| 12/12/2049 | 0.857% | | 951,436 | 16 |
| Merrill Lynch/Countrywide Commercial Mortgage Trust |
| Series 2007-9 Class A4 |
| 09/12/2049 | 5.700% | | 273,736 | 273,947 |
| Morgan Stanley Bank of America Merrill Lynch Trust |
| Series 2015-C25 Class ASB |
| 10/15/2048 | 3.383% | | 2,997,000 | 3,124,353 |
| Morgan Stanley Capital I Trust(a),(b),(d) |
| CMO Series 2006-IQ12 Class X1 |
| 12/15/2043 | 0.650% | | 5,308,566 | 70 |
| CMO Series 2006-T21 Class X |
| 10/12/2052 | 0.076% | | 12,948,844 | 29,059 |
| CMO Series 2007-HQ11 Class X |
| 02/12/2044 | 0.450% | | 12,325,304 | 15,412 |
| Morgan Stanley Re-Remic Trust(a) |
| Series 2012-IO Class AXA |
| 03/27/2051 | 1.000% | | 321,998 | 321,692 |
| PFP, Ltd.(a),(b) |
| Series 2015-2 Class A |
| 07/14/2034 | 2.609% | | 816,605 | 816,534 |
| Series 2015-2 Class C |
| 07/14/2034 | 4.409% | | 938,000 | 939,289 |
| Series 2015-2 Class D |
| 07/14/2034 | 5.159% | | 851,000 | 852,967 |
| RAIT Financial Trust(a),(b) |
| Series 2015-FL4 Class A |
| 12/15/2031 | 2.509% | | 99,287 | 98,569 |
| Series 2015-FL4 Class AS |
| 12/15/2031 | 2.909% | | 966,832 | 959,471 |
| Subordinated, Series 2015-FL5 |
| 01/15/2031 | 5.059% | | 1,485,000 | 1,479,607 |
| RBS Commercial Funding, Inc., Trust(a) |
| Series 2013-SMV Class A |
| 03/11/2031 | 3.260% | | 797,000 | 795,368 |
| Resource Capital Corp., Ltd.(a),(b) |
| Series 2015-CRE4 Class A |
| 08/15/2032 | 2.572% | | 295,479 | 294,663 |
| Subordinated, Series 2015-CRE4 Class B |
| 08/15/2032 | 4.172% | | 1,151,000 | 1,139,490 |
| Rialto Real Estate Fund LLC(a) |
| Series 2015-LT7 Class A |
| 12/25/2032 | 3.000% | | 25,193 | 25,193 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 131 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| UBS-Barclays Commercial Mortgage Trust |
| Series 2013-C6 Class A4 |
| 04/10/2046 | 3.244% | | 857,000 | 878,937 |
| VNDO Mortgage Trust(a) |
| Series 2012-6AVE Class A |
| 11/15/2030 | 2.996% | | 1,165,409 | 1,189,434 |
| Series 2013-PENN Class A |
| 12/13/2029 | 3.808% | | 3,000,000 | 3,142,526 |
| Wachovia Bank Commercial Mortgage Trust(a),(b),(d) |
| CMO Series 2004-C12 Class |
| 07/15/2041 | 0.266% | | 15,786,792 | 61,336 |
| CMO Series 2006-C24 Class XC |
| 03/15/2045 | 0.134% | | 6,664,844 | 19 |
| Wells Fargo Commercial Mortgage Trust(a),(b) |
| Series 2013-120B Class A |
| 03/18/2028 | 2.800% | | 2,000,000 | 2,023,635 |
| Wells Fargo Commercial Mortgage Trust |
| Series 2014-LC16 |
| 08/15/2050 | 2.819% | | 3,000,000 | 3,046,064 |
| WF-RBS Commercial Mortgage Trust(a) |
| Series 2011-C3 Class A4 |
| 03/15/2044 | 4.375% | | 1,200,000 | 1,274,016 |
| WF-RBS Commercial Mortgage Trust |
| Series 2012-C6 Class A4 |
| 04/15/2045 | 3.440% | | 960,000 | 998,304 |
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $111,544,551) | 111,823,856 |
|
| Corporate Bonds & Notes 23.0% |
| | | | |
| Aerospace & Defense 0.3% |
| Airbus Group Finance BV(a) |
| 04/17/2023 | 2.700% | | 589,000 | 593,101 |
| Airbus Group SE(a) |
| 04/10/2027 | 3.150% | | 409,000 | 412,409 |
| 04/10/2047 | 3.950% | | 150,000 | 154,670 |
| BAE Systems Holdings, Inc.(a) |
| 06/01/2019 | 6.375% | | 555,000 | 598,494 |
| 10/07/2024 | 3.800% | | 725,000 | 755,797 |
| Harris Corp. |
| 04/27/2035 | 4.854% | | 770,000 | 845,134 |
| L-3 Communications Corp. |
| 12/15/2026 | 3.850% | | 211,000 | 216,803 |
| Lockheed Martin Corp. |
| 05/15/2036 | 4.500% | | 1,100,000 | 1,205,648 |
| 09/01/2036 | 6.150% | | 737,000 | 956,305 |
| Northrop Grumman Corp. |
| 08/01/2023 | 3.250% | | 1,650,000 | 1,704,242 |
| 02/01/2027 | 3.200% | | 1,950,000 | 1,965,614 |
| 04/15/2045 | 3.850% | | 535,000 | 529,354 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Northrop Grumman Systems Corp. |
| 02/15/2031 | 7.750% | | 400,000 | 572,207 |
| Rockwell Collins, Inc. |
| 03/15/2024 | 3.200% | | 175,000 | 177,517 |
| 04/15/2047 | 4.350% | | 66,000 | 68,959 |
| Total | 10,756,254 |
| Agencies 0.1% |
| Israel Government AID Bond(e) |
| 11/01/2024 | 0.000% | | 5,000,000 | 4,100,515 |
| Airlines 0.2% |
| Air Canada Pass-Through Trust(a) |
| 05/15/2025 | 4.125% | | 830,571 | 861,987 |
| American Airlines Pass Through Trust |
| Series 2017-1 Class AA |
| 02/15/2029 | 3.650% | | 686,000 | 698,726 |
| American Airlines Pass-Through Trust |
| 01/31/2021 | 5.250% | | 126,069 | 133,446 |
| 01/15/2023 | 4.950% | | 637,866 | 677,454 |
| Series 2016-2 Class A |
| 06/15/2028 | 3.650% | | 214,280 | 215,397 |
| Series 2016-3 Class AA |
| 10/15/2028 | 3.000% | | 2,151,000 | 2,071,942 |
| Continental Airlines Pass-Through Trust |
| 04/19/2022 | 5.983% | | 626,147 | 682,175 |
| 10/29/2024 | 4.000% | | 148,839 | 155,534 |
| Delta Air Lines Pass-Through Trust |
| 04/15/2019 | 5.300% | | 62,746 | 65,841 |
| United Airlines, Inc. Pass-Through Trust |
| 08/15/2025 | 4.300% | | 265,804 | 281,121 |
| Series 2016-1 Class A |
| 07/07/2028 | 3.450% | | 557,000 | 565,400 |
| Total | 6,409,023 |
| Apartment REIT 0.1% |
| AvalonBay Communities, Inc. |
| 11/15/2024 | 3.500% | | 215,000 | 219,715 |
| 11/15/2025 | 3.500% | | 300,000 | 305,417 |
| 10/15/2046 | 3.900% | | 85,000 | 82,001 |
| ERP Operating LP |
| 04/15/2023 | 3.000% | | 200,000 | 200,496 |
| Mid-America Apartments LP |
| 06/15/2024 | 3.750% | | 1,355,000 | 1,388,306 |
| 11/15/2025 | 4.000% | | 650,000 | 672,941 |
| 06/01/2027 | 3.600% | | 865,000 | 862,995 |
| UDR, Inc. |
| 09/01/2026 | 2.950% | | 363,000 | 343,172 |
| Total | 4,075,043 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 132 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Automotive 0.7% |
| BMW US Capital LLC(a) |
| 09/15/2023 | 2.250% | | 720,000 | 698,969 |
| Ford Motor Credit Co. LLC |
| 01/09/2022 | 3.219% | | 271,000 | 273,726 |
| 03/28/2022 | 3.339% | | 2,715,000 | 2,756,078 |
| 05/04/2023 | 3.096% | | 323,000 | 318,862 |
| 01/09/2024 | 3.810% | | 1,955,000 | 1,982,646 |
| 08/04/2025 | 4.134% | | 940,000 | 955,887 |
| General Motors Co. |
| 04/01/2036 | 6.600% | | 124,000 | 145,105 |
| 04/01/2046 | 6.750% | | 1,445,000 | 1,710,357 |
| General Motors Financial Co., Inc. |
| 01/14/2022 | 3.450% | | 1,551,000 | 1,574,856 |
| 04/13/2024 | 3.950% | | 3,165,000 | 3,208,405 |
| 07/13/2025 | 4.300% | | 1,525,000 | 1,557,627 |
| 10/06/2026 | 4.000% | | 1,890,000 | 1,878,477 |
| 01/17/2027 | 4.350% | | 2,831,000 | 2,865,697 |
| General Motors Financial Co., Inc.(f) |
| 06/30/2022 | 3.150% | | 1,910,000 | 1,912,131 |
| Total | 21,838,823 |
| Banking 5.8% |
| ABN AMRO Bank NV(a) |
| 10/30/2018 | 2.500% | | 720,000 | 725,602 |
| 01/18/2019 | 2.100% | | 1,195,000 | 1,197,214 |
| Subordinated |
| 07/28/2025 | 4.750% | | 431,000 | 453,880 |
| American Express Co. |
| Subordinated |
| 12/05/2024 | 3.625% | | 170,000 | 173,766 |
| American Express Credit Corp. |
| 07/31/2018 | 1.800% | | 651,000 | 650,929 |
| 05/05/2021 | 2.250% | | 331,000 | 330,427 |
| 03/03/2022 | 2.700% | | 210,000 | 211,877 |
| ANZ New Zealand International Ltd.(a) |
| 09/23/2019 | 2.600% | | 400,000 | 403,384 |
| 08/06/2020 | 2.850% | | 478,000 | 484,787 |
| Australia & New Zealand Banking Group Ltd.(a) |
| Subordinated |
| 05/19/2026 | 4.400% | | 226,000 | 233,924 |
| Banco Santander SA |
| 04/11/2022 | 3.500% | | 1,000,000 | 1,022,907 |
| 04/11/2027 | 4.250% | | 1,380,000 | 1,433,704 |
| Bank of America Corp. |
| 09/01/2017 | 6.000% | | 1,730,000 | 1,741,812 |
| 04/25/2018 | 6.875% | | 500,000 | 519,977 |
| 06/01/2019 | 7.625% | | 50,000 | 55,112 |
| 10/19/2020 | 2.625% | | 225,000 | 226,964 |
| 05/13/2021 | 5.000% | | 900,000 | 981,841 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 10/21/2022 | 2.503% | | 2,800,000 | 2,761,396 |
| 01/11/2023 | 3.300% | | 5,471,000 | 5,578,319 |
| 07/24/2023 | 4.100% | | 250,000 | 264,153 |
| 04/01/2024 | 4.000% | | 4,000,000 | 4,188,900 |
| Subordinated |
| 08/26/2024 | 4.200% | | 250,000 | 259,536 |
| 01/22/2025 | 4.000% | | 459,000 | 466,529 |
| 03/03/2026 | 4.450% | | 850,000 | 885,765 |
| 11/25/2027 | 4.183% | | 500,000 | 508,902 |
| Bank of America Corp.(b) |
| 04/24/2028 | 3.705% | | 1,800,000 | 1,816,587 |
| 04/24/2038 | 4.244% | | 1,995,000 | 2,073,870 |
| Bank of America NA |
| Subordinated |
| 10/15/2036 | 6.000% | | 700,000 | 881,563 |
| Bank of Montreal |
| 01/25/2019 | 2.375% | | 1,633,000 | 1,645,581 |
| Bank of New York Mellon Corp. (The)(b) |
| 05/16/2023 | 2.661% | | 200,000 | 200,803 |
| Bank of New York Mellon Corp. (The) |
| 08/16/2023 | 2.200% | | 1,100,000 | 1,066,548 |
| 11/18/2025 | 3.950% | | 575,000 | 611,637 |
| 05/16/2027 | 3.250% | | 3,290,000 | 3,315,978 |
| Bank of Nova Scotia (The) |
| 10/21/2020 | 2.350% | | 1,243,000 | 1,247,749 |
| Barclays PLC |
| 03/16/2025 | 3.650% | | 1,491,000 | 1,485,266 |
| 01/12/2026 | 4.375% | | 639,000 | 663,178 |
| 01/10/2047 | 4.950% | | 875,000 | 939,564 |
| BB&T Corp. |
| 04/30/2019 | 6.850% | | 400,000 | 434,292 |
| Subordinated |
| 11/01/2019 | 5.250% | | 800,000 | 855,685 |
| BNZ International Funding Ltd.(a) |
| 09/14/2021 | 2.100% | | 450,000 | 440,613 |
| 02/21/2022 | 2.900% | | 800,000 | 806,705 |
| BPCE SA |
| 12/02/2026 | 3.375% | | 700,000 | 706,876 |
| BPCE SA(a) |
| Subordinated |
| 10/22/2023 | 5.700% | | 500,000 | 555,719 |
| Capital One Financial Corp. |
| 05/12/2020 | 2.500% | | 350,000 | 351,524 |
| 04/24/2024 | 3.750% | | 379,000 | 387,929 |
| 03/09/2027 | 3.750% | | 525,000 | 524,780 |
| Subordinated |
| 10/29/2025 | 4.200% | | 1,600,000 | 1,613,069 |
| 07/28/2026 | 3.750% | | 1,200,000 | 1,170,595 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 133 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Citigroup, Inc. |
| 07/30/2018 | 2.150% | | 822,000 | 824,727 |
| 08/02/2021 | 2.350% | | 269,000 | 266,503 |
| 04/25/2022 | 2.750% | | 900,000 | 900,008 |
| 12/01/2025 | 7.000% | | 765,000 | 914,139 |
| 10/21/2026 | 3.200% | | 1,616,000 | 1,571,975 |
| 01/15/2028 | 6.625% | | 215,000 | 259,378 |
| Subordinated |
| 03/26/2025 | 3.875% | | 300,000 | 302,018 |
| 06/10/2025 | 4.400% | | 742,000 | 773,030 |
| 09/13/2025 | 5.500% | | 998,000 | 1,110,847 |
| 09/29/2027 | 4.450% | | 2,780,000 | 2,889,187 |
| Citigroup, Inc.(b) |
| 04/24/2048 | 4.281% | | 1,070,000 | 1,101,351 |
| Citizens Financial Group, Inc. |
| Subordinated |
| 12/03/2025 | 4.300% | | 386,000 | 402,901 |
| Comerica, Inc. |
| Subordinated |
| 07/22/2026 | 3.800% | | 656,000 | 661,524 |
| Commonwealth Bank of Australia(a) |
| 09/06/2021 | 2.000% | | 500,000 | 490,921 |
| Subordinated |
| 12/09/2025 | 4.500% | | 703,000 | 734,792 |
| Cooperatieve Rabobank UA |
| 01/11/2021 | 4.500% | | 620,000 | 666,584 |
| Subordinated |
| 08/04/2025 | 4.375% | | 358,000 | 375,145 |
| Cooperatieve Rabobank UA(a) |
| 09/30/2110 | 5.800% | | 500,000 | 620,425 |
| Credit Agricole SA(a) |
| Subordinated |
| 03/17/2025 | 4.375% | | 340,000 | 352,222 |
| Credit Suisse AG |
| 10/29/2021 | 3.000% | | 835,000 | 851,006 |
| Credit Suisse Group AG(a) |
| 01/09/2023 | 3.574% | | 250,000 | 256,194 |
| Credit Suisse Group Funding Guernsey Ltd. |
| 09/15/2022 | 3.800% | | 975,000 | 1,012,679 |
| 06/09/2023 | 3.800% | | 650,000 | 669,279 |
| 03/26/2025 | 3.750% | | 500,000 | 504,680 |
| 05/15/2045 | 4.875% | | 250,000 | 275,021 |
| Danske Bank A/S(a) |
| 03/02/2022 | 2.700% | | 542,000 | 545,829 |
| Deutsche Bank AG |
| 10/14/2021 | 4.250% | | 1,850,000 | 1,940,095 |
| 01/13/2026 | 4.100% | | 600,000 | 609,023 |
| Discover Bank |
| 08/08/2023 | 4.200% | | 1,054,000 | 1,107,621 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Goldman Sachs Group, Inc. (The) |
| 06/15/2020 | 6.000% | | 1,281,000 | 1,413,540 |
| 09/15/2020 | 2.750% | | 1,309,000 | 1,324,404 |
| 04/25/2021 | 2.625% | | 1,025,000 | 1,027,238 |
| 07/27/2021 | 5.250% | | 652,000 | 715,039 |
| 11/15/2021 | 2.350% | | 2,150,000 | 2,121,308 |
| 01/23/2025 | 3.500% | | 578,000 | 584,193 |
| 05/22/2025 | 3.750% | | 4,028,000 | 4,116,471 |
| 11/16/2026 | 3.500% | | 2,845,000 | 2,824,525 |
| 01/26/2027 | 3.850% | | 2,122,000 | 2,160,101 |
| Subordinated |
| 10/21/2025 | 4.250% | | 531,000 | 548,520 |
| 10/01/2037 | 6.750% | | 3,625,000 | 4,705,319 |
| Goldman Sachs Group, Inc. (The)(b) |
| 06/05/2028 | 3.691% | | 1,744,000 | 1,752,364 |
| HSBC Holdings PLC |
| 01/05/2022 | 2.650% | | 3,192,000 | 3,184,492 |
| 03/30/2022 | 4.000% | | 586,000 | 617,449 |
| 05/25/2023 | 3.600% | | 1,357,000 | 1,400,645 |
| Subordinated |
| 03/14/2024 | 4.250% | | 2,500,000 | 2,585,200 |
| 11/23/2026 | 4.375% | | 1,597,000 | 1,655,838 |
| HSBC Holdings PLC(b) |
| 03/13/2023 | 3.262% | | 2,655,000 | 2,708,442 |
| 03/13/2028 | 4.041% | | 1,319,000 | 1,366,839 |
| Huntington Bancshares, Inc. |
| 03/14/2021 | 3.150% | | 141,000 | 143,881 |
| 01/14/2022 | 2.300% | | 1,152,000 | 1,132,596 |
| ING Groep NV |
| 03/29/2022 | 3.150% | | 1,295,000 | 1,319,521 |
| 03/29/2027 | 3.950% | | 1,140,000 | 1,184,960 |
| Intesa Sanpaolo SpA |
| 01/12/2024 | 5.250% | | 406,000 | 448,612 |
| JPMorgan Chase & Co. |
| 08/15/2021 | 2.295% | | 2,470,000 | 2,455,583 |
| 01/15/2023 | 2.972% | | 2,825,000 | 2,852,558 |
| 10/01/2026 | 2.950% | | 3,085,000 | 2,977,327 |
| JPMorgan Chase & Co.(b) |
| 05/01/2028 | 3.540% | | 646,000 | 650,015 |
| 02/22/2048 | 4.260% | | 1,525,000 | 1,607,104 |
| KeyBank NA |
| 05/22/2022 | 3.180% | | 1,373,000 | 1,396,702 |
| Lloyds Banking Group PLC |
| 01/11/2027 | 3.750% | | 1,337,000 | 1,345,608 |
| Subordinated |
| 12/10/2025 | 4.582% | | 500,000 | 518,243 |
| Macquarie Bank Ltd.(a) |
| 07/29/2025 | 4.000% | | 960,000 | 1,003,557 |
| 01/15/2026 | 3.900% | | 370,000 | 383,006 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 134 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Macquarie Group Ltd.(a) |
| 01/14/2021 | 6.250% | | 926,000 | 1,028,761 |
| Mitsubishi UFJ Financial Group, Inc. |
| 03/01/2021 | 2.950% | | 664,000 | 674,631 |
| 02/22/2022 | 2.998% | | 177,000 | 179,658 |
| 09/13/2023 | 2.527% | | 384,000 | 376,184 |
| Mizuho Financial Group, Inc. |
| 02/28/2022 | 2.953% | | 435,000 | 438,370 |
| Morgan Stanley |
| 09/23/2019 | 5.625% | | 130,000 | 139,640 |
| 01/26/2020 | 5.500% | | 600,000 | 647,375 |
| 07/24/2020 | 5.500% | | 324,000 | 353,573 |
| 01/25/2021 | 5.750% | | 372,000 | 411,671 |
| 07/28/2021 | 5.500% | | 3,235,000 | 3,584,419 |
| 11/17/2021 | 2.625% | | 5,410,000 | 5,397,719 |
| 05/19/2022 | 2.750% | | 4,130,000 | 4,128,092 |
| 07/23/2025 | 4.000% | | 1,453,000 | 1,516,384 |
| 01/20/2027 | 3.625% | | 2,633,000 | 2,653,774 |
| 01/22/2047 | 4.375% | | 1,310,000 | 1,372,270 |
| Subordinated |
| 11/24/2025 | 5.000% | | 1,113,000 | 1,207,927 |
| National Australia Bank Ltd. |
| 05/22/2022 | 2.500% | | 2,505,000 | 2,491,253 |
| Nationwide Building Society(a) |
| Subordinated |
| 09/14/2026 | 4.000% | | 879,000 | 870,119 |
| Nordea Bank AB(a) |
| Subordinated |
| 09/21/2022 | 4.250% | | 910,000 | 963,130 |
| Northern Trust Corp.(b) |
| Junior Subordinated |
| 05/08/2032 | 3.375% | | 231,000 | 230,803 |
| PNC Bank NA |
| Subordinated |
| 01/30/2023 | 2.950% | | 570,000 | 575,089 |
| Regions Financial Corp. |
| 02/08/2021 | 3.200% | | 643,000 | 657,767 |
| Royal Bank of Canada |
| 12/10/2018 | 2.000% | | 630,000 | 631,978 |
| Santander Issuances SAU |
| Subordinated |
| 11/19/2025 | 5.179% | | 1,500,000 | 1,609,260 |
| Santander UK Group Holdings PLC |
| 01/08/2021 | 3.125% | | 269,000 | 273,033 |
| Societe Generale SA(a) |
| Subordinated |
| 04/14/2025 | 4.250% | | 900,000 | 911,858 |
| SouthTrust Bank |
| Subordinated |
| 05/15/2025 | 7.690% | | 500,000 | 632,315 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| State Street Corp.(b) |
| 05/15/2023 | 2.653% | | 250,000 | 250,657 |
| State Street Corp. |
| 05/15/2023 | 3.100% | | 630,000 | 640,673 |
| Sumitomo Mitsui Financial Group, Inc. |
| 01/11/2022 | 2.846% | | 1,200,000 | 1,212,800 |
| 07/14/2026 | 2.632% | | 590,000 | 561,743 |
| 10/19/2026 | 3.010% | | 297,000 | 291,059 |
| SunTrust Banks, Inc. |
| 01/27/2022 | 2.700% | | 355,000 | 355,955 |
| Synchrony Financial |
| 08/04/2026 | 3.700% | | 863,000 | 832,030 |
| Toronto-Dominion Bank (The)(b) |
| Subordinated |
| 09/15/2031 | 3.625% | | 583,000 | 578,560 |
| U.S. Bancorp |
| 01/24/2022 | 2.625% | | 309,000 | 312,203 |
| 07/22/2026 | 2.375% | | 1,200,000 | 1,131,406 |
| 04/27/2027 | 3.150% | | 3,695,000 | 3,689,265 |
| UBS Group Funding Jersey Ltd.(a) |
| 02/01/2022 | 2.650% | | 2,540,000 | 2,526,431 |
| 04/15/2026 | 4.125% | | 401,000 | 419,091 |
| UBS Group Funding Switzerland AG(a) |
| 05/23/2023 | 3.491% | | 2,750,000 | 2,822,121 |
| 09/24/2025 | 4.125% | | 200,000 | 209,373 |
| 03/23/2028 | 4.253% | | 460,000 | 481,152 |
| UniCredit SpA(a) |
| 04/12/2027 | 4.625% | | 712,000 | 751,899 |
| Wachovia Corp. |
| 02/01/2018 | 5.750% | | 1,400,000 | 1,432,703 |
| Wells Fargo & Co. |
| 07/22/2020 | 2.600% | | 596,000 | 603,312 |
| 03/04/2021 | 2.500% | | 460,000 | 461,566 |
| 04/01/2021 | 4.600% | | 200,000 | 215,396 |
| 09/09/2024 | 3.300% | | 750,000 | 760,054 |
| 09/29/2025 | 3.550% | | 2,000,000 | 2,033,696 |
| 12/07/2046 | 4.750% | | 574,000 | 613,192 |
| Subordinated |
| 06/03/2026 | 4.100% | | 777,000 | 804,650 |
| 07/22/2027 | 4.300% | | 395,000 | 414,109 |
| 11/17/2045 | 4.900% | | 719,000 | 783,389 |
| Wells Fargo Bank |
| Subordinated |
| 11/15/2017 | 6.000% | | 5,300,000 | 5,383,104 |
| Westpac Banking Corp. |
| 01/11/2022 | 2.800% | | 500,000 | 506,845 |
| Westpac Banking Corp.(b) |
| 11/23/2031 | 4.322% | | 600,000 | 615,446 |
| Total | 194,428,955 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 135 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Brokerage/Asset Managers/Exchanges 0.1% |
| Blackstone Holdings Finance Co. LLC(a) |
| 03/15/2021 | 5.875% | | 850,000 | 943,974 |
| Daiwa Securities Group, Inc.(a) |
| 04/19/2022 | 3.129% | | 305,000 | 307,539 |
| Invesco Finance PLC |
| 01/15/2026 | 3.750% | | 567,000 | 587,246 |
| Jefferies Group LLC |
| 01/15/2027 | 4.850% | | 203,000 | 212,227 |
| Lazard Group LLC |
| 02/13/2025 | 3.750% | | 1,745,000 | 1,747,056 |
| Nomura Holdings, Inc. |
| 03/04/2020 | 6.700% | | 190,000 | 210,247 |
| Total | 4,008,289 |
| Building Materials 0.0% |
| CRH America Finance, Inc.(a) |
| 05/09/2027 | 3.400% | | 311,000 | 311,569 |
| Martin Marietta Materials, Inc. |
| 06/01/2027 | 3.450% | | 395,000 | 393,436 |
| Vulcan Materials Co. |
| 06/15/2047 | 4.500% | | 600,000 | 608,916 |
| Total | 1,313,921 |
| Cable and Satellite 0.4% |
| Charter Communications Operating LLC/Capital |
| 07/23/2022 | 4.464% | | 530,000 | 565,390 |
| 07/23/2025 | 4.908% | | 2,115,000 | 2,284,845 |
| Charter Communications Operating LLC/Capital(a) |
| 05/01/2047 | 5.375% | | 730,000 | 773,217 |
| Comcast Corp. |
| 01/15/2027 | 2.350% | | 760,000 | 713,496 |
| 11/15/2035 | 6.500% | | 1,378,000 | 1,827,166 |
| 03/15/2037 | 6.450% | | 1,940,000 | 2,584,266 |
| 07/15/2046 | 3.400% | | 305,000 | 277,378 |
| NBCUniversal Media LLC |
| 01/15/2043 | 4.450% | | 205,000 | 217,816 |
| Sky PLC(a) |
| 09/16/2024 | 3.750% | | 363,000 | 373,185 |
| TCI Communications, Inc. |
| 02/15/2028 | 7.125% | | 415,000 | 547,197 |
| Time Warner Cable LLC |
| 05/01/2037 | 6.550% | | 385,000 | 460,976 |
| Time Warner Entertainment Co. LP |
| 07/15/2033 | 8.375% | | 1,295,000 | 1,791,375 |
| Total | 12,416,307 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Chemicals 0.5% |
| Agrium, Inc. |
| 03/15/2035 | 4.125% | | 1,900,000 | 1,890,109 |
| Air Liquide Finance SA(a) |
| 09/27/2023 | 2.250% | | 515,000 | 499,596 |
| CF Industries, Inc.(a) |
| 12/01/2026 | 4.500% | | 2,046,000 | 2,111,975 |
| Chevron Phillips Chemical Co. LLC/LP(a) |
| 12/01/2026 | 3.400% | | 475,000 | 481,389 |
| Ecolab, Inc. |
| 12/08/2041 | 5.500% | | 970,000 | 1,184,842 |
| Monsanto Co. |
| 07/15/2064 | 4.700% | | 300,000 | 301,756 |
| Mosaic Co. (The) |
| 11/15/2033 | 5.450% | | 1,036,000 | 1,093,116 |
| 11/15/2043 | 5.625% | | 235,000 | 239,851 |
| Potash Corp. of Saskatchewan, Inc. |
| 05/15/2019 | 6.500% | | 450,000 | 484,081 |
| 12/15/2026 | 4.000% | | 2,075,000 | 2,138,082 |
| Sherwin-Williams Co. (The) |
| 06/01/2022 | 2.750% | | 2,655,000 | 2,654,809 |
| 06/01/2024 | 3.125% | | 165,000 | 165,570 |
| 06/01/2027 | 3.450% | | 1,976,000 | 1,988,216 |
| 06/01/2047 | 4.500% | | 840,000 | 880,350 |
| Union Carbide Corp. |
| 06/01/2025 | 7.500% | | 515,000 | 630,600 |
| 10/01/2096 | 7.750% | | 920,000 | 1,217,909 |
| Total | 17,962,251 |
| Consumer Cyclical Services 0.0% |
| Amazon.com, Inc. |
| 12/05/2034 | 4.800% | | 500,000 | 576,527 |
| eBay, Inc. |
| 08/01/2024 | 3.450% | | 676,000 | 683,027 |
| Total | 1,259,554 |
| Diversified Manufacturing 0.2% |
| Eaton Corp. |
| 04/01/2024 | 7.625% | | 500,000 | 617,342 |
| General Electric Co. |
| 03/15/2032 | 6.750% | | 71,000 | 97,272 |
| 01/14/2038 | 5.875% | | 490,000 | 634,168 |
| Johnson Controls International PLC |
| 12/01/2041 | 5.250% | | 865,000 | 951,874 |
| Roper Technologies, Inc. |
| 12/15/2026 | 3.800% | | 281,000 | 288,828 |
| Siemens Financieringsmaatschappij NV(a) |
| 09/15/2046 | 3.300% | | 600,000 | 543,598 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 136 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Valmont Industries, Inc. |
| 10/01/2054 | 5.250% | | 420,000 | 401,801 |
| Wabtec Corp.(a) |
| 11/15/2026 | 3.450% | | 1,216,000 | 1,199,736 |
| WW Grainger, Inc. |
| 06/15/2045 | 4.600% | | 200,000 | 217,603 |
| Xylem, Inc. |
| 11/01/2046 | 4.375% | | 256,000 | 264,410 |
| Total | 5,216,632 |
| Electric 1.6% |
| AEP Transmission Co. LLC |
| 12/01/2046 | 4.000% | | 311,000 | 321,086 |
| Alabama Power Co. |
| 02/15/2033 | 5.700% | | 467,000 | 554,867 |
| 05/15/2038 | 6.125% | | 70,000 | 87,690 |
| American Electric Power Co., Inc. |
| 12/15/2017 | 1.650% | | 357,000 | 357,024 |
| 12/15/2022 | 2.950% | | 375,000 | 381,015 |
| Appalachian Power Co. |
| 06/01/2027 | 3.300% | | 855,000 | 865,612 |
| Arizona Public Service Co. |
| 04/01/2042 | 4.500% | | 93,000 | 101,466 |
| Baltimore Gas & Electric Co. |
| 08/15/2046 | 3.500% | | 376,000 | 355,346 |
| Berkshire Hathaway Energy Co. |
| 11/15/2023 | 3.750% | | 976,000 | 1,025,855 |
| 02/01/2025 | 3.500% | | 529,000 | 543,554 |
| China Southern Power Grid International Finance BVI Co., Ltd.(a),(b) |
| 05/08/2027 | 3.500% | | 720,000 | 715,858 |
| Cleveland Electric Illuminating Co. (The) |
| 11/15/2018 | 8.875% | | 600,000 | 652,463 |
| CMS Energy Corp. |
| 08/15/2027 | 3.450% | | 300,000 | 300,996 |
| Commonwealth Edison Co. |
| 06/15/2046 | 3.650% | | 243,000 | 235,767 |
| Consolidated Edison Co. of New York, Inc. |
| 06/15/2047 | 3.875% | | 450,000 | 455,855 |
| Consumers Energy Co. |
| 08/31/2064 | 4.350% | | 547,000 | 564,218 |
| Dominion Energy, Inc. |
| 08/15/2019 | 1.600% | | 1,045,000 | 1,036,031 |
| Dominion Resources, Inc. |
| 08/01/2033 | 5.250% | | 1,315,000 | 1,469,716 |
| DTE Electric Co. |
| 06/15/2042 | 3.950% | | 364,000 | 365,467 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Duke Energy Carolinas LLC |
| 03/15/2023 | 2.500% | | 1,089,000 | 1,090,862 |
| 12/01/2028 | 6.000% | | 600,000 | 743,158 |
| 01/15/2038 | 6.000% | | 226,000 | 298,689 |
| 12/15/2041 | 4.250% | | 313,000 | 334,689 |
| 03/15/2046 | 3.875% | | 555,000 | 565,997 |
| Duke Energy Corp. |
| 09/01/2021 | 1.800% | | 1,195,000 | 1,166,003 |
| 09/01/2026 | 2.650% | | 213,000 | 202,466 |
| Duke Energy Florida LLC |
| 10/01/2046 | 3.400% | | 515,000 | 477,875 |
| Duke Energy Indiana LLC |
| 05/15/2046 | 3.750% | | 550,000 | 542,165 |
| Duke Energy Progress LLC |
| 04/01/2035 | 5.700% | | 300,000 | 364,153 |
| 10/15/2046 | 3.700% | | 323,000 | 317,613 |
| Edison International |
| 03/15/2023 | 2.950% | | 500,000 | 503,087 |
| Enel Finance International NV(a) |
| 05/25/2022 | 2.875% | | 2,645,000 | 2,650,695 |
| 05/25/2027 | 3.625% | | 2,395,000 | 2,380,089 |
| Entergy Arkansas, Inc. |
| 04/01/2026 | 3.500% | | 307,000 | 317,069 |
| Entergy Corp. |
| 09/01/2026 | 2.950% | | 336,000 | 322,563 |
| Entergy Louisiana LLC |
| 06/01/2031 | 3.050% | | 472,000 | 455,310 |
| Exelon Generation Co. LLC |
| 06/15/2022 | 4.250% | | 749,000 | 788,913 |
| 10/01/2039 | 6.250% | | 300,000 | 323,962 |
| FirstEnergy Corp. |
| 07/15/2022 | 2.850% | | 473,000 | 472,923 |
| 07/15/2027 | 3.900% | | 163,000 | 163,624 |
| Florida Power & Light Co. |
| 09/01/2035 | 5.400% | | 600,000 | 722,499 |
| Georgia Power Co. |
| 03/15/2042 | 4.300% | | 260,000 | 267,861 |
| Great Plains Energy, Inc. |
| 04/01/2022 | 3.150% | | 1,180,000 | 1,192,620 |
| 04/01/2027 | 3.900% | | 1,480,000 | 1,502,900 |
| 04/01/2047 | 4.850% | | 540,000 | 551,629 |
| Indiana Michigan Power Co. |
| 03/15/2019 | 7.000% | | 420,000 | 452,979 |
| 03/15/2046 | 4.550% | | 560,000 | 611,097 |
| Jersey Central Power & Light Co. |
| 06/01/2037 | 6.150% | | 150,000 | 175,698 |
| John Sevier Combined Cycle Generation LLC |
| 01/15/2042 | 4.626% | | 340,463 | 367,322 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 137 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Kansas City Power & Light Co. |
| 10/01/2041 | 5.300% | | 750,000 | 873,293 |
| MidAmerican Energy Co. |
| 11/01/2035 | 5.750% | | 600,000 | 748,340 |
| 05/01/2046 | 4.250% | | 750,000 | 802,717 |
| Nevada Power Co. |
| 04/01/2036 | 6.650% | | 225,000 | 302,803 |
| 09/15/2040 | 5.375% | | 546,000 | 641,223 |
| Niagara Mohawk Power Corp.(a) |
| 10/01/2034 | 4.278% | | 753,000 | 790,404 |
| Northern States Power Co. |
| 06/01/2036 | 6.250% | | 150,000 | 197,947 |
| Oklahoma Gas & Electric Co. |
| 04/01/2047 | 4.150% | | 1,105,000 | 1,150,539 |
| Oncor Electric Delivery Co. LLC |
| 09/01/2022 | 7.000% | | 155,000 | 186,422 |
| Pacific Gas & Electric Co. |
| 03/01/2034 | 6.050% | | 450,000 | 580,663 |
| 04/15/2042 | 4.450% | | 257,000 | 278,927 |
| 08/15/2042 | 3.750% | | 531,000 | 520,615 |
| PacifiCorp |
| 10/15/2037 | 6.250% | | 200,000 | 264,990 |
| PECO Energy Co. |
| 10/15/2025 | 3.150% | | 1,400,000 | 1,414,192 |
| Potomac Electric Power Co. |
| 12/15/2038 | 7.900% | | 160,000 | 240,139 |
| 03/15/2043 | 4.150% | | 250,000 | 263,912 |
| PPL Capital Funding, Inc. |
| 06/15/2022 | 4.200% | | 313,000 | 330,065 |
| PPL Electric Utilities Corp. |
| 10/01/2045 | 4.150% | | 920,000 | 974,010 |
| Progress Energy, Inc. |
| 01/15/2021 | 4.400% | | 187,000 | 198,498 |
| PSEG Power LLC |
| 09/15/2021 | 4.150% | | 233,000 | 244,105 |
| 11/15/2023 | 4.300% | | 449,000 | 473,896 |
| Public Service Co. of New Hampshire |
| 11/01/2023 | 3.500% | | 303,000 | 315,960 |
| Public Service Co. of Oklahoma |
| 02/01/2021 | 4.400% | | 231,000 | 244,680 |
| San Diego Gas & Electric Co. |
| 06/01/2026 | 6.000% | | 525,000 | 635,607 |
| 05/15/2040 | 5.350% | | 21,000 | 25,303 |
| Sierra Pacific Power Co. |
| 05/01/2026 | 2.600% | | 1,210,000 | 1,166,699 |
| Southern California Edison Co. |
| 02/01/2022 | 1.845% | | 190,000 | 187,506 |
| 02/01/2038 | 5.950% | | 210,000 | 271,186 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Southern Co. (The) |
| 07/01/2046 | 4.400% | | 730,000 | 747,196 |
| Southern Power Co. |
| 12/01/2025 | 4.150% | | 250,000 | 261,348 |
| 09/15/2041 | 5.150% | | 1,166,000 | 1,233,987 |
| Southwestern Electric Power Co. |
| 04/01/2045 | 3.900% | | 793,000 | 777,199 |
| Southwestern Public Service Co. |
| 08/15/2041 | 4.500% | | 338,000 | 370,018 |
| Toledo Edison Co. (The) |
| 05/15/2037 | 6.150% | | 600,000 | 745,152 |
| Union Electric Co. |
| 06/15/2027 | 2.950% | | 286,000 | 282,943 |
| Virginia Electric & Power Co. |
| 11/15/2026 | 2.950% | | 765,000 | 754,414 |
| Virginia Electric and Power Co. |
| 11/15/2038 | 8.875% | | 205,000 | 343,744 |
| Westar Energy, Inc. |
| 04/01/2027 | 3.100% | | 1,310,000 | 1,303,084 |
| Wisconsin Electric Power Co. |
| 06/01/2025 | 3.100% | | 192,000 | 192,358 |
| Xcel Energy, Inc. |
| 07/01/2036 | 6.500% | | 300,000 | 395,468 |
| 09/15/2041 | 4.800% | | 90,000 | 95,872 |
| Total | 52,543,820 |
| Environmental 0.0% |
| Republic Services, Inc. |
| 07/01/2026 | 2.900% | | 174,000 | 170,372 |
| Finance Companies 0.3% |
| AerCap Ireland Capital DAC/Global Aviation Trust |
| 05/26/2022 | 3.500% | | 935,000 | 958,570 |
| Air Lease Corp. |
| 04/01/2021 | 3.875% | | 450,000 | 469,472 |
| 07/01/2022 | 2.625% | | 2,125,000 | 2,106,901 |
| 09/15/2023 | 3.000% | | 645,000 | 641,416 |
| 04/01/2027 | 3.625% | | 1,345,000 | 1,345,307 |
| GE Capital International Funding Co. Unlimited Co. |
| 11/15/2035 | 4.418% | | 2,836,000 | 3,086,467 |
| International Lease Finance Corp. |
| 01/15/2022 | 8.625% | | 1,000,000 | 1,231,948 |
| Total | 9,840,081 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 138 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Food and Beverage 1.1% |
| Anheuser-Busch InBev Finance, Inc. |
| 02/01/2021 | 2.650% | | 2,950,000 | 2,986,500 |
| 02/01/2023 | 3.300% | | 7,345,000 | 7,556,161 |
| 02/01/2036 | 4.700% | | 5,200,000 | 5,727,524 |
| 02/01/2046 | 4.900% | | 2,540,000 | 2,866,464 |
| Anheuser-Busch InBev Worldwide, Inc. |
| 01/15/2039 | 8.200% | | 410,000 | 638,093 |
| Anheuser-Busch InBev Worldwide, Inc.(a) |
| 10/06/2048 | 4.439% | | 792,000 | 840,104 |
| Brown-Forman Corp. |
| 07/15/2045 | 4.500% | | 525,000 | 571,433 |
| Bunge Ltd. Finance Corp. |
| 06/15/2019 | 8.500% | | 790,000 | 882,430 |
| 11/24/2020 | 3.500% | | 276,000 | 282,777 |
| 08/15/2026 | 3.250% | | 284,000 | 271,936 |
| Cargill, Inc.(a) |
| 11/01/2036 | 7.250% | | 300,000 | 413,713 |
| ConAgra Foods, Inc. |
| 10/01/2026 | 7.125% | | 183,000 | 227,561 |
| Constellation Brands, Inc. |
| 05/01/2023 | 4.250% | | 150,000 | 160,043 |
| Danone SA(a) |
| 11/02/2023 | 2.589% | | 1,450,000 | 1,417,323 |
| Diageo Investment Corp. |
| 09/15/2022 | 8.000% | | 865,000 | 1,083,266 |
| Dr. Pepper Snapple Group, Inc.(a) |
| 06/15/2027 | 3.430% | | 135,000 | 135,639 |
| Kraft Heinz Foods Co. |
| 07/02/2020 | 2.800% | | 2,175,000 | 2,205,594 |
| 07/15/2025 | 3.950% | | 500,000 | 515,001 |
| 06/01/2026 | 3.000% | | 1,340,000 | 1,281,821 |
| 01/26/2039 | 6.875% | | 1,205,000 | 1,548,219 |
| 02/09/2040 | 6.500% | | 500,000 | 621,559 |
| 06/01/2046 | 4.375% | | 1,645,000 | 1,608,081 |
| Kraft Heinz Foods Co.(b) |
| 03/15/2032 | 6.750% | | 500,000 | 620,638 |
| Mead Johnson Nutrition Co. |
| 06/01/2044 | 4.600% | | 350,000 | 386,664 |
| Molson Coors Brewing Co. |
| 07/15/2026 | 3.000% | | 525,000 | 506,405 |
| PepsiCo, Inc. |
| 10/06/2046 | 3.450% | | 800,000 | 750,172 |
| Smithfield Foods, Inc.(a) |
| 02/01/2027 | 4.250% | | 247,000 | 253,504 |
| Sysco Corp. |
| 10/01/2025 | 3.750% | | 388,000 | 403,111 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Tyson Foods, Inc. |
| 08/15/2034 | 4.875% | | 370,000 | 405,743 |
| Total | 37,167,479 |
| Health Care 0.4% |
| Abbott Laboratories |
| 09/15/2025 | 3.875% | | 645,000 | 663,758 |
| 11/30/2026 | 3.750% | | 2,280,000 | 2,326,122 |
| 11/30/2046 | 4.900% | | 250,000 | 275,506 |
| Becton Dickinson and Co. |
| 06/05/2020 | 2.404% | | 1,825,000 | 1,827,721 |
| 06/06/2022 | 2.894% | | 1,520,000 | 1,520,190 |
| 06/06/2024 | 3.363% | | 1,520,000 | 1,523,140 |
| 12/15/2024 | 3.734% | | 160,000 | 162,688 |
| 06/06/2027 | 3.700% | | 1,215,000 | 1,219,056 |
| 12/15/2044 | 4.685% | | 1,020,000 | 1,058,284 |
| Cardinal Health, Inc. |
| 06/15/2027 | 3.410% | | 400,000 | 400,492 |
| Express Scripts Holding Co. |
| 07/15/2023 | 3.000% | | 178,000 | 177,679 |
| 02/25/2026 | 4.500% | | 577,000 | 611,940 |
| 07/15/2046 | 4.800% | | 218,000 | 222,832 |
| Memorial Sloan-Kettering Cancer Center |
| 07/01/2055 | 4.200% | | 60,000 | 61,935 |
| Providence St Joseph Health Obligated Group |
| 10/01/2026 | 2.746% | | 307,000 | 294,619 |
| Thermo Fisher Scientific, Inc. |
| 09/19/2026 | 2.950% | | 417,000 | 405,872 |
| Total | 12,751,834 |
| Healthcare Insurance 0.1% |
| Aetna, Inc. |
| 12/15/2037 | 6.750% | | 590,000 | 816,313 |
| UnitedHealth Group, Inc. |
| 03/15/2026 | 3.100% | | 642,000 | 644,785 |
| 07/15/2035 | 4.625% | | 658,000 | 741,395 |
| 03/15/2036 | 5.800% | | 185,000 | 233,681 |
| 11/15/2037 | 6.625% | | 285,000 | 392,770 |
| Total | 2,828,944 |
| Healthcare REIT 0.1% |
| HCP, Inc. |
| 03/01/2024 | 4.200% | | 81,000 | 83,857 |
| 08/15/2024 | 3.875% | | 694,000 | 706,362 |
| Ventas Realty LP |
| 05/01/2024 | 3.750% | | 690,000 | 702,422 |
| 01/15/2026 | 4.125% | | 258,000 | 265,355 |
| 04/01/2027 | 3.850% | | 246,000 | 247,664 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 139 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Welltower, Inc. |
| 06/01/2025 | 4.000% | | 1,252,000 | 1,296,342 |
| Total | 3,302,002 |
| Independent Energy 0.5% |
| Alberta Energy Co., Ltd. |
| 11/01/2031 | 7.375% | | 695,000 | 839,890 |
| Anadarko Holding Co. |
| 05/15/2028 | 7.150% | | 570,000 | 664,821 |
| Anadarko Petroleum Corp. |
| 03/15/2026 | 5.550% | | 1,887,000 | 2,096,427 |
| Apache Corp. |
| 04/15/2022 | 3.250% | | 64,000 | 64,944 |
| 01/15/2037 | 6.000% | | 200,000 | 230,988 |
| 04/15/2043 | 4.750% | | 268,000 | 268,796 |
| 01/15/2044 | 4.250% | | 500,000 | 469,146 |
| Burlington Resources, Inc. |
| 03/15/2025 | 8.200% | | 300,000 | 386,806 |
| Canadian Natural Resources Ltd. |
| 06/30/2033 | 6.450% | | 1,423,000 | 1,650,081 |
| 02/01/2035 | 5.850% | | 170,000 | 188,292 |
| Cimarex Energy Co. |
| 06/01/2024 | 4.375% | | 1,010,000 | 1,060,331 |
| 05/15/2027 | 3.900% | | 780,000 | 784,285 |
| ConocoPhillips |
| 03/30/2029 | 7.000% | | 475,000 | 592,540 |
| Encana Corp. |
| 08/15/2034 | 6.500% | | 820,000 | 935,746 |
| EnCana Corp. |
| 02/01/2038 | 6.500% | | 1,145,000 | 1,311,561 |
| EOG Resources, Inc. |
| 01/15/2036 | 5.100% | | 824,000 | 905,955 |
| Hess Corp. |
| 03/15/2033 | 7.125% | | 190,000 | 215,507 |
| 01/15/2040 | 6.000% | | 800,000 | 815,538 |
| Kerr-McGee Corp. |
| 09/15/2031 | 7.875% | | 800,000 | 1,028,310 |
| Marathon Oil Corp. |
| 10/01/2037 | 6.600% | | 300,000 | 330,670 |
| Newfield Exploration Co. |
| 07/01/2024 | 5.625% | | 1,271,000 | 1,324,017 |
| Noble Energy, Inc. |
| 03/01/2041 | 6.000% | | 400,000 | 448,343 |
| Occidental Petroleum Corp. |
| 02/15/2027 | 3.000% | | 333,000 | 324,607 |
| Tosco Corp. |
| 02/15/2030 | 8.125% | | 775,000 | 1,076,295 |
| Total | 18,013,896 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Integrated Energy 0.5% |
| BG Energy Capital PLC(a) |
| 10/15/2041 | 5.125% | | 200,000 | 223,717 |
| BP Capital Markets PLC |
| 02/10/2024 | 3.814% | | 1,621,000 | 1,692,859 |
| 04/14/2024 | 3.224% | | 1,500,000 | 1,513,807 |
| 05/04/2026 | 3.119% | | 433,000 | 428,193 |
| 04/14/2027 | 3.588% | | 1,765,000 | 1,794,728 |
| 11/28/2028 | 3.723% | | 240,000 | 245,981 |
| Cenovus Energy, Inc. |
| 09/15/2023 | 3.800% | | 100,000 | 98,721 |
| 11/15/2039 | 6.750% | | 1,195,000 | 1,254,190 |
| Cenovus Energy, Inc.(a) |
| 06/15/2047 | 5.400% | | 425,000 | 397,189 |
| Chevron Corp. |
| 06/24/2023 | 3.191% | | 269,000 | 278,392 |
| Husky Energy, Inc. |
| 04/15/2022 | 3.950% | | 750,000 | 782,677 |
| Petro-Canada |
| 05/15/2035 | 5.950% | | 1,450,000 | 1,725,499 |
| Shell International Finance BV |
| 08/12/2023 | 3.400% | | 489,000 | 508,433 |
| 05/10/2026 | 2.875% | | 2,231,000 | 2,199,373 |
| 12/15/2038 | 6.375% | | 480,000 | 638,012 |
| 05/10/2046 | 4.000% | | 954,000 | 945,385 |
| 09/12/2046 | 3.750% | | 806,000 | 765,366 |
| Total Capital International SA |
| 01/25/2023 | 2.700% | | 500,000 | 502,539 |
| Total | 15,995,061 |
| Life Insurance 0.7% |
| AIG SunAmerica Global Financing X(a) |
| 03/15/2032 | 6.900% | | 585,000 | 772,472 |
| American International Group, Inc. |
| 02/15/2024 | 4.125% | | 786,000 | 828,820 |
| 07/10/2025 | 3.750% | | 242,000 | 246,872 |
| 01/15/2035 | 3.875% | | 537,000 | 520,023 |
| 05/01/2036 | 6.250% | | 213,000 | 266,491 |
| 01/15/2055 | 4.375% | | 205,000 | 197,480 |
| Athene Global Funding(a) |
| 04/20/2020 | 2.750% | | 703,000 | 704,400 |
| 01/25/2022 | 4.000% | | 221,000 | 229,467 |
| Brighthouse Financial, Inc.(a) |
| 06/22/2027 | 3.700% | | 1,690,000 | 1,669,585 |
| 06/22/2047 | 4.700% | | 575,000 | 568,341 |
| Dai-ichi Life Insurance Co. Ltd. (The)(a),(b) |
| Junior Subordinated |
| 12/31/2049 | 4.000% | | 1,062,000 | 1,057,823 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 140 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Great-West Lifeco Finance Delaware LP(a) |
| 06/03/2047 | 4.150% | | 500,000 | 500,813 |
| Guardian Life Insurance Co. of America (The)(a) |
| Subordinated |
| 01/24/2077 | 4.850% | | 1,263,000 | 1,350,487 |
| Jackson National Life Global Funding(a) |
| 04/29/2026 | 3.050% | | 1,073,000 | 1,050,877 |
| Lincoln National Corp. |
| 04/07/2036 | 6.150% | | 24,000 | 29,165 |
| Manulife Financial Corp.(b) |
| Subordinated |
| 02/24/2032 | 4.061% | | 1,400,000 | 1,411,302 |
| MetLife, Inc. |
| 09/15/2023 | 4.368% | | 600,000 | 656,099 |
| 11/13/2025 | 3.600% | | 279,000 | 289,339 |
| 11/13/2043 | 4.875% | | 490,000 | 554,240 |
| Metropolitan Life Global Funding I(a) |
| 09/15/2021 | 1.950% | | 1,735,000 | 1,700,732 |
| 04/08/2022 | 2.650% | | 1,305,000 | 1,311,171 |
| Pacific Life Insurance Co.(a) |
| Subordinated |
| 06/15/2039 | 9.250% | | 1,190,000 | 1,936,363 |
| Protective Life Global Funding(a) |
| 09/14/2021 | 1.999% | | 600,000 | 583,099 |
| Prudential Insurance Co. of America (The)(a) |
| Subordinated |
| 07/01/2025 | 8.300% | | 2,060,000 | 2,709,499 |
| Reliance Standard Life Global Funding II(a) |
| 01/20/2021 | 3.050% | | 522,000 | 527,495 |
| Teachers Insurance & Annuity Association of America(a) |
| Subordinated |
| 09/15/2044 | 4.900% | | 915,000 | 1,026,846 |
| 05/15/2047 | 4.270% | | 1,355,000 | 1,387,154 |
| Total | 24,086,455 |
| Media and Entertainment 0.5% |
| 21st Century Fox America, Inc. |
| 07/15/2024 | 9.500% | | 407,000 | 548,967 |
| 04/30/2028 | 7.300% | | 350,000 | 445,668 |
| 12/15/2034 | 6.200% | | 450,000 | 555,892 |
| 12/15/2035 | 6.400% | | 350,000 | 443,005 |
| CBS Corp.(f) |
| 02/15/2023 | 2.500% | | 1,905,000 | 1,886,457 |
| 02/15/2028 | 3.375% | | 955,000 | 936,312 |
| CBS Corp. |
| 08/15/2024 | 3.700% | | 1,019,000 | 1,047,949 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Discovery Communications LLC |
| 06/15/2021 | 4.375% | | 200,000 | 211,090 |
| 03/11/2026 | 4.900% | | 540,000 | 572,628 |
| 06/01/2040 | 6.350% | | 490,000 | 539,707 |
| 05/15/2042 | 4.950% | | 310,000 | 289,710 |
| 04/01/2043 | 4.875% | | 625,000 | 583,206 |
| Grupo Televisa SAB |
| 05/13/2045 | 5.000% | | 660,000 | 642,904 |
| 01/31/2046 | 6.125% | | 961,000 | 1,076,101 |
| Historic TW, Inc. |
| 05/15/2029 | 6.625% | | 550,000 | 691,584 |
| Moody’s Corp.(a) |
| 01/15/2023 | 2.625% | | 1,200,000 | 1,192,883 |
| Time Warner, Inc. |
| 02/15/2027 | 3.800% | | 1,480,000 | 1,488,307 |
| 07/15/2045 | 4.850% | | 130,000 | 133,829 |
| Viacom, Inc. |
| 03/15/2023 | 3.250% | | 167,000 | 165,531 |
| 04/01/2024 | 3.875% | | 568,000 | 574,085 |
| 12/15/2034 | 4.850% | | 957,000 | 949,440 |
| 03/15/2043 | 4.375% | | 1,249,000 | 1,110,246 |
| Walt Disney Co. (The) |
| 06/15/2027 | 2.950% | | 400,000 | 396,378 |
| 07/30/2046 | 3.000% | | 100,000 | 87,301 |
| Total | 16,569,180 |
| Metals and Mining 0.3% |
| Barrick North America Finance LLC |
| 05/30/2041 | 5.700% | | 765,000 | 901,947 |
| BHP Billiton Finance USA Ltd. |
| 03/01/2026 | 6.420% | | 1,372,000 | 1,678,475 |
| 09/30/2043 | 5.000% | | 1,277,000 | 1,471,932 |
| Freeport Minerals Corp. |
| 06/01/2031 | 9.500% | | 678,000 | 816,618 |
| Freeport-McMoRan, Inc. |
| 03/01/2022 | 3.550% | | 580,000 | 544,355 |
| Nucor Corp. |
| 12/01/2037 | 6.400% | | 1,000,000 | 1,308,770 |
| Placer Dome, Inc. |
| 10/15/2035 | 6.450% | | 780,000 | 917,097 |
| Vale Canada Ltd. |
| 09/15/2032 | 7.200% | | 800,000 | 864,292 |
| Vale Overseas Ltd. |
| 06/10/2021 | 5.875% | | 590,000 | 634,364 |
| 08/10/2026 | 6.250% | | 875,000 | 946,706 |
| 11/21/2036 | 6.875% | | 1,050,000 | 1,126,648 |
| Total | 11,211,204 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 141 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Midstream 1.2% |
| APT Pipelines Ltd.(a) |
| 07/15/2027 | 4.250% | | 569,000 | 583,882 |
| Boardwalk Pipelines LP |
| 12/15/2024 | 4.950% | | 1,050,000 | 1,109,779 |
| Buckeye Partners LP |
| 07/01/2023 | 4.150% | | 348,000 | 359,357 |
| 10/15/2024 | 4.350% | | 640,000 | 660,815 |
| 11/15/2043 | 5.850% | | 770,000 | 824,777 |
| Enbridge Energy Partners LP |
| 09/15/2040 | 5.500% | | 635,000 | 667,809 |
| 10/15/2045 | 7.375% | | 375,000 | 482,803 |
| Enbridge, Inc.(f) |
| 07/15/2022 | 2.900% | | 1,394,000 | 1,393,217 |
| 07/15/2027 | 3.700% | | 955,000 | 953,866 |
| Enbridge, Inc. |
| 12/01/2046 | 5.500% | | 500,000 | 565,997 |
| Energy Transfer LP |
| 02/01/2024 | 4.900% | | 652,000 | 688,284 |
| Energy Transfer Partners LP |
| 06/15/2018 | 2.500% | | 210,000 | 211,128 |
| 03/15/2025 | 4.050% | | 946,000 | 947,081 |
| 04/15/2027 | 4.200% | | 449,000 | 448,139 |
| 06/01/2041 | 6.050% | | 1,279,000 | 1,349,960 |
| 12/15/2045 | 6.125% | | 685,000 | 744,773 |
| EnLink Midstream Partners LP |
| 06/01/2025 | 4.150% | | 837,000 | 830,946 |
| 04/01/2044 | 5.600% | | 150,000 | 151,675 |
| Enterprise Products Operating LLC |
| 02/15/2027 | 3.950% | | 222,000 | 230,263 |
| 03/01/2033 | 6.875% | | 250,000 | 316,466 |
| 10/15/2034 | 6.650% | | 1,000,000 | 1,244,800 |
| 04/15/2038 | 7.550% | | 600,000 | 817,098 |
| Kinder Morgan Energy Partners LP |
| 09/01/2044 | 5.400% | | 580,000 | 591,305 |
| Kinder Morgan, Inc.(a) |
| 02/15/2021 | 5.000% | | 2,230,000 | 2,388,910 |
| Kinder Morgan, Inc. |
| 06/01/2045 | 5.550% | | 630,000 | 667,843 |
| Magellan Midstream Partners LP |
| 02/01/2021 | 4.250% | | 730,000 | 768,882 |
| 12/01/2042 | 4.200% | | 404,000 | 377,894 |
| MPLX LP |
| 12/01/2024 | 4.875% | | 764,000 | 813,885 |
| 03/01/2047 | 5.200% | | 323,000 | 332,971 |
| ONEOK Partners LP |
| 10/01/2036 | 6.650% | | 1,240,000 | 1,489,290 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Phillips 66 Partners LP |
| 10/01/2026 | 3.550% | | 171,000 | 166,154 |
| 10/01/2046 | 4.900% | | 945,000 | 933,100 |
| Plains All American Pipeline LP/Finance Corp. |
| 06/01/2022 | 3.650% | | 538,000 | 548,235 |
| 02/15/2045 | 4.900% | | 1,221,000 | 1,133,789 |
| Sabine Pass Liquefaction LLC |
| 06/30/2026 | 5.875% | | 570,000 | 638,560 |
| 03/15/2027 | 5.000% | | 1,705,000 | 1,814,713 |
| Sabine Pass Liquefaction LLC(a) |
| 03/15/2028 | 4.200% | | 990,000 | 998,869 |
| Southern Natural Gas Co. LLC |
| 03/01/2032 | 8.000% | | 360,000 | 487,367 |
| Spectra Energy Capital LLC |
| 09/15/2038 | 7.500% | | 490,000 | 643,507 |
| Sunoco Logistics Partners Operations LP |
| 12/01/2025 | 5.950% | | 250,000 | 280,791 |
| 02/15/2040 | 6.850% | | 652,000 | 732,641 |
| TC PipeLines LP |
| 05/25/2027 | 3.900% | | 1,102,000 | 1,101,999 |
| Texas Eastern Transmission LP(a) |
| 10/15/2022 | 2.800% | | 660,000 | 648,480 |
| TransCanada PipeLines Ltd. |
| 10/15/2037 | 6.200% | | 500,000 | 636,470 |
| 08/15/2038 | 7.250% | | 585,000 | 816,479 |
| Western Gas Partners LP |
| 06/01/2021 | 5.375% | | 352,000 | 378,798 |
| 07/01/2026 | 4.650% | | 377,000 | 393,503 |
| 04/01/2044 | 5.450% | | 260,000 | 272,015 |
| Williams Partners LP |
| 01/15/2025 | 3.900% | | 217,000 | 219,528 |
| 06/15/2027 | 3.750% | | 1,200,000 | 1,188,280 |
| 09/15/2045 | 5.100% | | 700,000 | 725,213 |
| Williams Partners LP/ACMP Finance Corp. |
| 05/15/2023 | 4.875% | | 1,000,000 | 1,038,310 |
| Total | 38,810,696 |
| Natural Gas 0.2% |
| Atmos Energy Corp. |
| 03/15/2019 | 8.500% | | 1,146,000 | 1,267,430 |
| CenterPoint Energy Resources Corp. |
| 01/15/2021 | 4.500% | | 395,000 | 415,051 |
| NiSource Finance Corp. |
| 02/15/2023 | 3.850% | | 237,000 | 246,309 |
| 02/01/2042 | 5.800% | | 381,000 | 457,142 |
| 02/15/2044 | 4.800% | | 572,000 | 621,268 |
| Sempra Energy |
| 06/15/2024 | 3.550% | | 470,000 | 481,384 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 142 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Southern Co. Gas Capital Corp. |
| 10/01/2023 | 2.450% | | 1,001,000 | 969,295 |
| 06/15/2026 | 3.250% | | 169,000 | 165,893 |
| 10/01/2046 | 3.950% | | 247,000 | 235,704 |
| Total | 4,859,476 |
| Office REIT 0.1% |
| Boston Properties LP |
| 02/01/2024 | 3.800% | | 378,000 | 391,894 |
| 10/01/2026 | 2.750% | | 420,000 | 396,291 |
| Equity Commonwealth |
| 09/15/2020 | 5.875% | | 1,600,000 | 1,706,232 |
| Total | 2,494,417 |
| Oil Field Services 0.2% |
| Baker Hughes, Inc. |
| 09/15/2040 | 5.125% | | 300,000 | 342,006 |
| Halliburton Co. |
| 11/15/2035 | 4.850% | | 497,000 | 528,377 |
| 09/15/2039 | 7.450% | | 240,000 | 328,411 |
| 11/15/2045 | 5.000% | | 1,135,000 | 1,209,581 |
| Nabors Industries, Inc. |
| 09/15/2020 | 5.000% | | 200,000 | 199,974 |
| 09/15/2021 | 4.625% | | 2,040,000 | 1,959,891 |
| Schlumberger Holdings Corp.(a) |
| 12/21/2022 | 3.625% | | 995,000 | 1,032,569 |
| Total | 5,600,809 |
| Other Industry 0.0% |
| CK Hutchison International 16 Ltd.(a) |
| 10/03/2021 | 1.875% | | 335,000 | 325,088 |
| President and Fellows of Harvard College |
| 07/15/2056 | 3.300% | | 1,071,000 | 1,020,704 |
| Total | 1,345,792 |
| Other REIT 0.1% |
| Duke Realty LP |
| 06/30/2026 | 3.250% | | 203,000 | 199,504 |
| EPR Properties |
| 06/01/2027 | 4.500% | | 393,000 | 394,847 |
| Goodman Australia Industrial Fund Bond Issuer Pty Ltd.(a) |
| 09/30/2026 | 3.400% | | 921,000 | 901,908 |
| Hospitality Properties Trust |
| 02/15/2027 | 4.950% | | 495,000 | 515,704 |
| Liberty Property LP |
| 10/01/2026 | 3.250% | | 279,000 | 269,940 |
| Prologis LP |
| 11/01/2025 | 3.750% | | 190,000 | 198,014 |
| Total | 2,479,917 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Other Utility 0.0% |
| American Water Capital Corp. |
| 10/15/2037 | 6.593% | | 300,000 | 411,026 |
| 12/01/2046 | 4.000% | | 431,000 | 447,653 |
| Total | 858,679 |
| Paper 0.1% |
| Fibria Overseas Finance Ltd. |
| 01/17/2027 | 5.500% | | 1,010,000 | 1,031,849 |
| International Paper Co. |
| 09/15/2035 | 5.000% | | 200,000 | 220,476 |
| 11/15/2039 | 7.300% | | 500,000 | 679,555 |
| 05/15/2046 | 5.150% | | 1,240,000 | 1,383,622 |
| Total | 3,315,502 |
| Pharmaceuticals 1.0% |
| AbbVie, Inc. |
| 05/14/2020 | 2.500% | | 2,105,000 | 2,128,058 |
| 11/06/2022 | 2.900% | | 510,000 | 514,886 |
| 05/14/2025 | 3.600% | | 2,750,000 | 2,812,439 |
| 05/14/2026 | 3.200% | | 955,000 | 944,737 |
| 05/14/2035 | 4.500% | | 2,488,000 | 2,621,859 |
| 05/14/2046 | 4.450% | | 1,435,000 | 1,484,265 |
| Allergan Funding SCS |
| 03/15/2025 | 3.800% | | 1,525,000 | 1,577,524 |
| 03/15/2035 | 4.550% | | 2,411,000 | 2,572,944 |
| Amgen, Inc. |
| 05/11/2022 | 2.650% | | 400,000 | 401,174 |
| 10/01/2041 | 4.950% | | 200,000 | 218,195 |
| 05/01/2045 | 4.400% | | 750,000 | 771,748 |
| Celgene Corp. |
| 08/15/2045 | 5.000% | | 1,720,000 | 1,932,771 |
| Eli Lilly & Co. |
| 05/15/2022 | 2.350% | | 505,000 | 506,736 |
| 05/15/2027 | 3.100% | | 760,000 | 766,123 |
| 05/15/2047 | 3.950% | | 455,000 | 470,953 |
| Gilead Sciences, Inc. |
| 09/01/2023 | 2.500% | | 323,000 | 318,073 |
| 04/01/2024 | 3.700% | | 750,000 | 782,524 |
| 09/01/2035 | 4.600% | | 590,000 | 637,447 |
| 09/01/2036 | 4.000% | | 286,000 | 287,471 |
| Johnson & Johnson |
| 12/05/2033 | 4.375% | | 124,000 | 141,257 |
| Mylan NV |
| 06/15/2026 | 3.950% | | 463,000 | 469,590 |
| 06/15/2046 | 5.250% | | 318,000 | 347,557 |
| Mylan, Inc. |
| 11/29/2043 | 5.400% | | 200,000 | 218,558 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 143 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Perrigo Finance Unlimited Co. |
| 12/15/2024 | 3.900% | | 1,012,000 | 1,028,576 |
| 03/15/2026 | 4.375% | | 955,000 | 984,866 |
| Shire Acquisitions Investments Ireland DAC |
| 09/23/2023 | 2.875% | | 2,437,000 | 2,413,181 |
| 09/23/2026 | 3.200% | | 2,155,000 | 2,111,116 |
| Teva Pharmaceutical Finance Co. LLC |
| 02/01/2036 | 6.150% | | 1,500,000 | 1,770,022 |
| Teva Pharmaceutical Finance III BV |
| 07/21/2023 | 2.800% | | 652,000 | 635,107 |
| Teva Pharmaceutical Finance Netherlands III BV |
| 10/01/2046 | 4.100% | | 136,000 | 125,015 |
| Total | 31,994,772 |
| Property & Casualty 0.3% |
| ACE INA Holdings, Inc. |
| 11/03/2045 | 4.350% | | 1,270,000 | 1,391,367 |
| Aon PLC |
| 12/15/2025 | 3.875% | | 888,000 | 926,692 |
| Arch Capital Finance LLC |
| 12/15/2046 | 5.031% | | 459,000 | 513,041 |
| Berkshire Hathaway Finance Corp. |
| 01/15/2040 | 5.750% | | 385,000 | 492,856 |
| Chubb INA Holdings, Inc. |
| 05/15/2024 | 3.350% | | 750,000 | 775,258 |
| CNA Financial Corp. |
| 11/15/2019 | 7.350% | | 360,000 | 401,633 |
| Kemper Corp. |
| 02/15/2025 | 4.350% | | 1,365,000 | 1,378,601 |
| Liberty Mutual Group, Inc.(a) |
| 03/15/2034 | 7.000% | | 400,000 | 515,604 |
| 03/15/2035 | 6.500% | | 300,000 | 374,977 |
| Marsh & McLennan Companies, Inc. |
| 03/14/2023 | 3.300% | | 132,000 | 135,620 |
| Nationwide Mutual Insurance Co.(a) |
| Subordinated |
| 08/15/2039 | 9.375% | | 1,390,000 | 2,346,445 |
| Travelers Property Casualty Corp. |
| 04/15/2026 | 7.750% | | 605,000 | 806,748 |
| Total | 10,058,842 |
| Railroads 0.2% |
| Burlington Northern Santa Fe LLC |
| 08/15/2030 | 7.950% | | 500,000 | 715,201 |
| 05/01/2040 | 5.750% | | 790,000 | 997,311 |
| 03/15/2042 | 4.400% | | 500,000 | 539,592 |
| Canadian Pacific Railway Co. |
| 09/15/2115 | 6.125% | | 1,336,000 | 1,676,449 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CSX Corp. |
| 06/01/2021 | 4.250% | | 215,000 | 228,905 |
| 10/01/2036 | 6.000% | | 450,000 | 566,688 |
| Norfolk Southern Corp. |
| 05/01/2037 | 7.050% | | 300,000 | 407,120 |
| 05/23/2111 | 6.000% | | 911,000 | 1,093,553 |
| Union Pacific Railroad Co. 2015-1 Pass-Through Trust |
| 05/12/2027 | 2.695% | | 1,979,074 | 1,905,545 |
| Total | 8,130,364 |
| Refining 0.0% |
| Marathon Petroleum Corp. |
| 09/15/2044 | 4.750% | | 300,000 | 284,904 |
| 09/15/2054 | 5.000% | | 635,000 | 587,800 |
| Valero Energy Corp. |
| 04/15/2032 | 7.500% | | 260,000 | 336,213 |
| Total | 1,208,917 |
| Restaurants 0.2% |
| Lila Mexican Holdings LLC(a),(c) |
| 12/24/2035 | 5.000% | | 3,597,651 | 3,541,017 |
| McDonalds Corp. |
| 12/09/2035 | 4.700% | | 283,000 | 311,831 |
| 10/15/2037 | 6.300% | | 268,000 | 348,921 |
| McDonald’s Corp. |
| 12/09/2020 | 2.750% | | 705,000 | 718,397 |
| 12/09/2045 | 4.875% | | 1,555,000 | 1,728,757 |
| Total | 6,648,923 |
| Retail REIT 0.4% |
| Brixmor Operating Partnership LP |
| 02/01/2025 | 3.850% | | 1,000,000 | 989,494 |
| DDR Corp. |
| 07/15/2022 | 4.625% | | 1,535,000 | 1,607,713 |
| 05/15/2023 | 3.375% | | 1,400,000 | 1,356,158 |
| 02/01/2025 | 3.625% | | 560,000 | 533,159 |
| Kimco Realty Corp. |
| 03/01/2024 | 2.700% | | 500,000 | 477,575 |
| 04/01/2027 | 3.800% | | 400,000 | 400,207 |
| National Retail Properties, Inc. |
| 11/15/2025 | 4.000% | | 728,000 | 744,646 |
| 12/15/2026 | 3.600% | | 618,000 | 611,046 |
| Realty Income Corp. |
| 07/15/2024 | 3.875% | | 642,000 | 662,422 |
| Regency Centers LP |
| 02/01/2027 | 3.600% | | 586,000 | 584,500 |
| Scentre Group Trust 1 / 2(a) |
| 02/12/2025 | 3.500% | | 1,040,000 | 1,043,136 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 144 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Simon Property Group LP |
| 01/15/2026 | 3.300% | | 386,000 | 386,017 |
| 06/15/2027 | 3.375% | | 550,000 | 548,229 |
| Tanger Properties LP |
| 12/01/2023 | 3.875% | | 725,000 | 737,925 |
| 12/01/2024 | 3.750% | | 670,000 | 672,103 |
| VEREIT Operating Partnership LP |
| 02/06/2024 | 4.600% | | 1,760,000 | 1,834,693 |
| WEA Finance LLC(a) |
| 04/05/2022 | 3.150% | | 1,430,000 | 1,438,282 |
| Total | 14,627,305 |
| Retailers 0.5% |
| Advance Auto Parts, Inc. |
| 01/15/2022 | 4.500% | | 700,000 | 744,127 |
| AutoZone, Inc. |
| 06/01/2027 | 3.750% | | 248,000 | 248,541 |
| Costco Wholesale Corp. |
| 05/18/2021 | 2.150% | | 2,865,000 | 2,866,261 |
| 05/18/2022 | 2.300% | | 1,995,000 | 1,990,699 |
| 05/18/2024 | 2.750% | | 1,730,000 | 1,729,823 |
| 05/18/2027 | 3.000% | | 2,005,000 | 2,001,449 |
| CVS Health Corp. |
| 12/01/2022 | 2.750% | | 500,000 | 500,857 |
| 06/01/2026 | 2.875% | | 432,000 | 418,524 |
| CVS Pass-Through Trust(a) |
| 10/10/2025 | 6.204% | | 215,964 | 244,098 |
| 01/10/2032 | 7.507% | | 123,078 | 152,234 |
| 01/10/2034 | 5.926% | | 820,805 | 938,343 |
| Home Depot, Inc. (The) |
| 09/15/2056 | 3.500% | | 176,000 | 159,995 |
| O’Reilly Automotive, Inc. |
| 03/15/2026 | 3.550% | | 480,000 | 482,788 |
| Target Corp. |
| 11/01/2032 | 6.350% | | 107,000 | 136,886 |
| Walgreen Co. |
| 09/15/2042 | 4.400% | | 300,000 | 301,591 |
| Walgreens Boots Alliance, Inc. |
| 06/01/2026 | 3.450% | | 2,665,000 | 2,659,571 |
| 11/18/2034 | 4.500% | | 990,000 | 1,035,606 |
| 11/18/2044 | 4.800% | | 500,000 | 531,817 |
| Total | 17,143,210 |
| Technology 2.0% |
| Analog Devices, Inc. |
| 12/05/2023 | 3.125% | | 1,474,000 | 1,492,521 |
| 12/05/2026 | 3.500% | | 935,000 | 942,670 |
| 12/05/2036 | 4.500% | | 198,000 | 205,209 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Apple, Inc. |
| 05/11/2020 | 1.800% | | 5,135,000 | 5,130,651 |
| 05/11/2022 | 2.300% | | 5,140,000 | 5,131,714 |
| 02/09/2024 | 3.000% | | 2,023,000 | 2,052,099 |
| 05/11/2024 | 2.850% | | 2,577,000 | 2,590,454 |
| 02/09/2027 | 3.350% | | 1,873,000 | 1,915,884 |
| 05/11/2027 | 3.200% | | 2,091,000 | 2,113,685 |
| 06/20/2027 | 3.000% | | 562,000 | 558,837 |
| 05/13/2045 | 4.375% | | 505,000 | 545,860 |
| 08/04/2046 | 3.850% | | 672,000 | 670,970 |
| 02/09/2047 | 4.250% | | 100,000 | 106,331 |
| Arrow Electronics, Inc. |
| 01/12/2028 | 3.875% | | 376,000 | 374,134 |
| Broadcom Corp./Cayman Finance Ltd.(a) |
| 01/15/2024 | 3.625% | | 1,687,000 | 1,729,980 |
| 01/15/2027 | 3.875% | | 1,570,000 | 1,612,021 |
| Cisco Systems, Inc. |
| 09/20/2019 | 1.400% | | 3,165,000 | 3,140,933 |
| 09/20/2021 | 1.850% | | 3,475,000 | 3,433,102 |
| 01/15/2040 | 5.500% | | 1,460,000 | 1,823,468 |
| Dell International LLC/EMC Corp.(a) |
| 06/15/2023 | 5.450% | | 1,401,000 | 1,524,441 |
| 06/15/2026 | 6.020% | | 2,312,000 | 2,551,946 |
| DXC Technology Co.(a) |
| 04/15/2024 | 4.250% | | 302,000 | 312,750 |
| Equifax, Inc. |
| 06/01/2021 | 2.300% | | 293,000 | 290,743 |
| Fidelity National Information Services, Inc. |
| 10/15/2020 | 3.625% | | 1,260,000 | 1,315,576 |
| Hewlett Packard Enterprise Co.(b) |
| 10/15/2025 | 4.900% | | 525,000 | 550,766 |
| 10/15/2045 | 6.350% | | 1,375,000 | 1,451,376 |
| HP Enterprise Services LLC |
| 10/15/2029 | 7.450% | | 300,000 | 364,975 |
| Intel Corp. |
| 07/29/2045 | 4.900% | | 245,000 | 284,264 |
| 05/19/2046 | 4.100% | | 448,000 | 462,716 |
| Microsoft Corp. |
| 02/06/2022 | 2.400% | | 2,050,000 | 2,069,487 |
| 08/08/2023 | 2.000% | | 1,375,000 | 1,339,797 |
| 02/06/2024 | 2.875% | | 1,943,000 | 1,974,873 |
| 02/06/2027 | 3.300% | | 892,000 | 918,563 |
| 02/12/2035 | 3.500% | | 300,000 | 302,361 |
| 11/03/2035 | 4.200% | | 462,000 | 503,335 |
| 08/08/2036 | 3.450% | | 525,000 | 524,830 |
| 02/06/2037 | 4.100% | | 2,329,000 | 2,514,072 |
| 10/01/2040 | 4.500% | | 518,000 | 581,112 |
| 08/08/2046 | 3.700% | | 1,135,000 | 1,121,434 |
| 02/06/2047 | 4.250% | | 500,000 | 539,927 |
| 11/03/2055 | 4.750% | | 582,000 | 664,110 |
| 08/08/2056 | 3.950% | | 380,000 | 378,481 |
| 02/06/2057 | 4.500% | | 1,658,000 | 1,820,675 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 145 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Oracle Corp. |
| 09/15/2023 | 2.400% | | 627,000 | 618,793 |
| 07/08/2034 | 4.300% | | 1,942,000 | 2,104,386 |
| 05/15/2035 | 3.900% | | 1,570,000 | 1,624,380 |
| 07/15/2036 | 3.850% | | 1,400,000 | 1,442,941 |
| 07/08/2039 | 6.125% | | 339,000 | 448,056 |
| 07/15/2040 | 5.375% | | 155,000 | 188,386 |
| QUALCOMM, Inc. |
| 01/30/2023 | 2.600% | | 52,000 | 51,833 |
| 05/20/2027 | 3.250% | | 501,000 | 502,013 |
| 05/20/2035 | 4.650% | | 190,000 | 207,428 |
| Total | 67,121,349 |
| Tobacco 0.1% |
| Reynolds American, Inc. |
| 08/15/2045 | 5.850% | | 1,505,000 | 1,842,210 |
| Transportation Services 0.4% |
| Brambles USA, Inc.(a) |
| 10/23/2025 | 4.125% | | 300,000 | 309,155 |
| ERAC U.S.A. Finance LLC(a) |
| 11/01/2023 | 2.700% | | 365,000 | 355,810 |
| 12/01/2026 | 3.300% | | 2,110,000 | 2,033,061 |
| ERAC USA Finance LLC(a) |
| 02/15/2045 | 4.500% | | 260,000 | 255,054 |
| FedEx Corp. |
| 04/01/2046 | 4.550% | | 1,355,000 | 1,421,662 |
| 01/15/2047 | 4.400% | | 855,000 | 878,635 |
| Ford Motor Co. |
| 12/08/2026 | 4.346% | | 1,285,000 | 1,322,269 |
| 07/16/2031 | 7.450% | | 1,300,000 | 1,639,371 |
| 12/08/2046 | 5.291% | | 1,250,000 | 1,282,062 |
| Penske Truck Leasing Co. LP/Finance Corp.(a) |
| 02/01/2022 | 3.375% | | 1,700,000 | 1,742,910 |
| 11/15/2026 | 3.400% | | 1,585,000 | 1,546,117 |
| Ryder System, Inc. |
| 09/01/2021 | 2.250% | | 700,000 | 690,669 |
| United Parcel Service of America, Inc.(b) |
| 04/01/2030 | 8.375% | | 225,000 | 321,611 |
| Total | 13,798,386 |
| Wireless 0.2% |
| America Movil SAB de CV |
| 03/30/2040 | 6.125% | | 300,000 | 366,296 |
| American Tower Corp. |
| 10/15/2026 | 3.375% | | 425,000 | 415,875 |
| Crown Castle International Corp. |
| 03/01/2027 | 4.000% | | 236,000 | 243,345 |
| Crown Castle Towers LLC(a) |
| 01/15/2020 | 6.113% | | 1,000,000 | 1,074,540 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Nokia OYJ |
| 06/12/2022 | 3.375% | | 2,335,000 | 2,352,209 |
| 06/12/2027 | 4.375% | | 320,000 | 325,626 |
| Sprint Spectrum Co. I/II/III LLC(a) |
| 09/20/2021 | 3.360% | | 2,336,000 | 2,356,758 |
| Total | 7,134,649 |
| Wirelines 1.3% |
| AT&T, Inc. |
| 02/17/2023 | 3.600% | | 1,000,000 | 1,021,361 |
| 04/01/2024 | 4.450% | | 3,151,000 | 3,319,471 |
| 01/15/2025 | 3.950% | | 1,935,000 | 1,971,399 |
| 05/15/2025 | 3.400% | | 4,395,000 | 4,313,402 |
| 05/15/2035 | 4.500% | | 695,000 | 683,074 |
| 03/01/2037 | 5.250% | | 1,680,000 | 1,788,668 |
| 01/15/2038 | 6.300% | | 750,000 | 884,697 |
| 08/15/2040 | 6.000% | | 875,000 | 991,213 |
| 09/01/2040 | 5.350% | | 4,821,000 | 5,097,436 |
| 03/01/2041 | 6.375% | | 425,000 | 501,292 |
| 03/01/2047 | 5.450% | | 1,305,000 | 1,405,208 |
| British Telecommunications PLC |
| 02/14/2019 | 2.350% | | 200,000 | 201,152 |
| British Telecommunications PLC(b) |
| 12/15/2030 | 9.125% | | 350,000 | 532,328 |
| Deutsche Telekom International Finance BV(a) |
| 01/19/2027 | 3.600% | | 500,000 | 507,018 |
| 03/06/2042 | 4.875% | | 150,000 | 164,996 |
| Deutsche Telekom International Finance BV(b) |
| 06/15/2030 | 8.750% | | 290,000 | 430,124 |
| Qwest Corp. |
| 12/01/2021 | 6.750% | | 1,063,000 | 1,181,201 |
| Telefonica Emisiones SAU |
| 04/27/2018 | 3.192% | | 241,000 | 243,474 |
| 04/27/2020 | 5.134% | | 1,021,000 | 1,101,570 |
| 02/16/2021 | 5.462% | | 120,000 | 132,084 |
| 03/08/2047 | 5.213% | | 805,000 | 868,595 |
| Verizon Communications, Inc.(a) |
| 03/15/2022 | 2.946% | | 1,050,000 | 1,056,408 |
| Verizon Communications, Inc. |
| 11/01/2024 | 3.500% | | 2,361,000 | 2,383,059 |
| 03/16/2027 | 4.125% | | 1,050,000 | 1,082,927 |
| 03/15/2034 | 5.050% | | 1,029,000 | 1,088,323 |
| 11/01/2034 | 4.400% | | 6,741,000 | 6,697,548 |
| 01/15/2036 | 4.272% | | 550,000 | 530,771 |
| 03/16/2037 | 5.250% | | 457,000 | 491,121 |
| 08/15/2046 | 4.125% | | 2,610,000 | 2,332,429 |
| 09/15/2048 | 4.522% | | 121,000 | 114,673 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 146 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 03/15/2055 | 4.672% | | 112,000 | 105,113 |
| Total | 43,222,135 |
Total Corporate Bonds & Notes
(Cost $754,585,339) | 770,962,245 |
|
| Foreign Government Obligations(g) 2.1% |
| | | | |
| Australia 0.1% |
| CNOOC Finance Pty Ltd. |
| 05/05/2020 | 2.625% | | 1,000,000 | 1,002,666 |
| Westpac Banking Corp.(a) |
| 03/03/2020 | 2.000% | | 405,000 | 404,266 |
| Total | 1,406,932 |
| Canada 0.2% |
| Bank of Nova Scotia (The)(a) |
| 09/20/2021 | 1.875% | | 300,000 | 294,547 |
| CNOOC Nexen Finance ULC |
| 04/30/2024 | 4.250% | | 389,000 | 408,692 |
| Hydro-Quebec |
| 02/01/2021 | 9.400% | | 750,000 | 925,964 |
| Ontario Teachers’ Cadillac Fairview Properties Trust(a) |
| 03/20/2027 | 3.875% | | 804,000 | 826,407 |
| Province of Ontario |
| 01/18/2019 | 1.625% | | 2,080,000 | 2,079,619 |
| Toronto-Dominion Bank (The)(a) |
| 03/15/2021 | 2.250% | | 3,325,000 | 3,327,677 |
| Total | 7,862,906 |
| Chile 0.0% |
| Chile Government International Bond |
| 06/21/2047 | 3.860% | | 740,000 | 741,171 |
| China 0.1% |
| CNOOC Finance Ltd. |
| 05/09/2023 | 3.000% | | 1,300,000 | 1,284,333 |
| Industrial & Commercial Bank of China Ltd. |
| 10/20/2021 | 2.452% | | 1,050,000 | 1,032,783 |
| State Grid Overseas Investment 2013 Ltd.(a) |
| 05/22/2018 | 1.750% | | 377,000 | 376,001 |
| Total | 2,693,117 |
| Colombia 0.1% |
| Colombia Government International Bond |
| 02/26/2024 | 4.000% | | 893,000 | 926,087 |
| 09/18/2037 | 7.375% | | 150,000 | 193,157 |
| Foreign Government Obligations(g) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Ecopetrol SA |
| 09/18/2023 | 5.875% | | 310,000 | 338,705 |
| 01/16/2025 | 4.125% | | 300,000 | 294,154 |
| 06/26/2026 | 5.375% | | 580,000 | 602,895 |
| Total | 2,354,998 |
| France 0.0% |
| Electricite de France SA(a) |
| 01/22/2114 | 6.000% | | 695,000 | 749,468 |
| Germany 0.2% |
| Kreditanstalt fuer Wiederaufbau |
| 07/15/2019 | 1.000% | | 5,380,000 | 5,320,438 |
| Indonesia 0.0% |
| Indonesia Government International Bond(a) |
| 01/08/2027 | 4.350% | | 1,270,000 | 1,327,372 |
| Israel 0.0% |
| Israel Government International Bond |
| 01/30/2043 | 4.500% | | 915,000 | 966,255 |
| Japan 0.4% |
| Japan Bank for International Cooperation |
| 02/24/2020 | 2.250% | | 4,792,000 | 4,813,492 |
| 05/28/2020 | 1.750% | | 1,630,000 | 1,612,109 |
| 04/20/2021 | 1.875% | | 1,720,000 | 1,691,562 |
| 07/21/2021 | 1.500% | | 4,932,000 | 4,766,093 |
| 06/01/2022 | 2.500% | | 1,412,000 | 1,417,690 |
| Total | 14,300,946 |
| Kuwait 0.1% |
| Kuwait International Government Bond(a),(b) |
| 03/20/2022 | 2.750% | | 2,150,000 | 2,155,257 |
| Mexico 0.5% |
| Mexico Government International Bond |
| 10/02/2023 | 4.000% | | 1,028,000 | 1,075,504 |
| 01/30/2025 | 3.600% | | 757,000 | 766,200 |
| 01/21/2026 | 4.125% | | 1,673,000 | 1,739,945 |
| 03/28/2027 | 4.150% | | 2,610,000 | 2,703,062 |
| 03/08/2044 | 4.750% | | 1,090,000 | 1,091,300 |
| 01/15/2047 | 4.350% | | 1,675,000 | 1,576,106 |
| 10/12/2110 | 5.750% | | 2,054,000 | 2,127,252 |
| Petroleos Mexicanos |
| 02/04/2021 | 6.375% | | 504,000 | 545,685 |
| 08/04/2026 | 6.875% | | 598,000 | 661,921 |
| 06/15/2035 | 6.625% | | 550,000 | 568,842 |
| 01/23/2046 | 5.625% | | 1,742,000 | 1,545,597 |
| 09/21/2047 | 6.750% | | 1,045,000 | 1,054,004 |
| Petroleos Mexicanos(a) |
| 03/13/2027 | 6.500% | | 2,370,000 | 2,545,759 |
| Total | 18,001,177 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 147 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Foreign Government Obligations(g) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Norway 0.0% |
| Statoil ASA |
| 09/23/2027 | 7.250% | | 400,000 | 524,782 |
| Paraguay 0.0% |
| Paraguay Government International Bond(a) |
| 08/11/2044 | 6.100% | | 830,000 | 922,747 |
| Peru 0.0% |
| Peruvian Government International Bond |
| 11/18/2050 | 5.625% | | 98,000 | 118,914 |
| Poland 0.0% |
| Poland Government International Bond |
| 01/22/2024 | 4.000% | | 1,178,000 | 1,259,430 |
| Slovenia 0.2% |
| Slovenia Government International Bond(a) |
| 10/26/2022 | 5.500% | | 1,445,000 | 1,648,827 |
| 02/18/2024 | 5.250% | | 2,945,000 | 3,370,202 |
| Total | 5,019,029 |
| South Korea 0.0% |
| Korea Housing Finance Corp.(a) |
| 10/11/2021 | 2.000% | | 700,000 | 678,925 |
| Sweden 0.1% |
| Stadshypotek AB(a) |
| 10/02/2019 | 1.875% | | 1,500,000 | 1,497,004 |
| Virgin Islands 0.1% |
| Sinopec Capital 2013 Ltd.(a) |
| 04/24/2023 | 3.125% | | 800,000 | 795,690 |
| State Grid Overseas Investment 2016 Ltd.(a) |
| 05/04/2022 | 2.750% | | 1,605,000 | 1,597,938 |
| 05/04/2027 | 3.500% | | 1,105,000 | 1,102,495 |
| Total | 3,496,123 |
Total Foreign Government Obligations
(Cost $70,908,713) | 71,396,991 |
|
| Inflation-Indexed Bonds 0.1% |
| | | | |
| United States 0.1% |
| U.S. Treasury Inflation-Indexed Bond |
| 01/15/2022 | 0.125% | | 1,080,360 | 1,078,881 |
| 01/15/2029 | 2.500% | | 1,138,910 | 1,370,387 |
| Total | 2,449,268 |
Total Inflation-Indexed Bonds
(Cost $2,406,174) | 2,449,268 |
|
| Municipal Bonds 0.4% |
| Issue Description | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Airport 0.0% |
| City of Los Angeles Department of Airports |
| Revenue Bonds |
Build America Bonds
Series 2009 |
| 05/15/2039 | 6.582% | | 420,000 | 544,018 |
| Higher Education 0.1% |
| Los Angeles Community College District |
| Unlimited General Obligation Bonds |
Build America Bonds
Series 2010 |
| 08/01/2049 | 6.750% | | 1,305,000 | 1,977,219 |
| Ohio State University (The) |
| Revenue Bonds |
Taxable
Series 2011A |
| 06/01/2111 | 4.800% | | 2,014,000 | 2,069,264 |
| Total | 4,046,483 |
| Joint Power Authority 0.1% |
| American Municipal Power, Inc. |
| Revenue Bonds |
Build America Bonds
Series 2010 |
| 02/15/2050 | 7.499% | | 1,265,000 | 1,807,343 |
| Ports 0.1% |
| Port Authority of New York & New Jersey |
| Revenue Bonds |
Consolidated 174th
Series 2012 |
| 10/01/2062 | 4.458% | | 1,785,000 | 1,944,776 |
Taxable Consolidated 160th
Series 2010 |
| 11/01/2040 | 5.647% | | 835,000 | 1,056,709 |
| Total | 3,001,485 |
| Special Non Property Tax 0.0% |
| New York State Dormitory Authority |
| Revenue Bonds |
Build America Bonds
Series 2010 |
| 03/15/2040 | 5.600% | | 415,000 | 522,904 |
| State General Obligation 0.1% |
| State of California |
| Unlimited General Obligation Bonds |
Build America Bonds
Series 2009 |
| 10/01/2039 | 7.300% | | 295,000 | 431,381 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 148 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Municipal Bonds (continued) |
| Issue Description | Coupon
Rate | | Principal
Amount ($) | Value ($) |
Build America Bonds
Series 2010 |
| 11/01/2040 | 7.600% | | 940,000 | 1,463,768 |
| Total | 1,895,149 |
| Turnpike / Bridge / Toll Road 0.0% |
| North Texas Tollway Authority |
| Revenue Bonds |
| Series 2009 (BAM) |
| 01/01/2049 | 6.718% | | 1,220,000 | 1,778,906 |
| Water & Sewer 0.0% |
| District of Columbia Water & Sewer Authority |
| Taxable Revenue Bonds |
Senior Lien
Series 2014-A |
| 10/01/2114 | 4.814% | | 411,000 | 435,405 |
Total Municipal Bonds
(Cost $12,799,897) | 14,031,693 |
|
| Residential Mortgage-Backed Securities - Agency 22.7% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal Home Loan Mortgage Corp. |
11/01/2022-
10/17/2038 | 6.500% | | 2,113,185 | 2,299,099 |
11/01/2031-
05/01/2032 | 3.500% | | 8,735,723 | 9,178,867 |
05/01/2032-
04/01/2047 | 4.000% | | 42,876,422 | 45,750,157 |
| 03/01/2033 | 3.000% | | 1,877,033 | 1,913,440 |
06/01/2035-
04/01/2036 | 5.500% | | 240,050 | 256,761 |
| 09/01/2037 | 6.000% | | 1,727,753 | 1,950,165 |
| 02/01/2038 | 7.500% | | 115,275 | 122,285 |
03/01/2041-
06/01/2047 | 4.500% | | 14,404,713 | 15,605,225 |
| CMO Series 2127 Class PG |
| 02/15/2029 | 6.250% | | 387,254 | 423,883 |
| CMO Series 2165 Class PE |
| 06/15/2029 | 6.000% | | 138,002 | 154,421 |
| CMO Series 2326 Class ZQ |
| 06/15/2031 | 6.500% | | 700,205 | 768,380 |
| CMO Series 2399 Class TH |
| 01/15/2032 | 6.500% | | 340,915 | 389,375 |
| CMO Series 2517 Class Z |
| 10/15/2032 | 5.500% | | 239,967 | 255,265 |
| CMO Series 2557 Class HL |
| 01/15/2033 | 5.300% | | 572,950 | 628,982 |
| CMO Series 262 Class 35 |
| 07/15/2042 | 3.500% | | 7,262,724 | 7,479,647 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2752 Class EZ |
| 02/15/2034 | 5.500% | | 1,535,442 | 1,701,021 |
| CMO Series 2764 Class UE |
| 10/15/2032 | 5.000% | | 157,818 | 159,757 |
| CMO Series 2764 Class ZG |
| 03/15/2034 | 5.500% | | 845,722 | 944,232 |
| CMO Series 2953 Class PG |
| 03/15/2035 | 5.500% | | 4,000,000 | 4,445,526 |
| CMO Series 2986 Class CH |
| 06/15/2025 | 5.000% | | 734,566 | 781,795 |
| CMO Series 2989 Class TG |
| 06/15/2025 | 5.000% | | 570,009 | 613,313 |
| CMO Series 299 Class 300 |
| 01/15/2043 | 3.000% | | 1,252,937 | 1,266,250 |
| CMO Series 2990 Class UZ |
| 06/15/2035 | 5.750% | | 1,548,773 | 1,752,033 |
| CMO Series 3075 Class PD |
| 01/15/2035 | 5.500% | | 10,518 | 10,530 |
| CMO Series 3101 Class UZ |
| 01/15/2036 | 6.000% | | 520,388 | 592,281 |
| CMO Series 3123 Class AZ |
| 03/15/2036 | 6.000% | | 668,271 | 759,457 |
| CMO Series 3143 Class BC |
| 02/15/2036 | 5.500% | | 679,861 | 746,823 |
| CMO Series 3164 Class MG |
| 06/15/2036 | 6.000% | | 253,643 | 284,280 |
| CMO Series 3195 Class PD |
| 07/15/2036 | 6.500% | | 486,807 | 544,549 |
| CMO Series 3200 Class AY |
| 08/15/2036 | 5.500% | | 459,994 | 506,675 |
| CMO Series 3213 Class JE |
| 09/15/2036 | 6.000% | | 831,148 | 931,484 |
| CMO Series 3229 Class HE |
| 10/15/2026 | 5.000% | | 1,280,948 | 1,359,099 |
| CMO Series 3402 Class NC |
| 12/15/2022 | 5.000% | | 385,803 | 402,429 |
| CMO Series 3423 Class PB |
| 03/15/2038 | 5.500% | | 1,533,126 | 1,708,553 |
| CMO Series 3453 Class B |
| 05/15/2038 | 5.500% | | 113,747 | 122,261 |
| CMO Series 3461 Class Z |
| 06/15/2038 | 6.000% | | 2,678,975 | 2,964,980 |
| CMO Series 3501 Class CB |
| 01/15/2039 | 5.500% | | 642,833 | 716,907 |
| CMO Series 3684 Class CY |
| 06/15/2025 | 4.500% | | 2,000,000 | 2,174,606 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 149 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 3704 Class CT |
| 12/15/2036 | 7.000% | | 1,124,131 | 1,312,008 |
| CMO Series 3704 Class DT |
| 11/15/2036 | 7.500% | | 1,037,999 | 1,218,303 |
| CMO Series 3704 Class ET |
| 12/15/2036 | 7.500% | | 737,652 | 885,450 |
| CMO Series 3707 Class B |
| 08/15/2025 | 4.500% | | 2,027,855 | 2,167,385 |
| CMO Series 3819 Class ZQ |
| 04/15/2036 | 6.000% | | 1,020,627 | 1,148,807 |
| CMO Series 3827 Class BM |
| 08/15/2039 | 5.500% | | 601,608 | 639,655 |
| CMO Series 3890 Class ME |
| 07/15/2041 | 5.000% | | 1,000,000 | 1,174,052 |
| CMO Series 4015 Class MY |
| 03/15/2042 | 3.500% | | 2,000,000 | 2,052,580 |
| CMO Series 4177 Class MQ |
| 03/15/2043 | 2.500% | | 1,000,000 | 924,094 |
| CMO Series 4217 Class KY |
| 06/15/2043 | 3.000% | | 1,200,000 | 1,180,946 |
| CMO Series 4240 Class B |
| 08/15/2033 | 3.000% | | 2,000,000 | 2,007,334 |
| CMO Series R006 Class ZA |
| 04/15/2036 | 6.000% | | 776,233 | 883,912 |
| CMO Series R007 Class ZA |
| 05/15/2036 | 6.000% | | 1,566,266 | 1,777,978 |
| Federal Home Loan Mortgage Corp.(b) |
| 07/01/2036 | 2.965% | | 126,760 | 131,211 |
| 07/01/2040 | 3.450% | | 559,031 | 579,628 |
| 07/01/2046 | 2.630% | | 4,538,508 | 4,614,482 |
| CMO Series 2551 Class NS |
| 01/15/2033 | 12.359% | | 223,386 | 268,275 |
| CMO Series 3688 Class CU |
| 11/15/2021 | 6.786% | | 225,290 | 232,770 |
| CMO Series 3688 Class GT |
| 11/15/2046 | 7.295% | | 733,535 | 857,709 |
| CMO Series 3852 Class QN |
| 05/15/2041 | 5.500% | | 786,248 | 823,691 |
| CMO Series 3966 Class BF |
| 10/15/2040 | 1.659% | | 1,340,473 | 1,347,872 |
| CMO Series 4048 Class FJ |
| 07/15/2037 | 1.395% | | 1,782,900 | 1,753,706 |
| CMO Series 4087 Class FA |
| 05/15/2039 | 1.609% | | 1,444,017 | 1,438,691 |
| CMO Series 4272 Class W |
| 04/15/2040 | 5.653% | | 3,331,163 | 3,711,205 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Structured Pass-Through Securities |
| 10/25/2044 | 1.892% | | 1,035,304 | 1,049,632 |
| Federal Home Loan Mortgage Corp.(f) |
08/11/2046-
09/14/2046 | 4.000% | | 9,000,000 | 9,445,456 |
| 07/13/2047 | 3.000% | | 12,000,000 | 11,973,750 |
| 07/13/2047 | 3.500% | | 6,900,000 | 7,088,487 |
| Federal Home Loan Mortgage Corp.(h) |
| CMO Series 2967 Class EA |
| 04/15/2020 | 0.000% | | 63,423 | 61,488 |
| CMO Series 3077 Class TO |
| 04/15/2035 | 0.000% | | 221,655 | 199,986 |
| CMO Series 3100 Class |
| 01/15/2036 | 0.000% | | 367,595 | 327,170 |
| CMO Series 3117 Class OG |
| 02/15/2036 | 0.000% | | 215,110 | 195,452 |
| CMO Series 3181 Class OH |
| 07/15/2036 | 0.000% | | 610,695 | 514,965 |
| CMO Series 3316 Class JO |
| 05/15/2037 | 0.000% | | 34,721 | 32,899 |
| CMO Series 3607 Class TO |
| 10/15/2039 | 0.000% | | 438,690 | 372,707 |
| CMO STRIPS Series 197 Class |
| 04/01/2028 | 0.000% | | 256,338 | 233,270 |
| CMO STRIPS Series 310 Class |
| 09/15/2043 | 0.000% | | 2,745,694 | 2,155,737 |
| Federal Home Loan Mortgage Corp.(b),(d) |
| CMO Series 3380 Class SI |
| 10/15/2037 | 5.211% | | 3,542,392 | 624,122 |
| CMO Series 3385 Class SN |
| 11/15/2037 | 4.841% | | 172,249 | 17,190 |
| CMO Series 3451 Class SA |
| 05/15/2038 | 4.891% | | 297,537 | 34,093 |
| CMO Series 3531 Class SM |
| 05/15/2039 | 4.941% | | 310,587 | 26,517 |
| CMO Series 3608 Class SC |
| 12/15/2039 | 5.091% | | 660,047 | 114,278 |
| CMO Series 3740 Class SB |
| 10/15/2040 | 4.841% | | 1,005,062 | 152,729 |
| CMO Series 3740 Class SC |
| 10/15/2040 | 4.841% | | 1,186,454 | 162,428 |
| CMO Series 3802 Class LS |
| 01/15/2040 | 1.911% | | 2,297,929 | 128,229 |
| CMO STRIPS Series 239 Class S30 |
| 08/15/2036 | 6.541% | | 609,569 | 115,978 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 150 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal Home Loan Mortgage Corp.(d) |
| CMO Series 3688 Class NI |
| 04/15/2032 | 5.000% | | 627,758 | 38,676 |
| CMO Series 3714 Class IP |
| 08/15/2040 | 5.000% | | 1,068,596 | 170,926 |
| CMO Series 3747 Class HI |
| 07/15/2037 | 4.500% | | 794,761 | 20,232 |
| CMO Series 3760 Class GI |
| 10/15/2037 | 4.000% | | 333,357 | 11,355 |
| CMO Series 3772 Class |
| 09/15/2024 | 3.500% | | 249,740 | 3,082 |
| CMO Series 3779 Class IH |
| 11/15/2034 | 4.000% | | 542,121 | 13,135 |
| CMO Series 3800 Class AI |
| 11/15/2029 | 4.000% | | 912,759 | 66,650 |
| Federal National Mortgage Association |
10/01/2019-
08/01/2056 | 5.000% | | 8,856,138 | 9,712,869 |
04/01/2020-
05/01/2047 | 4.000% | | 62,582,808 | 66,547,290 |
05/01/2022-
08/01/2037 | 7.500% | | 137,398 | 143,384 |
01/01/2023-
11/01/2048 | 6.000% | | 1,924,538 | 2,106,228 |
02/01/2024-
10/01/2038 | 6.500% | | 4,315,777 | 4,898,885 |
08/01/2031-
08/01/2043 | 3.500% | | 90,167,251 | 93,997,581 |
11/01/2033-
04/01/2036 | 5.500% | | 443,269 | 479,706 |
04/01/2037-
01/01/2039 | 7.000% | | 1,289,638 | 1,510,991 |
| 01/01/2043 | 3.000% | | 2,280,984 | 2,284,288 |
10/01/2044-
06/01/2047 | 4.500% | | 47,476,975 | 51,680,710 |
| CMO Series 1999-7 Class AB |
| 03/25/2029 | 6.000% | | 285,555 | 319,118 |
| CMO Series 2001-60 Class PX |
| 11/25/2031 | 6.000% | | 368,792 | 415,942 |
| CMO Series 2002-50 Class ZA |
| 05/25/2031 | 6.000% | | 1,534,346 | 1,646,153 |
| CMO Series 2002-78 Class Z |
| 12/25/2032 | 5.500% | | 482,428 | 512,507 |
| CMO Series 2004-50 Class VZ |
| 07/25/2034 | 5.500% | | 1,973,873 | 2,164,533 |
| CMO Series 2004-65 Class LT |
| 08/25/2024 | 4.500% | | 337,711 | 353,912 |
| CMO Series 2004-W10 Class A6 |
| 08/25/2034 | 5.750% | | 3,000,000 | 3,408,335 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2005-121 Class DX |
| 01/25/2026 | 5.500% | | 742,933 | 792,384 |
| CMO Series 2006-105 Class ME |
| 11/25/2036 | 5.500% | | 1,166,492 | 1,301,410 |
| CMO Series 2006-16 Class HZ |
| 03/25/2036 | 5.500% | | 1,726,199 | 1,835,419 |
| CMO Series 2006-W3 Class 2A |
| 09/25/2046 | 6.000% | | 367,749 | 417,164 |
| CMO Series 2007-104 Class ZE |
| 08/25/2037 | 6.000% | | 495,364 | 532,729 |
| CMO Series 2007-116 Class PB |
| 08/25/2035 | 5.500% | | 400,905 | 448,979 |
| CMO Series 2007-18 Class MZ |
| 03/25/2037 | 6.000% | | 642,413 | 696,861 |
| CMO Series 2007-42 Class B |
| 05/25/2037 | 6.000% | | 539,082 | 599,976 |
| CMO Series 2007-76 Class ZG |
| 08/25/2037 | 6.000% | | 1,301,003 | 1,429,186 |
| CMO Series 2008-80 Class GP |
| 09/25/2038 | 6.250% | | 93,801 | 104,800 |
| CMO Series 2009-59 Class HB |
| 08/25/2039 | 5.000% | | 845,253 | 927,656 |
| CMO Series 2009-60 Class HT |
| 08/25/2039 | 6.000% | | 785,026 | 887,141 |
| CMO Series 2009-79 Class UA |
| 03/25/2038 | 7.000% | | 82,230 | 93,202 |
| CMO Series 2009-W1 Class A |
| 12/25/2049 | 6.000% | | 1,867,357 | 2,115,799 |
| CMO Series 2010-111 Class AE |
| 04/25/2038 | 5.500% | | 566,729 | 572,411 |
| CMO Series 2010-111 Class AM |
| 10/25/2040 | 5.500% | | 3,000,000 | 3,372,127 |
| CMO Series 2010-148 Class MA |
| 02/25/2039 | 4.000% | | 246,558 | 253,788 |
| CMO Series 2010-2 Class LC |
| 02/25/2040 | 5.000% | | 1,200,000 | 1,349,843 |
| CMO Series 2010-83 Class DN |
| 12/25/2020 | 4.500% | | 2,910,053 | 2,967,422 |
| CMO Series 2011-118 Class MT |
| 11/25/2041 | 7.000% | | 1,496,180 | 1,676,921 |
| CMO Series 2011-118 Class NT |
| 11/25/2041 | 7.000% | | 1,626,974 | 1,851,956 |
| CMO Series 2011-31 Class DB |
| 04/25/2031 | 3.500% | | 4,000,000 | 4,205,767 |
| CMO Series 2011-39 Class ZA |
| 11/25/2032 | 6.000% | | 561,912 | 635,833 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 151 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2011-44 Class EB |
| 05/25/2026 | 3.000% | | 3,000,000 | 3,091,559 |
| CMO Series 2011-46 Class B |
| 05/25/2026 | 3.000% | | 6,000,000 | 6,188,840 |
| CMO Series 2011-59 Class NZ |
| 07/25/2041 | 5.500% | | 2,362,863 | 2,649,516 |
| CMO Series 2012-66 Class CB |
| 06/25/2032 | 3.000% | | 3,000,000 | 3,026,294 |
| CMO Series 2013-100 Class WB |
| 10/25/2033 | 3.000% | | 3,000,000 | 2,978,857 |
| CMO Series 2013-101 Class E |
| 10/25/2033 | 3.000% | | 3,000,000 | 3,014,959 |
| CMO Series 2013-108 Class GU |
| 10/25/2033 | 3.000% | | 2,500,000 | 2,510,891 |
| CMO Series 2013-59 Class PY |
| 06/25/2043 | 2.500% | | 1,000,000 | 927,521 |
| CMO Series 2013-81 Class TA |
| 02/25/2043 | 3.000% | | 2,500,000 | 2,357,664 |
| CMO Series 2013-90 Class DL |
| 09/25/2033 | 3.500% | | 1,500,000 | 1,550,806 |
| CMO Series G94-8 Class K |
| 07/17/2024 | 8.000% | | 237,694 | 267,209 |
| Series 2012-M5 Class A2 |
| 02/25/2022 | 2.715% | | 2,122,000 | 2,147,048 |
| Series 2013-M9 Class A2 |
| 01/25/2023 | 2.389% | | 3,000,000 | 3,010,179 |
| Federal National Mortgage Association(b) |
| 12/25/2033 | 11.668% | | 139,211 | 152,014 |
| 03/01/2036 | 3.838% | | 566,072 | 599,416 |
| 05/01/2047 | 2.978% | | 522,664 | 534,790 |
| 06/01/2047 | 3.230% | | 2,136,000 | 2,194,840 |
| CMO Series 2003-W8 Class 3F1 |
| 05/25/2042 | 1.616% | | 296,485 | 292,816 |
| CMO Series 2005-SV Class 75 |
| 09/25/2035 | 19.336% | | 149,530 | 210,484 |
| CMO Series 2005-W3 Class 2AF |
| 03/25/2045 | 1.436% | | 623,990 | 608,760 |
| CMO Series 2007-101 Class A2 |
| 06/27/2036 | 1.466% | | 649,281 | 641,257 |
| CMO Series 2010-28 Class BS |
| 04/25/2040 | 8.851% | | 122,574 | 138,298 |
| CMO Series 2010-35 Class SJ |
| 04/25/2040 | 13.613% | | 716,440 | 981,727 |
| CMO Series 2010-49 Class SC |
| 03/25/2040 | 10.228% | | 627,623 | 755,170 |
| CMO Series 2010-61 Class WA |
| 06/25/2040 | 5.955% | | 233,464 | 247,078 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2011-2 Class WA |
| 02/25/2051 | 5.822% | | 273,501 | 293,775 |
| CMO Series 2011-43 Class WA |
| 05/25/2051 | 5.811% | | 475,076 | 532,675 |
| CMO Series 2011-75 Class FA |
| 08/25/2041 | 1.766% | | 442,241 | 447,093 |
| Series 2003-W16 Class AF5 |
| 11/25/2033 | 4.556% | | 874,511 | 894,329 |
| Federal National Mortgage Association(f) |
| 08/11/2046 | 3.000% | | 8,000,000 | 7,976,841 |
| 08/11/2046 | 3.500% | | 33,100,000 | 33,938,842 |
08/11/2046-
07/01/2047 | 4.000% | | 36,216,000 | 37,976,640 |
| Federal National Mortgage Association(i) |
| 02/01/2047 | 4.000% | | 585,765 | 617,582 |
05/01/2047-
06/01/2047 | 4.500% | | 8,570,199 | 9,317,211 |
| Federal National Mortgage Association(b),(f) |
| 07/01/2047 | 3.183% | | 530,000 | 539,756 |
| Federal National Mortgage Association(b),(d) |
| CMO Series 1996-4 Class SA |
| 02/25/2024 | 7.284% | | 109,523 | 16,552 |
| CMO Series 2006-117 Class GS |
| 12/25/2036 | 5.434% | | 379,416 | 53,010 |
| CMO Series 2006-43 Class SI |
| 06/25/2036 | 5.384% | | 1,421,594 | 274,446 |
| CMO Series 2006-58 Class IG |
| 07/25/2036 | 5.304% | | 478,609 | 83,116 |
| CMO Series 2006-8 Class WN |
| 03/25/2036 | 5.484% | | 1,519,897 | 304,719 |
| CMO Series 2006-94 Class GI |
| 10/25/2026 | 5.434% | | 839,220 | 108,700 |
| CMO Series 2007-109 Class PI |
| 12/25/2037 | 5.134% | | 1,000,378 | 105,177 |
| CMO Series 2007-65 Class KI |
| 07/25/2037 | 5.404% | | 296,440 | 31,579 |
| CMO Series 2007-72 Class EK |
| 07/25/2037 | 5.184% | | 1,398,078 | 207,105 |
| CMO Series 2007-W7 Class 2A2 |
| 07/25/2037 | 5.314% | | 567,773 | 99,027 |
| CMO Series 2009-112 Class ST |
| 01/25/2040 | 5.034% | | 503,691 | 80,579 |
| CMO Series 2009-17 Class QS |
| 03/25/2039 | 5.434% | | 275,293 | 35,299 |
| CMO Series 2009-37 Class KI |
| 06/25/2039 | 4.784% | | 1,021,978 | 124,509 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 152 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2009-68 Class SA |
| 09/25/2039 | 5.534% | | 696,986 | 117,293 |
| CMO Series 2010-125 Class SA |
| 11/25/2040 | 3.224% | | 2,486,267 | 207,502 |
| CMO Series 2010-147 Class SA |
| 01/25/2041 | 5.314% | | 2,728,992 | 517,132 |
| CMO Series 2010-35 Class SB |
| 04/25/2040 | 5.204% | | 396,969 | 73,161 |
| CMO Series 2010-42 Class S |
| 05/25/2040 | 5.184% | | 250,546 | 38,154 |
| CMO Series 2010-68 Class SA |
| 07/25/2040 | 3.784% | | 2,031,579 | 234,425 |
| CMO Series 2011-30 Class LS |
| 04/25/2041 | 1.901% | | 1,779,281 | 88,351 |
| Federal National Mortgage Association(h) |
| CMO Series 2006-113 Class |
| 07/25/2036 | 0.000% | | 93,034 | 90,009 |
| CMO Series 2006-15 Class OP |
| 03/25/2036 | 0.000% | | 256,533 | 222,307 |
| CMO Series 2006-60 Class CO |
| 06/25/2035 | 0.000% | | 77,107 | 75,942 |
| CMO Series 2006-8 Class WQ |
| 03/25/2036 | 0.000% | | 414,517 | 350,730 |
| CMO Series 2009-86 Class BO |
| 03/25/2037 | 0.000% | | 175,539 | 160,229 |
| CMO Series 2013-101 Class DO |
| 10/25/2043 | 0.000% | | 2,964,840 | 2,351,460 |
| CMO Series 2013-128 Class |
| 12/25/2043 | 0.000% | | 2,122,067 | 1,738,492 |
| CMO Series 2013-92 Class |
| 09/25/2043 | 0.000% | | 2,244,237 | 1,794,871 |
| CMO STRIPS Series 293 Class 1 |
| 12/25/2024 | 0.000% | | 223,228 | 207,242 |
| Federal National Mortgage Association(d) |
| CMO Series 2009-71 Class BI |
| 08/25/2024 | 4.500% | | 102,312 | 6,861 |
| CMO Series 2009-86 Class IP |
| 10/25/2039 | 5.500% | | 211,740 | 37,603 |
| CMO Series 2010-155 Class KI |
| 01/25/2021 | 3.000% | | 840,389 | 30,187 |
| Government National Mortgage Association |
| 09/20/2038 | 7.000% | | 140,217 | 163,180 |
| 08/20/2039 | 6.000% | | 589,161 | 679,894 |
05/20/2045-
06/20/2047 | 4.000% | | 19,672,941 | 20,768,602 |
| 04/20/2063 | 4.494% | | 1,910,611 | 2,010,527 |
| 05/20/2063 | 4.455% | | 2,793,842 | 2,935,923 |
| 05/20/2063 | 4.463% | | 3,037,856 | 3,188,725 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 06/20/2063 | 4.376% | | 4,394,462 | 4,626,400 |
| CMO Series 2002-47 Class PG |
| 07/16/2032 | 6.500% | | 292,296 | 337,448 |
| CMO Series 2003-75 Class ZX |
| 09/16/2033 | 6.000% | | 1,044,962 | 1,179,666 |
| CMO Series 2005-26 Class XY |
| 03/20/2035 | 5.500% | | 909,922 | 1,016,430 |
| CMO Series 2005-72 Class AZ |
| 09/20/2035 | 5.500% | | 1,296,212 | 1,426,524 |
| CMO Series 2006-17 Class JN |
| 04/20/2036 | 6.000% | | 428,471 | 473,136 |
| CMO Series 2006-33 Class NA |
| 01/20/2036 | 5.000% | | 338,202 | 351,751 |
| CMO Series 2006-38 Class ZK |
| 08/20/2036 | 6.500% | | 1,319,233 | 1,527,568 |
| CMO Series 2006-69 Class MB |
| 12/20/2036 | 5.500% | | 1,568,623 | 1,705,178 |
| CMO Series 2008-23 Class PH |
| 03/20/2038 | 5.000% | | 1,380,285 | 1,481,283 |
| CMO Series 2009-104 Class AB |
| 08/16/2039 | 7.000% | | 1,637,749 | 1,828,330 |
| CMO Series 2009-89 Class VA |
| 07/20/2020 | 5.000% | | 947,611 | 965,899 |
| CMO Series 2010-130 Class CP |
| 10/16/2040 | 7.000% | | 751,893 | 871,837 |
| CMO Series 2010-14 Class QP |
| 12/20/2039 | 6.000% | | 143,759 | 146,852 |
| CMO Series 2013-H01 Class FA |
| 01/20/2063 | 1.650% | | 3,493,805 | 3,473,495 |
| CMO Series 2013-H04 Class BA |
| 02/20/2063 | 1.650% | | 2,108,328 | 2,099,312 |
| CMO Series 2013-H07 Class JA |
| 03/20/2063 | 1.750% | | 3,921,576 | 3,907,511 |
| CMO Series 2013-H09 Class HA |
| 04/20/2063 | 1.650% | | 5,218,756 | 5,153,329 |
| Government National Mortgage Association(f) |
08/18/2046-
07/20/2047 | 3.000% | | 15,000,000 | 15,144,285 |
08/18/2046-
07/20/2047 | 3.500% | | 27,200,000 | 28,132,192 |
| Government National Mortgage Association(i) |
| 06/15/2047 | 4.000% | | 1,618,000 | 1,712,802 |
| Government National Mortgage Association(b),(d) |
| CMO Series 2005-3 Class SE |
| 01/20/2035 | 4.888% | | 1,186,728 | 170,718 |
| CMO Series 2007-40 Class SN |
| 07/20/2037 | 5.468% | | 911,205 | 148,527 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 153 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2008-62 Class SA |
| 07/20/2038 | 4.938% | | 836,558 | 135,660 |
| CMO Series 2008-76 Class US |
| 09/20/2038 | 4.688% | | 1,012,950 | 135,616 |
| CMO Series 2008-95 Class DS |
| 12/20/2038 | 6.088% | | 865,927 | 164,220 |
| CMO Series 2009-102 Class SM |
| 06/16/2039 | 5.228% | | 530,097 | 34,898 |
| CMO Series 2009-106 Class ST |
| 02/20/2038 | 4.788% | | 1,383,105 | 221,788 |
| CMO Series 2009-64 Class SN |
| 07/16/2039 | 4.928% | | 678,372 | 80,445 |
| CMO Series 2009-67 Class SA |
| 08/16/2039 | 4.878% | | 426,535 | 57,740 |
| CMO Series 2009-72 Class SM |
| 08/16/2039 | 5.078% | | 1,109,501 | 176,942 |
| CMO Series 2009-81 Class SB |
| 09/20/2039 | 4.878% | | 1,351,141 | 188,498 |
| CMO Series 2010-47 Class PX |
| 06/20/2037 | 5.488% | | 1,629,276 | 289,763 |
| CMO Series 2011-75 Class SM |
| 05/20/2041 | 5.388% | | 800,618 | 149,924 |
| Government National Mortgage Association(b) |
| CMO Series 2007-16 Class NS |
| 04/20/2037 | 19.032% | | 145,353 | 205,903 |
| CMO Series 2010-H17 Class XQ |
| 07/20/2060 | 5.240% | | 5,143,682 | 5,335,881 |
| CMO Series 2011-137 Class WA |
| 07/20/2040 | 5.544% | | 1,355,651 | 1,520,670 |
| CMO Series 2012-141 Class WC |
| 01/20/2042 | 3.711% | | 1,060,486 | 1,104,182 |
| CMO Series 2012-H10 Class FA |
| 12/20/2061 | 1.543% | | 2,071,937 | 2,073,429 |
| CMO Series 2012-H21 Class CF |
| 05/20/2061 | 1.693% | | 1,436,763 | 1,440,660 |
| CMO Series 2012-H21 Class DF |
| 05/20/2061 | 1.643% | | 1,282,155 | 1,285,176 |
| CMO Series 2012-H26 Class MA |
| 07/20/2062 | 1.543% | | 1,043,145 | 1,044,906 |
| CMO Series 2012-H28 Class FA |
| 09/20/2062 | 1.573% | | 2,673,393 | 2,681,249 |
| CMO Series 2012-H29 Class FA |
| 10/20/2062 | 1.508% | | 2,106,011 | 2,105,258 |
| CMO Series 2012-H30 Class JA |
| 01/20/2060 | 1.473% | | 298,866 | 299,034 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2012-H30 Class PA |
| 11/20/2059 | 1.443% | | 137,249 | 137,366 |
| CMO Series 2013-54 Class WA |
| 11/20/2042 | 4.725% | | 2,188,270 | 2,366,299 |
| CMO Series 2013-75 Class WA |
| 06/20/2040 | 5.219% | | 755,358 | 824,383 |
| CMO Series 2013-H01 Class TA |
| 01/20/2063 | 1.493% | | 1,014,104 | 1,016,038 |
| CMO Series 2013-H05 Class FB |
| 02/20/2062 | 1.393% | | 1,544,967 | 1,545,562 |
| CMO Series 2013-H07 Class GA |
| 03/20/2063 | 1.463% | | 2,155,420 | 2,150,058 |
| CMO Series 2013-H07 Class HA |
| 03/20/2063 | 1.403% | | 1,473,354 | 1,466,409 |
| CMO Series 2013-H09 Class GA |
| 04/20/2063 | 1.473% | | 2,450,276 | 2,444,751 |
| CMO Series 2013-H09 Class SA |
| 04/20/2063 | 1.493% | | 3,189,202 | 3,183,473 |
| CMO Series 2013-H21 Class FA |
| 09/20/2063 | 1.743% | | 4,103,230 | 4,131,266 |
| CMO Series 2013-H21 Class FB |
| 09/20/2063 | 1.693% | | 4,281,852 | 4,303,772 |
| Series 2015-H23 Class FB |
| 09/20/2065 | 1.513% | | 1,852,362 | 1,850,501 |
| Series 2015-H26 Class FG |
| 10/20/2065 | 1.513% | | 957,093 | 956,121 |
| Series 2015-H30 Class FE |
| 11/20/2065 | 1.593% | | 7,377,088 | 7,399,233 |
| Government National Mortgage Association(h) |
| CMO Series 2008-1 Class PO |
| 01/20/2038 | 0.000% | | 153,757 | 130,398 |
| CMO Series 2010-14 Class AO |
| 12/20/2032 | 0.000% | | 175,577 | 167,164 |
| CMO Series 2010-157 Class OP |
| 12/20/2040 | 0.000% | | 1,000,464 | 882,014 |
| Government National Mortgage Association(d) |
| CMO Series 2010-107 Class IL |
| 07/20/2039 | 6.000% | | 1,071,610 | 244,095 |
| CMO Series 2010-144 Class BI |
| 09/16/2037 | 4.000% | | 1,327,877 | 43,932 |
| Vendee Mortgage Trust |
| CMO Series 1998-2 Class 1G |
| 06/15/2028 | 6.750% | | 352,743 | 402,878 |
Total Residential Mortgage-Backed Securities - Agency
(Cost $752,088,274) | 759,881,747 |
|
The accompanying Notes to Financial Statements are an integral part of this statement.
| 154 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency 2.2% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Ajax Mortgage Loan Trust(a),(b) |
| CMO Series 2015-B Class A |
| 07/25/2060 | 3.875% | | 1,306,919 | 1,290,080 |
| Ajax Mortgage Loan Trust(a) |
| CMO Series 2016-2 Class A |
| 10/25/2056 | 4.125% | | 3,273,321 | 3,271,736 |
| Angel Oak Mortgage Trust LLC(a) |
| Series 2015-1 |
| 11/25/2045 | 4.500% | | 542,113 | 542,821 |
| ASG Resecuritization Trust(a),(b) |
| CMO Series 2009-3 Class A65 |
| 03/26/2037 | 2.757% | | 252,355 | 252,352 |
| CMO Series 2011-1 Class 3A50 |
| 11/28/2035 | 3.488% | | 200,516 | 199,311 |
| Asset-Backed Funding Certificates Trust(b) |
| CMO Series 2005-AG1 Class A4 |
| 06/25/2035 | 4.800% | | 446,799 | 452,958 |
| Banc of America Funding Trust |
| CMO Series 2004-3 Class 1A1 |
| 10/25/2034 | 5.500% | | 152,343 | 158,103 |
| Banc of America Mortgage Trust(b) |
| CMO Series 2004-C Class 2A2 |
| 04/25/2034 | 3.732% | | 150,147 | 149,700 |
| BCAP LLC Trust(a) |
| 08/26/2037 | 5.000% | | 110,783 | 110,621 |
| BCAP LLC Trust(a),(b) |
| CMO Series 2010-RR12 Class 2A5 |
| 01/26/2036 | 3.366% | | 90,207 | 90,035 |
| CMO Series 2010-RR7 Class 1A5 |
| 04/26/2035 | 3.237% | | 9,536 | 9,518 |
| CMO Series 2010-RR7 Class 2A1 |
| 07/26/2045 | 3.173% | | 537,643 | 547,065 |
| CMO Series 2012-RR10 Class 1A1 |
| 02/26/2037 | 1.254% | | 280,803 | 277,496 |
| Bear Stearns Adjustable Rate Mortgage Trust(b) |
| CMO Series 2003-4 Class 3A1 |
| 07/25/2033 | 3.547% | | 81,991 | 82,306 |
| CMO Series 2003-7 Class 6A |
| 10/25/2033 | 3.274% | | 515,119 | 517,478 |
| Bear Stearns Alt-A Trust(b) |
| CMO Series 2004-6 Class 1A |
| 07/25/2034 | 1.856% | | 491,215 | 485,572 |
| CMO Series 2005-2 Class 1A1 |
| 03/25/2035 | 1.716% | | 149,085 | 146,707 |
| Bear Stearns Asset-Backed Securities Trust(b) |
| CMO Series 2003-SD1 Class A |
| 12/25/2033 | 2.116% | | 368,421 | 362,907 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Chase Mortgage Finance Corp.(b) |
| CMO Series 2007-A1 Class 1A3 |
| 02/25/2037 | 3.445% | | 838,972 | 833,304 |
| CMO Series 2007-A1 Class 2A1 |
| 02/25/2037 | 3.618% | | 320,489 | 323,256 |
| CMO Series 2007-A1 Class 7A1 |
| 02/25/2037 | 3.472% | | 158,312 | 158,963 |
| Citigroup Mortgage Loan Trust, Inc. |
| CMO Series 2003-1 Class 3A4 |
| 09/25/2033 | 5.250% | | 154,612 | 155,384 |
| CMO Series 2005-2 Class 2A11 |
| 05/25/2035 | 5.500% | | 267,763 | 273,672 |
| Citigroup Mortgage Loan Trust, Inc.(a),(b) |
| CMO Series 2008-AR4 Class 1A1A |
| 11/25/2038 | 3.573% | | 28,481 | 28,461 |
| CMO Series 2009-10 Class 1A1 |
| 09/25/2033 | 2.795% | | 491,051 | 505,818 |
| Citigroup Mortgage Loan Trust, Inc.(a) |
| CMO Series 2009-11 Class 3A1 |
| 05/25/2037 | 5.750% | | 157,853 | 161,013 |
| Countrywide Home Loan Mortgage Pass-Through Trust |
| CMO Series 2004-13 Class 1A4 |
| 08/25/2034 | 5.500% | | 293,275 | 300,813 |
| CMO Series 2004-3 Class A26 |
| 04/25/2034 | 5.500% | | 145,457 | 148,219 |
| CMO Series 2004-5 Class 1A4 |
| 06/25/2034 | 5.500% | | 379,000 | 384,680 |
| Credit Suisse First Boston Mortgage Securities Corp. |
| CMO Series 2003-21 Class 1A4 |
| 09/25/2033 | 5.250% | | 153,593 | 157,540 |
| CMO Series 2003-27 Class 5A4 |
| 11/25/2033 | 5.250% | | 255,923 | 259,168 |
| CMO Series 2004-4 Class 2A4 |
| 09/25/2034 | 5.500% | | 349,028 | 364,103 |
| CMO Series 2004-5 Class 3A1 |
| 08/25/2019 | 5.250% | | 134,327 | 135,468 |
| CMO Series 2004-8 Class 1A4 |
| 12/25/2034 | 5.500% | | 318,981 | 333,192 |
| Credit Suisse Mortgage Capital Certificates(a),(b) |
| CMO Series 2010-11R Class A6 |
| 06/28/2047 | 2.224% | | 672,565 | 670,380 |
| CMO Series 2010-17R Class 1A1 |
| 06/26/2036 | 3.166% | | 175,487 | 179,102 |
| DBRR Trust(a) |
| Series 2015-LCM Class A1 |
| 06/10/2034 | 2.998% | | 3,466,547 | 3,402,694 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 155 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| DBRR Trust(a),(b) |
| Series 2015-LCM Class A2 |
| 06/10/2034 | 3.535% | | 3,152,000 | 3,139,355 |
| GCAT (a),(b) |
| CMO Series 2015-2 Class A1 |
| 07/25/2020 | 3.750% | | 1,835,171 | 1,839,024 |
| GMAC Mortgage Corp. Loan Trust(b) |
| CMO Series 2003-AR2 Class 2A4 |
| 12/19/2033 | 3.788% | | 513,641 | 508,852 |
| GSMPS Mortgage Loan Trust(a),(b) |
| CMO Series 2005-RP3 Class 1AF |
| 09/25/2035 | 1.566% | | 873,742 | 761,263 |
| GSMPS Mortgage Loan Trust(a),(b),(d) |
| CMO Series 2005-RP3 Class 1AS |
| 09/25/2035 | 3.618% | | 677,150 | 71,252 |
| GSR Mortgage Loan Trust |
| CMO Series 2003-7F Class 1A4 |
| 06/25/2033 | 5.250% | | 389,437 | 401,151 |
| GSR Mortgage Loan Trust(b) |
| CMO Series 2005-5F Class 8A3 |
| 06/25/2035 | 1.716% | | 25,651 | 24,538 |
| HarborView Mortgage Loan Trust(b) |
| CMO Series 2004-3 Class 1A |
| 05/19/2034 | 3.083% | | 1,656,996 | 1,675,485 |
| Homeowner Assistance Program Reverse Mortgage Loan Trust(a) |
| CMO Series 2013-RM1 Class A |
| 05/26/2053 | 4.000% | | 956,458 | 951,676 |
| Impac CMB Trust(b) |
| CMO Series 2005-4 Class 2A1 |
| 05/25/2035 | 1.624% | | 273,362 | 263,912 |
| Impac Secured Assets CMN Owner Trust(b) |
| CMO Series 2003-3 Class A1 |
| 08/25/2033 | 4.917% | | 193,758 | 198,624 |
| Impac Secured Assets Trust(b) |
| CMO Series 2006-1 Class 2A1 |
| 05/25/2036 | 1.374% | | 235,510 | 223,636 |
| CMO Series 2006-2 Class 2A1 |
| 08/25/2036 | 1.374% | | 286,535 | 279,824 |
| JPMorgan Mortgage Trust(b) |
| CMO Series 2007-A1 Class 5A5 |
| 07/25/2035 | 3.406% | | 479,829 | 481,237 |
| Series 2006-A2 Class 5A3 |
| 11/25/2033 | 3.142% | | 595,642 | 605,359 |
| MASTR Adjustable Rate Mortgages Trust(b) |
| CMO Series 2004-13 Class 2A1 |
| 04/21/2034 | 3.081% | | 333,881 | 343,227 |
| CMO Series 2004-13 Class 3A7 |
| 11/21/2034 | 3.190% | | 644,030 | 658,873 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| MASTR Asset Securitization Trust(a) |
| CMO Series 2004-P7 Class A6 |
| 12/27/2033 | 5.500% | | 73,891 | 75,949 |
| MASTR Seasoned Securities Trust |
| CMO Series 2004-2 Class A1 |
| 08/25/2032 | 6.500% | | 257,069 | 274,980 |
| CMO Series 2004-2 Class A2 |
| 08/25/2032 | 6.500% | | 404,884 | 433,094 |
| Merrill Lynch Mortgage Investors Trust(b) |
| CMO Series 2003-A Class 2A1 |
| 03/25/2028 | 1.996% | | 241,143 | 238,437 |
| CMO Series 2003-E Class A1 |
| 10/25/2028 | 1.836% | | 685,637 | 666,903 |
| CMO Series 2004-1 Class 2A1 |
| 12/25/2034 | 3.076% | | 458,823 | 460,755 |
| CMO Series 2004-A Class A1 |
| 04/25/2029 | 1.676% | | 620,291 | 597,446 |
| CMO Series 2004-A4 Class A2 |
| 08/25/2034 | 3.090% | | 510,597 | 521,268 |
| CMO Series 2004-G Class A2 |
| 01/25/2030 | 2.049% | | 275,705 | 269,050 |
| Morgan Stanley Mortgage Loan Trust(b) |
| CMO Series 2004-3 Class 4A |
| 04/25/2034 | 5.670% | | 392,045 | 413,404 |
| Morgan Stanley Re-Remic Trust(a) |
| 07/27/2049 | 0.250% | | 2,400,000 | 2,327,078 |
| 07/27/2049 | 2.000% | | 151,599 | 151,642 |
| NACC Reperforming Loan Remic Trust(a) |
| CMO Series 2004-R2 Class A1 |
| 10/25/2034 | 6.500% | | 195,086 | 191,076 |
| NCUA Guaranteed Notes(b) |
| CMO Series 2010-R3 Class 1A |
| 12/08/2020 | 1.552% | | 698,547 | 702,356 |
| NCUA Guaranteed Notes |
| CMO Series 2010-R3 Class 3A |
| 12/08/2020 | 2.400% | | 187,109 | 187,715 |
| Prime Mortgage Trust |
| CMO Series 2004-2 Class A2 |
| 11/25/2019 | 4.750% | | 131,004 | 131,245 |
| RALI Trust |
| CMO Series 2004-QS3 Class CB |
| 03/25/2019 | 5.000% | | 102,598 | 102,347 |
| RBSSP Resecuritization Trust(a) |
| CMO Series 2009-1 Class 1A1 |
| 02/26/2036 | 6.500% | | 427,548 | 470,731 |
| CMO Series 2009-2 Class 1A1 |
| 08/26/2037 | 7.000% | | 134,585 | 138,925 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 156 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| RBSSP Resecuritization Trust(a),(b) |
| CMO Series 2010-9 Class 3A1 |
| 10/26/2034 | 5.000% | | 50,023 | 50,263 |
| Residential Asset Mortgage Products Trust |
| CMO Series 2004-SL2 Class A3 |
| 10/25/2031 | 7.000% | | 401,233 | 417,410 |
| Residential Asset Mortgage Products Trust(b) |
| CMO Series 2006-RZ1 Class A3 |
| 03/25/2036 | 1.516% | | 53,929 | 53,913 |
| Residential Asset Securitization Trust(b) |
| CMO Series 2004-IP2 Class 1A1 |
| 12/25/2034 | 3.316% | | 410,019 | 415,726 |
| Sequoia Mortgage Trust(b) |
| CMO Series 2003-1 Class 1A |
| 04/20/2033 | 1.972% | | 1,212,412 | 1,150,796 |
| CMO Series 2003-8 Class A1 |
| 01/20/2034 | 1.852% | | 989,679 | 962,464 |
| CMO Series 2004-11 Class A1 |
| 12/20/2034 | 1.812% | | 999,708 | 983,568 |
| CMO Series 2004-12 Class A3 |
| 01/20/2035 | 1.753% | | 368,775 | 339,743 |
| Structured Adjustable Rate Mortgage Loan Trust(b) |
| CMO Series 2004-4 Class 5A |
| 04/25/2034 | 3.382% | | 208,172 | 204,723 |
| Structured Asset Mortgage Investments II Trust(b) |
| CMO Series 2004-AR5 Class 1A1 |
| 10/19/2034 | 1.869% | | 662,859 | 635,294 |
| CMO Series 2005-AR5 Class A3 |
| 07/19/2035 | 1.459% | | 320,805 | 312,179 |
| Structured Asset Securities Corp.(b) |
| CMO Series 2004-4XS Class 1A5 |
| 02/25/2034 | 6.905% | | 492,657 | 502,832 |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates |
| CMO Series 2003-30 Class 1A5 |
| 10/25/2033 | 5.500% | | 431,322 | 447,483 |
| CMO Series 2004-5H Class A4 |
| 12/25/2033 | 5.540% | | 596,210 | 611,073 |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates(b) |
| CMO Series 2003-34A Class 3A3 |
| 11/25/2033 | 3.348% | | 964,613 | 963,999 |
| CMO Series 2003-40A Class 3A2 |
| 01/25/2034 | 3.286% | | 450,000 | 449,429 |
| CMO Series 2004-6XS Class A5B (AMBAC) |
| 03/25/2034 | 5.707% | | 427,796 | 435,056 |
| Series 2004-6XS Class A5A |
| 03/25/2034 | 5.707% | | 356,497 | 358,395 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Thornburg Mortgage Securities Trust(b) |
| CMO Series 2004-4 Class 3A |
| 12/25/2044 | 2.738% | | 335,648 | 333,940 |
| US Residential Opportunity Fund III Trust(a) |
| CMO Series 2016-1III Class A |
| 07/27/2036 | 3.475% | | 1,685,721 | 1,686,010 |
| Vericrest Opportunity Loan Transferee(a),(b) |
| CMO Series 2014-NP11 Class A1 |
| 04/25/2055 | 3.875% | | 191,573 | 191,656 |
| CMO Series 2014-NPL8 Class A1 |
| 10/26/2054 | 3.375% | | 127,274 | 127,287 |
| Vericrest Opportunity Loan Transferee LI LLC(a) |
| Series 2016-NP11 Class A1 |
| 10/25/2046 | 3.500% | | 2,608,440 | 2,610,818 |
| Vericrest Opportunity Loan Transferee LIII LLC(a) |
| CMO Series 2016-NP13 Class A1 |
| 12/26/2046 | 3.875% | | 2,918,353 | 2,926,772 |
| Vericrest Opportunity Loan Transferee LIX LLC(a) |
| CMO Series 2017-NPL6 Class A1 |
| 05/25/2047 | 3.250% | | 848,748 | 848,779 |
| Vericrest Opportunity Loan Transferee LVI LLC(a) |
| CMO Series 2017-NPL3 Class A1 |
| 03/25/2047 | 3.500% | | 1,676,483 | 1,679,804 |
| Vericrest Opportunity Loan Transferee LVII LLC(a) |
| CMO Series 2017-NPL4 Class A1 |
| 04/25/2047 | 3.375% | | 1,610,453 | 1,609,247 |
| Vericrest Opportunity Loan Transferee LVIII LLC(a) |
| CMO Series 2017-NPL5 Class A1 |
| 05/28/2047 | 3.375% | | 1,401,152 | 1,400,626 |
| Vericrest Opportunity Loan Transferee LX LLC(a) |
| CMO Series 2017-NPL7 Class A1 |
| 04/25/2059 | 3.250% | | 1,382,000 | 1,382,715 |
| Vericrest Opportunity Loan Transferee LXI LLC(a),(b) |
| CMO Series 2017-NPL8 Class A1 |
| 06/25/2047 | 3.125% | | 1,613,000 | 1,613,000 |
| VML LLC(a) |
| CMO Series 2014-NPL1 Class A1 |
| 04/27/2054 | 3.875% | | 63,397 | 63,421 |
| WaMu Mortgage Pass-Through Certificates Trust(b) |
| CMO Series 2003-AR11 Class A6 |
| 10/25/2033 | 2.845% | | 631,809 | 637,820 |
| CMO Series 2003-AR5 Class A7 |
| 06/25/2033 | 3.063% | | 263,828 | 267,279 |
| CMO Series 2003-AR6 Class A1 |
| 06/25/2033 | 3.231% | | 313,731 | 314,686 |
| CMO Series 2003-AR7 Class A7 |
| 08/25/2033 | 2.743% | | 405,718 | 408,115 |
| CMO Series 2004-AR3 Class A2 |
| 06/25/2034 | 3.132% | | 233,368 | 236,502 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 157 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| WaMu Mortgage Pass-Through Certificates Trust |
| CMO Series 2004-CB1 Class 3A2 |
| 06/25/2034 | 5.500% | | 26,978 | 26,911 |
| CMO Series 2004-CB3 Class 4A |
| 10/25/2019 | 6.000% | | 92,334 | 94,676 |
| CMO Series 2004-S3 Class 1A5 |
| 07/25/2034 | 5.000% | �� | 97,078 | 99,467 |
| Washington Mutual MSC Mortgage Pass-Through Certificates Trust |
| CMO Series 2003-MS2 Class 1A1 |
| 02/25/2033 | 5.750% | | 130,539 | 132,406 |
| Wells Fargo Mortgage-Backed Securities Trust(b) |
| CMO Series 2003-J Class 2A1 |
| 10/25/2033 | 2.951% | | 118,715 | 119,899 |
| CMO Series 2003-L Class 2A1 |
| 11/25/2033 | 2.939% | | 179,978 | 176,962 |
| CMO Series 2004-EE Class 2A1 |
| 12/25/2034 | 3.237% | | 60,956 | 61,643 |
| CMO Series 2004-G Class A3 |
| 06/25/2034 | 3.349% | | 63,101 | 63,346 |
| CMO Series 2004P Class 2A1 |
| 09/25/2034 | 3.031% | | 761,981 | 777,107 |
| CMO Series 2004-U Class A1 |
| 10/25/2034 | 3.262% | | 685,816 | 685,155 |
| CMO Series 2004-W Class A9 |
| 11/25/2034 | 3.010% | | 507,199 | 512,689 |
| CMO Series 2005-AR8 Class 2A1 |
| 06/25/2035 | 3.260% | | 100,806 | 102,963 |
| CMO Series 2005-AR9 Class 2A1 |
| 10/25/2033 | 3.132% | | 231,147 | 233,266 |
| Series 2005-AR3 Class 1A1 |
| 03/25/2035 | 3.312% | | 1,942,207 | 1,985,865 |
| Wells Fargo Mortgage-Backed Securities Trust |
| CMO Series 2004-4 Class A9 |
| 05/25/2034 | 5.500% | | 344,305 | 351,476 |
| CMO Series 2005-14 Class 1A1 |
| 12/25/2035 | 5.500% | | 259,994 | 268,038 |
| World Financial Network Credit Card Master Trust |
| CMO Series 2017-A Class A |
| 03/15/2024 | 2.120% | | 1,962,000 | 1,959,618 |
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $72,508,031) | 73,787,995 |
|
| U.S. Government & Agency Obligations 2.3% |
| | | | |
| Federal Home Loan Banks |
| 10/24/2029 | 4.000% | | 1,600,000 | 1,757,690 |
| 07/15/2036 | 5.500% | | 2,000,000 | 2,715,672 |
| U.S. Government & Agency Obligations (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal National Mortgage Association(e) |
| STRIPS |
| 05/15/2030 | 0.000% | | 3,750,000 | 2,504,925 |
| Subordinated |
| 10/09/2019 | 0.000% | | 19,505,000 | 18,703,774 |
| Financing Corp.(e) |
| STRIPS |
| 05/11/2018 | 0.000% | | 3,600,000 | 3,550,831 |
| Israel Government AID Bond(e) |
| 11/15/2023 | 0.000% | | 1,316,000 | 1,092,855 |
| 11/01/2024 | 0.000% | | 6,135,000 | 5,005,203 |
| 02/15/2025 | 0.000% | | 2,250,000 | 1,791,587 |
| 02/15/2025 | 0.000% | | 2,000,000 | 1,590,936 |
| 08/15/2025 | 0.000% | | 2,500,000 | 1,951,682 |
| 11/15/2026 | 0.000% | | 1,500,000 | 1,113,593 |
| Israel Government AID Bond |
| 09/18/2033 | 5.500% | | 1,000,000 | 1,338,493 |
| Private Export Funding Corp. |
| 05/15/2022 | 2.800% | | 1,500,000 | 1,548,291 |
| Residual Funding Corp.(e) |
| STRIPS |
| 10/15/2019 | 0.000% | | 9,545,000 | 9,189,678 |
| 10/15/2020 | 0.000% | | 7,500,000 | 7,050,615 |
| 01/15/2021 | 0.000% | | 1,995,000 | 1,858,175 |
| Resolution Funding Corp.(e) |
| 10/15/2025 | 0.000% | | 470,000 | 366,347 |
| 01/15/2026 | 0.000% | | 535,000 | 418,151 |
| Tennessee Valley Authority |
| 04/01/2036 | 5.880% | | 500,000 | 683,171 |
| 09/15/2039 | 5.250% | | 2,370,000 | 3,099,775 |
| 09/15/2065 | 4.250% | | 2,258,000 | 2,549,928 |
| Tennessee Valley Authority(e) |
| STRIPS |
| 11/01/2025 | 0.000% | | 8,500,000 | 6,616,442 |
| 06/15/2035 | 0.000% | | 750,000 | 396,404 |
Total U.S. Government & Agency Obligations
(Cost $75,819,026) | 76,894,218 |
|
| U.S. Treasury Obligations 24.3% |
| | | | |
| U.S. Treasury |
| 11/15/2017 | 4.250% | | 1,000,000 | 1,011,380 |
| 08/31/2018 | 1.500% | | 4,400,000 | 4,409,402 |
| 11/30/2018 | 1.250% | | 14,000,000 | 13,983,867 |
| 03/31/2019 | 1.250% | | 5,784,000 | 5,772,474 |
| 04/30/2019 | 1.250% | | 42,431,000 | 42,332,745 |
| 05/31/2019 | 1.250% | | 35,265,000 | 35,184,149 |
| 06/30/2019 | 1.000% | | 1,500,000 | 1,489,044 |
| 06/30/2019 | 1.250% | | 18,406,000 | 18,357,715 |
| 02/15/2020 | 8.500% | | 500,000 | 590,419 |
| 05/15/2020 | 1.500% | | 57,408,000 | 57,352,142 |
| 05/15/2020 | 3.500% | | 28,000,000 | 29,540,988 |
| 06/15/2020 | 1.500% | | 6,652,000 | 6,643,540 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 158 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
| U.S. Treasury Obligations (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 06/30/2020 | 1.625% | | 1,200,000 | 1,202,338 |
| 07/31/2020 | 1.625% | | 4,626,000 | 4,632,326 |
| 08/15/2020 | 2.625% | | 5,650,000 | 5,828,286 |
| 08/31/2020 | 2.125% | | 4,000,000 | 4,065,079 |
| 11/15/2020 | 2.625% | | 2,900,000 | 2,993,089 |
| 02/15/2021 | 3.625% | | 6,600,000 | 7,049,923 |
| 05/15/2021 | 3.125% | | 7,000,000 | 7,364,550 |
| 10/31/2021 | 2.000% | | 1,500,000 | 1,512,185 |
| 12/31/2021 | 2.125% | | 2,000,000 | 2,025,812 |
| 01/31/2022 | 1.500% | | 1,000,000 | 984,955 |
| 04/30/2022 | 1.875% | | 80,659,000 | 80,651,063 |
| 05/31/2022 | 1.750% | | 27,739,000 | 27,576,811 |
| 08/15/2023 | 2.500% | | 3,350,000 | 3,438,229 |
| 02/29/2024 | 2.125% | | 1,300,000 | 1,301,608 |
| 05/31/2024 | 2.000% | | 9,083,000 | 9,009,239 |
| 11/15/2026 | 2.000% | | 116,000 | 113,130 |
| 02/15/2027 | 2.250% | | 42,582,000 | 42,392,649 |
| 05/15/2027 | 2.375% | | 44,999,000 | 45,289,166 |
| 02/15/2037 | 4.750% | | 2,000,000 | 2,665,008 |
| 05/15/2037 | 5.000% | | 2,500,000 | 3,431,006 |
| 02/15/2039 | 3.500% | | 7,500,000 | 8,478,048 |
| 05/15/2039 | 4.250% | | 3,000,000 | 3,758,818 |
| 08/15/2039 | 4.500% | | 7,500,000 | 9,718,596 |
| 05/15/2040 | 4.375% | | 1,000,000 | 1,276,568 |
| 11/15/2040 | 4.250% | | 4,500,000 | 5,655,820 |
| 11/15/2041 | 3.125% | | 4,640,000 | 4,914,364 |
| 08/15/2042 | 2.750% | | 4,500,000 | 4,452,256 |
| 02/15/2043 | 3.125% | | 2,000,000 | 2,113,893 |
| 11/15/2046 | 2.875% | | 26,299,000 | 26,452,839 |
| 02/15/2047 | 3.000% | | 12,959,000 | 13,371,751 |
| 05/15/2047 | 3.000% | | 28,744,000 | 29,676,821 |
| U.S. Treasury(f) |
| 06/30/2022 | 1.750% | | 23,323,000 | 23,173,832 |
| U.S. Treasury(e) |
| STRIPS |
| 08/15/2019 | 0.000% | | 1,410,000 | 1,367,920 |
| 02/15/2020 | 0.000% | | 5,030,000 | 4,833,701 |
| 08/15/2020 | 0.000% | | 11,295,000 | 10,741,722 |
| 02/15/2021 | 0.000% | | 28,185,000 | 26,467,477 |
| 05/15/2021 | 0.000% | | 22,965,000 | 21,432,804 |
| 08/15/2021 | 0.000% | | 19,045,000 | 17,670,189 |
| 11/15/2021 | 0.000% | | 6,245,000 | 5,757,109 |
| 02/15/2022 | 0.000% | | 3,790,000 | 3,467,998 |
| 05/15/2022 | 0.000% | | 9,005,000 | 8,185,404 |
| 08/15/2022 | 0.000% | | 2,500,000 | 2,257,715 |
| 11/15/2022 | 0.000% | | 3,750,000 | 3,364,453 |
| 02/15/2023 | 0.000% | | 20,665,000 | 18,405,573 |
| U.S. Treasury Obligations (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 05/15/2023 | 0.000% | | 9,500,000 | 8,404,902 |
| 08/15/2023 | 0.000% | | 1,500,000 | 1,318,418 |
| 11/15/2023 | 0.000% | | 1,300,000 | 1,134,504 |
| 02/15/2024 | 0.000% | | 1,350,000 | 1,169,332 |
| 08/15/2024 | 0.000% | | 1,000,000 | 853,477 |
| 11/15/2024 | 0.000% | | 4,500,000 | 3,815,859 |
| 02/15/2025 | 0.000% | | 1,000,000 | 841,523 |
| 05/15/2025 | 0.000% | | 2,500,000 | 2,088,086 |
| 02/15/2026 | 0.000% | | 500,000 | 408,398 |
| 08/15/2026 | 0.000% | | 1,452,000 | 1,167,896 |
| 08/15/2027 | 0.000% | | 4,200,000 | 3,278,953 |
| 05/15/2028 | 0.000% | | 1,660,000 | 1,267,955 |
| 08/15/2028 | 0.000% | | 3,200,000 | 2,424,250 |
| 11/15/2028 | 0.000% | | 1,700,000 | 1,277,191 |
| 11/15/2029 | 0.000% | | 2,600,000 | 1,896,375 |
| 08/15/2030 | 0.000% | | 6,250,000 | 4,448,486 |
| 02/15/2031 | 0.000% | | 6,600,000 | 4,627,219 |
| 08/15/2031 | 0.000% | | 3,800,000 | 2,622,148 |
| 11/15/2031 | 0.000% | | 6,640,000 | 4,548,141 |
| 02/15/2032 | 0.000% | | 6,875,000 | 4,671,240 |
| 08/15/2032 | 0.000% | | 1,500,000 | 1,003,477 |
| 11/15/2032 | 0.000% | | 10,450,000 | 6,937,412 |
| 02/15/2033 | 0.000% | | 9,850,000 | 6,487,533 |
| 08/15/2033 | 0.000% | | 4,000,000 | 2,594,219 |
| 11/15/2033 | 0.000% | | 7,400,000 | 4,761,438 |
| 02/15/2034 | 0.000% | | 4,400,000 | 2,808,438 |
| 05/15/2034 | 0.000% | | 2,400,000 | 1,519,406 |
| 08/15/2034 | 0.000% | | 8,375,000 | 5,259,893 |
| 11/15/2034 | 0.000% | | 1,850,000 | 1,153,070 |
| 02/15/2035 | 0.000% | | 4,210,000 | 2,603,457 |
| 05/15/2035 | 0.000% | | 3,050,000 | 1,871,104 |
Total U.S. Treasury Obligations
(Cost $808,082,575) | 816,453,788 |
| Money Market Funds 2.6% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(j),(k) | 86,924,283 | 86,924,283 |
Total Money Market Funds
(Cost $86,915,591) | 86,924,283 |
Total Investments
(Cost: $3,486,658,827) | 3,528,877,189 |
| Other Assets & Liabilities, Net | | (174,239,017) |
| Net Assets | 3,354,638,172 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 159 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments
| (a) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At June 30, 2017, the value of these securities amounted to $609,904,741, which represents 18.18% of net assets. |
| (b) | Variable rate security. |
| (c) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2017, the value of these securities amounted to $4,174,695, which represents 0.12% of net assets. |
| (d) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (e) | Zero coupon bond. |
| (f) | Represents a security purchased on a when-issued basis. |
| (g) | Principal and interest may not be guaranteed by the government. |
| (h) | Represents principal only securities which have the right to receive the principal portion only on an underlying pool of mortgage loans. |
| (i) | Represents a security purchased on a forward commitment basis. |
| (j) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (k) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 29,215,651 | 789,159,828 | (731,451,196) | 86,924,283 | (2,672) | 397,559 | 86,924,283 |
Abbreviation Legend
| AID | Agency for International Development |
| AMBAC | Ambac Assurance Corporation |
| BAM | Build America Mutual Assurance Co. |
| CMO | Collateralized Mortgage Obligation |
| STRIPS | Separate Trading of Registered Interest and Principal Securities |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 160 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Asset-Backed Securities — Non-Agency | — | 445,691,066 | 38,955,892 | — | 484,646,958 |
| Commercial Mortgage-Backed Securities - Agency | — | 259,624,147 | — | — | 259,624,147 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 104,801,719 | 7,022,137 | — | 111,823,856 |
| Corporate Bonds & Notes | — | 767,421,228 | 3,541,017 | — | 770,962,245 |
| Foreign Government Obligations | — | 71,396,991 | — | — | 71,396,991 |
| Inflation-Indexed Bonds | — | 2,449,268 | — | — | 2,449,268 |
| Municipal Bonds | — | 14,031,693 | — | — | 14,031,693 |
| Residential Mortgage-Backed Securities - Agency | — | 759,881,747 | — | — | 759,881,747 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 71,071,677 | 2,716,318 | — | 73,787,995 |
| U.S. Government & Agency Obligations | — | 76,894,218 | — | — | 76,894,218 |
| U.S. Treasury Obligations | 603,237,923 | 213,215,865 | — | — | 816,453,788 |
| Money Market Funds | — | — | — | 86,924,283 | 86,924,283 |
| Total Investments | 603,237,923 | 2,786,479,619 | 52,235,364 | 86,924,283 | 3,528,877,189 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
There were no transfers of financial assets between Levels 1 and 2 during the period.
Financial Assets were transferred from Level 2 to Level 3 due to utilizing a single market quotation from a broker dealer. As a result, Management concluded that the market input(s) were generally unobservable.
Financial assets were transferred from Level 3 to Level 2 as observable market inputs were utilized and management’s determination that there was sufficient, reliable and observable market data to value these assets as of period end.
Transfers between Levels are determined based on the fair value at the beginning of the period for security positions held throughout the period.
The following table is a reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 161 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Core Bond Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
| Investments in securities | Balance
as of
12/31/2016
($) | Increase
(decrease)
in accrued
discounts/
premiums
($) | Realized
gain (loss)
($) | Change
in unrealized
appreciation
(depreciation)(a)
($) | Purchases
($) | Sales
($) | Transfers
into
Level 3
($) | Transfers
out of
Level 3
($) | Balance
as of
06/30/2017
($) |
| Asset-Backed Securities — Non-Agency | 31,516,929 | (28,975) | 25,956 | (138,874) | 7,291,949 | (8,734,131) | 11,756,882 | (2,733,844) | 38,955,892 |
| Commercial Mortgage-Backed Securities — Non-Agency | 7,752,723 | (119,404) | (266,193) | 319,366 | — | (664,355) | — | — | 7,022,137 |
| Corporate Bonds & Notes | 4,114,628 | — | 14,522 | 6,181 | — | (594,314) | — | — | 3,541,017 |
| Residential Mortgage-Backed Securities — Non-Agency | 10,482,326 | (1,831) | 14,270 | 2,751 | 1,613,000 | (2,555,543) | — | (6,838,655) | 2,716,318 |
| Total | 53,866,606 | (150,210) | (211,445) | 189,424 | 8,904,949 | (12,548,343) | 11,756,882 | (9,572,499) | 52,235,364 |
(a) Change in unrealized appreciation (depreciation) relating to securities held at June 30, 2017 was $(86,473), which is comprised of Asset-Backed Securities — Non-Agency of $(151,146), Commercial Mortgage-Backed Securities — Non-Agency of $49,160, Corporate Bonds & Notes of $6,181 and Residential Mortgage-Backed Securities — Non-Agency of $9,332.
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain corporate, residential, commercial and asset backed securities classified as Level 3 securities are valued using the market approach and utilize single market quotations from broker dealers which may have included, but not limited to, the distressed nature of the security and observable transactions for similar assets in the market. Significant increases (decreases) to any of these inputs would result in a significantly lower (higher) fair value measurement.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 162 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments
Variable Portfolio – Partners Small Cap Growth Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 97.9% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 12.8% |
| Auto Components 0.9% |
| Cooper-Standard Holding, Inc.(a) | 21,590 | 2,177,783 |
| Gentherm, Inc.(a) | 49,756 | 1,930,533 |
| LCI Industries | 12,210 | 1,250,304 |
| Total | | 5,358,620 |
| Diversified Consumer Services 0.6% |
| Grand Canyon Education, Inc.(a) | 23,490 | 1,841,851 |
| Sotheby’s (a) | 34,404 | 1,846,463 |
| Total | | 3,688,314 |
| Hotels, Restaurants & Leisure 4.4% |
| BJ’s Restaurants, Inc.(a) | 35,763 | 1,332,172 |
| Buffalo Wild Wings, Inc.(a) | 19,102 | 2,420,223 |
| Chuy’s Holdings, Inc.(a) | 76,296 | 1,785,326 |
| ClubCorp Holdings, Inc. | 283,737 | 3,716,955 |
| Dave & Buster’s Entertainment, Inc.(a) | 12,400 | 824,724 |
| Habit Restaurants, Inc. (The), Class A(a) | 182,085 | 2,876,943 |
| Papa John’s International, Inc. | 5,880 | 421,949 |
| Planet Fitness, Inc., Class A | 238,497 | 5,566,520 |
| Playa Hotels & Resorts NV(a) | 115,520 | 1,380,464 |
| Texas Roadhouse, Inc. | 92,674 | 4,721,740 |
| Wingstop, Inc. | 65,660 | 2,028,894 |
| Total | | 27,075,910 |
| Household Durables 1.8% |
| iRobot Corp.(a) | 30,231 | 2,543,636 |
| La-Z-Boy, Inc. | 67,555 | 2,195,538 |
| M/I Homes, Inc.(a) | 116,144 | 3,315,911 |
| TopBuild Corp.(a) | 33,240 | 1,764,047 |
| Universal Electronics, Inc.(a) | 13,620 | 910,497 |
| Total | | 10,729,629 |
| Internet & Direct Marketing Retail 0.8% |
| Nutrisystem, Inc. | 64,480 | 3,356,184 |
| Shutterfly, Inc.(a) | 30,679 | 1,457,252 |
| Total | | 4,813,436 |
| Leisure Products 0.8% |
| MCBC Holdings, Inc.(a) | 69,714 | 1,362,909 |
| Nautilus, Inc.(a) | 201,877 | 3,865,944 |
| Total | | 5,228,853 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Media 0.7% |
| IMAX Corp.(a) | 71,340 | 1,569,480 |
| Nexstar Broadcasting Group, Inc., Class A | 41,900 | 2,505,620 |
| Total | | 4,075,100 |
| Multiline Retail 0.5% |
| Ollie’s Bargain Outlet Holdings, Inc.(a) | 65,430 | 2,787,318 |
| Specialty Retail 2.3% |
| Camping World Holdings, Inc., Class A | 31,800 | 981,030 |
| Five Below, Inc.(a) | 133,430 | 6,587,439 |
| Francesca’s Holdings Corp.(a) | 99,395 | 1,087,381 |
| Lithia Motors, Inc., Class A | 43,830 | 4,130,101 |
| MarineMax, Inc.(a) | 79,488 | 1,553,991 |
| Total | | 14,339,942 |
| Total Consumer Discretionary | 78,097,122 |
| Consumer Staples 1.6% |
| Beverages 0.3% |
| Coca-Cola Bottling Co. Consolidated | 8,973 | 2,053,650 |
| Food & Staples Retailing 0.6% |
| Casey’s General Stores, Inc. | 20,430 | 2,188,257 |
| PriceSmart, Inc. | 19,304 | 1,691,031 |
| Total | | 3,879,288 |
| Food Products 0.7% |
| B&G Foods, Inc. | 59,148 | 2,105,669 |
| Darling Ingredients, Inc.(a) | 121,000 | 1,904,540 |
| Total | | 4,010,209 |
| Total Consumer Staples | 9,943,147 |
| Energy 2.3% |
| Energy Equipment & Services 1.0% |
| Forum Energy Technologies, Inc.(a) | 168,444 | 2,627,726 |
| McDermott International, Inc.(a) | 205,195 | 1,471,248 |
| Nabors Industries Ltd. | 249,483 | 2,030,792 |
| Total | | 6,129,766 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 163 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Small Cap Growth Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Oil, Gas & Consumable Fuels 1.3% |
| Matador Resources Co.(a) | 45,394 | 970,070 |
| Oasis Petroleum, Inc.(a) | 292,781 | 2,356,887 |
| PDC Energy, Inc.(a) | 43,091 | 1,857,653 |
| RSP Permian, Inc.(a) | 80,305 | 2,591,442 |
| Total | | 7,776,052 |
| Total Energy | 13,905,818 |
| Financials 5.5% |
| Banks 1.4% |
| Customers Bancorp, Inc.(a) | 60,175 | 1,701,749 |
| Enterprise Financial Services Corp. | 60,160 | 2,454,528 |
| Great Western Bancorp, Inc. | 39,281 | 1,603,058 |
| QCR Holdings, Inc. | 60,256 | 2,856,134 |
| Total | | 8,615,469 |
| Capital Markets 2.1% |
| Eaton Vance Corp. | 65,273 | 3,088,718 |
| Evercore Partners, Inc., Class A | 33,943 | 2,392,982 |
| Financial Engines, Inc. | 79,280 | 2,901,648 |
| MarketAxess Holdings, Inc. | 13,861 | 2,787,447 |
| Stifel Financial Corp.(a) | 33,690 | 1,549,066 |
| Total | | 12,719,861 |
| Insurance 0.9% |
| CNO Financial Group, Inc. | 77,887 | 1,626,280 |
| Employers Holdings, Inc. | 37,459 | 1,584,516 |
| Kinsale Capital Group, Inc.(a) | 56,900 | 2,122,939 |
| Total | | 5,333,735 |
| Mortgage Real Estate Investment Trusts (REITS) 0.3% |
| Redwood Trust, Inc. | 100,638 | 1,714,872 |
| Thrifts & Mortgage Finance 0.8% |
| LendingTree, Inc.(a) | 30,577 | 5,265,359 |
| Total Financials | 33,649,296 |
| Health Care 24.1% |
| Biotechnology 5.4% |
| Clovis Oncology, Inc.(a) | 47,984 | 4,492,742 |
| Emergent Biosolutions, Inc.(a) | 51,428 | 1,743,923 |
| Exact Sciences Corp.(a) | 97,018 | 3,431,527 |
| Genomic Health, Inc.(a) | 45,875 | 1,493,231 |
| Halozyme Therapeutics, Inc.(a) | 130,465 | 1,672,561 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Ironwood Pharmaceuticals, Inc.(a) | 73,929 | 1,395,779 |
| Lexicon Pharmaceuticals, Inc.(a) | 72,869 | 1,198,695 |
| Ligand Pharmaceuticals, Inc.(a) | 41,249 | 5,007,629 |
| MiMedx Group, Inc.(a) | 55,600 | 832,332 |
| Repligen Corp.(a) | 89,200 | 3,696,448 |
| Sage Therapeutics, Inc.(a) | 5,700 | 453,948 |
| Spark Therapeutics, Inc.(a) | 25,970 | 1,551,448 |
| TG Therapeutics, Inc.(a) | 167,352 | 1,681,888 |
| Ultragenyx Pharmaceutical, Inc.(a) | 24,564 | 1,525,670 |
| Vanda Pharmaceuticals, Inc.(a) | 88,041 | 1,435,068 |
| Versartis, Inc.(a) | 87,400 | 1,525,130 |
| Total | | 33,138,019 |
| Health Care Equipment & Supplies 8.4% |
| Cantel Medical Corp. | 59,243 | 4,615,622 |
| Cardiovascular Systems, Inc.(a) | 56,961 | 1,835,853 |
| Cutera, Inc.(a) | 66,518 | 1,722,816 |
| GenMark Diagnostics, Inc.(a) | 39,850 | 471,426 |
| Glaukos Corp.(a) | 67,008 | 2,778,822 |
| Inogen, Inc.(a) | 73,433 | 7,006,977 |
| Integra LifeSciences Holdings Corp.(a) | 84,170 | 4,588,107 |
| iRhythm Technologies, Inc.(a) | 48,511 | 2,061,232 |
| K2M Group Holdings, Inc.(a) | 68,239 | 1,662,302 |
| Masimo Corp.(a) | 22,364 | 2,039,150 |
| Merit Medical Systems, Inc.(a) | 57,655 | 2,199,538 |
| Nevro Corp.(a) | 53,376 | 3,972,776 |
| NxStage Medical, Inc.(a) | 150,372 | 3,769,826 |
| OraSure Technologies, Inc.(a) | 119,340 | 2,059,808 |
| Penumbra, Inc.(a) | 32,599 | 2,860,562 |
| Spectranetics Corp. (The)(a) | 195,135 | 7,493,184 |
| Total | | 51,138,001 |
| Health Care Providers & Services 5.1% |
| Acadia Healthcare Co., Inc.(a) | 64,890 | 3,204,268 |
| Almost Family, Inc.(a) | 61,835 | 3,812,128 |
| Amedisys, Inc.(a) | 23,960 | 1,504,928 |
| BioTelemetry, Inc.(a) | 63,307 | 2,117,619 |
| HealthEquity, Inc.(a) | 88,377 | 4,403,826 |
| LHC Group, Inc.(a) | 50,277 | 3,413,305 |
| Magellan Health, Inc.(a) | 21,981 | 1,602,415 |
| Surgery Partners, Inc.(a) | 229,475 | 5,220,556 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 164 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Small Cap Growth Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Teladoc, Inc.(a) | 43,817 | 1,520,450 |
| Tivity Health, Inc.(a) | 109,328 | 4,356,721 |
| Total | | 31,156,216 |
| Health Care Technology 1.2% |
| Evolent Health, Inc., Class A(a) | 95,180 | 2,412,813 |
| Medidata Solutions, Inc.(a) | 34,960 | 2,733,872 |
| Vocera Communications, Inc.(a) | 74,471 | 1,967,524 |
| Total | | 7,114,209 |
| Life Sciences Tools & Services 2.2% |
| Cambrex Corp.(a) | 50,307 | 3,005,843 |
| Charles River Laboratories International, Inc.(a) | 34,580 | 3,497,767 |
| INC Research Holdings, Inc. Class A(a) | 59,763 | 3,496,136 |
| Pacific Biosciences of California, Inc.(a) | 409,025 | 1,456,129 |
| Pra Health Sciences, Inc.(a) | 26,284 | 1,971,563 |
| Total | | 13,427,438 |
| Pharmaceuticals 1.8% |
| Dova Pharmaceuticals, Inc.(a) | 29,969 | 668,009 |
| Heska Corp.(a) | 8,840 | 902,299 |
| Innoviva, Inc.(a) | 90,221 | 1,154,829 |
| Pacira Pharmaceuticals, Inc.(a) | 32,724 | 1,560,935 |
| Supernus Pharmaceuticals, Inc.(a) | 88,336 | 3,807,281 |
| Zogenix, Inc.(a) | 206,953 | 3,000,818 |
| Total | | 11,094,171 |
| Total Health Care | 147,068,054 |
| Industrials 18.0% |
| Aerospace & Defense 1.7% |
| Axon Enterprise, Inc.(a) | 104,751 | 2,633,440 |
| Cubic Corp. | 33,164 | 1,535,493 |
| Curtiss-Wright Corp. | 24,831 | 2,278,989 |
| HEICO Corp. | 19,745 | 1,418,481 |
| Mercury Systems, Inc.(a) | 63,940 | 2,691,235 |
| Total | | 10,557,638 |
| Air Freight & Logistics 0.3% |
| HUB Group, Inc., Class A(a) | 43,103 | 1,653,000 |
| Airlines 0.4% |
| Skywest, Inc. | 67,260 | 2,360,826 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Building Products 2.3% |
| American Woodmark Corp.(a) | 18,659 | 1,782,867 |
| Apogee Enterprises, Inc. | 54,770 | 3,113,127 |
| Builders FirstSource, Inc.(a) | 132,898 | 2,035,997 |
| Gibraltar Industries, Inc.(a) | 44,537 | 1,587,744 |
| JELD-WEN Holding, Inc.(a) | 30,700 | 996,522 |
| Quanex Building Products Corp. | 152,752 | 3,230,705 |
| Simpson Manufacturing Co., Inc. | 34,884 | 1,524,780 |
| Total | | 14,271,742 |
| Commercial Services & Supplies 1.3% |
| ACCO Brands Corp.(a) | 24,888 | 289,945 |
| Advanced Disposal Services, Inc.(a) | 71,900 | 1,634,287 |
| Deluxe Corp. | 40,678 | 2,815,731 |
| Herman Miller, Inc. | 54,284 | 1,650,234 |
| Interface, Inc. | 78,452 | 1,541,582 |
| Total | | 7,931,779 |
| Construction & Engineering 2.8% |
| Comfort Systems U.S.A., Inc. | 51,706 | 1,918,293 |
| Dycom Industries, Inc.(a) | 39,770 | 3,560,210 |
| Granite Construction, Inc. | 102,081 | 4,924,387 |
| MasTec, Inc.(a) | 77,666 | 3,506,620 |
| Valmont Industries, Inc. | 20,301 | 3,037,030 |
| Total | | 16,946,540 |
| Electrical Equipment 0.4% |
| Regal Beloit Corp. | 34,171 | 2,786,645 |
| Machinery 3.7% |
| Chart Industries, Inc.(a) | 44,155 | 1,533,503 |
| Greenbrier Companies, Inc. (The) | 36,540 | 1,689,975 |
| John Bean Technologies Corp. | 81,203 | 7,957,894 |
| Milacron Holdings Corp.(a) | 121,630 | 2,139,472 |
| Mueller Water Products, Inc., Class A | 123,230 | 1,439,326 |
| Proto Labs, Inc.(a) | 30,202 | 2,031,085 |
| REV Group, Inc. | 42,940 | 1,188,579 |
| Rexnord Corp.(a) | 109,760 | 2,551,920 |
| Wabash National Corp. | 90,629 | 1,992,025 |
| Total | | 22,523,779 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 165 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Small Cap Growth Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Professional Services 4.1% |
| ICF International, Inc.(a) | 36,116 | 1,701,064 |
| Insperity, Inc. | 23,102 | 1,640,242 |
| On Assignment, Inc.(a) | 132,310 | 7,164,586 |
| TriNet Group, Inc.(a) | 67,196 | 2,199,997 |
| TrueBlue, Inc.(a) | 101,994 | 2,702,841 |
| Wageworks, Inc.(a) | 143,005 | 9,609,936 |
| Total | | 25,018,666 |
| Trading Companies & Distributors 1.0% |
| Beacon Roofing Supply, Inc.(a) | 54,680 | 2,679,320 |
| BMC Stock Holdings, Inc.(a) | 83,440 | 1,823,164 |
| Univar, Inc.(a) | 61,837 | 1,805,641 |
| Total | | 6,308,125 |
| Total Industrials | 110,358,740 |
| Information Technology 28.2% |
| Communications Equipment 1.1% |
| Ciena Corp.(a) | 79,708 | 1,994,294 |
| Oclaro, Inc.(a) | 375,140 | 3,503,808 |
| Quantenna Communications, Inc.(a) | 36,947 | 701,993 |
| ShoreTel, Inc.(a) | 153,108 | 888,026 |
| Total | | 7,088,121 |
| Electronic Equipment, Instruments & Components 3.2% |
| Belden, Inc. | 46,502 | 3,507,646 |
| Coherent, Inc.(a) | 12,951 | 2,913,845 |
| II-VI, Inc.(a) | 41,946 | 1,438,748 |
| Itron, Inc.(a) | 29,724 | 2,013,801 |
| Littelfuse, Inc. | 17,110 | 2,823,150 |
| Methode Electronics, Inc. | 40,488 | 1,668,106 |
| Rogers Corp.(a) | 19,019 | 2,065,844 |
| TTM Technologies, Inc.(a) | 170,259 | 2,955,696 |
| Total | | 19,386,836 |
| Internet Software & Services 6.2% |
| 2U, Inc.(a) | 69,270 | 3,250,148 |
| Benefitfocus, Inc.(a) | 20,250 | 736,088 |
| Cloudera, Inc.(a) | 29,120 | 466,502 |
| Coupa Software, Inc.(a) | 44,156 | 1,279,641 |
| Criteo SA, ADR(a) | 16,610 | 814,720 |
| Envestnet, Inc.(a) | 95,423 | 3,778,751 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Five9, Inc.(a) | 300,034 | 6,456,732 |
| GrubHub, Inc.(a) | 10,360 | 451,696 |
| LogMeIn, Inc. | 30,250 | 3,161,125 |
| MINDBODY, Inc., Class A(a) | 101,335 | 2,756,312 |
| Q2 Holdings, Inc.(a) | 179,208 | 6,621,736 |
| Shutterstock, Inc.(a) | 32,158 | 1,417,525 |
| SPS Commerce, Inc.(a) | 22,554 | 1,438,043 |
| Web.com Group, Inc.(a) | 74,435 | 1,883,205 |
| Wix.com Ltd.(a) | 11,110 | 773,256 |
| Xactly Corp.(a) | 79,673 | 1,246,882 |
| Yelp, Inc.(a) | 47,708 | 1,432,194 |
| Total | | 37,964,556 |
| IT Services 2.9% |
| Blackhawk Network Holdings, Inc.(a) | 42,664 | 1,860,150 |
| Euronet Worldwide, Inc.(a) | 40,613 | 3,548,358 |
| InterXion Holding NV(a) | 128,820 | 5,897,380 |
| Travelport Worldwide Ltd. | 129,311 | 1,779,319 |
| WNS Holdings Ltd., ADR(a) | 132,585 | 4,555,621 |
| Total | | 17,640,828 |
| Semiconductors & Semiconductor Equipment 4.5% |
| Brooks Automation, Inc. | 75,695 | 1,641,825 |
| Cavium, Inc.(a) | 36,530 | 2,269,609 |
| Cypress Semiconductor Corp. | 246,046 | 3,358,528 |
| Entegris, Inc.(a) | 102,360 | 2,246,802 |
| Formfactor, Inc.(a) | 116,648 | 1,446,435 |
| MaxLinear, Inc., Class A(a) | 78,985 | 2,202,892 |
| Microsemi Corp.(a) | 110,836 | 5,187,125 |
| Monolithic Power Systems, Inc. | 37,020 | 3,568,728 |
| Rudolph Technologies, Inc.(a) | 74,424 | 1,700,588 |
| Semtech Corp.(a) | 55,819 | 1,995,529 |
| Silicon Laboratories, Inc.(a) | 26,857 | 1,835,676 |
| Total | | 27,453,737 |
| Software 10.0% |
| A10 Networks, Inc.(a) | 121,495 | 1,025,418 |
| Appian Corp.(a) | 17,772 | 322,562 |
| Barracuda Networks, Inc.(a) | 76,458 | 1,763,121 |
| Blackline, Inc.(a) | 44,529 | 1,591,466 |
| Bottomline Technologies de, Inc.(a) | 80,842 | 2,076,831 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 166 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Small Cap Growth Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Callidus Software, Inc.(a) | 226,037 | 5,470,095 |
| CommVault Systems, Inc.(a) | 98,545 | 5,562,865 |
| CyberArk Software Ltd.(a) | 74,990 | 3,745,751 |
| Everbridge, Inc.(a) | 105,151 | 2,561,478 |
| Gigamon, Inc.(a) | 115,206 | 4,533,356 |
| HubSpot, Inc.(a) | 49,871 | 3,279,018 |
| Paycom Software, Inc.(a) | 27,450 | 1,877,855 |
| Paylocity Holding Corp.(a) | 34,870 | 1,575,427 |
| Proofpoint, Inc.(a) | 72,040 | 6,255,233 |
| PROS Holdings, Inc.(a) | 94,033 | 2,575,564 |
| Qualys, Inc.(a) | 40,810 | 1,665,048 |
| Rapid7, Inc.(a) | 56,677 | 953,874 |
| RealPage, Inc.(a) | 71,216 | 2,560,215 |
| RingCentral, Inc., Class A(a) | 69,360 | 2,535,108 |
| Talend SA ADR(a) | 80,895 | 2,813,528 |
| Ultimate Software Group, Inc. (The)(a) | 13,909 | 2,921,725 |
| Varonis Systems, Inc.(a) | 41,479 | 1,543,019 |
| Verint Systems, Inc.(a) | 42,457 | 1,728,000 |
| Total | | 60,936,557 |
| Technology Hardware, Storage & Peripherals 0.3% |
| Pure Storage, Inc., Class A(a) | 146,992 | 1,882,967 |
| Total Information Technology | 172,353,602 |
| Materials 3.1% |
| Chemicals 1.6% |
| Ferro Corp.(a) | 250,010 | 4,572,683 |
| Kraton Performance Polymers, Inc.(a) | 52,930 | 1,822,909 |
| Minerals Technologies, Inc. | 20,357 | 1,490,132 |
| Trinseo SA | 31,722 | 2,179,302 |
| Total | | 10,065,026 |
| Construction Materials 0.5% |
| Summit Materials, Inc., Class A(a) | 109,457 | 3,160,024 |
| Metals & Mining 0.3% |
| Commercial Metals Co. | 100,798 | 1,958,505 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Paper & Forest Products 0.7% |
| Boise Cascade Co.(a) | 67,284 | 2,045,433 |
| Louisiana-Pacific Corp.(a) | 81,624 | 1,967,955 |
| Total | | 4,013,388 |
| Total Materials | 19,196,943 |
| Real Estate 1.7% |
| Equity Real Estate Investment Trusts (REITS) 1.7% |
| American Assets Trust, Inc. | 39,470 | 1,554,724 |
| Coresite Realty Corp. | 26,993 | 2,794,585 |
| Hersha Hospitality Trust | 79,230 | 1,466,547 |
| Rexford Industrial Realty, Inc. | 106,967 | 2,935,175 |
| Washington Real Estate Investment Trust | 47,778 | 1,524,118 |
| Total | | 10,275,149 |
| Total Real Estate | 10,275,149 |
| Telecommunication Services 0.3% |
| Diversified Telecommunication Services 0.3% |
| Cogent Communications Holdings, Inc. | 41,064 | 1,646,667 |
| Total Telecommunication Services | 1,646,667 |
| Utilities 0.3% |
| Gas Utilities 0.3% |
| Southwest Gas Corp. | 22,657 | 1,655,321 |
| Total Utilities | 1,655,321 |
Total Common Stocks
(Cost $532,835,045) | 598,149,859 |
|
| Money Market Funds 2.5% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(b),(c) | 15,102,739 | 15,102,739 |
Total Money Market Funds
(Cost $15,101,747) | 15,102,739 |
Total Investments
(Cost: $547,936,792) | 613,252,598 |
| Other Assets & Liabilities, Net | | (2,208,199) |
| Net Assets | 611,044,399 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 167 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Small Cap Growth Fund, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 15,800,110 | 132,839,972 | (133,537,343) | 15,102,739 | (667) | 67,712 | 15,102,739 |
Abbreviation Legend
| ADR | American Depositary Receipt |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
The accompanying Notes to Financial Statements are an integral part of this statement.
| 168 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Partners Small Cap Growth Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 78,097,122 | — | — | — | 78,097,122 |
| Consumer Staples | 9,943,147 | — | — | — | 9,943,147 |
| Energy | 13,905,818 | — | — | — | 13,905,818 |
| Financials | 33,649,296 | — | — | — | 33,649,296 |
| Health Care | 147,068,054 | — | — | — | 147,068,054 |
| Industrials | 110,358,740 | — | — | — | 110,358,740 |
| Information Technology | 172,353,602 | — | — | — | 172,353,602 |
| Materials | 19,196,943 | — | — | — | 19,196,943 |
| Real Estate | 10,275,149 | — | — | — | 10,275,149 |
| Telecommunication Services | 1,646,667 | — | — | — | 1,646,667 |
| Utilities | 1,655,321 | — | — | — | 1,655,321 |
| Total Common Stocks | 598,149,859 | — | — | — | 598,149,859 |
| Money Market Funds | — | — | — | 15,102,739 | 15,102,739 |
| Total Investments | 598,149,859 | — | — | 15,102,739 | 613,252,598 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 169 |
Portfolio of Investments
Variable Portfolio – Pyramis® International Equity Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 95.7% |
| Issuer | Shares | Value ($) |
| Australia 6.6% |
| Australia and New Zealand Banking Group Ltd. | 613,604 | 13,543,277 |
| BHP Billiton Ltd. | 597,220 | 10,644,800 |
| Challenger Ltd. | 1,276,753 | 13,093,728 |
| Commonwealth Bank of Australia | 242,187 | 15,407,037 |
| CSL Ltd. | 192,256 | 20,404,081 |
| Incitec Pivot Ltd. | 2,910,871 | 7,635,132 |
| Insurance Australia Group Ltd. | 2,571,227 | 13,400,330 |
| James Hardie Industries PLC | 596,546 | 9,401,488 |
| Macquarie Group Ltd. | 190,313 | 12,942,018 |
| Magellan Financial Group Ltd. | 382,199 | 8,472,484 |
| Mirvac Group | 6,680,852 | 10,924,813 |
| QBE Insurance Group Ltd. | 1,144,626 | 10,389,177 |
| Westpac Banking Corp. | 264,109 | 6,183,833 |
| Woodside Petroleum Ltd. | 528,882 | 12,132,054 |
| Woolworths Ltd. | 401,408 | 7,879,247 |
| Total | 172,453,499 |
| Belgium 2.1% |
| Anheuser-Busch InBev SA/NV | 252,197 | 27,856,998 |
| KBC Group NV | 270,412 | 20,510,793 |
| Umicore SA | 89,375 | 6,216,650 |
| Total | 54,584,441 |
| Cayman Islands 0.6% |
| ASM Pacific Technology Ltd. | 423,400 | 5,712,823 |
| Melco Resorts & Entertainment Ltd., ADR | 491,500 | 11,034,175 |
| Total | 16,746,998 |
| China 0.1% |
| WH Group Ltd. | 1,909,500 | 1,928,159 |
| Denmark 1.1% |
| AP Moller - Maersk A/S, Class B | 4,655 | 9,359,551 |
| Danske Bank A/S | 430,333 | 16,551,396 |
| Nets A/S(a) | 157,757 | 3,138,008 |
| Total | 29,048,955 |
| Finland 0.6% |
| Sampo OYJ, Class A | 186,882 | 9,577,377 |
| Wartsila OYJ | 113,524 | 6,709,977 |
| Total | 16,287,354 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| France 10.3% |
| Accor SA | 210,310 | 9,859,235 |
| Alstom SA(a) | 353,431 | 12,356,372 |
| BNP Paribas SA | 315,960 | 22,756,690 |
| Capgemini SE | 91,256 | 9,430,550 |
| Cie de Saint-Gobain | 306,894 | 16,397,273 |
| Danone SA | 179,704 | 13,507,428 |
| Iliad SA | 25,915 | 6,129,913 |
| Legrand SA | 224,826 | 15,728,078 |
| LVMH Moet Hennessy Louis Vuitton SE | 74,602 | 18,600,612 |
| Sanofi | 399,229 | 38,192,823 |
| Schneider Electric SE | 175,965 | 13,519,815 |
| Societe Generale SA | 405,875 | 21,838,782 |
| Total SA | 422,442 | 20,884,666 |
| Valeo SA | 164,515 | 11,084,265 |
| VINCI SA | 230,105 | 19,640,116 |
| Vivendi SA | 582,092 | 12,957,657 |
| Wendel SA | 47,229 | 6,990,959 |
| Total | 269,875,234 |
| Germany 8.8% |
| Adidas AG | 117,131 | 22,441,785 |
| BASF SE | 270,638 | 25,065,657 |
| Bayer AG, Registered Shares | 205,584 | 26,580,231 |
| Brenntag AG | 83,479 | 4,832,111 |
| Deutsche Boerse AG | 81,563 | 8,609,584 |
| Deutsche Telekom AG, Registered Shares | 731,088 | 13,126,387 |
| Deutsche Wohnen AG | 247,535 | 9,468,360 |
| Dialog Semiconductor PLC(a) | 172,533 | 7,366,047 |
| Fresenius Medical Care AG & Co. KGaA | 118,140 | 11,357,358 |
| Fresenius SE & Co. KGaA | 137,740 | 11,808,416 |
| K+S AG | 444,777 | 11,389,403 |
| Linde AG | 67,234 | 12,731,996 |
| ProSiebenSat.1 Media AG | 252,020 | 10,546,625 |
| SAP SE | 338,911 | 35,399,114 |
| Symrise AG | 140,804 | 9,974,009 |
| Telefonica Deutschland Holding AG | 1,826,932 | 9,124,832 |
| Total | 229,821,915 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 170 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Pyramis® International Equity Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Hong Kong 3.8% |
| AIA Group Ltd. | 2,389,000 | 17,478,787 |
| BOC Hong Kong Holdings Ltd. | 3,142,000 | 15,036,713 |
| CK Hutchison Holdings Ltd. | 1,359,316 | 17,058,798 |
| Henderson Land Development Co., Ltd. | 1,007,000 | 5,614,948 |
| HKT Trust & HKT Ltd. | 8,226,000 | 10,788,957 |
| Power Assets Holdings Ltd. | 1,332,000 | 11,757,548 |
| Sino Land Co., Ltd. | 5,236,000 | 8,578,575 |
| Techtronic Industries Co., Ltd. | 3,132,500 | 14,393,826 |
| Total | 100,708,152 |
| Ireland 1.4% |
| Allied Irish Banks PLC | 584,428 | 3,304,146 |
| CRH PLC | 319,517 | 11,303,900 |
| Shire PLC | 385,317 | 21,268,657 |
| Total | 35,876,703 |
| Israel 0.4% |
| Teva Pharmaceutical Industries Ltd., ADR | 321,900 | 10,693,518 |
| Italy 1.6% |
| Enel SpA | 1,951,211 | 10,460,931 |
| Intesa Sanpaolo SpA | 5,805,537 | 18,407,079 |
| Leonardo-Finmeccanica SpA | 831,082 | 13,811,151 |
| Total | 42,679,161 |
| Japan 22.8% |
| Aeon Credit Service Co., Ltd. | 221,700 | 4,704,942 |
| Alps Electric Co., Ltd. | 197,000 | 5,722,522 |
| Asahi Glass Co., Ltd. | 66,200 | 2,795,814 |
| Bridgestone Corp. | 198,100 | 8,564,175 |
| Chugai Pharmaceutical Co., Ltd. | 197,000 | 7,380,789 |
| Coca-Cola Bottlers Japan, Inc. | 167,200 | 4,841,378 |
| Dai-ichi Life Holdings, Inc. | 259,900 | 4,717,553 |
| Daikin Industries Ltd. | 112,600 | 11,551,865 |
| Dentsu, Inc. | 198,500 | 9,522,642 |
| East Japan Railway Co. | 54,500 | 5,220,894 |
| FANUC Corp. | 38,900 | 7,528,929 |
| Fujitsu Ltd. | 874,000 | 6,464,337 |
| Hitachi Ltd. | 1,434,000 | 8,841,602 |
| Hitachi Metals Ltd. | 466,300 | 6,505,995 |
| Hoya Corp. | 213,700 | 11,125,515 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Isuzu Motors Ltd. | 739,000 | 9,176,432 |
| ITOCHU Corp. | 608,700 | 9,062,891 |
| JSR Corp. | 386,900 | 6,697,721 |
| Kamigumi Co., Ltd. | 604,000 | 6,349,143 |
| Kao Corp. | 213,000 | 12,664,627 |
| KDDI Corp. | 559,600 | 14,800,092 |
| Keyence Corp. | 31,000 | 13,647,064 |
| Komatsu Ltd. | 417,200 | 10,708,459 |
| Kose Corp. | 55,100 | 6,042,858 |
| Mazda Motor Corp. | 543,700 | 7,638,384 |
| Minebea Co., Ltd. | 373,000 | 6,032,138 |
| Mitsubishi Estate Co., Ltd. | 220,500 | 4,121,763 |
| Mitsubishi Heavy Industries Ltd. | 2,654,000 | 10,926,938 |
| Mitsubishi Motors Corp. | 1,837,300 | 12,150,355 |
| Mitsubishi UFJ Financial Group, Inc. | 4,918,300 | 33,174,172 |
| Mitsui Chemicals, Inc. | 1,315,000 | 7,002,866 |
| Mitsui Fudosan Co., Ltd. | 684,900 | 16,409,182 |
| NGK Insulators Ltd. | 376,600 | 7,550,131 |
| Nidec Corp. | 113,900 | 11,702,087 |
| Nintendo Co., Ltd. | 32,700 | 10,947,687 |
| Nippon Telegraph & Telephone Corp. | 329,000 | 15,530,150 |
| Nitori Co., Ltd. | 61,900 | 8,286,136 |
| Obic Co., Ltd. | 90,000 | 5,541,835 |
| Olympus Corp. | 333,100 | 12,204,254 |
| ORIX Corp. | 1,398,800 | 21,765,133 |
| Otsuka Corp. | 100,000 | 6,220,404 |
| Panasonic Corp. | 1,095,200 | 14,922,385 |
| Renesas Electronics Corp.(a) | 677,200 | 5,920,979 |
| Rohm Co., Ltd. | 61,400 | 4,734,028 |
| Seven & I Holdings Co., Ltd. | 278,400 | 11,488,022 |
| Shimizu Corp. | 424,000 | 4,505,261 |
| Shin-Etsu Chemical Co., Ltd. | 99,300 | 9,037,579 |
| Shionogi & Co., Ltd. | 318,900 | 17,781,190 |
| SMC Corp. | 21,000 | 6,419,538 |
| SoftBank Group Corp. | 249,800 | 20,306,278 |
| Sony Corp. | 492,200 | 18,774,350 |
| Sony Financial Holdings, Inc. | 296,700 | 5,074,159 |
| Subaru Corp. | 315,400 | 10,694,602 |
| Sumitomo Chemical Co., Ltd. | 1,842,000 | 10,646,387 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 171 |
Portfolio of Investments (continued)
Variable Portfolio – Pyramis® International Equity Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Sumitomo Heavy Industries Ltd. | 1,081,000 | 7,173,117 |
| Suruga Bank Ltd. | 273,200 | 6,644,355 |
| Suzuki Motor Corp. | 212,200 | 10,108,778 |
| Tokio Marine Holdings, Inc. | 248,900 | 10,357,544 |
| Tokyo Electron Ltd. | 72,800 | 9,842,048 |
| Trend Micro, Inc. | 186,700 | 9,649,223 |
| USS Co., Ltd. | 278,100 | 5,542,836 |
| Yamaha Motor Co., Ltd. | 238,100 | 6,178,545 |
| Total | 597,643,058 |
| Netherlands 3.1% |
| Altice NV, Class A(a) | 416,524 | 9,609,801 |
| ASML Holding NV | 85,448 | 11,135,522 |
| Koninklijke Ahold Delhaize NV | 455,274 | 8,704,650 |
| Koninklijke KPN NV | 3,210,844 | 10,272,008 |
| Koninklijke Philips NV | 195,030 | 6,926,518 |
| Unilever NV-CVA | 654,258 | 36,107,630 |
| Total | 82,756,129 |
| New Zealand 0.2% |
| Spark New Zealand Ltd. | 1,578,781 | 4,374,557 |
| Norway 0.5% |
| Statoil ASA | 343,068 | 5,687,152 |
| Yara International ASA | 215,369 | 8,089,800 |
| Total | 13,776,952 |
| Portugal 0.3% |
| Galp Energia SGPS SA | 533,359 | 8,074,625 |
| Singapore 0.4% |
| United Overseas Bank Ltd. | 579,897 | 9,735,683 |
| Spain 4.5% |
| Amadeus IT Group SA, Class A | 286,773 | 17,146,598 |
| Bankinter SA | 1,217,990 | 11,219,438 |
| CaixaBank SA | 3,908,894 | 18,661,786 |
| Ferrovial SA | 356,463 | 7,912,651 |
| Grifols SA | 341,241 | 9,504,012 |
| Iberdrola SA | 2,884,451 | 22,840,593 |
| Industria de Diseno Textil SA | 501,011 | 19,232,635 |
| Tecnicas Reunidas SA | 171,979 | 6,651,958 |
| Unicaja Banco SA(a) | 3,750,000 | 5,011,182 |
| Total | 118,180,853 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Sweden 3.5% |
| Alfa Laval AB | 781,251 | 15,987,237 |
| Essity AB, Class B(a) | 525,574 | 14,379,718 |
| Lundin Petroleum AB(a) | 719,726 | 13,848,278 |
| Nordea Bank AB | 1,831,503 | 23,304,939 |
| Svenska Cellulosa AB, Class B | 591,979 | 4,479,526 |
| Swedbank AB, Class A | 533,852 | 13,009,343 |
| Telefonaktiebolaget LM Ericsson, Class B | 1,125,056 | 8,045,939 |
| Total | 93,054,980 |
| Switzerland 7.5% |
| ABB Ltd. | 585,272 | 14,453,270 |
| Credit Suisse Group AG, Registered Shares | 1,566,250 | 22,638,675 |
| LafargeHolcim Ltd., Registered Shares | 192,344 | 11,012,291 |
| Nestlé SA, Registered Shares | 645,865 | 56,207,565 |
| Novartis AG, Registered Shares | 385,645 | 32,093,515 |
| Roche Holding AG, Genusschein Shares | 113,110 | 28,805,362 |
| Swatch Group AG (The) | 18,970 | 7,005,190 |
| Zurich Insurance Group AG | 88,214 | 25,675,803 |
| Total | 197,891,671 |
| United Kingdom 15.5% |
| AstraZeneca PLC | 236,069 | 15,788,481 |
| Aviva PLC | 1,094,653 | 7,499,342 |
| BAE Systems PLC | 1,583,438 | 13,064,976 |
| BHP Billiton PLC | 392,929 | 6,018,418 |
| British American Tobacco PLC | 614,573 | 41,895,573 |
| BT Group PLC | 3,514,843 | 13,493,378 |
| Bunzl PLC | 207,297 | 6,177,461 |
| Carphone Warehouse Group PLC | 1,120,951 | 4,140,510 |
| Compass Group PLC | 424,823 | 8,963,631 |
| Croda International PLC | 151,218 | 7,651,656 |
| Direct Line Insurance Group PLC | 1,552,386 | 7,185,849 |
| GlaxoSmithKline PLC | 1,376,410 | 29,319,686 |
| Glencore PLC | 4,042,460 | 15,121,369 |
| Imperial Brands PLC | 316,231 | 14,203,508 |
| John Wood Group PLC | 607,277 | 5,066,020 |
| Lloyds Banking Group PLC | 14,071,644 | 12,123,712 |
| London Stock Exchange Group PLC | 146,271 | 6,946,017 |
| Prudential PLC | 819,701 | 18,800,775 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 172 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Pyramis® International Equity Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Randgold Resources Ltd. | 83,991 | 7,444,265 |
| Reckitt Benckiser Group PLC | 123,710 | 12,542,051 |
| Rolls-Royce Holdings PLC | 1,299,843 | 15,084,452 |
| Rolls-Royce Holdings PLC(a),(b) | 92,288,853 | 120,202 |
| Royal Dutch Shell PLC, Class A | 2,064,919 | 54,730,369 |
| St. James’s Place PLC | 476,087 | 7,329,338 |
| Standard Chartered PLC(a) | 2,515,218 | 25,460,643 |
| Standard Life PLC | 1,754,562 | 9,120,348 |
| Tesco PLC(a) | 1,525,141 | 3,353,076 |
| Unilever PLC | 249,839 | 13,520,483 |
| Vodafone Group PLC | 1,812,338 | 5,139,943 |
| Wolseley PLC | 153,356 | 9,413,674 |
| WPP PLC | 423,883 | 8,910,672 |
| Total | 405,629,878 |
Total Common Stocks
(Cost $2,283,496,890) | 2,511,822,475 |
| Preferred Stocks 0.4% |
| Issuer | Coupon
Rate | Shares | Value ($) |
| Germany 0.4% |
| Volkswagen AG | — | 70,834 | 10,788,419 |
Total Preferred Stocks
(Cost $9,707,304) | 10,788,419 |
| Money Market Funds 3.4% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(c),(d) | 87,472,404 | 87,472,404 |
Total Money Market Funds
(Cost $87,470,661) | 87,472,404 |
Total Investments
(Cost $2,380,674,855) | 2,610,083,298 |
| Other Assets & Liabilities, Net | | 13,883,231 |
| Net Assets | $2,623,966,529 |
At June 30, 2017, securities and/or cash totaling $2,940,000 were pledged as collateral.
Investments in derivatives
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Mini MSCI EAFE Index | 840 | USD | 79,363,200 | 09/2017 | — | (426,527) |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2017, the value of these securities amounted to $120,202, which represents less than 0.01% of net assets. |
| (c) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (d) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 81,088,989 | 166,260,595 | (159,877,180) | 87,472,404 | (287) | 334,340 | 87,472,404 |
Abbreviation Legend
| ADR | American Depositary Receipt |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 173 |
Portfolio of Investments (continued)
Variable Portfolio – Pyramis® International Equity Fund, June 30, 2017 (Unaudited)
Currency Legend
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Foreign equity securities actively traded in markets where there is a significant delay in the local close relative to the New York Stock Exchange are classified as Level 2. The values of these securities may include an adjustment to reflect the impact of significant market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 174 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Pyramis® International Equity Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Australia | — | 172,453,499 | — | — | 172,453,499 |
| Belgium | — | 54,584,441 | — | — | 54,584,441 |
| Cayman Islands | 11,034,175 | 5,712,823 | — | — | 16,746,998 |
| China | — | 1,928,159 | — | — | 1,928,159 |
| Denmark | — | 29,048,955 | — | — | 29,048,955 |
| Finland | — | 16,287,354 | — | — | 16,287,354 |
| France | — | 269,875,234 | — | — | 269,875,234 |
| Germany | — | 229,821,915 | — | — | 229,821,915 |
| Hong Kong | — | 100,708,152 | — | — | 100,708,152 |
| Ireland | — | 35,876,703 | — | — | 35,876,703 |
| Israel | 10,693,518 | — | — | — | 10,693,518 |
| Italy | — | 42,679,161 | — | — | 42,679,161 |
| Japan | — | 597,643,058 | — | — | 597,643,058 |
| Netherlands | — | 82,756,129 | — | — | 82,756,129 |
| New Zealand | — | 4,374,557 | — | — | 4,374,557 |
| Norway | — | 13,776,952 | — | — | 13,776,952 |
| Portugal | — | 8,074,625 | — | — | 8,074,625 |
| Singapore | — | 9,735,683 | — | — | 9,735,683 |
| Spain | — | 118,180,853 | — | — | 118,180,853 |
| Sweden | — | 93,054,980 | — | — | 93,054,980 |
| Switzerland | — | 197,891,671 | — | — | 197,891,671 |
| United Kingdom | — | 405,509,676 | 120,202 | — | 405,629,878 |
| Total Common Stocks | 21,727,693 | 2,489,974,580 | 120,202 | — | 2,511,822,475 |
| Preferred Stocks | | | | | |
| Germany | — | 10,788,419 | — | — | 10,788,419 |
| Total Preferred Stocks | — | 10,788,419 | — | — | 10,788,419 |
| Money Market Funds | — | — | — | 87,472,404 | 87,472,404 |
| Total Investments | 21,727,693 | 2,500,762,999 | 120,202 | 87,472,404 | 2,610,083,298 |
| Derivatives | | | | | |
| Liability | | | | | |
| Futures Contracts | (426,527) | — | — | — | (426,527) |
| Total | 21,301,166 | 2,500,762,999 | 120,202 | 87,472,404 | 2,609,656,771 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets. These assets include certain foreign securities for which a third party statistical pricing service may be employed for purposes of fair market valuation. The model utilized by such third party statistical pricing service takes into account a security’s correlation to available market data including, but not limited to, intraday index, ADR, and exchange-traded fund movements.
Derivative instruments are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between levels during the period.
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain common stocks are valued using the income approach and utilize future cash flow estimates from the underlying assets. Significant increases (decreases) to this input would result in a significantly lower (higher) fair value measurement.
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 175 |
Portfolio of Investments
Variable Portfolio – T. Rowe Price Large Cap Value Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Common Stocks 96.8% |
| Issuer | Shares | Value ($) |
| Consumer Discretionary 7.9% |
| Automobiles 0.4% |
| General Motors Co. | 279,900 | 9,776,907 |
| Hotels, Restaurants & Leisure 1.5% |
| Carnival Corp. | 289,700 | 18,995,629 |
| Las Vegas Sands Corp. | 255,400 | 16,317,506 |
| Total | | 35,313,135 |
| Leisure Products 0.6% |
| Mattel, Inc. | 704,500 | 15,167,885 |
| Media 3.9% |
| 21st Century Fox, Inc., Class B | 1,370,800 | 38,204,196 |
| Comcast Corp., Class A | 1,046,500 | 40,729,780 |
| News Corp., Class A | 1,143,400 | 15,664,580 |
| Total | | 94,598,556 |
| Multiline Retail 0.5% |
| Kohl’s Corp. | 316,300 | 12,231,321 |
| Specialty Retail 1.0% |
| Lowe’s Companies, Inc. | 297,500 | 23,065,175 |
| Total Consumer Discretionary | 190,152,979 |
| Consumer Staples 8.9% |
| Beverages 1.5% |
| PepsiCo, Inc. | 318,900 | 36,829,761 |
| Food & Staples Retailing 1.1% |
| Wal-Mart Stores, Inc. | 352,700 | 26,692,336 |
| Food Products 2.7% |
| Bunge Ltd. | 319,500 | 23,834,700 |
| Tyson Foods, Inc., Class A | 649,500 | 40,678,185 |
| Total | | 64,512,885 |
| Household Products 0.9% |
| Procter & Gamble Co. (The) | 254,295 | 22,161,809 |
| Personal Products 0.4% |
| Coty, Inc., Class A | 438,400 | 8,224,384 |
| Tobacco 2.3% |
| Philip Morris International, Inc. | 471,500 | 55,377,675 |
| Total Consumer Staples | 213,798,850 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Energy 9.3% |
| Oil, Gas & Consumable Fuels 9.3% |
| Apache Corp. | 391,100 | 18,745,423 |
| Canadian Natural Resources Ltd. | 611,100 | 17,624,124 |
| EQT Corp. | 233,774 | 13,696,819 |
| Exxon Mobil Corp. | 533,900 | 43,101,747 |
| Hess Corp. | 432,200 | 18,960,614 |
| Occidental Petroleum Corp. | 468,300 | 28,037,121 |
| Royal Dutch Shell PLC, ADR, Class A | 233,900 | 12,441,141 |
| Total SA, ADR | 1,002,600 | 49,718,934 |
| TransCanada Corp. | 406,500 | 19,377,855 |
| Total | | 221,703,778 |
| Total Energy | 221,703,778 |
| Financials 25.2% |
| Banks 12.9% |
| Bank of America Corp. | 23,000 | 557,980 |
| Citigroup, Inc. | 729,700 | 48,802,336 |
| Fifth Third Bancorp | 1,754,400 | 45,544,224 |
| JPMorgan Chase & Co. | 1,111,500 | 101,591,100 |
| PNC Financial Services Group, Inc. (The) | 74,619 | 9,317,675 |
| U.S. Bancorp | 708,200 | 36,769,744 |
| Wells Fargo & Co. | 1,191,800 | 66,037,638 |
| Total | | 308,620,697 |
| Capital Markets 4.9% |
| Bank of New York Mellon Corp. (The) | 866,000 | 44,183,320 |
| Invesco Ltd. | 414,300 | 14,579,217 |
| Morgan Stanley | 1,312,700 | 58,493,912 |
| Total | | 117,256,449 |
| Consumer Finance 1.0% |
| American Express Co. | 289,400 | 24,379,056 |
| Insurance 6.4% |
| American International Group, Inc. | 188,000 | 11,753,760 |
| Chubb Ltd. | 58,256 | 8,469,257 |
| Loews Corp. | 588,100 | 27,528,961 |
| Marsh & McLennan Companies, Inc. | 416,411 | 32,463,402 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 176 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – T. Rowe Price Large Cap Value Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| MetLife, Inc. | 795,400 | 43,699,276 |
| Xl Group Ltd. | 626,620 | 27,445,956 |
| Total | | 151,360,612 |
| Total Financials | 601,616,814 |
| Health Care 13.7% |
| Biotechnology 0.8% |
| Gilead Sciences, Inc. | 252,100 | 17,843,638 |
| Health Care Equipment & Supplies 3.5% |
| Becton Dickinson and Co. | 67,100 | 13,091,881 |
| Hologic, Inc.(a) | 508,800 | 23,089,344 |
| Medtronic PLC | 524,800 | 46,576,000 |
| Total | | 82,757,225 |
| Health Care Providers & Services 1.7% |
| Aetna, Inc. | 274,700 | 41,707,701 |
| Life Sciences Tools & Services 0.7% |
| Thermo Fisher Scientific, Inc.(a) | 93,700 | 16,347,839 |
| Pharmaceuticals 7.0% |
| Bristol-Myers Squibb Co. | 99,000 | 5,516,280 |
| Johnson & Johnson | 377,100 | 49,886,559 |
| Merck & Co., Inc. | 728,200 | 46,670,338 |
| Perrigo Co. PLC | 251,700 | 19,008,384 |
| Pfizer, Inc. | 1,397,800 | 46,952,102 |
| Total | | 168,033,663 |
| Total Health Care | 326,690,066 |
| Industrials 10.6% |
| Aerospace & Defense 3.4% |
| Boeing Co. (The) | 195,200 | 38,600,800 |
| Raytheon Co. | 100,300 | 16,196,444 |
| United Technologies Corp. | 219,200 | 26,766,512 |
| Total | | 81,563,756 |
| Airlines 1.1% |
| Southwest Airlines Co. | 412,300 | 25,620,322 |
| Building Products 1.6% |
| Johnson Controls International PLC | 853,500 | 37,007,760 |
| Commercial Services & Supplies 0.6% |
| Stericycle, Inc.(a) | 190,000 | 14,500,800 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Industrial Conglomerates 1.4% |
| General Electric Co. | 1,218,100 | 32,900,881 |
| Machinery 1.8% |
| Cummins, Inc. | 91,600 | 14,859,352 |
| Illinois Tool Works, Inc. | 202,100 | 28,950,825 |
| Total | | 43,810,177 |
| Road & Rail 0.7% |
| Canadian Pacific Railway Ltd. | 106,700 | 17,158,427 |
| Total Industrials | 252,562,123 |
| Information Technology 9.3% |
| Communications Equipment 1.6% |
| Cisco Systems, Inc. | 1,232,800 | 38,586,640 |
| Electronic Equipment, Instruments & Components 0.9% |
| TE Connectivity Ltd. | 286,400 | 22,533,952 |
| Semiconductors & Semiconductor Equipment 3.0% |
| Applied Materials, Inc. | 539,000 | 22,266,090 |
| QUALCOMM, Inc. | 595,200 | 32,866,944 |
| Texas Instruments, Inc. | 202,300 | 15,562,939 |
| Total | | 70,695,973 |
| Software 2.7% |
| Microsoft Corp. | 935,609 | 64,491,528 |
| Technology Hardware, Storage & Peripherals 1.1% |
| Apple, Inc. | 176,000 | 25,347,520 |
| Total Information Technology | 221,655,613 |
| Materials 3.6% |
| Chemicals 2.1% |
| CF Industries Holdings, Inc. | 608,100 | 17,002,476 |
| EI du Pont de Nemours & Co. | 404,800 | 32,671,408 |
| Total | | 49,673,884 |
| Construction Materials 0.6% |
| Vulcan Materials Co. | 123,000 | 15,581,640 |
| Containers & Packaging 0.9% |
| International Paper Co. | 372,400 | 21,081,564 |
| Total Materials | 86,337,088 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 177 |
Portfolio of Investments (continued)
Variable Portfolio – T. Rowe Price Large Cap Value Fund, June 30, 2017 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Real Estate 1.3% |
| Equity Real Estate Investment Trusts (REITS) 1.3% |
| VEREIT, Inc. | 1,854,700 | 15,097,258 |
| Weyerhaeuser Co. | 464,200 | 15,550,700 |
| Total | | 30,647,958 |
| Total Real Estate | 30,647,958 |
| Telecommunication Services 1.2% |
| Diversified Telecommunication Services 1.2% |
| Verizon Communications, Inc. | 657,600 | 29,368,416 |
| Total Telecommunication Services | 29,368,416 |
| Utilities 5.8% |
| Electric Utilities 5.8% |
| Exelon Corp. | 953,600 | 34,396,352 |
| PG&E Corp. | 1,005,800 | 66,754,946 |
| Southern Co. (The) | 625,600 | 29,953,728 |
| Westar Energy, Inc. | 160,000 | 8,483,200 |
| Total | | 139,588,226 |
| Total Utilities | 139,588,226 |
Total Common Stocks
(Cost $2,056,543,895) | 2,314,121,911 |
| Convertible Preferred Stocks 1.0% |
| Issuer | Coupon
Rate | Shares | Value ($) |
| Health Care 0.2% |
| Health Care Equipment & Supplies 0.2% |
| Becton Dickinson and Co. | 6.125% | 87,348 | 4,784,923 |
| Total Health Care | 4,784,923 |
| Utilities 0.8% |
| Electric Utilities 0.8% |
| NextEra Energy, Inc. | 6.123% | 362,350 | 19,570,524 |
| Total Utilities | 19,570,524 |
Total Convertible Preferred Stocks
(Cost $22,021,290) | 24,355,447 |
| Money Market Funds 2.2% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(b),(c) | 51,853,180 | 51,853,180 |
Total Money Market Funds
(Cost $51,852,656) | 51,853,180 |
Total Investments
(Cost: $2,130,417,841) | 2,390,330,538 |
| Other Assets & Liabilities, Net | | (685,628) |
| Net Assets | 2,389,644,910 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (c) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 49,994,681 | 159,403,020 | (157,544,521) | 51,853,180 | (6,677) | 210,920 | 51,853,180 |
Abbreviation Legend
| ADR | American Depositary Receipt |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 178 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – T. Rowe Price Large Cap Value Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Common Stocks | | | | | |
| Consumer Discretionary | 190,152,979 | — | — | — | 190,152,979 |
| Consumer Staples | 213,798,850 | — | — | — | 213,798,850 |
| Energy | 221,703,778 | — | — | — | 221,703,778 |
| Financials | 601,616,814 | — | — | — | 601,616,814 |
| Health Care | 326,690,066 | — | — | — | 326,690,066 |
| Industrials | 252,562,123 | — | — | — | 252,562,123 |
| Information Technology | 221,655,613 | — | — | — | 221,655,613 |
| Materials | 86,337,088 | — | — | — | 86,337,088 |
| Real Estate | 30,647,958 | — | — | — | 30,647,958 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 179 |
Portfolio of Investments (continued)
Variable Portfolio – T. Rowe Price Large Cap Value Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Telecommunication Services | 29,368,416 | — | — | — | 29,368,416 |
| Utilities | 139,588,226 | — | — | — | 139,588,226 |
| Total Common Stocks | 2,314,121,911 | — | — | — | 2,314,121,911 |
| Convertible Preferred Stocks | | | | | |
| Health Care | 4,784,923 | — | — | — | 4,784,923 |
| Utilities | 19,570,524 | — | — | — | 19,570,524 |
| Total Convertible Preferred Stocks | 24,355,447 | — | — | — | 24,355,447 |
| Money Market Funds | — | — | — | 51,853,180 | 51,853,180 |
| Total Investments | 2,338,477,358 | — | — | 51,853,180 | 2,390,330,538 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 180 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments
Variable Portfolio – TCW Core Plus Bond Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Asset-Backed Securities — Non-Agency 6.1% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| American Money Management Corp. CLO 18 Ltd.(a),(b) |
| Series 2016-18A Class AL1 |
| 05/26/2028 | 2.768% | | 8,000,000 | 8,046,608 |
| American Money Management Corp. CLO XIV Ltd.(a),(b) |
| Series 2014-14A Class A1L |
| 07/27/2026 | 2.606% | | 7,000,000 | 7,003,752 |
| Cedar Funding V CLO Ltd.(a),(b) |
| Series 2016-5A Class A1 |
| 07/17/2028 | 2.768% | | 8,000,000 | 8,064,296 |
| Education Loan Asset-Backed Trust I(a),(b) |
| Series 2013-1 Class A1 |
| 06/25/2026 | 2.016% | | 9,141,560 | 9,156,031 |
| Series 2013-1 Class A2 |
| 04/26/2032 | 2.016% | | 3,090,000 | 3,013,029 |
| Global SC Finance II SRL(a) |
| Series 2014-1A Class A2 |
| 07/17/2029 | 3.090% | | 3,906,458 | 3,808,217 |
| Henderson Receivables LLC(a) |
| Series 2014-2A Class A |
| 01/17/2073 | 3.610% | | 3,241,314 | 3,079,274 |
| Higher Education Funding I(a),(b) |
| Series 2014-1 Class A |
| 05/25/2034 | 2.239% | | 2,800,100 | 2,788,204 |
| Navient Student Loan Trust(b) |
| Series 2014-1 Class A3 |
| 06/25/2031 | 1.534% | | 7,700,000 | 7,646,028 |
| Series 2014-2 Class A |
| 03/25/2083 | 1.664% | | 7,140,285 | 7,034,613 |
| Series 2014-3 Class A |
| 03/25/2083 | 1.644% | | 7,221,355 | 7,119,125 |
| Series 2014-4 Class A |
| 03/25/2083 | 1.644% | | 5,354,344 | 5,277,864 |
| Series 2015-1 Class A2 |
| 04/25/2040 | 1.816% | | 7,100,000 | 7,070,956 |
| Series 2015-2 Class A3 |
| 11/26/2040 | 1.594% | | 10,890,000 | 10,850,956 |
| Navient Student Loan Trust(a),(b) |
| Series 2016-2 Class A3 |
| 06/25/2065 | 2.524% | | 7,950,000 | 8,193,955 |
| Series 2017-3A Class A3 |
| 07/26/2066 | 2.111% | | 7,900,000 | 7,983,597 |
| Nelnet Student Loan Trust(a),(b) |
| Series 2012-5A Class A |
| 10/27/2036 | 1.816% | | 70,433 | 69,917 |
| Series 2014-4A Class A2 |
| 11/25/2048 | 2.166% | | 4,345,000 | 4,249,787 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| SLC Student Loan Trust(b) |
| Series 2006-1 Class B |
| 03/15/2055 | 1.456% | | 521,318 | 470,480 |
| SLM Student Loan Trust(a),(b) |
| Series 2003-11 Class A5 |
| 12/15/2022 | 1.296% | | 297,760 | 295,091 |
| Series 2004-5A Class A5 |
| 10/25/2023 | 1.756% | | 2,578,018 | 2,579,260 |
| Series 2004-8A Class A5 |
| 04/25/2024 | 1.656% | | 3,122,265 | 3,128,822 |
| Series 2009-3 Class A |
| 01/25/2045 | 1.774% | | 6,732,284 | 6,667,230 |
| SLM Student Loan Trust(b) |
| Series 2003-14 Class A5 |
| 01/25/2023 | 1.386% | | 691,455 | 691,455 |
| Series 2005-4 Class A3 |
| 01/25/2027 | 1.276% | | 7,780,678 | 7,738,685 |
| Series 2007-3 Class A4 |
| 01/25/2022 | 1.216% | | 13,250,000 | 12,766,301 |
| Series 2007-6 Class A4 |
| 10/25/2024 | 1.536% | | 6,795,395 | 6,778,790 |
| Series 2007-7 Class B |
| 10/27/2070 | 1.906% | | 1,990,000 | 1,806,301 |
| Series 2008-4 Class A4 |
| 07/25/2022 | 2.806% | | 2,499,545 | 2,561,234 |
| Series 2008-5 Class B |
| 07/25/2073 | 3.006% | | 5,860,000 | 5,720,123 |
| Series 2008-8 Class A4 |
| 04/25/2023 | 2.656% | | 2,925,000 | 2,993,388 |
| Series 2008-9 Class B |
| 10/25/2083 | 3.406% | | 5,775,000 | 5,843,829 |
| Series 2012-3 Class A |
| 12/27/2038 | 1.674% | | 4,917,754 | 4,937,885 |
| Wachovia Student Loan Trust(a),(b) |
| Series 2006-1 Class A6 |
| 04/25/2040 | 1.326% | | 13,000,000 | 11,990,793 |
Total Asset-Backed Securities — Non-Agency
(Cost $188,445,343) | 187,425,876 |
|
| Commercial Mortgage-Backed Securities - Agency 4.3% |
| | | | |
| Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates |
| Series S8FX Class A2 |
| 03/25/2027 | 3.291% | | 13,225,000 | 13,587,529 |
| Federal National Mortgage Association |
| 04/01/2019 | 2.300% | | 7,823,301 | 7,815,346 |
| 10/01/2020 | 3.540% | | 3,800,000 | 3,974,750 |
| 11/01/2020 | 3.200% | | 3,888,097 | 4,024,274 |
| 12/01/2020 | 3.619% | | 515,786 | 541,965 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 181 |
Portfolio of Investments (continued)
Variable Portfolio – TCW Core Plus Bond Fund, June 30, 2017 (Unaudited)
| Commercial Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 04/01/2021 | 4.250% | | 3,941,000 | 4,227,332 |
| 06/01/2021 | 4.381% | | 8,731,164 | 9,393,626 |
| 07/01/2021 | 3.830% | | 3,544,819 | 3,769,185 |
| 08/01/2021 | 3.840% | | 9,254,048 | 9,838,275 |
| 06/01/2023 | 2.766% | | 3,320,247 | 3,399,233 |
| 12/01/2023 | 2.440% | | 3,170,511 | 3,159,291 |
| 05/01/2025 | 2.670% | | 9,119,000 | 9,168,000 |
| 08/01/2025 | 3.850% | | 4,433,318 | 4,767,818 |
| 08/01/2025 | 3.850% | | 3,917,355 | 4,212,925 |
| 03/01/2026 | 2.860% | | 4,600,000 | 4,616,557 |
| 08/01/2026 | 2.330% | | 6,215,000 | 5,977,878 |
| 05/01/2027 | 2.964% | | 7,157,174 | 7,208,273 |
| 10/01/2028 | 2.560% | | 4,950,000 | 4,752,092 |
| 10/01/2029 | 3.330% | | 6,120,713 | 6,308,360 |
| 05/01/2031 | 2.850% | | 6,420,000 | 6,262,279 |
| Series 2001-M2 Class Z2 |
| 06/25/2031 | 6.300% | | 31,421 | 32,215 |
| Federal National Mortgage Association(b) |
| Series 2015-M2 Class A3 |
| 12/25/2024 | 3.148% | | 12,713,894 | 13,106,233 |
| Government National Mortgage Association(b),(c) |
| CMO Series 2010-155 Class |
| 06/16/2039 | 0.208% | | 3,787,027 | 162,086 |
| CMO Series 2011-121 Class |
| 06/16/2043 | 0.748% | | 10,031,897 | 197,115 |
| CMO Series 2012-55 Class |
| 04/16/2052 | 0.777% | | 2,761,591 | 74,215 |
| Government National Mortgage Association(c) |
| CMO Series 2012-125 Class IK |
| 08/16/2052 | 0.561% | | 25,000,000 | 218,615 |
Total Commercial Mortgage-Backed Securities - Agency
(Cost $131,701,007) | 130,795,467 |
|
| Commercial Mortgage-Backed Securities - Non-Agency 1.2% |
| | | | |
| 225 Liberty Street Trust(a) |
| Series 2016-225L Class A |
| 02/10/2036 | 3.597% | | 3,090,000 | 3,190,785 |
| Banc of America Merrill Lynch Commercial Mortgage Securities Trust(a) |
| Series 2012-PARK Class A |
| 12/10/2030 | 2.959% | | 3,055,000 | 3,110,415 |
| BBCMS Mortgage Trust(a) |
| Series 2013-TYSN Class A2 |
| 09/05/2032 | 3.756% | | 3,000,000 | 3,150,611 |
| Citigroup Commercial Mortgage Trust |
| Series 2012-GC8 Class A2 |
| 09/10/2045 | 1.813% | | 265,517 | 265,517 |
| Commercial Mortgage Trust(a) |
| Series 2016-787S Class A |
| 02/10/2036 | 3.545% | | 3,095,000 | 3,181,552 |
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| DBUBS Mortgage Trust(a),(b) |
| Series 2011-LC2A Class A1FL |
| 07/12/2044 | 2.467% | | 2,300,900 | 2,329,301 |
| JPMorgan Chase Commercial Mortgage Securities Trust(a) |
| Series 2010-CNTR Class A2 |
| 08/05/2032 | 4.311% | | 2,370,000 | 2,481,901 |
| Series 2011-C3 Class A3 |
| 02/15/2046 | 4.388% | | 5,210,317 | 5,303,444 |
| Series 2011-C4 Class A3 |
| 07/15/2046 | 4.106% | | 4,896,076 | 4,979,762 |
| RBS Commercial Funding, Inc., Trust(a),(b) |
| Series 2013-GSP Class A |
| 01/13/2032 | 3.961% | | 3,035,000 | 3,212,146 |
| VNDO Mortgage Trust(a) |
| Series 2012-6AVE Class A |
| 11/15/2030 | 2.996% | | 3,100,000 | 3,163,906 |
| Wells Fargo Commercial Mortgage Trust(a),(b) |
| Series 2013-120B Class A |
| 03/18/2028 | 2.800% | | 3,065,000 | 3,101,220 |
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $37,672,593) | 37,470,560 |
|
| Corporate Bonds & Notes 24.2% |
| | | | |
| Aerospace & Defense 0.0% |
| Embraer SA |
| 06/15/2022 | 5.150% | | 300,000 | 317,357 |
| Airlines 0.6% |
| America West Airlines Pass-Through Trust |
| 04/02/2021 | 7.100% | | 1,922,689 | 2,083,128 |
| American Airlines Pass-Through Trust |
| 01/31/2021 | 5.250% | | 1,757,256 | 1,860,087 |
| 01/15/2023 | 4.950% | | 3,012,737 | 3,199,720 |
| Continental Airlines Pass-Through Trust |
| 06/15/2021 | 6.703% | | 208,374 | 219,480 |
| 04/19/2022 | 5.983% | | 8,849,296 | 9,641,140 |
| Guanay Finance Ltd.(a) |
| 12/15/2020 | 6.000% | | 365,744 | 376,156 |
| Total | 17,379,711 |
| Apartment REIT 0.1% |
| Post Apartment Homes LP |
| 12/01/2022 | 3.375% | | 2,315,000 | 2,347,933 |
| Automotive 0.7% |
| Ford Motor Credit Co. LLC |
| 12/06/2017 | 1.724% | | 1,115,000 | 1,114,539 |
| 01/16/2018 | 2.375% | | 3,000,000 | 3,008,199 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 182 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – TCW Core Plus Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Ford Motor Credit Co. LLC(b) |
| 01/09/2018 | 2.095% | | 7,000,000 | 7,019,054 |
| General Motors Co. |
| 10/02/2023 | 4.875% | | 1,320,000 | 1,416,868 |
| General Motors Financial Co., Inc. |
| 07/10/2017 | 2.625% | | 3,525,000 | 3,525,909 |
| 09/25/2017 | 3.000% | | 4,000,000 | 4,011,212 |
| Goodyear Tire & Rubber Co. (The) |
| 03/15/2027 | 4.875% | | 660,000 | 670,421 |
| Nemak SAB de CV(a) |
| 02/28/2023 | 5.500% | | 200,000 | 207,112 |
| Total | 20,973,314 |
| Banking 8.6% |
| American Express Co. |
| 03/19/2018 | 7.000% | | 2,700,000 | 2,800,421 |
| Banco de Credito del Peru(a) |
| 09/16/2020 | 5.375% | | 300,000 | 327,668 |
| Bank of America Corp. |
| 08/28/2017 | 6.400% | | 4,000,000 | 4,028,475 |
| 09/01/2017 | 6.000% | | 9,800,000 | 9,866,914 |
| 12/01/2017 | 5.750% | | 2,000,000 | 2,032,678 |
| 04/25/2018 | 6.875% | | 12,560,000 | 13,061,822 |
| 05/01/2018 | 5.650% | | 2,115,000 | 2,181,312 |
| 06/01/2019 | 7.625% | | 5,000,000 | 5,511,215 |
| 10/19/2020 | 2.625% | | 2,000,000 | 2,017,454 |
| Bank of America Corp.(b) |
| 04/01/2019 | 2.018% | | 6,000,000 | 6,056,304 |
| 04/24/2028 | 3.705% | | 17,465,000 | 17,625,940 |
| Subordinated |
| 12/01/2026 | 1.852% | | 1,000,000 | 914,599 |
| Bear Stearns Companies LLC (The) |
| 02/01/2018 | 7.250% | | 7,200,000 | 7,426,440 |
| Citigroup, Inc. |
| 11/21/2017 | 6.125% | | 4,500,000 | 4,575,865 |
| 02/05/2018 | 1.800% | | 3,500,000 | 3,502,244 |
| 05/15/2018 | 6.125% | | 5,000,000 | 5,182,190 |
| Citigroup, Inc.(b) |
| 04/08/2019 | 1.925% | | 8,000,000 | 8,046,072 |
| Discover Bank |
| 11/13/2018 | 2.600% | | 7,295,000 | 7,354,520 |
| Global Bank Corp.(a) |
| 10/20/2021 | 4.500% | | 300,000 | 306,749 |
| Goldman Sachs Group, Inc. (The)(b) |
| 12/15/2017 | 2.046% | | 2,000,000 | 2,004,700 |
| 06/05/2028 | 3.691% | | 3,500,000 | 3,516,786 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Goldman Sachs Group, Inc. (The) |
| 01/18/2018 | 5.950% | | 6,000,000 | 6,135,030 |
| 04/01/2018 | 6.150% | | 17,308,000 | 17,863,535 |
| 02/15/2019 | 7.500% | | 15,789,000 | 17,134,160 |
| 07/08/2024 | 3.850% | | 1,750,000 | 1,816,064 |
| Grupo Aval Ltd.(a) |
| 09/26/2022 | 4.750% | | 300,000 | 305,447 |
| HBOS PLC(a) |
| Subordinated |
| 05/21/2018 | 6.750% | | 1,000,000 | 1,038,398 |
| JPMorgan Chase & Co. |
| 10/02/2017 | 6.400% | | 5,600,000 | 5,665,066 |
| 01/15/2018 | 6.000% | | 25,605,000 | 26,186,643 |
| 05/18/2023 | 2.700% | | 3,260,000 | 3,223,984 |
| 07/15/2025 | 3.900% | | 3,000,000 | 3,121,812 |
| JPMorgan Chase & Co.(b) |
| 03/01/2025 | 3.220% | | 4,475,000 | 4,487,485 |
| 05/01/2028 | 3.540% | | 4,470,000 | 4,497,781 |
| JPMorgan Chase Bank NA |
| Subordinated |
| 10/01/2017 | 6.000% | | 3,033,000 | 3,064,519 |
| Lloyds Banking Group PLC |
| Subordinated |
| 11/04/2024 | 4.500% | | 2,000,000 | 2,082,150 |
| Morgan Stanley |
| 04/01/2018 | 6.625% | | 4,831,000 | 4,998,104 |
| 05/13/2019 | 7.300% | | 5,000,000 | 5,468,495 |
| 07/24/2020 | 5.500% | | 4,500,000 | 4,910,733 |
| Morgan Stanley(b) |
| 02/14/2020 | 1.982% | | 15,000,000 | 15,058,530 |
| Santander UK Group Holdings PLC |
| 08/05/2021 | 2.875% | | 2,823,000 | 2,826,670 |
| Wells Fargo & Co. |
| 07/22/2020 | 2.600% | | 4,065,000 | 4,114,869 |
| 04/22/2026 | 3.000% | | 12,440,000 | 12,135,033 |
| 10/23/2026 | 3.000% | | 790,000 | 769,358 |
| Wells Fargo Bank NA |
| 12/06/2019 | 2.150% | | 7,740,000 | 7,767,872 |
| Total | 263,012,106 |
| Cable and Satellite 0.5% |
| Altice US Finance I Corp.(a) |
| 07/15/2023 | 5.375% | | 2,700,000 | 2,814,326 |
| 05/15/2026 | 5.500% | | 300,000 | 315,292 |
| CCO Holdings LLC/Capital Corp.(a) |
| 05/01/2027 | 5.125% | | 618,000 | 633,537 |
| Charter Communications Operating LLC/Capital |
| 10/23/2045 | 6.484% | | 5,380,000 | 6,473,700 |
| CSC Holdings LLC |
| 02/15/2019 | 8.625% | | 1,000,000 | 1,096,271 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 183 |
Portfolio of Investments (continued)
Variable Portfolio – TCW Core Plus Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CSC Holdings LLC(a) |
| 04/15/2027 | 5.500% | | 1,000,000 | 1,054,701 |
| DISH DBS Corp. |
| 06/01/2021 | 6.750% | | 1,140,000 | 1,264,282 |
| 07/15/2022 | 5.875% | | 500,000 | 536,890 |
| Intelsat Jackson Holdings SA(a),(d) |
| 07/15/2025 | 9.750% | | 875,000 | 873,601 |
| Virgin Media Secured Finance PLC(a) |
| 01/15/2026 | 5.250% | | 400,000 | 416,099 |
| 08/15/2026 | 5.500% | | 1,000,000 | 1,051,281 |
| Total | 16,529,980 |
| Chemicals 0.0% |
| Axalta Coating Systems LLC(a) |
| 08/15/2024 | 4.875% | | 1,400,000 | 1,450,414 |
| Consumer Cyclical Services 0.1% |
| IHS Markit Ltd.(a) |
| 11/01/2022 | 5.000% | | 1,681,000 | 1,815,448 |
| Consumer Products 0.1% |
| First Quality Finance Co., Inc.(a) |
| 07/01/2025 | 5.000% | | 300,000 | 305,026 |
| Scotts Miracle-Gro Co. (The) |
| 12/15/2026 | 5.250% | | 270,000 | 281,815 |
| Valvoline, Inc.(a) |
| 07/15/2024 | 5.500% | | 1,500,000 | 1,595,184 |
| Total | 2,182,025 |
| Diversified Manufacturing 0.2% |
| General Electric Co. |
| 01/14/2038 | 5.875% | | 517,000 | 669,112 |
| Siemens Financieringsmaatschappij NV(a) |
| 09/15/2023 | 2.000% | | 4,765,000 | 4,576,597 |
| 10/15/2026 | 2.350% | | 1,750,000 | 1,647,308 |
| Total | 6,893,017 |
| Electric 2.0% |
| AEP Transmission Co. LLC |
| 12/01/2026 | 3.100% | | 3,125,000 | 3,109,294 |
| AES Gener SA(a) |
| 07/14/2025 | 5.000% | | 350,000 | 361,135 |
| Appalachian Power Co. |
| 05/15/2033 | 5.950% | | 3,225,000 | 3,820,441 |
| Duke Energy Carolinas LLC |
| 12/15/2041 | 4.250% | | 900,000 | 962,366 |
| Duquesne Light Holdings, Inc.(a) |
| 09/15/2020 | 6.400% | | 5,350,000 | 5,942,828 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Entergy Louisiana LLC |
| 04/01/2025 | 3.780% | | 5,900,000 | 6,086,493 |
| FirstEnergy Corp. |
| 07/15/2027 | 3.900% | | 4,785,000 | 4,803,327 |
| FirstEnergy Transmission LLC(a) |
| 01/15/2025 | 4.350% | | 6,950,000 | 7,270,124 |
| Homer City Generation LP(e) |
| PIK |
| 10/01/2026 | 0.000% | | 1,829,600 | 708,970 |
| IPALCO Enterprises, Inc. |
| 05/01/2018 | 5.000% | | 3,840,000 | 3,902,569 |
| ITC Holdings Corp. |
| 07/01/2023 | 4.050% | | 1,740,000 | 1,811,408 |
| Metropolitan Edison Co.(a) |
| 04/15/2025 | 4.000% | | 3,000,000 | 3,060,447 |
| MidAmerican Energy Co. |
| 10/15/2044 | 4.400% | | 5,875,000 | 6,382,206 |
| NextEra Energy Capital Holdings, Inc. |
| 09/01/2017 | 2.056% | | 2,000,000 | 2,001,058 |
| Northern States Power Co. |
| 08/15/2045 | 4.000% | | 2,250,000 | 2,327,312 |
| PacifiCorp |
| 07/01/2025 | 3.350% | | 2,000,000 | 2,040,742 |
| Public Service Co. of Oklahoma |
| 02/01/2021 | 4.400% | | 2,256,000 | 2,389,598 |
| Public Service Electric & Gas Co. |
| 05/01/2045 | 4.050% | | 3,005,000 | 3,079,016 |
| Total | 60,059,334 |
| Finance Companies 0.2% |
| AerCap Ireland Capital Ltd./Global Aviation Trust |
| 07/01/2020 | 4.250% | | 1,780,000 | 1,863,169 |
| GE Capital International Funding Co. Unlimited Co. |
| 11/15/2035 | 4.418% | | 1,732,000 | 1,884,965 |
| International Lease Finance Corp.(a) |
| 09/01/2018 | 7.125% | | 1,975,000 | 2,088,410 |
| Total | 5,836,544 |
| Food and Beverage 1.0% |
| Anheuser-Busch InBev Finance, Inc. |
| 02/01/2026 | 3.650% | | 12,934,000 | 13,321,671 |
| 02/01/2046 | 4.900% | | 1,940,000 | 2,189,346 |
| Aramark Services, Inc. |
| 06/01/2026 | 4.750% | | 1,000,000 | 1,038,956 |
| Constellation Brands, Inc. |
| 05/01/2022 | 6.000% | | 1,000,000 | 1,139,038 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 184 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – TCW Core Plus Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| DS Services of America, Inc.(a) |
| 09/01/2021 | 10.000% | | 1,250,000 | 1,328,271 |
| Kraft Heinz Foods Co. |
| 07/15/2025 | 3.950% | | 3,060,000 | 3,151,806 |
| 06/01/2026 | 3.000% | | 1,200,000 | 1,147,900 |
| 07/15/2045 | 5.200% | | 6,250,000 | 6,748,438 |
| Lamb Weston Holdings, Inc.(a) |
| 11/01/2024 | 4.625% | | 1,250,000 | 1,284,896 |
| Total | 31,350,322 |
| Gaming 0.0% |
| Churchill Downs, Inc. |
| 12/15/2021 | 5.375% | | 835,000 | 866,055 |
| MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. |
| 05/01/2024 | 5.625% | | 470,000 | 511,657 |
| Total | 1,377,712 |
| Health Care 1.2% |
| Catholic Health Initiatives |
| 08/01/2018 | 2.600% | | 1,525,000 | 1,533,060 |
| DaVita, Inc. |
| 05/01/2025 | 5.000% | | 500,000 | 500,725 |
| Hartford HealthCare Corp. |
| 04/01/2044 | 5.746% | | 3,000,000 | 3,458,187 |
| HCA, Inc. |
| 02/15/2020 | 6.500% | | 3,650,000 | 3,978,022 |
| 05/01/2023 | 4.750% | | 1,250,000 | 1,321,323 |
| Kaiser Foundation Hospitals |
| 05/01/2027 | 3.150% | | 6,630,000 | 6,643,591 |
| Northwell Healthcare, Inc. |
| 11/01/2043 | 6.150% | | 4,340,000 | 5,545,487 |
| NYU Hospitals Center |
| 07/01/2042 | 4.428% | | 5,936,000 | 6,132,398 |
| Quintiles IMS, Inc.(a) |
| 05/15/2023 | 4.875% | | 1,500,000 | 1,545,646 |
| Tenet Healthcare Corp.(b) |
| 06/15/2020 | 4.746% | | 2,000,000 | 2,018,866 |
| Tenet Healthcare Corp. |
| 10/01/2020 | 6.000% | | 381,000 | 407,968 |
| 10/01/2021 | 4.375% | | 619,000 | 628,166 |
| Tenet Healthcare Corp.(a) |
| 07/15/2024 | 4.625% | | 737,000 | 731,301 |
| THC Escrow Corp. III(a) |
| 07/15/2024 | 4.625% | | 923,000 | 925,383 |
| Total | 35,370,123 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Healthcare Insurance 0.7% |
| Aetna, Inc. |
| 06/07/2018 | 1.700% | | 7,800,000 | 7,802,628 |
| Anthem, Inc. |
| 08/15/2021 | 3.700% | | 2,355,000 | 2,448,795 |
| 05/15/2022 | 3.125% | | 3,000,000 | 3,057,435 |
| 08/15/2044 | 4.650% | | 3,000,000 | 3,258,705 |
| Centene Corp. |
| 01/15/2025 | 4.750% | | 2,080,000 | 2,144,066 |
| Molina Healthcare, Inc. |
| 11/15/2022 | 5.375% | | 300,000 | 318,750 |
| Molina Healthcare, Inc.(a) |
| 06/15/2025 | 4.875% | | 600,000 | 604,459 |
| WellCare Health Plans, Inc. |
| 04/01/2025 | 5.250% | | 980,000 | 1,029,261 |
| Total | 20,664,099 |
| Healthcare REIT 1.7% |
| Alexandria Real Estate Equities, Inc. |
| 06/15/2023 | 3.900% | | 9,700,000 | 9,992,785 |
| HCP, Inc. |
| 11/15/2023 | 4.250% | | 7,150,000 | 7,495,066 |
| 08/15/2024 | 3.875% | | 2,000,000 | 2,035,626 |
| Healthcare Realty Trust, Inc. |
| 01/15/2021 | 5.750% | | 4,215,000 | 4,628,453 |
| Healthcare Trust of America Holdings LP |
| 07/15/2021 | 3.375% | | 8,900,000 | 9,085,164 |
| Ventas Realty LP |
| 01/15/2026 | 4.125% | | 7,205,000 | 7,410,386 |
| 10/15/2026 | 3.250% | | 4,095,000 | 3,930,881 |
| Ventas Realty LP/Capital Corp. |
| 04/01/2020 | 2.700% | | 905,000 | 912,396 |
| 03/01/2022 | 4.250% | | 978,000 | 1,032,352 |
| Welltower, Inc. |
| 01/15/2021 | 4.950% | | 667,000 | 715,760 |
| 03/15/2023 | 3.750% | | 780,000 | 807,466 |
| 06/01/2025 | 4.000% | | 4,305,000 | 4,457,470 |
| Total | 52,503,805 |
| Independent Energy 0.3% |
| Canadian Natural Resources Ltd. |
| 06/01/2027 | 3.850% | | 1,200,000 | 1,190,471 |
| Diamondback Energy, Inc.(a) |
| 11/01/2024 | 4.750% | | 921,000 | 915,000 |
| Marathon Oil Corp. |
| 07/15/2023 | 8.125% | | 2,000,000 | 2,342,202 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 185 |
Portfolio of Investments (continued)
Variable Portfolio – TCW Core Plus Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Noble Energy, Inc. |
| 11/15/2024 | 3.900% | | 1,000,000 | 1,024,283 |
| 11/15/2044 | 5.050% | | 1,700,000 | 1,743,471 |
| QEP Resources, Inc. |
| 10/01/2022 | 5.375% | | 600,000 | 577,985 |
| Total | 7,793,412 |
| Life Insurance 0.6% |
| Guardian Life Insurance Co. of America (The)(a) |
| Subordinated |
| 06/19/2064 | 4.875% | | 1,850,000 | 2,054,603 |
| MassMutual Global Funding II(a) |
| 10/17/2022 | 2.500% | | 3,370,000 | 3,341,466 |
| MetLife, Inc. |
| Junior Subordinated |
| 12/15/2036 | 6.400% | | 4,475,000 | 5,171,453 |
| Pricoa Global Funding I(a) |
| 05/16/2019 | 2.200% | | 4,000,000 | 4,018,016 |
| Prudential Insurance Co. of America (The)(a) |
| Subordinated |
| 07/01/2025 | 8.300% | | 500,000 | 657,646 |
| Teachers Insurance & Annuity Association of America(a),(b) |
| Subordinated |
| 09/15/2054 | 4.375% | | 3,920,000 | 3,958,741 |
| Total | 19,201,925 |
| Metals and Mining 0.0% |
| Gerdau Holdings, Inc.(a) |
| 01/20/2020 | 7.000% | | 300,000 | 321,593 |
| Vale Overseas Ltd. |
| 01/11/2022 | 4.375% | | 315,000 | 320,946 |
| Volcan Cia Minera SAA(a) |
| 02/02/2022 | 5.375% | | 150,000 | 154,309 |
| Total | 796,848 |
| Midstream 1.1% |
| Boardwalk Pipelines LP |
| 06/01/2018 | 5.200% | | 1,000,000 | 1,024,160 |
| Cheniere Corpus Christi Holdings LLC(a) |
| 06/30/2027 | 5.125% | | 300,000 | 308,107 |
| Enbridge Energy Partners LP |
| 10/15/2025 | 5.875% | | 2,500,000 | 2,848,380 |
| Energy Transfer LP |
| 02/01/2024 | 4.900% | | 1,350,000 | 1,425,129 |
| 01/15/2026 | 4.750% | | 1,500,000 | 1,563,091 |
| 02/01/2042 | 6.500% | | 1,525,000 | 1,702,783 |
| 03/15/2045 | 5.150% | | 2,000,000 | 1,936,752 |
| Florida Gas Transmission Co. LLC(a) |
| 05/15/2019 | 7.900% | | 1,902,000 | 2,087,276 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Kinder Morgan Energy Partners LP |
| 09/01/2023 | 3.500% | | 2,510,000 | 2,530,705 |
| 02/01/2024 | 4.150% | | 1,000,000 | 1,027,233 |
| 05/01/2024 | 4.300% | | 2,350,000 | 2,430,910 |
| 09/01/2024 | 4.250% | | 1,500,000 | 1,549,493 |
| Plains All American Pipeline LP/Finance Corp. |
| 10/15/2025 | 4.650% | | 1,473,000 | 1,511,423 |
| Regency Energy Partners LP/Finance Corp. |
| 11/01/2023 | 4.500% | | 1,000,000 | 1,037,169 |
| Rockies Express Pipeline LLC(a) |
| 01/15/2019 | 6.000% | | 1,500,000 | 1,561,502 |
| Texas Eastern Transmission LP(a) |
| 10/15/2022 | 2.800% | | 1,850,000 | 1,817,710 |
| Williams Partners LP |
| 04/15/2040 | 6.300% | | 2,000,000 | 2,320,050 |
| Williams Partners LP/ACMP Finance Corp. |
| 05/15/2023 | 4.875% | | 2,000,000 | 2,076,620 |
| 03/15/2024 | 4.875% | | 2,000,000 | 2,089,662 |
| Total | 32,848,155 |
| Office REIT 0.2% |
| Boston Properties LP |
| 05/15/2021 | 4.125% | | 1,351,000 | 1,425,224 |
| Piedmont Operating Partnership LP |
| 06/01/2023 | 3.400% | | 4,815,000 | 4,697,971 |
| Total | 6,123,195 |
| Packaging 0.1% |
| Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) |
| 05/15/2023 | 4.625% | | 314,000 | 321,682 |
| Reynolds Group Issuer, Inc./LLC |
| 10/15/2020 | 5.750% | | 2,000,000 | 2,046,138 |
| Sealed Air Corp.(a) |
| 12/01/2022 | 4.875% | | 1,022,000 | 1,086,220 |
| 09/15/2025 | 5.500% | | 591,000 | 644,302 |
| Total | 4,098,342 |
| Pharmaceuticals 1.4% |
| Allergan Funding SCS |
| 03/15/2025 | 3.800% | | 3,050,000 | 3,155,048 |
| 03/15/2035 | 4.550% | | 1,000,000 | 1,067,169 |
| Amgen Inc. |
| 06/15/2051 | 4.663% | | 4,000,000 | 4,240,980 |
| Amgen, Inc. |
| 06/15/2048 | 4.563% | | 1,246,000 | 1,305,717 |
| Biogen, Inc. |
| 09/15/2045 | 5.200% | | 2,406,000 | 2,747,585 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 186 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – TCW Core Plus Bond Fund, June 30, 2017 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Celgene Corp. |
| 08/15/2045 | 5.000% | | 4,880,000 | 5,483,676 |
| Gilead Sciences, Inc. |
| 02/01/2025 | 3.500% | | 3,000,000 | 3,081,363 |
| 03/01/2027 | 2.950% | | 3,330,000 | 3,233,480 |
| 03/01/2046 | 4.750% | | 750,000 | 822,831 |
| Johnson & Johnson |
| 12/05/2043 | 4.500% | | 3,135,000 | 3,608,159 |
| Shire Acquisitions Investments Ireland DAC |
| 09/23/2019 | 1.900% | | 10,000,000 | 9,953,920 |
| Valeant Pharmaceuticals International, Inc.(a) |
| 12/01/2021 | 5.625% | | 800,000 | 723,602 |
| 05/15/2023 | 5.875% | | 1,300,000 | 1,114,613 |
| 04/15/2025 | 6.125% | | 2,500,000 | 2,119,570 |
| Total | 42,657,713 |
| Property & Casualty 0.4% |
| Farmers Exchange Capital(a) |
| Subordinated |
| 07/15/2028 | 7.050% | | 3,225,000 | 4,072,514 |
| Farmers Exchange Capital II(a),(b) |
| Subordinated |
| 11/01/2053 | 6.151% | | 3,810,000 | 4,346,436 |
| Nationwide Mutual Insurance Co.(a),(b) |
| Subordinated |
| 12/15/2024 | 3.536% | | 2,815,000 | 2,804,064 |
| Total | 11,223,014 |
| Railroads 0.1% |
| Burlington Northern Santa Fe LLC |
| 04/01/2045 | 4.150% | | 2,025,000 | 2,117,326 |
| Restaurants 0.1% |
| 1011778 BC Unlimited Liability Co./New Red Finance, Inc.(a) |
| 05/15/2024 | 4.250% | | 1,500,000 | 1,490,468 |
| KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(a) |
| 06/01/2027 | 4.750% | | 1,000,000 | 1,019,670 |
| Total | 2,510,138 |
| Retail REIT 0.2% |
| WEA Finance LLC/Westfield UK & Europe Finance PLC(a) |
| 09/17/2019 | 2.700% | | 7,485,000 | 7,546,894 |
| Retailers 0.4% |
| CVS Health Corp. |
| 07/20/2045 | 5.125% | | 3,535,000 | 4,053,836 |
| Walgreens Boots Alliance, Inc. |
| 06/01/2026 | 3.450% | | 1,400,000 | 1,397,148 |
| 11/18/2044 | 4.800% | | 2,500,000 | 2,659,085 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Wal-Mart Stores, Inc. |
| 10/02/2043 | 4.750% | | 3,000,000 | 3,515,304 |
| Total | 11,625,373 |
| Technology 0.3% |
| CDK Global, Inc.(a) |
| 06/01/2027 | 4.875% | | 300,000 | 308,248 |
| Equinix, Inc. |
| 05/15/2027 | 5.375% | | 1,165,000 | 1,245,531 |
| First Data Corp.(a) |
| 01/15/2024 | 5.000% | | 2,000,000 | 2,056,750 |
| Microsoft Corp. |
| 02/12/2045 | 3.750% | | 3,000,000 | 2,988,276 |
| 11/03/2045 | 4.450% | | 1,000,000 | 1,110,948 |
| MSCI, Inc.(a) |
| 08/01/2026 | 4.750% | | 755,000 | 775,825 |
| NXP BV/Funding LLC(a) |
| 06/01/2021 | 4.125% | | 1,500,000 | 1,577,939 |
| Total | 10,063,517 |
| Wireless 0.3% |
| American Tower Corp. |
| 01/15/2018 | 4.500% | | 6,589,000 | 6,679,968 |
| SBA Communications Corp.(a) |
| 09/01/2024 | 4.875% | | 1,380,000 | 1,402,466 |
| Sprint Communications, Inc.(a) |
| 11/15/2018 | 9.000% | | 1,205,000 | 1,309,195 |
| Total | 9,391,629 |
| Wirelines 1.0% |
| AT&T, Inc. |
| 02/17/2026 | 4.125% | | 4,000,000 | 4,099,216 |
| 03/01/2037 | 5.250% | | 6,180,000 | 6,579,741 |
| 06/15/2045 | 4.350% | | 2,849,000 | 2,642,673 |
| 05/15/2046 | 4.750% | | 6,355,000 | 6,242,211 |
| Verizon Communications, Inc.(a) |
| 03/15/2039 | 4.812% | | 2,000,000 | 2,022,004 |
| Verizon Communications, Inc. |
| 11/01/2042 | 3.850% | | 3,750,000 | 3,266,985 |
| 08/21/2046 | 4.862% | | 6,000,000 | 5,993,934 |
| Total | 30,846,764 |
Total Corporate Bonds & Notes
(Cost $725,523,650) | 738,907,489 |
|
| Foreign Government Obligations(f) 0.6% |
| | | | |
| Brazil 0.1% |
| Brazilian Government International Bond |
| 01/05/2023 | 2.625% | | 2,000,000 | 1,852,282 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 187 |
Portfolio of Investments (continued)
Variable Portfolio – TCW Core Plus Bond Fund, June 30, 2017 (Unaudited)
| Foreign Government Obligations(f) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Colombia 0.0% |
| Colombia Government International Bond |
| 01/28/2026 | 4.500% | | 1,000,000 | 1,063,763 |
| Costa Rica 0.0% |
| Costa Rica Government International Bond(a) |
| 01/26/2023 | 4.250% | | 900,000 | 875,300 |
| Croatia 0.0% |
| Croatia Government International Bond(a) |
| 07/14/2020 | 6.625% | | 1,100,000 | 1,212,516 |
| Dominican Republic 0.0% |
| Dominican Republic International Bond(a) |
| 01/28/2024 | 6.600% | | 800,000 | 878,790 |
| Indonesia 0.1% |
| PT Perusahaan Gas Negara Persero Tbk(a) |
| 05/16/2024 | 5.125% | | 2,800,000 | 3,005,845 |
| Kazakhstan 0.0% |
| Kazakhstan Government International Bond(a) |
| 07/21/2025 | 5.125% | | 1,200,000 | 1,302,474 |
| Mexico 0.1% |
| Mexico Government International Bond |
| 01/21/2021 | 3.500% | | 1,100,000 | 1,143,523 |
| Petroleos Mexicanos(a) |
| 03/13/2022 | 5.375% | | 1,400,000 | 1,472,530 |
| Total | 2,616,053 |
| Paraguay 0.0% |
| Paraguay Government International Bond(a) |
| 01/25/2023 | 4.625% | | 200,000 | 208,896 |
| Peru 0.1% |
| Corporación Financiera de Desarrollo SA(a) |
| 07/15/2025 | 4.750% | | 1,100,000 | 1,177,887 |
| Fondo MIVIVIENDA SA(a) |
| 01/31/2023 | 3.500% | | 500,000 | 506,024 |
| Total | 1,683,911 |
| Russian Federation 0.1% |
| Russian Foreign Bond - Eurobond(a) |
| 09/16/2023 | 4.875% | | 1,600,000 | 1,715,545 |
| South Africa 0.0% |
| South Africa Government International Bond |
| 01/17/2024 | 4.665% | | 1,000,000 | 1,010,885 |
| Foreign Government Obligations(f) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Turkey 0.1% |
| Turkey Government International Bond |
| 03/23/2023 | 3.250% | | 1,900,000 | 1,779,603 |
| Venezuela 0.0% |
| Venezuela Government International Bond |
| 09/15/2027 | 9.250% | | 1,250,000 | 622,330 |
Total Foreign Government Obligations
(Cost $19,557,958) | 19,828,193 |
|
| Inflation-Indexed Bonds 2.9% |
| | | | |
| United States 2.9% |
| U.S. Treasury Inflation-Indexed Bond |
| 04/15/2021 | 0.125% | | 15,429,373 | 15,412,588 |
| 04/15/2022 | 0.125% | | 7,681,714 | 7,647,567 |
| 07/15/2026 | 0.125% | | 28,670,473 | 27,672,022 |
| 01/15/2027 | 0.375% | | 10,380,829 | 10,203,428 |
| 02/15/2045 | 0.750% | | 24,282,984 | 22,805,786 |
| 02/15/2047 | 0.875% | | 5,809,383 | 5,643,475 |
| Total | 89,384,866 |
Total Inflation-Indexed Bonds
(Cost $91,177,376) | 89,384,866 |
|
| Municipal Bonds 1.0% |
| Issue Description | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Hospital 0.2% |
| California Health Facilities Financing Authority |
| Refunding Revenue Bonds |
Providence St. Joseph Health
Series 2016 |
| 10/01/2047 | 4.000% | | 4,460,000 | 4,574,399 |
| Local General Obligation 0.3% |
| City of New York |
| Unlimited General Obligation Bonds |
Build America Bonds
Series 2009 |
| 10/01/2031 | 5.206% | | 2,400,000 | 2,825,856 |
Build America Bonds
Series 2010 |
| 10/01/2024 | 5.047% | | 5,000,000 | 5,630,700 |
| Total | 8,456,556 |
| Other Bond Issue 0.1% |
| New York City Transitional Finance Authority |
| Revenue Bonds |
Qualified School Construction Bonds
Subordinated Series 2010 |
| 08/01/2027 | 5.008% | | 3,570,000 | 4,086,115 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 188 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – TCW Core Plus Bond Fund, June 30, 2017 (Unaudited)
| Municipal Bonds (continued) |
| Issue Description | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Special Non Property Tax 0.2% |
| New York City Transitional Finance Authority Future Tax |
| Secured Revenue Bonds |
Build America Bonds
Series 2010 |
| 08/01/2037 | 5.508% | | 2,110,000 | 2,639,906 |
| New York State Dormitory Authority |
| Revenue Bonds |
| Build America Bonds |
| 03/15/2030 | 5.500% | | 3,545,000 | 4,209,971 |
| Total | 6,849,877 |
| Special Property Tax 0.1% |
| New York State Urban Development Corp. |
| Revenue Bonds |
Taxable State Personal Income Tax
Series 2013 |
| 03/15/2022 | 3.200% | | 4,375,000 | 4,546,456 |
| State General Obligation 0.1% |
| Commonwealth of Massachusetts |
| Limited General Obligation Bonds |
| Series 2016E |
| 04/01/2041 | 3.000% | | 1,855,000 | 1,724,000 |
Total Municipal Bonds
(Cost $29,423,418) | 30,237,403 |
|
| Residential Mortgage-Backed Securities - Agency 28.8% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal Home Loan Mortgage Corp. |
04/01/2031-
02/01/2047 | 3.000% | | 95,247,306 | 95,265,630 |
09/01/2032-
08/01/2046 | 3.500% | | 117,173,438 | 120,679,111 |
07/01/2035-
06/01/2041 | 5.000% | | 2,021,205 | 2,213,557 |
04/01/2036-
11/01/2039 | 6.000% | | 327,983 | 369,732 |
06/01/2038-
02/01/2041 | 5.500% | | 1,613,377 | 1,789,643 |
03/01/2039-
03/01/2041 | 4.500% | | 8,998,371 | 9,679,535 |
08/01/2044-
08/11/2046 | 4.000% | | 45,017,975 | 47,498,588 |
| Federal Home Loan Mortgage Corp.(d) |
| 08/13/2045 | 4.500% | | 3,480,000 | 3,723,477 |
| Federal Home Loan Mortgage Corp.(g) |
| 03/01/2047 | 3.000% | | 16,293,824 | 16,269,140 |
| Federal Home Loan Mortgage Corp.(b) |
| CMO Series 2863 Class FM |
| 10/15/2031 | 1.659% | | 2,889,186 | 2,909,541 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal Home Loan Mortgage Corp.(b),(c) |
| CMO Series 2980 Class SL |
| 11/15/2034 | 5.541% | | 384,691 | 100,582 |
| Federal Home Loan Mortgage Corp.(c) |
| CMO Series 4037 Class PI |
| 04/15/2027 | 3.000% | | 1,099,115 | 90,629 |
| CMO Series 4090 Class EI |
| 08/15/2022 | 2.500% | | 1,325,938 | 60,970 |
| CMO Series 4093 Class IA |
| 03/15/2042 | 4.000% | | 2,157,500 | 601,701 |
| Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates |
| CMO Series K151 Class A3 |
| 04/25/2030 | 3.511% | | 7,010,000 | 7,217,439 |
| Federal National Mortgage Association |
12/01/2025-
07/13/2047 | 3.500% | | 32,452,333 | 33,447,279 |
| 09/01/2026 | 2.500% | | 10,571,744 | 10,691,368 |
06/01/2032-
08/01/2043 | 3.000% | | 29,214,522 | 29,832,149 |
05/01/2033-
08/01/2039 | 5.000% | | 457,143 | 500,052 |
11/01/2038-
11/01/2040 | 6.000% | | 4,853,518 | 5,522,449 |
08/01/2043-
07/13/2047 | 4.000% | | 108,793,378 | 114,651,820 |
02/01/2046-
04/01/2047 | 4.500% | | 86,994,455 | 93,468,101 |
| CMO Series 2013-13 Class PH |
| 04/25/2042 | 2.500% | | 7,939,836 | 7,971,065 |
| Federal National Mortgage Association(d) |
| 08/11/2046 | 4.500% | | 27,285,000 | 29,231,720 |
| 07/13/2047 | 3.000% | | 825,000 | 823,888 |
| Federal National Mortgage Association(g) |
| 02/01/2047 | 3.500% | | 18,457,509 | 18,968,765 |
| Federal National Mortgage Association(b),(c) |
| CMO Series 2004-94 Class HJ |
| 10/25/2034 | 5.484% | | 201,827 | 17,164 |
| CMO Series 2006-8 Class HL |
| 03/25/2036 | 5.484% | | 2,015,068 | 381,053 |
| CMO Series 2013-81 Class NS |
| 10/25/2042 | 4.984% | | 846,280 | 114,647 |
| CMO Series 2013-M12 Class SA |
| 10/25/2017 | 5.454% | | 109,241 | 687 |
| CMO Series 2013-M14 Class SA |
| 08/25/2018 | 5.434% | | 12,070,234 | 362,831 |
| Federal National Mortgage Association(c) |
| CMO Series 2013-45 Class IK |
| 02/25/2043 | 3.000% | | 613,838 | 93,593 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 189 |
Portfolio of Investments (continued)
Variable Portfolio – TCW Core Plus Bond Fund, June 30, 2017 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Government National Mortgage Association |
08/15/2033-
11/15/2039 | 4.500% | | 316,122 | 342,658 |
04/15/2035-
06/15/2041 | 5.000% | | 892,333 | 981,067 |
07/15/2040-
12/15/2041 | 4.000% | | 1,537,426 | 1,623,638 |
04/20/2046-
04/20/2047 | 3.500% | | 73,818,255 | 76,540,073 |
12/20/2046-
03/20/2047 | 3.000% | | 37,806,302 | 38,227,355 |
| Government National Mortgage Association(d) |
| 07/22/2043 | 4.500% | | 32,875,000 | 34,939,961 |
| 07/20/2047 | 3.000% | | 630,000 | 636,349 |
| 07/20/2047 | 3.500% | | 14,795,000 | 15,324,383 |
| 07/20/2047 | 4.000% | | 52,660,000 | 55,412,307 |
| Government National Mortgage Association(h) |
| CMO Series 2006-26 Class |
| 06/20/2036 | 0.000% | | 55,520 | 48,659 |
| Government National Mortgage Association(b),(c) |
| CMO Series 2011-78 Class IX |
| 08/16/2046 | 0.298% | | 16,018,864 | 455,536 |
| CMO Series 2013-124 Class SB |
| 10/20/2041 | 4.938% | | 2,336,262 | 223,839 |
Total Residential Mortgage-Backed Securities - Agency
(Cost $887,103,969) | 879,303,731 |
|
| Residential Mortgage-Backed Securities - Non-Agency 6.2% |
| | | | |
| Asset-Backed Funding Certificates Trust(b) |
| CMO Series 2005-HE1 Class M1 |
| 03/25/2035 | 1.846% | | 8,348,713 | 8,234,246 |
| CMO Series 2005-WF1 Class A2C |
| 12/25/2034 | 1.836% | | 949,944 | 949,684 |
| Banc of America Funding Trust(b) |
| Series 2006-G Class 2A1 |
| 07/20/2036 | 1.432% | | 4,812,990 | 4,807,622 |
| BCAP LLC Trust(a),(b) |
| 03/26/2037 | 2.908% | | 2,946,951 | 2,957,919 |
| CMO Series 2014-RR2 Class 11A1 |
| 05/26/2037 | 1.220% | | 3,866,294 | 3,766,524 |
| BCAP LLC Trust(b) |
| CMO Series 2007-AA1 Class 2A1 |
| 03/25/2037 | 1.204% | | 8,211,136 | 7,735,808 |
| Bear Stearns Asset-Backed Securities I Trust(b) |
| CMO Series 2005-HE12 Class M1 |
| 12/25/2035 | 1.696% | | 7,924,095 | 7,917,517 |
| Citigroup Mortgage Loan Trust, Inc.(b) |
| CMO Series 2006-NC1 Class A2C |
| 08/25/2036 | 1.356% | | 1,844,765 | 1,811,753 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Citigroup Mortgage Loan Trust, Inc.(a),(b) |
| CMO Series 2015-6 Class 1A1 |
| 05/20/2047 | 1.220% | | 6,462,420 | 6,360,227 |
| CMO Series 2015-6 Class 2A1 |
| 12/25/2035 | 1.298% | | 7,329,374 | 7,010,611 |
| CitiMortgage Alternative Loan Trust |
| CMO Series 2006-A5 Class 1A12 |
| 10/25/2036 | 6.000% | | 3,035,343 | 2,751,961 |
| Countrywide Alternative Loan Trust(b) |
| CMO Series 2005-76 Class 1A1 |
| 01/25/2036 | 2.212% | | 6,800,714 | 6,455,159 |
| Series 2006-HY12 Class A5 |
| 08/25/2036 | 3.156% | | 10,911,812 | 10,746,175 |
| Credit Suisse First Boston Mortgage Securities Corp.(b) |
| CMO Series 2004-AR8 Class 7A1 |
| 09/25/2034 | 3.148% | | 554,930 | 544,999 |
| Series 2004-AR5 Class 2A1 |
| 06/25/2034 | 3.501% | | 1,927,683 | 1,915,330 |
| Credit Suisse Mortgage Capital Certificates(a),(b) |
| CMO Series 2014-6R Class 5A1 |
| 07/27/2036 | 1.144% | | 2,412,593 | 2,313,900 |
| CMO Series 2015-5R Class 2A1 |
| 04/27/2047 | 1.304% | | 6,691,993 | 6,510,871 |
| Credit Suisse Mortgage Capital Certificates(a) |
| CMO Series 2015-5R Class 1A1 |
| 09/27/2046 | 1.066% | | 7,337,441 | 7,141,860 |
| Series 2009-14R Class 2A1 |
| 06/26/2037 | 5.000% | | 883,877 | 894,047 |
| Encore Credit Receivables Trust(b) |
| CMO Series 2005-4 Class M1 |
| 01/25/2036 | 1.636% | | 3,537,616 | 3,532,727 |
| First Horizon Alternative Mortgage Securities Trust(b) |
| CMO Series 2005-AA10 Class 2A1 |
| 12/25/2035 | 3.110% | | 3,970,783 | 3,505,851 |
| CMO Series 2005-AA7 Class 2A1 |
| 09/25/2035 | 3.079% | | 3,569,411 | 3,196,736 |
| CMO Series 2005-AA8 Class 2A1 |
| 10/25/2035 | 3.145% | | 7,552,311 | 6,466,340 |
| First Horizon Alternative Mortgage Securities Trust |
| CMO Series 2006-FA8 Class 1A11 |
| 02/25/2037 | 6.000% | | 1,482,212 | 1,212,284 |
| GMAC Mortgage Loan Trust(b) |
| CMO Series 2005-AR6 Class 2A1 |
| 11/19/2035 | 3.661% | | 2,961,513 | 2,877,871 |
| GSAA Home Equity Trust(b) |
| Series 2005-9 Class 1A1 |
| 08/25/2035 | 1.496% | | 1,774,500 | 1,739,034 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 190 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – TCW Core Plus Bond Fund, June 30, 2017 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| GSR Mortgage Loan Trust(b) |
| CMO Series 2005-AR6 Class 4A5 |
| 09/25/2035 | 3.122% | | 1,377,111 | 1,380,738 |
| IndyMac Index Mortgage Loan Trust(b) |
| CMO Series 2006-AR27 Class 1A3 |
| 10/25/2036 | 1.294% | | 6,653,822 | 4,424,533 |
| Merrill Lynch First Franklin Mortgage Loan Trust(b) |
| CMO Series 2007-2 Class A2C |
| 05/25/2037 | 1.456% | | 5,167,272 | 3,212,291 |
| Merrill Lynch Mortgage-Backed Securities Trust(b) |
| CMO Series 2007-2 Class 1A1 |
| 08/25/2036 | 3.132% | | 2,990,796 | 2,759,505 |
| Morgan Stanley Mortgage Loan Trust(b) |
| CMO Series 2005-2AR Class A |
| 04/25/2035 | 1.476% | | 3,014,183 | 2,825,851 |
| MortgageIT Trust(b) |
| CMO Series 2005-4 Class A1 |
| 10/25/2035 | 1.496% | | 7,544,025 | 7,201,526 |
| Nationstar Home Equity Loan Trust(b) |
| CMO Series 2006-B Class AV4 |
| 09/25/2036 | 1.496% | | 9,759,531 | 9,640,647 |
| Nomura Resecuritization Trust(a),(b) |
| CMO Series 2014-2R Class 2A1 |
| 10/26/2036 | 1.497% | | 1,336,302 | 1,327,883 |
| CMO Series 2014-3R Class 1A1 |
| 01/26/2037 | 1.233% | | 321,005 | 320,430 |
| RALI Trust(b) |
| CMO Series 2005-QA8 Class CB21 |
| 07/25/2035 | 3.884% | | 2,627,661 | 2,096,185 |
| Residential Asset Securities Corp. Trust(b) |
| CMO Series 2005-KS8 Class M2 |
| 08/25/2035 | 1.666% | | 3,237,132 | 3,233,455 |
| Saxon Asset Securities Trust(b) |
| Series 2006-2 Class A2 |
| 09/25/2036 | 1.346% | | 3,015,118 | 2,937,723 |
| Soundview Home Loan Trust(b) |
| CMO Series 2005-OPT4 Class 2A3 |
| 12/25/2035 | 1.284% | | 1,388,864 | 1,385,369 |
| STRU (a),(g) |
| CMO Series 2017-TCW Class A |
| 05/17/2037 | 2.500% | | 5,615,000 | 5,660,403 |
| Structured Asset Investment Loan Trust(b) |
| CMO Series 2005-8 Class A4 |
| 10/25/2035 | 1.936% | | 1,536,796 | 1,535,633 |
| WaMu Mortgage Pass-Through Certificates(b) |
| CMO Series 2006-AR4 Class 1A1A |
| 05/25/2046 | 1.672% | | 6,175,919 | 5,805,336 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| WaMu Mortgage Pass-Through Certificates Trust(b) |
| CMO Series 2003-AR10 Class A7 |
| 10/25/2033 | 2.836% | | 1,519,634 | 1,551,295 |
| CMO Series 2003-AR9 Class 1A6 |
| 09/25/2033 | 2.789% | | 1,086,781 | 1,100,745 |
| CMO Series 2005-AR15 Class A1A1 |
| 11/25/2045 | 1.476% | | 4,720,282 | 4,529,876 |
| CMO Series 2006-AR11 Class 1A |
| 09/25/2046 | 1.736% | | 9,418,846 | 7,951,694 |
| CMO Series 2007-HY2 Class 1A1 |
| 12/25/2036 | 2.953% | | 5,278,172 | 4,997,152 |
| Series 2005-AR4 Class A5 |
| 04/25/2035 | 3.029% | | 1,957,570 | 1,928,365 |
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $188,461,748) | 191,163,691 |
|
| Senior Loans 0.3% |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Electric 0.0% |
| Homer City Generation LP(b),(i) |
| Term Loan |
| 04/05/2023 | 12.230% | | 389,384 | 353,366 |
| Vistra Operations Co. LLC(b),(i) |
| Term Loan |
| 08/04/2023 | 3.976% | | 285,924 | 283,245 |
| Tranche C Term Loan |
| 08/04/2023 | 3.795% | | 65,538 | 64,924 |
| Total | 701,535 |
| Environmental 0.0% |
| STI Infrastructure SARL(b),(i) |
| Term Loan |
| 08/22/2020 | 6.546% | | 658,149 | 618,660 |
| Finance Companies 0.0% |
| Delos Finance SARL(b),(i) |
| Term Loan |
| 10/06/2023 | 3.546% | | 965,000 | 967,567 |
| Gaming 0.1% |
| Twin River Management Group, Inc.(b),(i) |
| Term Loan |
| 07/10/2020 | 4.796% | | 1,185,519 | 1,194,411 |
| Independent Energy 0.0% |
| EMG Utica LLC(b),(i) |
| Term Loan |
| 03/27/2020 | 5.191% | | 857,570 | 857,570 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 191 |
Portfolio of Investments (continued)
Variable Portfolio – TCW Core Plus Bond Fund, June 30, 2017 (Unaudited)
| Senior Loans (continued) |
| Borrower | Weighted
Average Coupon | | Principal
Amount ($) | Value ($) |
| Midstream 0.1% |
| Power Buyer LLC(b),(i) |
| 1st Lien Term Loan |
| 05/06/2020 | 4.546% | | 1,456,663 | 1,442,096 |
| Oil Field Services 0.1% |
| Drillships Ocean Ventures, Inc.(b),(i) |
| Term Loan |
| 07/25/2021 | 0.000% | | 1,462,500 | 1,201,692 |
| Packaging 0.0% |
| Reynolds Group Holdings, Inc.(b),(i) |
| Term Loan |
| 02/05/2023 | 4.226% | | 1,091,764 | 1,092,561 |
Total Senior Loans
(Cost $8,391,344) | 8,076,092 |
|
| Treasury Bills 1.0% |
| Issuer | Effective
Yield | | Principal
Amount ($) | Value ($) |
| United States 1.0% |
| U.S. Treasury Bills(j) |
| 08/31/2017 | 0.890% | | 27,715,000 | 27,673,339 |
| Total | | | | 27,673,339 |
| U.S. Treasury Bills(j),(k) |
| 09/07/2017 | 0.920% | | 1,940,000 | 1,936,623 |
| Total | | | | 1,936,623 |
| Total | 29,609,962 |
Total Treasury Bills
(Cost $29,607,140) | 29,609,962 |
|
| U.S. Treasury Obligations 21.4% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| U.S. Treasury |
| 04/30/2019 | 1.250% | | 66,005,000 | 65,852,156 |
| 05/31/2019 | 1.250% | | 38,390,000 | 38,301,984 |
| 01/31/2022 | 1.500% | | 47,155,000 | 46,445,561 |
| 04/30/2022 | 1.875% | | 30,130,000 | 30,127,035 |
| 05/31/2022 | 1.750% | | 86,235,000 | 85,730,787 |
| 06/30/2022 | 1.750% | | 196,265,000 | 195,009,734 |
| 05/15/2027 | 2.375% | | 42,110,000 | 42,381,537 |
| 05/15/2047 | 3.000% | | 145,090,000 | 149,798,564 |
Total U.S. Treasury Obligations
(Cost $652,014,986) | 653,647,358 |
| Money Market Funds 12.2% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(l),(m) | 374,310,926 | 374,310,926 |
Total Money Market Funds
(Cost $374,288,272) | 374,310,926 |
Total Investments
(Cost: $3,363,368,804) | 3,370,161,614 |
| Other Assets & Liabilities, Net | | (313,216,646) |
| Net Assets | 3,056,944,968 |
At June 30, 2017, securities and/or cash totaling $1,545,306 were pledged as collateral.
Investments in derivatives
| Forward foreign currency exchange contracts open at June 30, 2017 |
| Counterparty | Exchange
date | Currency to
be delivered | Currency to
be received | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Goldman Sachs | 9/25/2017 | 3,440,000,000 JPY | 31,071,188 USD | 374,324 | — |
| Goldman Sachs | 9/25/2017 | 30,795,619 USD | 3,440,000,000 JPY | — | (98,755) |
| Total | | | | 374,324 | (98,755) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 192 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – TCW Core Plus Bond Fund, June 30, 2017 (Unaudited)
Investments in derivatives (continued)
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| 90-Day Euro$ | 380 | USD | 93,598,750 | 12/2017 | — | (57,992) |
| 90-Day Euro$ | 380 | USD | 93,598,750 | 12/2017 | — | (105,491) |
| U.S. Treasury 2-Year Note | 1,421 | USD | 307,091,423 | 09/2017 | — | (430,987) |
| U.S. Treasury 5-Year Note | 85 | USD | 10,016,055 | 09/2017 | — | (23,408) |
| U.S. Treasury 5-Year Note | 767 | USD | 90,380,164 | 09/2017 | — | (213,977) |
| Total | | | 594,685,142 | | — | (831,855) |
| Short futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| 90-Day Euro$ | (380) | USD | (93,290,000) | 12/2018 | 100,606 | — |
| 90-Day Euro$ | (380) | USD | (93,290,000) | 12/2018 | 89,258 | — |
| Total | | | (186,580,000) | | 189,864 | — |
Notes to Portfolio of Investments
| (a) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At June 30, 2017, the value of these securities amounted to $288,135,063, which represents 9.43% of net assets. |
| (b) | Variable rate security. |
| (c) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (d) | Represents a security purchased on a when-issued basis. |
| (e) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2017, the value of these securities amounted to $708,970, which represents 0.02% of net assets. |
| (f) | Principal and interest may not be guaranteed by the government. |
| (g) | Represents a security purchased on a forward commitment basis. |
| (h) | Represents principal only securities which have the right to receive the principal portion only on an underlying pool of mortgage loans. |
| (i) | Senior loans have interest rates that float periodically based primarily on the London Interbank Offered Rate (“LIBOR”) and other short-term rates. The interest rate shown reflects the weighted average coupon as of June 30, 2017. The interest rate shown for senior loans purchased on a when-issued or delayed delivery basis, if any, reflects an estimated average coupon. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted. |
| (j) | Zero coupon bond. |
| (k) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (l) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (m) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 330,872,255 | 1,523,276,526 | (1,479,837,855) | 374,310,926 | (25,332) | 1,235,403 | 374,310,926 |
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
| PIK | Payment In Kind |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 193 |
Portfolio of Investments (continued)
Variable Portfolio – TCW Core Plus Bond Fund, June 30, 2017 (Unaudited)
Currency Legend
| JPY | Japanese Yen |
| USD | US Dollar |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Asset-Backed Securities — Non-Agency | — | 187,425,876 | — | — | 187,425,876 |
| Commercial Mortgage-Backed Securities - Agency | — | 130,795,467 | — | — | 130,795,467 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 37,470,560 | — | — | 37,470,560 |
| Corporate Bonds & Notes | — | 738,907,489 | — | — | 738,907,489 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 194 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – TCW Core Plus Bond Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Foreign Government Obligations | — | 19,828,193 | — | — | 19,828,193 |
| Inflation-Indexed Bonds | — | 89,384,866 | — | — | 89,384,866 |
| Municipal Bonds | — | 30,237,403 | — | — | 30,237,403 |
| Residential Mortgage-Backed Securities - Agency | — | 879,303,731 | — | — | 879,303,731 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 184,175,405 | 6,988,286 | — | 191,163,691 |
| Senior Loans | — | 8,076,092 | — | — | 8,076,092 |
| Treasury Bills | 29,609,962 | — | — | — | 29,609,962 |
| U.S. Treasury Obligations | 653,647,358 | — | — | — | 653,647,358 |
| Money Market Funds | — | — | — | 374,310,926 | 374,310,926 |
| Total Investments | 683,257,320 | 2,305,605,082 | 6,988,286 | 374,310,926 | 3,370,161,614 |
| Derivatives | | | | | |
| Asset | | | | | |
| Forward Foreign Currency Exchange Contracts | — | 374,324 | — | — | 374,324 |
| Futures Contracts | 189,864 | — | — | — | 189,864 |
| Liability | | | | | |
| Forward Foreign Currency Exchange Contracts | — | (98,755) | — | — | (98,755) |
| Futures Contracts | (831,855) | — | — | — | (831,855) |
| Total | 682,615,329 | 2,305,880,651 | 6,988,286 | 374,310,926 | 3,369,795,192 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
Derivative instruments are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between Levels 1 and 2 during the period.
Financial assets were transferred from Level 3 to Level 2 as observable market inputs were utilized and management determined that there was sufficient, reliable and observable market data to value these assets as of period end.
Transfers between Levels are determined based on the fair value at the beginning of the period for security positions held throughout the period.
The following table(s) shows transfers between Levels of the fair value hierarchy:
| Transfers In | Transfers Out |
| Level 2 ($) | Level 3 ($) | Level 2 ($) | Level 3 ($) |
| 1,462,202 | - | - | 1,462,202 |
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain senior loans classified as Level 3 securities are valued using the market approach and utilize single market quotations from broker dealers which may have included, but were not limited to, observable transactions for identical or similar assets in the market and the distressed nature of the security. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, manual price reviews and other control procedures. Significant increases (decreases) to any of these inputs would result in a significantly lower (higher) fair value measurement.
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 195 |
Portfolio of Investments
Variable Portfolio – Wells Fargo Short Duration Government Fund, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Asset-Backed Securities — Non-Agency 15.2% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Avis Budget Rental Car Funding AESOP LLC(a) |
| Series 2014-2A Class A |
| 02/20/2021 | 2.500% | | 5,259,000 | 5,245,436 |
| Series 2015-1A Class A |
| 07/20/2021 | 2.500% | | 4,904,000 | 4,881,984 |
| California Republic Auto Receivables Trust |
| Series 2016-1 Class A4 |
| 10/15/2021 | 2.240% | | 5,570,000 | 5,603,941 |
| Series 2017-1 Class A4 |
| 06/15/2022 | 2.280% | | 5,123,000 | 5,121,016 |
| GM Financial Automobile Leasing Trust |
| Series 2017-2 Class A4 |
| 06/21/2021 | 2.180% | | 4,745,000 | 4,733,015 |
| Hertz Vehicle Financing II LP(a) |
| Series 2015-1A Class A |
| 03/25/2021 | 2.730% | | 7,723,000 | 7,679,206 |
| Series 2015-3A Class A |
| 09/25/2021 | 2.670% | | 7,275,000 | 7,236,168 |
| Hertz Vehicle Financing LLC(a) |
| Series 2016-3A Class A |
| 07/25/2020 | 2.270% | | 3,475,000 | 3,446,651 |
| Navient Private Education Loan Trust(a),(b) |
| Series 2014-CTA Class A |
| 09/16/2024 | 1.859% | | 6,274,539 | 6,284,140 |
| Navient Student Loan Trust(a),(b) |
| Series 2017-1A Class A2 |
| 07/26/2066 | 1.774% | | 9,000,000 | 9,082,830 |
| Series 2017-3A Class A2 |
| 07/26/2066 | 1.661% | | 5,109,000 | 5,129,790 |
| Nelnet Student Loan Trust(b) |
| Series 2004-4 Class A5 |
| 01/25/2037 | 1.316% | | 5,395,140 | 5,326,795 |
| Series 2006-1 Class A5 |
| 08/23/2027 | 1.296% | | 2,228,739 | 2,222,366 |
| Nelnet Student Loan Trust(a),(b) |
| Series 2016-1A Class A |
| 09/25/2065 | 2.016% | | 10,210,399 | 10,317,289 |
| SLC Student Loan Trust(b) |
| Series 2010-1 Class A |
| 11/25/2042 | 2.064% | | 2,373,157 | 2,405,879 |
| SLM Private Education Loan Trust(a),(b) |
| Series 2010-A Class 1A |
| 05/16/2044 | 3.992% | | 1,713,142 | 1,750,799 |
| Series 2014-A Class A2B |
| 01/15/2026 | 2.309% | | 4,666,000 | 4,706,118 |
| SLM Private Education Loan Trust(a) |
| Series 2012-E Class A2A |
| 06/15/2045 | 2.090% | | 2,359,378 | 2,361,080 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2014-A Class A2A |
| 01/15/2026 | 2.590% | | 2,811,000 | 2,830,743 |
| SLM Student Loan Trust(b) |
| Series 2005-6 Class A5A |
| 07/27/2026 | 1.266% | | 756,388 | 756,305 |
| Series 2005-6 Class A5B |
| 07/27/2026 | 2.356% | | 965,985 | 970,660 |
| Series 2005-6 Class A6 |
| 10/27/2031 | 1.296% | | 3,846,000 | 3,780,943 |
| Series 2005-8 Class A4 |
| 01/25/2028 | 1.706% | | 3,774,228 | 3,795,767 |
| SMB Private Education Loan Trust(a) |
| Series 2015-A Class A2A |
| 06/15/2027 | 2.490% | | 4,804,000 | 4,823,385 |
| Series 2015-C Class A2A |
| 07/15/2027 | 2.750% | | 6,025,000 | 6,095,783 |
| SoFi Professional Loan Program LLC(a),(b) |
| Series 2016-C Class A1 |
| 10/27/2036 | 2.124% | | 3,380,388 | 3,413,938 |
| Series 2016-D Class A1 |
| 01/25/2039 | 2.166% | | 7,948,665 | 8,032,820 |
| Series 2016-E Class A1 |
| 07/25/2039 | 2.066% | | 3,869,705 | 3,877,709 |
| Series 2017-A Class A1 |
| 03/26/2040 | 1.916% | | 4,684,685 | 4,704,914 |
| Series 2017-C Class A1 |
| 07/25/2040 | 2.630% | | 6,185,000 | 6,184,606 |
| TCF Auto Receivables Owner Trust(a) |
| Series 2015-1A Class A4 |
| 11/16/2020 | 1.960% | | 7,308,000 | 7,315,868 |
| Series 2016-1A Class A3 |
| 04/15/2021 | 1.710% | | 3,258,000 | 3,247,592 |
Total Asset-Backed Securities — Non-Agency
(Cost $152,894,096) | 153,365,536 |
|
| Commercial Mortgage-Backed Securities - Agency 2.8% |
| | | | |
| Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates |
| Series K017 Class A1 |
| 12/25/2020 | 1.891% | | 2,071,903 | 2,076,308 |
| Federal National Mortgage Association(b) |
| Series 2015-M10 Class FA |
| 03/25/2019 | 1.286% | | 4,926,343 | 4,927,710 |
| Series 2015-M4 Class FA |
| 09/25/2018 | 1.245% | | 15,730,499 | 15,726,358 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 196 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Wells Fargo Short Duration Government Fund, June 30, 2017 (Unaudited)
| Commercial Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2015-M8 Class FA |
| 11/25/2018 | 1.203% | | 5,360,007 | 5,363,439 |
Total Commercial Mortgage-Backed Securities - Agency
(Cost $28,100,560) | 28,093,815 |
|
| Commercial Mortgage-Backed Securities - Non-Agency 1.8% |
| | | | |
| DBUBS Mortgage Trust(a) |
| Series 2011-LC2A Class A1 |
| 07/10/2044 | 3.527% | | 335,164 | 344,073 |
| GS Mortgage Securities Corp. Trust(a) |
| Series 2010-C2 Class A1 |
| 12/10/2043 | 3.849% | | 1,041,099 | 1,070,826 |
| GS Mortgage Securities Trust(a) |
| Series 2010-C1 Class A1 |
| 08/10/2043 | 3.679% | | 1,855,988 | 1,897,170 |
| GS Mortgage Securities Trust |
| Series 2012-GCJ7 Class AAB |
| 05/10/2045 | 2.935% | | 1,846,000 | 1,868,464 |
| JPMBB Commercial Mortgage Securities Trust |
| Series 2014-C18 Class A1 |
| 02/15/2047 | 1.254% | | 651,146 | 649,612 |
| JPMorgan Chase Commercial Mortgage Securities Trust(a) |
| Series 2010-C1 Class A2 |
| 06/15/2043 | 4.608% | | 2,767,345 | 2,879,347 |
| Series 2010-C2 Class A2 |
| 11/15/2043 | 3.616% | | 3,457,241 | 3,479,173 |
| Series 2010-CNTR Class A1 |
| 08/05/2032 | 3.300% | | 1,220,191 | 1,227,663 |
| Series 2011-C4 Class A3 |
| 07/15/2046 | 4.106% | | 1,167,526 | 1,187,482 |
| JPMorgan Chase Commercial Mortgage Securities Trust |
| Series 2012-CBX Class A3 |
| 06/15/2045 | 3.139% | | 2,275,022 | 2,301,816 |
| Morgan Stanley Bank of America Merrill Lynch Trust |
| Series 2012-C6 Class A2 |
| 11/15/2045 | 1.868% | | 136,488 | 136,448 |
| Morgan Stanley Capital I Trust(a) |
| Series 2011-C2 Class A3 |
| 06/15/2044 | 4.210% | | 1,032,693 | 1,062,959 |
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $18,677,474) | 18,105,033 |
|
| Residential Mortgage-Backed Securities - Agency 38.7% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal Home Loan Mortgage Corp. |
10/01/2018-
04/01/2031 | 4.500% | | 4,840,939 | 5,122,288 |
11/01/2028-
08/01/2035 | 4.000% | | 59,451,783 | 62,994,918 |
08/01/2029-
06/01/2032 | 3.500% | | 8,916,312 | 9,311,836 |
| CMO Series 3272 Class PA |
| 02/15/2037 | 6.000% | | 1,729,123 | 1,948,101 |
| CMO Series 4248 |
| 06/15/2042 | 3.500% | | 8,430,766 | 8,627,657 |
| CMO Series 4266 Class GA |
| 10/15/2030 | 3.000% | | 853,320 | 875,917 |
| CMO Series 4297 Class CA |
| 12/15/2030 | 3.000% | | 968,545 | 993,688 |
| CMO Series 4425 Class A |
| 09/15/2040 | 4.000% | | 3,926,736 | 4,155,110 |
| CMO Series 4425 Class LA |
| 07/15/2039 | 4.000% | | 8,031,518 | 8,398,551 |
| Federal Home Loan Mortgage Corp.(c) |
| 04/01/2032 | 4.000% | | 969,475 | 1,039,412 |
| Federal Home Loan Mortgage Corp. Structured Pass-Through Securities |
| Series T-11 Class A8 |
| 01/25/2028 | 6.500% | | 1,229,595 | 1,354,274 |
| Federal National Mortgage Association |
01/01/2020-
01/01/2034 | 4.500% | | 33,614,484 | 35,010,030 |
02/01/2023-
08/01/2030 | 5.000% | | 4,729,237 | 4,942,747 |
12/01/2025-
02/01/2034 | 4.000% | | 130,698,562 | 138,571,759 |
07/01/2027-
03/01/2033 | 3.500% | | 76,354,404 | 79,934,778 |
| CMO Series 1993-201 Class L |
| 10/25/2023 | 6.500% | | 641,639 | 696,822 |
| CMO Series 2005-91 |
| 10/25/2020 | 4.500% | | 1,333,913 | 1,355,596 |
| CMO Series 2009-20 Class DT |
| 04/25/2039 | 4.500% | | 3,867,346 | 4,194,116 |
| CMO Series 2013-103 Class H |
| 03/25/2038 | 4.500% | | 7,351,029 | 7,881,213 |
| Federal National Mortgage Association(c) |
| 03/01/2032 | 3.500% | | 4,950,459 | 5,160,496 |
| Government National Mortgage Association(b) |
| CMO Series 2011-137 Class WA |
| 07/20/2040 | 5.544% | | 4,046,847 | 4,539,456 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 197 |
Portfolio of Investments (continued)
Variable Portfolio – Wells Fargo Short Duration Government Fund, June 30, 2017 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2016-112 Class AW |
| 12/20/2040 | 7.146% | | 3,978,416 | 4,630,447 |
Total Residential Mortgage-Backed Securities - Agency
(Cost $393,149,913) | 391,739,212 |
|
| Residential Mortgage-Backed Securities - Non-Agency 0.9% |
| | | | |
| COLT Mortgage Loan Trust(a),(b) |
| CMO Series 2017-1 Class A1 |
| 05/27/2047 | 2.614% | | 9,283,311 | 9,303,042 |
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $9,283,152) | 9,303,042 |
|
| U.S. Treasury Obligations 39.0% |
| | | | |
| U.S. Treasury |
| 10/31/2017 | 0.750% | | 42,201,000 | 42,148,760 |
| 07/31/2018 | 0.750% | | 2,399,000 | 2,385,225 |
| 08/31/2018 | 0.750% | | 35,712,000 | 35,483,211 |
| 11/30/2018 | 1.000% | | 13,764,000 | 13,699,585 |
| 12/31/2018 | 1.250% | | 16,787,000 | 16,763,005 |
| 01/31/2019 | 1.125% | | 11,199,000 | 11,159,237 |
| 02/28/2019 | 1.125% | | 43,900,000 | 43,737,360 |
| 03/31/2019 | 1.250% | | 13,002,000 | 12,976,090 |
| 04/30/2019 | 1.250% | | 9,995,000 | 9,971,855 |
| 05/31/2019 | 1.250% | | 1,500,000 | 1,496,561 |
| U.S. Treasury Obligations (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 06/15/2019 | 0.875% | | 21,326,000 | 21,120,918 |
| 06/30/2019 | 1.250% | | 4,537,000 | 4,525,098 |
| 08/15/2019 | 0.750% | | 21,447,000 | 21,159,121 |
| 11/15/2019 | 1.000% | | 11,369,000 | 11,250,234 |
| 12/15/2019 | 1.375% | | 28,036,000 | 27,981,647 |
| 01/15/2020 | 1.375% | | 7,028,000 | 7,011,235 |
| 02/15/2020 | 1.375% | | 20,190,000 | 20,128,682 |
| 03/15/2020 | 1.625% | | 29,829,000 | 29,925,674 |
| 04/15/2020 | 1.500% | | 12,664,000 | 12,656,178 |
| 06/15/2020 | 1.500% | | 48,356,000 | 48,294,499 |
Total U.S. Treasury Obligations
(Cost $394,482,396) | 393,874,175 |
| Money Market Funds 2.5% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(d),(e) | 25,772,749 | 25,772,749 |
Total Money Market Funds
(Cost $25,770,172) | 25,772,749 |
Total Investments
(Cost: $1,022,357,763) | 1,020,253,562 |
| Other Assets & Liabilities, Net | | (9,015,380) |
| Net Assets | 1,011,238,182 |
At June 30, 2017, securities and/or cash totaling $795,000 were pledged as collateral.
Investments in derivatives
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| U.S. Treasury 2-Year Note | 883 | USD | 190,824,579 | 09/2017 | — | (218,365) |
| Short futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| U.S. Treasury 5-Year Note | (615) | USD | (72,469,102) | 09/2017 | 157,386 | — |
| U.S. Treasury Ultra 10-Year Note | (78) | USD | (10,515,375) | 09/2017 | 108,305 | — |
| Total | | | (82,984,477) | | 265,691 | — |
Notes to Portfolio of Investments
| (a) | Represents privately placed and other securities and instruments exempt from SEC registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. The Fund may invest in private placements determined to be liquid as well as those determined to be illiquid. Private placements may be determined to be liquid under guidelines established by the Fund’s Board of Trustees. At June 30, 2017, the value of these securities amounted to $141,100,584, which represents 13.95% of net assets. |
| (b) | Variable rate security. |
| (c) | Represents a security purchased on a forward commitment basis. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 198 | Variable Portfolio Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Wells Fargo Short Duration Government Fund, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| (d) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
| (e) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Realized gain
(loss) ($) | Dividends —
affiliated
issuers($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 50,745,375 | 705,310,171 | (730,282,797) | 25,772,749 | (7,571) | 140,240 | 25,772,749 |
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
Currency Legend
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 199 |
Portfolio of Investments (continued)
Variable Portfolio – Wells Fargo Short Duration Government Fund, June 30, 2017 (Unaudited)
Fair value measurements (continued)
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Asset-Backed Securities — Non-Agency | — | 153,365,536 | — | — | 153,365,536 |
| Commercial Mortgage-Backed Securities - Agency | — | 28,093,815 | — | — | 28,093,815 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 18,105,033 | — | — | 18,105,033 |
| Residential Mortgage-Backed Securities - Agency | — | 391,739,212 | — | — | 391,739,212 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 9,303,042 | — | — | 9,303,042 |
| U.S. Treasury Obligations | 393,874,175 | — | — | — | 393,874,175 |
| Money Market Funds | — | — | — | 25,772,749 | 25,772,749 |
| Total Investments | 393,874,175 | 600,606,638 | — | 25,772,749 | 1,020,253,562 |
| Derivatives | | | | | |
| Asset | | | | | |
| Futures Contracts | 265,691 | — | — | — | 265,691 |
| Liability | | | | | |
| Futures Contracts | (218,365) | — | — | — | (218,365) |
| Total | 393,921,501 | 600,606,638 | — | 25,772,749 | 1,020,300,888 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund’s assets assigned to the Level 2 input category are generally valued using the market approach, in which a security’s value is determined through reference to prices and information from market transactions for similar or identical assets.
Derivative instruments are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 200 | Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| | Columbia
Variable
Portfolio –
U.S. Equities
Fund | Variable
Portfolio –
American
Century
Diversified Bond
Fund | Variable
Portfolio –
CenterSquare
Real Estate
Fund |
| Assets | | | |
| Investments, at cost | | | |
| Unaffiliated issuers, at cost | $914,340,844 | $4,235,392,374 | $432,963,374 |
| Affiliated issuers, at cost | 18,689,959 | 79,929,307 | 5,578,557 |
| Total investments, at cost | 933,030,803 | 4,315,321,681 | 438,541,931 |
| Investments, at value | | | |
| Unaffiliated issuers, at value | 1,015,351,064 | 4,296,887,542 | 430,826,110 |
| Affiliated issuers, at value | 18,690,918 | 79,937,301 | 5,579,045 |
| Total investments, at value | 1,034,041,982 | 4,376,824,843 | 436,405,155 |
| Cash | — | 656,248 | — |
| Foreign currency (identified cost $—, $5, $—) | — | 5 | — |
| Margin deposits | 154,100 | — | — |
| Unrealized appreciation on forward foreign currency exchange contracts | — | 427,093 | — |
| Receivable for: | | | |
| Investments sold | 27,041,598 | 1,045,687 | 2,060,079 |
| Investments sold on a delayed delivery basis | — | 276,597,984 | — |
| Capital shares sold | — | 22,860 | 13,529 |
| Dividends | 1,331,391 | 66,824 | 1,557,545 |
| Interest | — | 28,823,866 | — |
| Foreign tax reclaims | 468 | 102,361 | 14,297 |
| Variation margin for futures contracts | — | 318,750 | — |
| Variation margin for swap contracts | — | 92,430 | — |
| Expense reimbursement due from Investment Manager | 31,105 | — | — |
| Prepaid expenses | — | 1 | 1 |
| Total assets | 1,062,600,644 | 4,684,978,952 | 440,050,606 |
| Liabilities | | | |
| Due to custodian | 2,488 | — | — |
| Unrealized depreciation on forward foreign currency exchange contracts | — | 346,817 | — |
| Payable for: | | | |
| Investments purchased | 33,333,764 | 1,223,333 | 4,274,418 |
| Investments purchased on a delayed delivery basis | — | 663,457,958 | — |
| Capital shares purchased | 2,327,071 | 4,893,773 | 34,736 |
| Variation margin for futures contracts | 10,783 | 185,000 | — |
| Management services fees | 739,763 | 1,610,065 | 268,124 |
| Distribution and/or service fees | 3,247 | 2,258 | 5,433 |
| Transfer agent fees | 52,839 | 199,161 | 21,450 |
| Compensation of board members | 49,273 | 134,653 | 34,518 |
| Compensation of chief compliance officer | 119 | 441 | 62 |
| Other expenses | 33,888 | 40,982 | 21,785 |
| Total liabilities | 36,553,235 | 672,094,441 | 4,660,526 |
| Net assets applicable to outstanding capital stock | $1,026,047,409 | $4,012,884,511 | $435,390,080 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 201 |
Statement of Assets and Liabilities (continued)
June 30, 2017 (Unaudited)
| | Columbia
Variable
Portfolio –
U.S. Equities
Fund | Variable
Portfolio –
American
Century
Diversified Bond
Fund | Variable
Portfolio –
CenterSquare
Real Estate
Fund |
| Represented by | | | |
| Paid in capital | $— | $3,898,248,946 | $437,149,848 |
| Undistributed net investment income | — | 53,061,175 | 5,715,607 |
| Accumulated net realized loss | — | (89,167) | (5,336,377) |
| Unrealized appreciation (depreciation) on: | | | |
| Investments - unaffiliated issuers | — | 61,495,168 | (2,137,264) |
| Investments - affiliated issuers | — | 7,994 | 488 |
| Foreign currency translations | — | 20,835 | (2,222) |
| Forward foreign currency exchange contracts | — | 80,276 | — |
| Futures contracts | — | (357,799) | — |
| Swap contracts | — | 417,083 | — |
| Trust capital | $1,026,047,409 | $— | $— |
| Total - representing net assets applicable to outstanding capital stock | $1,026,047,409 | $4,012,884,511 | $435,390,080 |
| Class 1 | | | |
| Net assets | $1,010,215,144 | $4,001,847,118 | $408,858,519 |
| Shares outstanding | 47,080,384 | 366,041,001 | 49,338,444 |
| Net asset value per share | $21.46 | $10.93 | $8.29 |
| Class 2 | | | |
| Net assets | $15,832,265 | $11,037,393 | $26,531,561 |
| Shares outstanding | 751,205 | 1,012,216 | 3,215,145 |
| Net asset value per share | $21.08 | $10.90 | $8.25 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 202 | Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Assets and Liabilities (continued)
June 30, 2017 (Unaudited)
| | Variable
Portfolio –
Columbia
Wanger
International
Equities Fund | Variable
Portfolio
– DFA
International
Value Fund | Variable
Portfolio –
Eaton Vance
Floating-Rate
Income Fund |
| Assets | | | |
| Investments, at cost | | | |
| Unaffiliated issuers, at cost | $88,926,866 | $1,556,994,754 | $134,658,145 |
| Affiliated issuers, at cost | 2,911,608 | 9,740,291 | 9,661,435 |
| Total investments, at cost | 91,838,474 | 1,566,735,045 | 144,319,580 |
| Investments, at value | | | |
| Unaffiliated issuers, at value | 103,268,806 | 1,646,534,485 | 135,103,410 |
| Affiliated issuers, at value | 2,911,703 | 9,740,967 | 9,661,653 |
| Total investments, at value | 106,180,509 | 1,656,275,452 | 144,765,063 |
| Cash | — | — | 1,172,956 |
| Foreign currency (identified cost $834, $2,307,916, $—) | 851 | 2,309,797 | — |
| Receivable for: | | | |
| Investments sold | 284,109 | 963,308 | 910,373 |
| Investments sold on a delayed delivery basis | — | — | 150,563 |
| Capital shares sold | — | 22,644 | — |
| Dividends | 106,685 | 3,769,554 | 8,056 |
| Interest | — | — | 225,907 |
| Foreign tax reclaims | 290,087 | 4,071,587 | — |
| Expense reimbursement due from Investment Manager | 15,381 | — | 13,518 |
| Prepaid expenses | — | 1 | — |
| Other assets | 19,071 | 2,450 | — |
| Total assets | 106,896,693 | 1,667,414,793 | 147,246,436 |
| Liabilities | | | |
| Due to custodian | 974 | 100,234 | — |
| Payable for: | | | |
| Investments purchased | 96,357 | — | 474,750 |
| Investments purchased on a delayed delivery basis | — | — | 4,124,576 |
| Capital shares purchased | 36,694 | 2,660,649 | 70,942 |
| Foreign capital gains taxes deferred | 40,796 | — | — |
| Management services fees | 90,228 | 1,108,447 | 81,666 |
| Distribution and/or service fees | 6,523 | 3,247 | 8,733 |
| Transfer agent fees | 5,256 | 82,095 | 7,000 |
| Compensation of board members | 40,012 | 76,942 | 44,686 |
| Compensation of chief compliance officer | 2 | 231 | 16 |
| Custodian fees | 30,528 | 65,401 | 10,048 |
| Other expenses | 6,631 | — | 30,796 |
| Total liabilities | 354,001 | 4,097,246 | 4,853,213 |
| Net assets applicable to outstanding capital stock | $106,542,692 | $1,663,317,547 | $142,393,223 |
| Represented by | | | |
| Paid in capital | 90,183,250 | 1,594,074,151 | 156,734,783 |
| Undistributed net investment income | 382,314 | 8,266,027 | 2,414,978 |
| Accumulated net realized gain (loss) | 1,679,144 | (28,710,294) | (17,202,021) |
| Unrealized appreciation (depreciation) on: | | | |
| Investments - unaffiliated issuers | 14,341,940 | 89,539,731 | 445,265 |
| Investments - affiliated issuers | 95 | 676 | 218 |
| Foreign currency translations | (3,255) | 147,256 | — |
| Foreign capital gains tax | (40,796) | — | — |
| Total - representing net assets applicable to outstanding capital stock | $106,542,692 | $1,663,317,547 | $142,393,223 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 203 |
Statement of Assets and Liabilities (continued)
June 30, 2017 (Unaudited)
| | Variable
Portfolio –
Columbia
Wanger
International
Equities Fund | Variable
Portfolio
– DFA
International
Value Fund | Variable
Portfolio –
Eaton Vance
Floating-Rate
Income Fund |
| Class 1 | | | |
| Net assets | $74,631,790 | $1,647,301,114 | $99,606,622 |
| Shares outstanding | 14,067,481 | 161,959,376 | 13,120,305 |
| Net asset value per share | $5.31 | $10.17 | $7.59 |
| Class 2 | | | |
| Net assets | $31,910,902 | $16,016,433 | $42,786,601 |
| Shares outstanding | 6,034,832 | 1,577,837 | 5,730,756 |
| Net asset value per share | $5.29 | $10.15 | $7.47 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 204 | Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Assets and Liabilities (continued)
June 30, 2017 (Unaudited)
| | Variable
Portfolio –
Jennison
Mid Cap
Growth Fund | Variable
Portfolio –
Los Angeles
Capital Large
Cap Growth Fund | Variable
Portfolio –
MFS® Value
Fund |
| Assets | | | |
| Investments, at cost | | | |
| Unaffiliated issuers, at cost | $389,539,919 | $1,364,159,601 | $1,567,867,227 |
| Affiliated issuers, at cost | 15,463,321 | 13,635,728 | 24,307,989 |
| Total investments, at cost | 405,003,240 | 1,377,795,329 | 1,592,175,216 |
| Investments, at value | | | |
| Unaffiliated issuers, at value | 458,588,110 | 1,452,316,841 | 2,192,835,015 |
| Affiliated issuers, at value | 15,463,744 | 13,636,172 | 24,308,239 |
| Total investments, at value | 474,051,854 | 1,465,953,013 | 2,217,143,254 |
| Foreign currency (identified cost $—, $—, $37,705) | — | — | 37,705 |
| Receivable for: | | | |
| Investments sold | 8,837,812 | 164,911 | — |
| Capital shares sold | 24,237 | — | — |
| Dividends | 352,793 | 1,212,499 | 2,803,705 |
| Foreign tax reclaims | 1,903 | 1,119 | 111,063 |
| Expense reimbursement due from Investment Manager | 1,050 | — | — |
| Prepaid expenses | 1 | — | 1 |
| Total assets | 483,269,650 | 1,467,331,542 | 2,220,095,728 |
| Liabilities | | | |
| Due to custodian | 1,903 | 1,119 | 52,450 |
| Payable for: | | | |
| Investments purchased | 4,708,762 | — | — |
| Capital shares purchased | 91,732 | 1,635,992 | 2,746,839 |
| Management services fees | 319,208 | 843,109 | 1,198,669 |
| Distribution and/or service fees | 3,440 | 1,814 | 8,282 |
| Transfer agent fees | 23,645 | 73,461 | 107,673 |
| Compensation of board members | 50,326 | 74,158 | 93,019 |
| Compensation of chief compliance officer | 63 | 90 | 227 |
| Other expenses | 26,118 | 25,334 | 36,193 |
| Total liabilities | 5,225,197 | 2,655,077 | 4,243,352 |
| Net assets applicable to outstanding capital stock | $478,044,453 | $1,464,676,465 | $2,215,852,376 |
| Represented by | | | |
| Trust capital | $478,044,453 | $1,464,676,465 | $2,215,852,376 |
| Total - representing net assets applicable to outstanding capital stock | $478,044,453 | $1,464,676,465 | $2,215,852,376 |
| Class 1 | | | |
| Net assets | $461,229,516 | $1,456,013,290 | $2,175,086,076 |
| Shares outstanding | 21,724,596 | 61,583,597 | 94,010,656 |
| Net asset value per share | $21.23 | $23.64 | $23.14 |
| Class 2 | | | |
| Net assets | $16,814,937 | $8,663,175 | $40,766,300 |
| Shares outstanding | 807,224 | 373,228 | 1,792,759 |
| Net asset value per share | $20.83 | $23.21 | $22.74 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 205 |
Statement of Assets and Liabilities (continued)
June 30, 2017 (Unaudited)
| | Variable
Portfolio –
Morgan Stanley
Advantage Fund | Variable
Portfolio –
Oppenheimer
International
Growth Fund | Variable
Portfolio –
Partners
Core Bond
Fund |
| Assets | | | |
| Investments, at cost | | | |
| Unaffiliated issuers, at cost | $1,345,415,233 | $1,465,891,178 | $3,399,743,236 |
| Affiliated issuers, at cost | 51,561,309 | 24,878,627 | 86,915,591 |
| Total investments, at cost | 1,396,976,542 | 1,490,769,805 | 3,486,658,827 |
| Investments, at value | | | |
| Unaffiliated issuers, at value | 1,567,469,897 | 1,641,804,934 | 3,441,952,906 |
| Affiliated issuers, at value | 51,563,498 | 24,880,804 | 86,924,283 |
| Total investments, at value | 1,619,033,395 | 1,666,685,738 | 3,528,877,189 |
| Foreign currency (identified cost $430, $440,755, $—) | 439 | 440,745 | — |
| Receivable for: | | | |
| Investments sold | 10,961,309 | 385,502 | 12,026,669 |
| Investments sold on a delayed delivery basis | — | — | 164,541,714 |
| Capital shares sold | 622,251 | 22,506 | — |
| Dividends | 346,528 | 2,411,005 | 73,198 |
| Interest | — | — | 14,825,252 |
| Foreign tax reclaims | — | 5,052,738 | 65,969 |
| Expense reimbursement due from Investment Manager | — | 45,186 | — |
| Total assets | 1,630,963,922 | 1,675,043,420 | 3,720,409,991 |
| Liabilities | | | |
| Due to custodian | — | — | 418,754 |
| Payable for: | | | |
| Investments purchased | — | 6,180,471 | 23,792,777 |
| Investments purchased on a delayed delivery basis | — | — | 335,496,258 |
| Capital shares purchased | 1,887,707 | 2,724,753 | 4,391,388 |
| Foreign capital gains taxes deferred | — | 359,241 | — |
| Management services fees | 925,065 | 1,258,688 | 1,319,407 |
| Distribution and/or service fees | 1,763 | 5,554 | 2,221 |
| Transfer agent fees | 81,614 | 83,545 | 166,535 |
| Compensation of board members | 74,575 | 93,705 | 123,703 |
| Compensation of chief compliance officer | 130 | 255 | 375 |
| Other expenses | 27,323 | 74,486 | 60,401 |
| Total liabilities | 2,998,177 | 10,780,698 | 365,771,819 |
| Net assets applicable to outstanding capital stock | $1,627,965,745 | $1,664,262,722 | $3,354,638,172 |
| Represented by | | | |
| Paid in capital | — | 1,431,813,201 | 3,256,963,282 |
| Undistributed net investment income | — | 11,903,721 | 24,978,505 |
| Accumulated net realized gain | — | 44,922,199 | 30,478,023 |
| Unrealized appreciation (depreciation) on: | | | |
| Investments - unaffiliated issuers | — | 175,913,756 | 42,209,670 |
| Investments - affiliated issuers | — | 2,177 | 8,692 |
| Foreign currency translations | — | 66,909 | — |
| Foreign capital gains tax | — | (359,241) | — |
| Trust capital | $1,627,965,745 | $— | $— |
| Total - representing net assets applicable to outstanding capital stock | $1,627,965,745 | $1,664,262,722 | $3,354,638,172 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 206 | Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Assets and Liabilities (continued)
June 30, 2017 (Unaudited)
| | Variable
Portfolio –
Morgan Stanley
Advantage Fund | Variable
Portfolio –
Oppenheimer
International
Growth Fund | Variable
Portfolio –
Partners
Core Bond
Fund |
| Class 1 | | | |
| Net assets | $1,619,512,864 | $1,637,210,924 | $3,343,805,258 |
| Shares outstanding | 67,873,016 | 145,912,622 | 309,554,362 |
| Net asset value per share | $23.86 | $11.22 | $10.80 |
| Class 2 | | | |
| Net assets | $8,452,881 | $27,051,798 | $10,832,914 |
| Shares outstanding | 360,631 | 2,419,551 | 1,006,065 |
| Net asset value per share | $23.44 | $11.18 | $10.77 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 207 |
Statement of Assets and Liabilities (continued)
June 30, 2017 (Unaudited)
| | Variable
Portfolio –
Partners Small
Cap Growth Fund | Variable
Portfolio –
Pyramis®
International
Equity Fund | Variable
Portfolio –
T. Rowe Price
Large Cap
Value Fund |
| Assets | | | |
| Investments, at cost | | | |
| Unaffiliated issuers, at cost | $532,835,045 | $2,293,204,194 | $2,078,565,185 |
| Affiliated issuers, at cost | 15,101,747 | 87,470,661 | 51,852,656 |
| Total investments, at cost | 547,936,792 | 2,380,674,855 | 2,130,417,841 |
| Investments, at value | | | |
| Unaffiliated issuers, at value | 598,149,859 | 2,522,610,894 | 2,338,477,358 |
| Affiliated issuers, at value | 15,102,739 | 87,472,404 | 51,853,180 |
| Total investments, at value | 613,252,598 | 2,610,083,298 | 2,390,330,538 |
| Cash | 2,139 | — | — |
| Foreign currency (identified cost $—, $2, $—) | — | 2 | — |
| Margin deposits | — | 2,940,000 | — |
| Receivable for: | | | |
| Investments sold | 2,317,318 | 13,265,666 | 7,998,539 |
| Capital shares sold | 20,454 | — | 56,759 |
| Dividends | 213,633 | 3,288,481 | 3,599,568 |
| Foreign tax reclaims | — | 10,782,598 | 178,823 |
| Variation margin for futures contracts | — | 63,000 | — |
| Expense reimbursement due from Investment Manager | 2,812 | — | — |
| Prepaid expenses | 1 | 1 | 1 |
| Total assets | 615,808,955 | 2,640,423,046 | 2,402,164,228 |
| Liabilities | | | |
| Payable for: | | | |
| Investments purchased | 2,750,617 | 13,082,036 | 8,628,923 |
| Capital shares purchased | 1,467,780 | 1,189,424 | 2,378,067 |
| Management services fees | 449,865 | 1,882,747 | 1,277,627 |
| Distribution and/or service fees | 1,238 | 1,594 | 2,825 |
| Transfer agent fees | 31,413 | 130,213 | 116,286 |
| Compensation of board members | 41,334 | 75,577 | 90,440 |
| Compensation of chief compliance officer | 72 | 275 | 268 |
| Other expenses | 22,237 | 94,651 | 24,882 |
| Total liabilities | 4,764,556 | 16,456,517 | 12,519,318 |
| Net assets applicable to outstanding capital stock | $611,044,399 | $2,623,966,529 | $2,389,644,910 |
| Represented by | | | |
| Paid in capital | — | 2,496,044,489 | — |
| Excess of distributions over net investment income | — | (2,564,146) | — |
| Accumulated net realized loss | — | (98,686,388) | — |
| Unrealized appreciation (depreciation) on: | | | |
| Investments - unaffiliated issuers | — | 229,406,700 | — |
| Investments - affiliated issuers | — | 1,743 | — |
| Foreign currency translations | — | 190,658 | — |
| Futures contracts | — | (426,527) | — |
| Trust capital | $611,044,399 | $— | $2,389,644,910 |
| Total - representing net assets applicable to outstanding capital stock | $611,044,399 | $2,623,966,529 | $2,389,644,910 |
| Class 1 | | | |
| Net assets | $604,914,371 | $2,616,242,347 | $2,375,794,522 |
| Shares outstanding | 30,129,815 | 234,548,304 | 113,598,070 |
| Net asset value per share | $20.08 | $11.15 | $20.91 |
| Class 2 | | | |
| Net assets | $6,130,028 | $7,724,182 | $13,850,388 |
| Shares outstanding | 310,904 | 696,336 | 674,162 |
| Net asset value per share | $19.72 | $11.09 | $20.54 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 208 | Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Assets and Liabilities (continued)
June 30, 2017 (Unaudited)
| | Variable
Portfolio –
TCW Core Plus
Bond Fund | Variable
Portfolio –
Wells Fargo
Short Duration
Government Fund |
| Assets | | |
| Investments, at cost | | |
| Unaffiliated issuers, at cost | $2,989,080,532 | $996,587,591 |
| Affiliated issuers, at cost | 374,288,272 | 25,770,172 |
| Total investments, at cost | 3,363,368,804 | 1,022,357,763 |
| Investments, at value | | |
| Unaffiliated issuers, at value | 2,995,850,688 | 994,480,813 |
| Affiliated issuers, at value | 374,310,926 | 25,772,749 |
| Total investments, at value | 3,370,161,614 | 1,020,253,562 |
| Cash | 124,033 | — |
| Margin deposits | — | 795,000 |
| Unrealized appreciation on forward foreign currency exchange contracts | 374,324 | — |
| Receivable for: | | |
| Investments sold | 9,711,144 | 8,000,435 |
| Investments sold on a delayed delivery basis | 98,167,427 | 3,704,719 |
| Capital shares sold | 94,366 | 290,341 |
| Dividends | 314,655 | 25,220 |
| Interest | 13,803,868 | 2,410,497 |
| Foreign tax reclaims | 16,084 | — |
| Variation margin for futures contracts | 57,000 | 134,953 |
| Total assets | 3,492,824,515 | 1,035,614,727 |
| Liabilities | | |
| Due to custodian | — | 7 |
| Unrealized depreciation on forward foreign currency exchange contracts | 98,755 | — |
| Payable for: | | |
| Investments purchased | 20,436,941 | 16,313,397 |
| Investments purchased on a delayed delivery basis | 409,202,914 | 6,219,640 |
| Capital shares purchased | 4,345,955 | 1,229,285 |
| Variation margin for futures contracts | 308,156 | 82,781 |
| Management services fees | 1,210,784 | 357,165 |
| Distribution and/or service fees | 1,341 | 4,190 |
| Transfer agent fees | 151,846 | 50,152 |
| Compensation of board members | 88,315 | 89,455 |
| Compensation of chief compliance officer | 342 | 113 |
| Other expenses | 34,198 | 30,360 |
| Total liabilities | 435,879,547 | 24,376,545 |
| Net assets applicable to outstanding capital stock | $3,056,944,968 | $1,011,238,182 |
| Represented by | | |
| Paid in capital | 3,014,488,825 | 1,009,989,100 |
| Undistributed net investment income | 26,981,381 | 4,845,629 |
| Accumulated net realized gain (loss) | 9,048,374 | (1,539,672) |
| Unrealized appreciation (depreciation) on: | | |
| Investments - unaffiliated issuers | 6,770,156 | (2,106,778) |
| Investments - affiliated issuers | 22,654 | 2,577 |
| Forward foreign currency exchange contracts | 275,569 | — |
| Futures contracts | (641,991) | 47,326 |
| Total - representing net assets applicable to outstanding capital stock | $3,056,944,968 | $1,011,238,182 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 209 |
Statement of Assets and Liabilities (continued)
June 30, 2017 (Unaudited)
| | Variable
Portfolio –
TCW Core Plus
Bond Fund | Variable
Portfolio –
Wells Fargo
Short Duration
Government Fund |
| Class 1 | | |
| Net assets | $3,050,340,257 | $991,072,341 |
| Shares outstanding | 290,774,740 | 98,681,534 |
| Net asset value per share | $10.49 | $10.04 |
| Class 2 | | |
| Net assets | $6,604,711 | $20,165,841 |
| Shares outstanding | 631,131 | 2,013,839 |
| Net asset value per share | $10.46 | $10.01 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 210 | Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| | Columbia
Variable
Portfolio –
U.S. Equities
Fund | Variable
Portfolio –
American
Century
Diversified Bond
Fund | Variable
Portfolio –
CenterSquare
Real Estate
Fund |
| Net investment income | | | |
| Income: | | | |
| Dividends — unaffiliated issuers | $8,252,168 | $— | $7,444,089 |
| Dividends — affiliated issuers | 74,528 | 276,634 | 22,187 |
| Interest | 1,043 | 64,670,681 | — |
| Foreign taxes withheld | (14,027) | (1,620) | (73) |
| Total income | 8,313,712 | 64,945,695 | 7,466,203 |
| Expenses: | | | |
| Management services fees | 4,639,045 | 9,795,505 | 1,613,632 |
| Distribution and/or service fees | | | |
| Class 2 | 19,061 | 13,311 | 32,262 |
| Transfer agent fees | | | |
| Class 1 | 327,762 | 1,208,971 | 121,345 |
| Class 2 | 4,574 | 3,195 | 7,743 |
| Compensation of board members | 15,564 | 40,631 | 10,100 |
| Custodian fees | 18,371 | 24,229 | 4,933 |
| Printing and postage fees | 4,174 | 2,497 | 4,736 |
| Audit fees | 15,279 | 17,663 | 17,983 |
| Legal fees | 7,313 | 18,209 | 4,682 |
| Compensation of chief compliance officer | 128 | 437 | 39 |
| Other | 13,088 | 36,513 | 5,984 |
| Total expenses | 5,064,359 | 11,161,161 | 1,823,439 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (61,861) | — | — |
| Total net expenses | 5,002,498 | 11,161,161 | 1,823,439 |
| Net investment income | 3,311,214 | 53,784,534 | 5,642,764 |
| Realized and unrealized gain (loss) — net | | | |
| Net realized gain (loss) on: | | | |
| Investments — unaffiliated issuers | 83,855,335 | 10,547,246 | (4,795,181) |
| Investments — affiliated issuers | (3) | (868) | (562) |
| Foreign currency translations | — | (84,941) | (3,936) |
| Forward foreign currency exchange contracts | — | (3,532,471) | — |
| Futures contracts | 525,273 | (2,088,132) | — |
| Swap contracts | — | 318,785 | — |
| Net realized gain (loss) | 84,380,605 | 5,159,619 | (4,799,679) |
| Net change in unrealized appreciation (depreciation) on: | | | |
| Investments — unaffiliated issuers | (52,203,418) | 56,460,381 | 6,393,757 |
| Investments — affiliated issuers | 1,200 | 7,994 | 488 |
| Foreign currency translations | — | 85,083 | 5,253 |
| Forward foreign currency exchange contracts | — | (1,148,979) | — |
| Futures contracts | 58,202 | 93,051 | — |
| Swap contracts | — | 417,083 | — |
| Net change in unrealized appreciation (depreciation) | (52,144,016) | 55,914,613 | 6,399,498 |
| Net realized and unrealized gain | 32,236,589 | 61,074,232 | 1,599,819 |
| Net increase in net assets resulting from operations | $35,547,803 | $114,858,766 | $7,242,583 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 211 |
Statement of Operations (continued)
Six Months Ended June 30, 2017 (Unaudited)
| | Variable
Portfolio –
Columbia
Wanger
International
Equities Fund | Variable
Portfolio
– DFA
International
Value Fund | Variable
Portfolio –
Eaton Vance
Floating-Rate
Income Fund |
| Net investment income | | | |
| Income: | | | |
| Dividends — unaffiliated issuers | $1,284,417 | $44,025,198 | $— |
| Dividends — affiliated issuers | 11,630 | 28,410 | 45,021 |
| Interest | 125 | 2,352 | 3,083,067 |
| Foreign taxes withheld | (141,048) | (4,064,015) | — |
| Total income | 1,155,124 | 39,991,945 | 3,128,088 |
| Expenses: | | | |
| Management services fees | 499,181 | 7,404,919 | 483,825 |
| Distribution and/or service fees | | | |
| Class 2 | 34,996 | 17,750 | 49,634 |
| Transfer agent fees | | | |
| Class 1 | 20,679 | 550,477 | 29,558 |
| Class 2 | 8,399 | 4,260 | 11,912 |
| Compensation of board members | 8,433 | 23,045 | 9,076 |
| Custodian fees | 50,298 | 106,796 | 16,148 |
| Printing and postage fees | 5,241 | 3,031 | 8,031 |
| Audit fees | 35,323 | 33,175 | 19,188 |
| Legal fees | 3,419 | 10,365 | 3,589 |
| Compensation of chief compliance officer | 14 | 212 | 14 |
| Other | 5,106 | 20,388 | 4,264 |
| Total expenses | 671,089 | 8,174,418 | 635,239 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (89,319) | — | (72,180) |
| Total net expenses | 581,770 | 8,174,418 | 563,059 |
| Net investment income | 573,354 | 31,817,527 | 2,565,029 |
| Realized and unrealized gain (loss) — net | | | |
| Net realized gain (loss) on: | | | |
| Investments — unaffiliated issuers | 3,529,503 | (7,965,125) | (480,866) |
| Investments — affiliated issuers | (224) | (912) | (339) |
| Foreign currency translations | (36,081) | (96,511) | — |
| Net realized gain (loss) | 3,493,198 | (8,062,548) | (481,205) |
| Net change in unrealized appreciation (depreciation) on: | | | |
| Investments — unaffiliated issuers | 13,261,581 | 162,560,532 | 334,519 |
| Investments — affiliated issuers | 128 | 676 | 321 |
| Foreign currency translations | 43,278 | 305,903 | — |
| Foreign capital gains tax | (39,627) | — | — |
| Net change in unrealized appreciation (depreciation) | 13,265,360 | 162,867,111 | 334,840 |
| Net realized and unrealized gain (loss) | 16,758,558 | 154,804,563 | (146,365) |
| Net increase in net assets resulting from operations | $17,331,912 | $186,622,090 | $2,418,664 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 212 | Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Operations (continued)
Six Months Ended June 30, 2017 (Unaudited)
| | Variable
Portfolio –
Jennison
Mid Cap
Growth Fund | Variable
Portfolio –
Los Angeles
Capital Large
Cap Growth Fund | Variable
Portfolio –
MFS® Value
Fund |
| Net investment income | | | |
| Income: | | | |
| Dividends — unaffiliated issuers | $2,056,692 | $6,008,572 | $31,475,383 |
| Dividends — affiliated issuers | 60,217 | 84,556 | 119,750 |
| Foreign taxes withheld | — | — | (519,349) |
| Total income | 2,116,909 | 6,093,128 | 31,075,784 |
| Expenses: | | | |
| Management services fees | 1,853,199 | 3,893,152 | 7,079,459 |
| Distribution and/or service fees | | | |
| Class 2 | 19,194 | 10,198 | 46,553 |
| Transfer agent fees | | | |
| Class 1 | 132,665 | 330,481 | 621,050 |
| Class 2 | 4,606 | 2,448 | 11,173 |
| Compensation of board members | 11,431 | 16,798 | 24,827 |
| Custodian fees | 5,173 | 9,544 | 14,048 |
| Printing and postage fees | 3,624 | 3,478 | 6,487 |
| Audit fees | 15,279 | 15,281 | 15,279 |
| Legal fees | 4,761 | 6,813 | 10,756 |
| Compensation of chief compliance officer | 42 | 119 | 230 |
| Other | 6,300 | 13,995 | 19,255 |
| Total expenses | 2,056,274 | 4,302,307 | 7,849,117 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (23,731) | — | — |
| Total net expenses | 2,032,543 | 4,302,307 | 7,849,117 |
| Net investment income | 84,366 | 1,790,821 | 23,226,667 |
| Realized and unrealized gain (loss) — net | | | |
| Net realized gain (loss) on: | | | |
| Investments — unaffiliated issuers | 10,473,358 | 199,704,114 | 34,643,049 |
| Investments — affiliated issuers | (882) | 399 | (6,880) |
| Foreign currency translations | — | — | 10,404 |
| Net realized gain | 10,472,476 | 199,704,513 | 34,646,573 |
| Net change in unrealized appreciation (depreciation) on: | | | |
| Investments — unaffiliated issuers | 37,886,027 | (42,805,165) | 123,634,047 |
| Investments — affiliated issuers | 438 | 444 | 335 |
| Foreign currency translations | — | — | 692 |
| Net change in unrealized appreciation (depreciation) | 37,886,465 | (42,804,721) | 123,635,074 |
| Net realized and unrealized gain | 48,358,941 | 156,899,792 | 158,281,647 |
| Net increase in net assets resulting from operations | $48,443,307 | $158,690,613 | $181,508,314 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 213 |
Statement of Operations (continued)
Six Months Ended June 30, 2017 (Unaudited)
| | Variable
Portfolio –
Morgan Stanley
Advantage Fund | Variable
Portfolio –
Oppenheimer
International
Growth Fund | Variable
Portfolio –
Partners
Core Bond
Fund |
| Net investment income | | | |
| Income: | | | |
| Dividends — unaffiliated issuers | $4,547,718 | $28,996,008 | $— |
| Dividends — affiliated issuers | 232,370 | 146,973 | 397,559 |
| Interest | — | 7 | 48,848,285 |
| Foreign taxes withheld | (139,798) | (2,758,513) | (20,954) |
| Total income | 4,640,290 | 26,384,475 | 49,224,890 |
| Expenses: | | | |
| Management services fees | 4,794,227 | 9,218,100 | 8,209,884 |
| Distribution and/or service fees | | | |
| Class 2 | 9,582 | 30,074 | 12,741 |
| Transfer agent fees | | | |
| Class 1 | 415,089 | 614,655 | 1,002,369 |
| Class 2 | 2,299 | 7,217 | 3,058 |
| Compensation of board members | 18,112 | 26,085 | 35,190 |
| Custodian fees | 6,549 | 135,983 | 28,609 |
| Printing and postage fees | 2,684 | 4,400 | 2,942 |
| Audit fees | 15,279 | 36,762 | 21,501 |
| Legal fees | 10,063 | 11,417 | 15,578 |
| Compensation of chief compliance officer | 128 | 247 | 354 |
| Other | 11,955 | 21,307 | 29,452 |
| Total expenses | 5,285,967 | 10,106,247 | 9,361,678 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | — | (92,199) | — |
| Total net expenses | 5,285,967 | 10,014,048 | 9,361,678 |
| Net investment income (loss) | (645,677) | 16,370,427 | 39,863,212 |
| Realized and unrealized gain (loss) — net | | | |
| Net realized gain (loss) on: | | | |
| Investments — unaffiliated issuers | 46,551,677 | 45,904,213 | 30,633,760 |
| Investments — affiliated issuers | (33,684) | (24) | (2,672) |
| Foreign currency translations | (32,953) | (501,716) | — |
| Net realized gain | 46,485,040 | 45,402,473 | 30,631,088 |
| Net change in unrealized appreciation (depreciation) on: | | | |
| Investments — unaffiliated issuers | 158,361,050 | 239,149,896 | 5,900,952 |
| Investments — affiliated issuers | 2,789 | 2,188 | 8,692 |
| Foreign currency translations | 2,682 | 339,564 | — |
| Foreign capital gains tax | — | (296,296) | — |
| Net change in unrealized appreciation (depreciation) | 158,366,521 | 239,195,352 | 5,909,644 |
| Net realized and unrealized gain | 204,851,561 | 284,597,825 | 36,540,732 |
| Net increase in net assets resulting from operations | $204,205,884 | $300,968,252 | $76,403,944 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 214 | Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Operations (continued)
Six Months Ended June 30, 2017 (Unaudited)
| | Variable
Portfolio –
Partners Small
Cap Growth Fund | Variable
Portfolio –
Pyramis®
International
Equity Fund | Variable
Portfolio –
T. Rowe Price
Large Cap
Value Fund |
| Net investment income | | | |
| Income: | | | |
| Dividends — unaffiliated issuers | $1,796,821 | $51,835,778 | $29,413,092 |
| Dividends — affiliated issuers | 67,712 | 334,340 | 210,920 |
| Interest | — | 20,119 | — |
| Foreign taxes withheld | — | (4,792,421) | (577,288) |
| Total income | 1,864,533 | 47,397,816 | 29,046,724 |
| Expenses: | | | |
| Management services fees | 2,748,256 | 10,892,736 | 7,526,943 |
| Distribution and/or service fees | | | |
| Class 2 | 6,883 | 9,013 | 15,434 |
| Transfer agent fees | | | |
| Class 1 | 190,315 | 746,557 | 677,334 |
| Class 2 | 1,652 | 2,163 | 3,704 |
| Compensation of board members | 11,923 | 25,565 | 25,683 |
| Custodian fees | 9,641 | 145,614 | 10,807 |
| Printing and postage fees | 5,561 | 2,207 | 4,514 |
| Audit fees | 15,279 | 35,583 | 15,281 |
| Legal fees | 5,479 | 12,103 | 11,541 |
| Compensation of chief compliance officer | 69 | 256 | 235 |
| Other | 7,829 | 34,461 | 19,640 |
| Total expenses | 3,002,887 | 11,906,258 | 8,311,116 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (20,231) | — | — |
| Total net expenses | 2,982,656 | 11,906,258 | 8,311,116 |
| Net investment income (loss) | (1,118,123) | 35,491,558 | 20,735,608 |
| Realized and unrealized gain (loss) — net | | | |
| Net realized gain (loss) on: | | | |
| Investments — unaffiliated issuers | 63,891,773 | 8,176,077 | 41,919,185 |
| Investments — affiliated issuers | (667) | (287) | (6,677) |
| Foreign currency translations | — | 33,530 | 23,781 |
| Futures contracts | — | 8,383,043 | — |
| Net realized gain | 63,891,106 | 16,592,363 | 41,936,289 |
| Net change in unrealized appreciation (depreciation) on: | | | |
| Investments — unaffiliated issuers | (9,271,517) | 275,993,732 | 81,546,990 |
| Investments — affiliated issuers | 1,057 | 2,132 | 595 |
| Foreign currency translations | — | 861,703 | 3,617 |
| Futures contracts | — | (76,954) | — |
| Net change in unrealized appreciation (depreciation) | (9,270,460) | 276,780,613 | 81,551,202 |
| Net realized and unrealized gain | 54,620,646 | 293,372,976 | 123,487,491 |
| Net increase in net assets resulting from operations | $53,502,523 | $328,864,534 | $144,223,099 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 215 |
Statement of Operations (continued)
Six Months Ended June 30, 2017 (Unaudited)
| | Variable
Portfolio –
TCW Core Plus
Bond Fund | Variable
Portfolio –
Wells Fargo
Short Duration
Government Fund |
| Net investment income | | |
| Income: | | |
| Dividends — affiliated issuers | $1,235,403 | $140,240 |
| Interest | 35,950,386 | 7,716,255 |
| Foreign taxes withheld | (4,037) | — |
| Total income | 37,181,752 | 7,856,495 |
| Expenses: | | |
| Management services fees | 7,358,130 | 2,222,669 |
| Distribution and/or service fees | | |
| Class 2 | 7,786 | 25,961 |
| Transfer agent fees | | |
| Class 1 | 921,024 | 306,102 |
| Class 2 | 1,869 | 6,231 |
| Compensation of board members | 30,885 | 18,366 |
| Custodian fees | 19,219 | 8,951 |
| Printing and postage fees | 2,612 | 4,244 |
| Audit fees | 18,224 | 17,775 |
| Legal fees | 14,586 | 7,033 |
| Compensation of chief compliance officer | 327 | 115 |
| Other | 28,032 | 11,755 |
| Total expenses | 8,402,694 | 2,629,202 |
| Net investment income | 28,779,058 | 5,227,293 |
| Realized and unrealized gain (loss) — net | | |
| Net realized gain (loss) on: | | |
| Investments — unaffiliated issuers | 8,959,728 | (729,986) |
| Investments — affiliated issuers | (25,332) | (7,571) |
| Foreign currency translations | 2,380 | — |
| Futures contracts | 1,647,768 | (209,358) |
| Net realized gain (loss) | 10,584,544 | (946,915) |
| Net change in unrealized appreciation (depreciation) on: | | |
| Investments — unaffiliated issuers | 25,803,801 | 2,002,291 |
| Investments — affiliated issuers | 23,325 | 2,577 |
| Forward foreign currency exchange contracts | 275,569 | — |
| Futures contracts | (1,026) | (119,811) |
| Net change in unrealized appreciation (depreciation) | 26,101,669 | 1,885,057 |
| Net realized and unrealized gain | 36,686,213 | 938,142 |
| Net increase in net assets resulting from operations | $65,465,271 | $6,165,435 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 216 | Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Changes in Net Assets
| | Columbia Variable Portfolio –
U.S. Equities Fund | Variable Portfolio –
American Century Diversified Bond Fund |
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | | | |
| Net investment income | $3,311,214 | $4,437,758 | $53,784,534 | $103,540,696 |
| Net realized gain (loss) | 84,380,605 | (49,695,547) | 5,159,619 | 12,650,863 |
| Net change in unrealized appreciation (depreciation) | (52,144,016) | 215,289,143 | 55,914,613 | 41,864,672 |
| Net increase in net assets resulting from operations | 35,547,803 | 170,031,354 | 114,858,766 | 158,056,231 |
| Distributions to shareholders | | | | |
| Net investment income | | | | |
| Class 1 | — | — | (92,882,727) | (77,938,497) |
| Class 2 | — | — | (228,883) | (144,037) |
| Net realized gains | | | | |
| Class 1 | — | — | (24,525,994) | (2,439,098) |
| Class 2 | — | — | (67,638) | (5,222) |
| Total distributions to shareholders | — | — | (117,705,242) | (80,526,854) |
| Decrease in net assets from capital stock activity | (134,947,310) | (451,483,408) | (81,567,101) | (244,632,178) |
| Total decrease in net assets | (99,399,507) | (281,452,054) | (84,413,577) | (167,102,801) |
| Net assets at beginning of period | 1,125,446,916 | 1,406,898,970 | 4,097,298,088 | 4,264,400,889 |
| Net assets at end of period | $1,026,047,409 | $1,125,446,916 | $4,012,884,511 | $4,097,298,088 |
| Undistributed net investment income | $— | $— | $53,061,175 | $92,388,251 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 217 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
CenterSquare Real Estate Fund | Variable Portfolio –
Columbia Wanger International Equities Fund |
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | | | |
| Net investment income | $5,642,764 | $6,630,226 | $573,354 | $1,136,933 |
| Net realized gain (loss) | (4,799,679) | 17,942,904 | 3,493,198 | 9,478,900 |
| Net change in unrealized appreciation (depreciation) | 6,399,498 | (28,125,974) | 13,265,360 | (8,043,595) |
| Net increase (decrease) in net assets resulting from operations | 7,242,583 | (3,552,844) | 17,331,912 | 2,572,238 |
| Distributions to shareholders | | | | |
| Net investment income | | | | |
| Class 1 | (8,647,989) | (3,576,168) | (674,679) | (2,372,989) |
| Class 2 | (492,447) | (357,361) | (255,812) | (340,047) |
| Net realized gains | | | | |
| Class 1 | (12,227,404) | (11,638,730) | (6,661,158) | (35,619,344) |
| Class 2 | (799,343) | (1,371,896) | (2,858,498) | (13,297,447) |
| Total distributions to shareholders | (22,167,183) | (16,944,155) | (10,450,147) | (51,629,827) |
| Increase (decrease) in net assets from capital stock activity | 22,993,967 | 237,206,256 | 12,950,611 | (147,080,860) |
| Total increase (decrease) in net assets | 8,069,367 | 216,709,257 | 19,832,376 | (196,138,449) |
| Net assets at beginning of period | 427,320,713 | 210,611,456 | 86,710,316 | 282,848,765 |
| Net assets at end of period | $435,390,080 | $427,320,713 | $106,542,692 | $86,710,316 |
| Undistributed net investment income | $5,715,607 | $9,213,279 | $382,314 | $739,451 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 218 | Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
DFA International Value Fund | Variable Portfolio –
Eaton Vance Floating-Rate Income Fund |
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | | | |
| Net investment income | $31,817,527 | $57,562,613 | $2,565,029 | $5,190,019 |
| Net realized loss | (8,062,548) | (18,626,436) | (481,205) | (3,103,578) |
| Net change in unrealized appreciation (depreciation) | 162,867,111 | 132,366,977 | 334,840 | 10,353,827 |
| Net increase in net assets resulting from operations | 186,622,090 | 171,303,154 | 2,418,664 | 12,440,268 |
| Distributions to shareholders | | | | |
| Net investment income | | | | |
| Class 1 | (26,602,118) | (56,112,091) | (3,685,671) | (8,979,834) |
| Class 2 | (219,493) | (248,797) | (1,510,292) | (2,910,740) |
| Net realized gains | | | | |
| Class 1 | — | (8,760,739) | — | — |
| Class 2 | — | (39,747) | — | — |
| Total distributions to shareholders | (26,821,611) | (65,161,374) | (5,195,963) | (11,890,574) |
| Increase (decrease) in net assets from capital stock activity | (509,789,238) | (90,872,573) | 10,976,106 | 14,245,961 |
| Total increase (decrease) in net assets | (349,988,759) | 15,269,207 | 8,198,807 | 14,795,655 |
| Net assets at beginning of period | 2,013,306,306 | 1,998,037,099 | 134,194,416 | 119,398,761 |
| Net assets at end of period | $1,663,317,547 | $2,013,306,306 | $142,393,223 | $134,194,416 |
| Undistributed net investment income | $8,266,027 | $3,270,111 | $2,414,978 | $5,045,912 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 219 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
Jennison Mid Cap Growth Fund | Variable Portfolio –
Los Angeles Capital Large Cap Growth Fund |
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | | | |
| Net investment income (loss) | $84,366 | $(400,161) | $1,790,821 | $1,218,638 |
| Net realized gain | 10,472,476 | 8,127,761 | 199,704,513 | 141,153,662 |
| Net change in unrealized appreciation (depreciation) | 37,886,465 | 6,179,854 | (42,804,721) | (179,425,043) |
| Net increase (decrease) in net assets resulting from operations | 48,443,307 | 13,907,454 | 158,690,613 | (37,052,743) |
| Increase (decrease) in net assets from capital stock activity | 4,899,540 | 181,032,290 | 326,015,189 | (442,799,322) |
| Total increase (decrease) in net assets | 53,342,847 | 194,939,744 | 484,705,802 | (479,852,065) |
| Net assets at beginning of period | 424,701,606 | 229,761,862 | 979,970,663 | 1,459,822,728 |
| Net assets at end of period | $478,044,453 | $424,701,606 | $1,464,676,465 | $979,970,663 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 220 | Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
MFS® Value Fund | Variable Portfolio –
Morgan Stanley Advantage Fund |
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | | | |
| Net investment income (loss) | $23,226,667 | $38,227,076 | $(645,677) | $4,522,945 |
| Net realized gain | 34,646,573 | 159,365,299 | 46,485,040 | 226,937,379 |
| Net change in unrealized appreciation (depreciation) | 123,635,074 | 60,129,409 | 158,366,521 | (200,580,841) |
| Net increase in net assets resulting from operations | 181,508,314 | 257,721,784 | 204,205,884 | 30,879,483 |
| Increase (decrease) in net assets from capital stock activity | 5,126,895 | (174,237,642) | 353,213,225 | (177,495,788) |
| Total increase (decrease) in net assets | 186,635,209 | 83,484,142 | 557,419,109 | (146,616,305) |
| Net assets at beginning of period | 2,029,217,167 | 1,945,733,025 | 1,070,546,636 | 1,217,162,941 |
| Net assets at end of period | $2,215,852,376 | $2,029,217,167 | $1,627,965,745 | $1,070,546,636 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 221 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
Oppenheimer International Growth Fund | Variable Portfolio –
Partners Core Bond Fund |
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | | | |
| Net investment income | $16,370,427 | $31,217,264 | $39,863,212 | $77,411,491 |
| Net realized gain | 45,402,473 | 161,407,282 | 30,631,088 | 2,685,740 |
| Net change in unrealized appreciation (depreciation) | 239,195,352 | (274,543,183) | 5,909,644 | 4,213,407 |
| Net increase (decrease) in net assets resulting from operations | 300,968,252 | (81,918,637) | 76,403,944 | 84,310,638 |
| Distributions to shareholders | | | | |
| Net investment income | | | | |
| Class 1 | (7,860,684) | (30,616,920) | (77,362,823) | (71,291,534) |
| Class 2 | (63,910) | (249,683) | (224,556) | (164,052) |
| Net realized gains | | | | |
| Class 1 | (144,053,039) | (23,910,802) | (2,672,798) | (5,605,768) |
| Class 2 | (2,382,235) | (231,262) | (8,700) | (14,599) |
| Total distributions to shareholders | (154,359,868) | (55,008,667) | (80,268,877) | (77,075,953) |
| Increase (decrease) in net assets from capital stock activity | (774,527,676) | 108,325,669 | 4,391,121 | (23,542,334) |
| Total increase (decrease) in net assets | (627,919,292) | (28,601,635) | 526,188 | (16,307,649) |
| Net assets at beginning of period | 2,292,182,014 | 2,320,783,649 | 3,354,111,984 | 3,370,419,633 |
| Net assets at end of period | $1,664,262,722 | $2,292,182,014 | $3,354,638,172 | $3,354,111,984 |
| Undistributed net investment income | $11,903,721 | $3,457,888 | $24,978,505 | $62,702,672 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 222 | Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
Partners Small Cap
Growth Fund | Variable Portfolio –
Pyramis® International
Equity Fund |
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | | | |
| Net investment income (loss) | $(1,118,123) | $(1,516,431) | $35,491,558 | $45,761,554 |
| Net realized gain (loss) | 63,891,106 | 10,990,158 | 16,592,363 | (99,071,649) |
| Net change in unrealized appreciation (depreciation) | (9,270,460) | 36,202,766 | 276,780,613 | (21,375,701) |
| Net increase (decrease) in net assets resulting from operations | 53,502,523 | 45,676,493 | 328,864,534 | (74,685,796) |
| Distributions to shareholders | | | | |
| Net investment income | | | | |
| Class 1 | — | — | (38,304,076) | (50,708,533) |
| Class 2 | — | — | (103,804) | (146,676) |
| Total distributions to shareholders | — | — | (38,407,880) | (50,855,209) |
| Increase (decrease) in net assets from capital stock activity | (58,827,730) | (43,812,684) | 9,652,240 | 124,096,660 |
| Total increase (decrease) in net assets | (5,325,207) | 1,863,809 | 300,108,894 | (1,444,345) |
| Net assets at beginning of period | 616,369,606 | 614,505,797 | 2,323,857,635 | 2,325,301,980 |
| Net assets at end of period | $611,044,399 | $616,369,606 | $2,623,966,529 | $2,323,857,635 |
| Undistributed (excess of distributions over) net investment income | $— | $— | $(2,564,146) | $352,176 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 223 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
T. Rowe Price Large Cap Value Fund | Variable Portfolio –
TCW Core Plus Bond Fund |
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | | | |
| Net investment income | $20,735,608 | $45,821,877 | $28,779,058 | $50,756,935 |
| Net realized gain | 41,936,289 | 112,334,832 | 10,584,544 | 10,029,967 |
| Net change in unrealized appreciation (depreciation) | 81,551,202 | 115,999,021 | 26,101,669 | 16,709,669 |
| Net increase in net assets resulting from operations | 144,223,099 | 274,155,730 | 65,465,271 | 77,496,571 |
| Distributions to shareholders | | | | |
| Net investment income | | | | |
| Class 1 | — | — | (50,485,427) | (37,819,238) |
| Class 2 | — | — | (91,594) | (51,615) |
| Net realized gains | | | | |
| Class 1 | — | — | (10,598,456) | (13,033,864) |
| Class 2 | — | — | (22,644) | (22,306) |
| Total distributions to shareholders | — | — | (61,198,121) | (50,927,023) |
| Increase (decrease) in net assets from capital stock activity | 66,578,169 | 1,787,745 | (32,552,898) | (100,117,103) |
| Total increase (decrease) in net assets | 210,801,268 | 275,943,475 | (28,285,748) | (73,547,555) |
| Net assets at beginning of period | 2,178,843,642 | 1,902,900,167 | 3,085,230,716 | 3,158,778,271 |
| Net assets at end of period | $2,389,644,910 | $2,178,843,642 | $3,056,944,968 | $3,085,230,716 |
| Undistributed net investment income | $— | $— | $26,981,381 | $48,779,344 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 224 | Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
Wells Fargo Short Duration Government Fund |
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment income | $5,227,293 | $9,894,142 |
| Net realized gain (loss) | (946,915) | 75,166 |
| Net change in unrealized appreciation (depreciation) | 1,885,057 | 2,942,576 |
| Net increase in net assets resulting from operations | 6,165,435 | 12,911,884 |
| Distributions to shareholders | | |
| Net investment income | | |
| Class 1 | (9,771,023) | (10,517,959) |
| Class 2 | (150,736) | (144,581) |
| Net realized gains | | |
| Class 1 | (55,790) | (4,453,700) |
| Class 2 | (1,155) | (83,659) |
| Total distributions to shareholders | (9,978,704) | (15,199,899) |
| Decrease in net assets from capital stock activity | (63,674,299) | (130,265,925) |
| Total decrease in net assets | (67,487,568) | (132,553,940) |
| Net assets at beginning of period | 1,078,725,750 | 1,211,279,690 |
| Net assets at end of period | $1,011,238,182 | $1,078,725,750 |
| Undistributed net investment income | $4,845,629 | $9,540,095 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 225 |
Statement of Changes in Net Assets (continued)
| | Columbia Variable Portfolio –
U.S. Equities Fund | Variable Portfolio –
American Century Diversified Bond Fund |
| | Six Months Ended | Year Ended | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | | | | | |
| Subscriptions | 48,126 | 1,026,825 | 4,148,876 | 67,499,923 | 4,793,426 | 53,238,768 | 10,695,326 | 118,665,433 |
| Distributions reinvested | — | — | — | — | 10,722,258 | 117,408,721 | 7,228,201 | 80,377,595 |
| Redemptions | (6,345,279) | (136,461,984) | (29,548,417) | (518,234,642) | (22,797,334) | (252,912,952) | (40,036,835) | (446,004,798) |
| Net decrease | (6,297,153) | (135,435,159) | (25,399,541) | (450,734,719) | (7,281,650) | (82,265,463) | (22,113,308) | (246,961,770) |
| Class 2 | | | | | | | | |
| Subscriptions | 59,708 | 1,240,225 | 87,988 | 1,569,889 | 96,044 | 1,058,638 | 290,093 | 3,215,979 |
| Distributions reinvested | — | — | — | — | 27,154 | 296,521 | 13,459 | 149,259 |
| Redemptions | (36,127) | (752,376) | (132,478) | (2,318,578) | (59,581) | (656,797) | (93,798) | (1,035,646) |
| Net increase (decrease) | 23,581 | 487,849 | (44,490) | (748,689) | 63,617 | 698,362 | 209,754 | 2,329,592 |
| Total net decrease | (6,273,572) | (134,947,310) | (25,444,031) | (451,483,408) | (7,218,033) | (81,567,101) | (21,903,554) | (244,632,178) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 226 | Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
CenterSquare Real Estate Fund | Variable Portfolio –
Columbia Wanger International Equities Fund |
| | Six Months Ended | Year Ended | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | | | | | |
| Subscriptions | — | — | 23,747,385 | 218,001,000 | — | — | — | — |
| Distributions reinvested | 2,524,232 | 20,875,393 | 1,699,989 | 15,214,898 | 1,383,167 | 7,335,837 | 7,140,282 | 37,992,333 |
| Redemptions | — | — | — | — | — | — | (17,947,996) | (200,478,076) |
| Net increase (decrease) | 2,524,232 | 20,875,393 | 25,447,374 | 233,215,898 | 1,383,167 | 7,335,837 | (10,807,714) | (162,485,743) |
| Class 2 | | | | | | | | |
| Subscriptions | 234,680 | 2,020,078 | 496,457 | 4,362,449 | 568,407 | 3,142,680 | 613,061 | 4,094,858 |
| Distributions reinvested | 156,771 | 1,291,790 | 194,080 | 1,729,257 | 589,467 | 3,114,310 | 2,620,094 | 13,637,494 |
| Redemptions | (138,462) | (1,193,294) | (238,397) | (2,101,348) | (119,948) | (642,216) | (313,658) | (2,327,469) |
| Net increase | 252,989 | 2,118,574 | 452,140 | 3,990,358 | 1,037,926 | 5,614,774 | 2,919,497 | 15,404,883 |
| Total net increase (decrease) | 2,777,221 | 22,993,967 | 25,899,514 | 237,206,256 | 2,421,093 | 12,950,611 | (7,888,217) | (147,080,860) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 227 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
DFA International Value Fund | Variable Portfolio –
Eaton Vance Floating-Rate Income Fund |
| | Six Months Ended | Year Ended | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | | | | | |
| Subscriptions | 2,176,774 | 21,834,663 | 10,888,978 | 90,247,532 | — | — | — | — |
| Distributions reinvested | 2,646,215 | 26,602,118 | 7,595,353 | 64,872,830 | 485,595 | 3,685,671 | 1,221,747 | 8,979,834 |
| Redemptions | (57,011,244) | (560,743,212) | (27,343,515) | (247,419,930) | — | — | — | — |
| Net increase (decrease) | (52,188,255) | (512,306,431) | (8,859,184) | (92,299,568) | 485,595 | 3,685,671 | 1,221,747 | 8,979,834 |
| Class 2 | | | | | | | | |
| Subscriptions | 316,275 | 3,131,227 | 445,847 | 3,964,431 | 983,501 | 7,556,450 | 941,625 | 7,098,417 |
| Distributions reinvested | 21,834 | 219,493 | 33,738 | 288,544 | 202,452 | 1,510,292 | 402,592 | 2,910,740 |
| Redemptions | (84,075) | (833,527) | (335,533) | (2,825,980) | (231,265) | (1,776,307) | (621,194) | (4,743,030) |
| Net increase | 254,034 | 2,517,193 | 144,052 | 1,426,995 | 954,688 | 7,290,435 | 723,023 | 5,266,127 |
| Total net increase (decrease) | (51,934,221) | (509,789,238) | (8,715,132) | (90,872,573) | 1,440,283 | 10,976,106 | 1,944,770 | 14,245,961 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 228 | Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
Jennison Mid Cap Growth Fund | Variable Portfolio –
Los Angeles Capital Large Cap Growth Fund |
| | Six Months Ended | Year Ended | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | | | | | |
| Subscriptions | 294,716 | 6,110,010 | 10,814,817 | 199,776,324 | 19,228,041 | 451,993,658 | 1,797,766 | 34,854,589 |
| Redemptions | (136,992) | (2,811,604) | (1,056,586) | (19,199,387) | (5,685,066) | (126,363,934) | (23,821,644) | (478,594,475) |
| Net increase (decrease) | 157,724 | 3,298,406 | 9,758,231 | 180,576,937 | 13,542,975 | 325,629,724 | (22,023,878) | (443,739,886) |
| Class 2 | | | | | | | | |
| Subscriptions | 109,431 | 2,212,474 | 108,880 | 1,971,403 | 51,680 | 1,136,087 | 90,131 | 1,748,742 |
| Redemptions | (30,433) | (611,340) | (85,126) | (1,516,050) | (33,929) | (750,622) | (40,790) | (808,178) |
| Net increase | 78,998 | 1,601,134 | 23,754 | 455,353 | 17,751 | 385,465 | 49,341 | 940,564 |
| Total net increase (decrease) | 236,722 | 4,899,540 | 9,781,985 | 181,032,290 | 13,560,726 | 326,015,189 | (21,974,537) | (442,799,322) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 229 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
MFS® Value Fund | Variable Portfolio –
Morgan Stanley Advantage Fund |
| | Six Months Ended | Year Ended | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | | | | | |
| Subscriptions | 2,855,761 | 65,906,654 | 9,549,865 | 187,969,254 | 17,652,189 | 391,375,024 | 1,800,018 | 35,594,304 |
| Redemptions | (2,863,704) | (64,464,133) | (19,015,047) | (373,013,945) | (1,659,217) | (38,733,076) | (10,853,608) | (211,909,474) |
| Net increase (decrease) | (7,943) | 1,442,521 | (9,465,182) | (185,044,691) | 15,992,972 | 352,641,948 | (9,053,590) | (176,315,170) |
| Class 2 | | | | | | | | |
| Subscriptions | 230,562 | 5,041,192 | 622,281 | 12,186,357 | 39,208 | 892,714 | 46,387 | 886,028 |
| Redemptions | (61,874) | (1,356,818) | (73,743) | (1,379,308) | (14,212) | (321,437) | (107,176) | (2,066,646) |
| Net increase (decrease) | 168,688 | 3,684,374 | 548,538 | 10,807,049 | 24,996 | 571,277 | (60,789) | (1,180,618) |
| Total net increase (decrease) | 160,745 | 5,126,895 | (8,916,644) | (174,237,642) | 16,017,968 | 353,213,225 | (9,114,379) | (177,495,788) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 230 | Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
Oppenheimer International Growth Fund | Variable Portfolio –
Partners Core Bond Fund |
| | Six Months Ended | Year Ended | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | | | | | |
| Subscriptions | 858,812 | 9,578,966 | 6,829,297 | 74,747,310 | 4,792,906 | 52,469,691 | 9,947,182 | 109,910,571 |
| Distributions reinvested | 13,520,848 | 151,913,723 | 5,071,571 | 54,527,722 | 7,397,007 | 80,035,621 | 6,933,932 | 76,897,302 |
| Redemptions | (80,684,927) | (940,553,124) | (2,130,987) | (22,788,002) | (11,769,737) | (128,818,588) | (19,311,608) | (213,549,863) |
| Net increase (decrease) | (66,305,267) | (779,060,435) | 9,769,881 | 106,487,030 | 420,176 | 3,686,724 | (2,430,494) | (26,741,990) |
| Class 2 | | | | | | | | |
| Subscriptions | 292,711 | 3,421,251 | 427,507 | 4,662,078 | 142,202 | 1,553,676 | 419,360 | 4,612,464 |
| Distributions reinvested | 218,553 | 2,446,145 | 45,000 | 480,945 | 21,638 | 233,256 | 16,153 | 178,651 |
| Redemptions | (115,458) | (1,334,637) | (300,802) | (3,304,384) | (99,819) | (1,082,535) | (144,600) | (1,591,459) |
| Net increase | 395,806 | 4,532,759 | 171,705 | 1,838,639 | 64,021 | 704,397 | 290,913 | 3,199,656 |
| Total net increase (decrease) | (65,909,461) | (774,527,676) | 9,941,586 | 108,325,669 | 484,197 | 4,391,121 | (2,139,581) | (23,542,334) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 231 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
Partners Small Cap
Growth Fund | Variable Portfolio –
Pyramis® International
Equity Fund |
| | Six Months Ended | Year Ended | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | | | | | |
| Subscriptions | 713,546 | 13,422,870 | 2,268,664 | 35,329,944 | 966,569 | 10,294,838 | 8,236,399 | 81,888,451 |
| Distributions reinvested | — | — | — | — | 3,474,335 | 38,304,077 | 5,172,347 | 50,708,533 |
| Redemptions | (3,672,918) | (72,896,896) | (4,371,597) | (79,151,255) | (3,592,821) | (39,113,501) | (796,387) | (7,925,232) |
| Net increase (decrease) | (2,959,372) | (59,474,026) | (2,102,933) | (43,821,311) | 848,083 | 9,485,414 | 12,612,359 | 124,671,752 |
| Class 2 | | | | | | | | |
| Subscriptions | 47,233 | 895,334 | 65,799 | 1,119,977 | 53,761 | 574,529 | 174,195 | 1,730,095 |
| Distributions reinvested | — | — | — | — | 9,456 | 103,804 | 15,047 | 146,676 |
| Redemptions | (13,247) | (249,038) | (66,063) | (1,111,350) | (48,561) | (511,507) | (250,235) | (2,451,863) |
| Net increase (decrease) | 33,986 | 646,296 | (264) | 8,627 | 14,656 | 166,826 | (60,993) | (575,092) |
| Total net increase (decrease) | (2,925,386) | (58,827,730) | (2,103,197) | (43,812,684) | 862,739 | 9,652,240 | 12,551,366 | 124,096,660 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 232 | Variable Portfolio Funds | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
T. Rowe Price Large Cap Value Fund | Variable Portfolio –
TCW Core Plus Bond Fund |
| | Six Months Ended | Year Ended | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | | | | | |
| Subscriptions | 5,737,049 | 118,297,140 | 1,948,842 | 35,204,347 | 5,325,081 | 56,391,592 | 9,313,137 | 99,145,087 |
| Distributions reinvested | — | — | — | — | 5,817,513 | 61,083,883 | 4,757,072 | 50,853,102 |
| Redemptions | (2,648,893) | (54,245,636) | (1,861,846) | (34,310,614) | (14,190,767) | (150,569,490) | (23,664,230) | (252,034,769) |
| Net increase (decrease) | 3,088,156 | 64,051,504 | 86,996 | 893,733 | (3,048,173) | (33,094,015) | (9,594,021) | (102,036,580) |
| Class 2 | | | | | | | | |
| Subscriptions | 153,265 | 3,050,578 | 94,254 | 1,702,827 | 90,952 | 957,278 | 251,782 | 2,675,100 |
| Distributions reinvested | — | — | — | — | 10,901 | 114,238 | 6,934 | 73,921 |
| Redemptions | (26,023) | (523,913) | (47,398) | (808,815) | (50,304) | (530,399) | (78,477) | (829,544) |
| Net increase | 127,242 | 2,526,665 | 46,856 | 894,012 | 51,549 | 541,117 | 180,239 | 1,919,477 |
| Total net increase (decrease) | 3,215,398 | 66,578,169 | 133,852 | 1,787,745 | (2,996,624) | (32,552,898) | (9,413,782) | (100,117,103) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio Funds | Semiannual Report 2017
| 233 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
Wells Fargo Short Duration Government Fund |
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 827,760 | 8,381,080 | 2,186,669 | 22,155,451 |
| Distributions reinvested | 977,792 | 9,826,813 | 1,479,413 | 14,971,659 |
| Redemptions | (7,909,279) | (80,020,244) | (17,338,857) | (176,022,995) |
| Net decrease | (6,103,727) | (61,812,351) | (13,672,775) | (138,895,885) |
| Class 2 | | | | |
| Subscriptions | 238,712 | 2,405,028 | 1,526,077 | 15,444,013 |
| Distributions reinvested | 15,159 | 151,891 | 22,620 | 228,240 |
| Redemptions | (439,076) | (4,418,867) | (697,765) | (7,042,293) |
| Net increase (decrease) | (185,205) | (1,861,948) | 850,932 | 8,629,960 |
| Total net decrease | (6,288,932) | (63,674,299) | (12,821,843) | (130,265,925) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 234 | Variable Portfolio Funds | Semiannual Report 2017 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
Variable Portfolio Funds | Semiannual Report 2017
| 235 |
Financial Highlights
Columbia Variable Portfolio – U.S. Equities Fund
The following tables are intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| 6/30/2017 (c) | $20.81 | 0.06 | 0.59 | 0.65 |
| 12/31/2016 | $17.69 | 0.07 | 3.05 | 3.12 |
| 12/31/2015 | $18.88 | 0.08 | (1.27) | (1.19) |
| 12/31/2014 | $18.29 | (0.04) | 0.63 | 0.59 |
| 12/31/2013 | $13.53 | (0.02) | 4.78 | 4.76 |
| 12/31/2012 | $11.30 | 0.09 | 2.14 | 2.23 |
| Class 2 |
| 6/30/2017 (c) | $20.46 | 0.04 | 0.58 | 0.62 |
| 12/31/2016 | $17.44 | 0.03 | 2.99 | 3.02 |
| 12/31/2015 | $18.67 | (0.01) | (1.22) | (1.23) |
| 12/31/2014 | $18.12 | (0.08) | 0.63 | 0.55 |
| 12/31/2013 | $13.45 | (0.05) | 4.72 | 4.67 |
| 12/31/2012 | $11.25 | 0.09 | 2.11 | 2.20 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Ratios include line of credit interest expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 236 | Variable Portfolio Funds | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income (loss)
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $21.46 | 3.12% | 0.91% (d) | 0.90% (d) | 0.60% (d) | 47% | $1,010,215 |
| $20.81 | 17.64% | 0.91% | 0.91% | 0.40% | 103% | $1,110,559 |
| $17.69 | (6.30%) | 0.92% | 0.92% | 0.43% | 98% | $1,393,433 |
| $18.88 | 3.23% | 1.03% | 0.96% | (0.24%) | 10% | $331,643 |
| $18.29 | 35.18% | 1.00% (e) | 0.96% (e) | (0.13%) | 23% | $631,394 |
| $13.53 | 19.74% | 1.01% (e) | 0.96% (e) | 0.70% | 29% | $711,259 |
| |
| $21.08 | 3.03% | 1.16% (d) | 1.15% (d) | 0.37% (d) | 47% | $15,832 |
| $20.46 | 17.32% | 1.16% | 1.16% | 0.16% | 103% | $14,888 |
| $17.44 | (6.59%) | 1.20% | 1.20% | (0.08%) | 98% | $13,465 |
| $18.67 | 3.04% | 1.29% | 1.21% | (0.47%) | 10% | $14,801 |
| $18.12 | 34.72% | 1.25% (e) | 1.21% (e) | (0.33%) | 23% | $11,839 |
| $13.45 | 19.56% | 1.26% (e) | 1.21% (e) | 0.68% | 29% | $5,321 |
Variable Portfolio Funds | Semiannual Report 2017
| 237 |
Financial Highlights
Variable Portfolio – American Century Diversified Bond Fund
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income | Distributions
from net
realized
gains |
| Class 1 |
| 6/30/2017 (c) | $10.95 | 0.15 | 0.16 | 0.31 | (0.26) | (0.07) |
| 12/31/2016 | $10.76 | 0.27 | 0.13 | 0.40 | (0.20) | (0.01) |
| 12/31/2015 | $11.05 | 0.23 | (0.23) | 0.00 (e) | (0.24) | (0.05) |
| 12/31/2014 | $10.60 | 0.23 | 0.41 | 0.64 | (0.18) | (0.01) |
| 12/31/2013 | $11.30 | 0.17 | (0.45) | (0.28) | (0.22) | (0.20) |
| 12/31/2012 | $11.08 | 0.23 | 0.33 | 0.56 | (0.26) | (0.08) |
| Class 2 |
| 6/30/2017 (c) | $10.91 | 0.13 | 0.16 | 0.29 | (0.23) | (0.07) |
| 12/31/2016 | $10.72 | 0.24 | 0.13 | 0.37 | (0.17) | (0.01) |
| 12/31/2015 | $11.01 | 0.20 | (0.22) | (0.02) | (0.22) | (0.05) |
| 12/31/2014 | $10.56 | 0.20 | 0.41 | 0.61 | (0.15) | (0.01) |
| 12/31/2013 | $11.26 | 0.14 | (0.45) | (0.31) | (0.19) | (0.20) |
| 12/31/2012 | $11.05 | 0.20 | 0.33 | 0.53 | (0.24) | (0.08) |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Rounds to zero. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 238 | Variable Portfolio Funds | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| (0.33) | $10.93 | 2.83% | 0.55% (d) | 0.55% (d) | 2.66% (d) | 82% | $4,001,847 |
| (0.21) | $10.95 | 3.66% | 0.55% | 0.55% | 2.42% | 170% | $4,086,952 |
| (0.29) | $10.76 | 0.05% | 0.55% | 0.55% | 2.07% | 223% | $4,256,477 |
| (0.19) | $11.05 | 6.06% | 0.57% | 0.56% | 2.10% | 214% | $3,199,340 |
| (0.42) | $10.60 | (2.45%) | 0.57% | 0.57% | 1.58% | 186% | $3,180,618 |
| (0.34) | $11.30 | 5.08% | 0.58% | 0.58% | 2.07% | 131% | $2,890,784 |
| |
| (0.30) | $10.90 | 2.67% | 0.80% (d) | 0.80% (d) | 2.42% (d) | 82% | $11,037 |
| (0.18) | $10.91 | 3.42% | 0.80% | 0.80% | 2.18% | 170% | $10,346 |
| (0.27) | $10.72 | (0.20%) | 0.80% | 0.80% | 1.83% | 223% | $7,924 |
| (0.16) | $11.01 | 5.81% | 0.82% | 0.81% | 1.85% | 214% | $6,372 |
| (0.39) | $10.56 | (2.71%) | 0.82% | 0.82% | 1.33% | 186% | $5,874 |
| (0.32) | $11.26 | 4.84% | 0.83% | 0.83% | 1.75% | 131% | $6,670 |
Variable Portfolio Funds | Semiannual Report 2017
| 239 |
Financial Highlights
Variable Portfolio – CenterSquare Real Estate Fund
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income | Distributions
from net
realized
gains |
| Class 1 |
| 6/30/2017 (c) | $8.59 | 0.11 | 0.04 | 0.15 | (0.19) | (0.26) |
| 12/31/2016 | $8.83 | 0.19 | 0.28 (e) | 0.47 | (0.17) | (0.54) |
| 12/31/2015 | $11.26 | 0.17 | (0.31) | (0.14) | (0.76) | (1.53) |
| 12/31/2014 | $11.71 | 0.33 | 1.28 | 1.61 | (0.27) | (1.79) |
| 12/31/2013 | $12.89 | 0.24 | 0.14 | 0.38 | (1.03) | (0.53) |
| 12/31/2012 | $10.08 | 0.29 | 2.76 | 3.05 | (0.04) | (0.20) |
| Class 2 |
| 6/30/2017 (c) | $8.54 | 0.10 | 0.03 | 0.13 | (0.16) | (0.26) |
| 12/31/2016 | $8.78 | 0.16 | 0.29 (e) | 0.45 | (0.15) | (0.54) |
| 12/31/2015 | $11.20 | 0.15 | (0.31) | (0.16) | (0.73) | (1.53) |
| 12/31/2014 | $11.66 | 0.30 | 1.27 | 1.57 | (0.24) | (1.79) |
| 12/31/2013 | $12.84 | 0.22 | 0.13 | 0.35 | (1.00) | (0.53) |
| 12/31/2012 | $10.05 | 0.26 | 2.74 | 3.00 | (0.01) | (0.20) |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
| (f) | Ratios include line of credit interest expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 240 | Variable Portfolio Funds | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| (0.45) | $8.29 | 1.71% | 0.83% (d) | 0.83% (d) | 2.64% (d) | 36% | $408,859 |
| (0.71) | $8.59 | 5.02% | 0.89% | 0.88% | 2.16% | 83% | $402,023 |
| (2.29) | $8.83 | (0.99%) | 1.07% | 1.01% | 1.72% | 27% | $188,580 |
| (2.06) | $11.26 | 14.14% | 1.05% | 0.90% | 2.81% | 25% | $214,639 |
| (1.56) | $11.71 | 3.28% | 1.04% (f) | 0.89% (f) | 1.87% | 25% | $310,093 |
| (0.24) | $12.89 | 30.62% | 1.03% (f) | 0.89% (f) | 2.46% | 31% | $454,820 |
| |
| (0.42) | $8.25 | 1.55% | 1.08% (d) | 1.08% (d) | 2.40% (d) | 36% | $26,532 |
| (0.69) | $8.54 | 4.76% | 1.17% | 1.15% | 1.82% | 83% | $25,298 |
| (2.26) | $8.78 | (1.21%) | 1.32% | 1.26% | 1.53% | 27% | $22,032 |
| (2.03) | $11.20 | 13.81% | 1.30% | 1.15% | 2.60% | 25% | $17,893 |
| (1.53) | $11.66 | 3.05% | 1.29% (f) | 1.14% (f) | 1.77% | 25% | $11,138 |
| (0.21) | $12.84 | 30.21% | 1.29% (f) | 1.14% (f) | 2.22% | 31% | $6,516 |
Variable Portfolio Funds | Semiannual Report 2017
| 241 |
Financial Highlights
Variable Portfolio – Columbia Wanger International Equities Fund
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Increase
from payment
by affiliate | Total from
investment
operations | Distributions
from net
investment
income | Distributions
from net
realized
gains |
| Class 1 |
| 6/30/2017 (c) | $4.91 | 0.03 | 0.94 | — | 0.97 | (0.05) | (0.52) |
| 12/31/2016 | $11.06 | 0.07 | 0.15 | — | 0.22 | (0.15) | (6.22) |
| 12/31/2015 | $12.41 | 0.14 | (0.25) (e) | — | (0.11) | (0.20) | (1.04) |
| 12/31/2014 | $14.10 | 0.15 | (0.60) | — | (0.45) | (0.32) | (0.92) |
| 12/31/2013 | $12.06 | 0.16 | 2.45 | — | 2.61 | (0.35) | (0.22) |
| 12/31/2012 | $10.22 | 0.17 | 2.01 | 0.00 (f) | 2.18 | (0.15) | (0.19) |
| Class 2 |
| 6/30/2017 (c) | $4.90 | 0.03 | 0.93 | — | 0.96 | (0.05) | (0.52) |
| 12/31/2016 | $11.05 | 0.05 | 0.15 | — | 0.20 | (0.13) | (6.22) |
| 12/31/2015 | $12.40 | 0.09 | (0.23) (e) | — | (0.14) | (0.17) | (1.04) |
| 12/31/2014 | $14.09 | 0.12 | (0.59) | — | (0.47) | (0.30) | (0.92) |
| 12/31/2013 | $12.06 | 0.12 | 2.45 | — | 2.57 | (0.32) | (0.22) |
| 12/31/2012 | $10.22 | 0.13 | 2.03 | 0.00 (f) | 2.16 | (0.13) | (0.19) |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
| (f) | Rounds to zero. |
| (g) | The Fund received a payment from an affiliate which had an impact of less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 242 | Variable Portfolio Funds | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| (0.57) | $5.31 | 19.94% | 1.31% (d) | 1.13% (d) | 1.25% (d) | 33% | $74,632 |
| (6.37) | $4.91 | (0.57%) | 1.24% | 1.11% | 0.81% | 92% | $62,245 |
| (1.24) | $11.06 | (1.39%) | 1.14% | 1.11% | 1.15% | 59% | $259,889 |
| (1.24) | $12.41 | (3.86%) | 1.09% | 1.00% | 1.11% | 32% | $678,682 |
| (0.57) | $14.10 | 22.32% | 1.12% | 1.00% | 1.23% | 48% | $699,692 |
| (0.34) | $12.06 | 21.76% (g) | 1.11% | 1.00% | 1.49% | 41% | $599,148 |
| |
| (0.57) | $5.29 | 19.71% | 1.56% (d) | 1.38% (d) | 1.02% (d) | 33% | $31,911 |
| (6.35) | $4.90 | (0.78%) | 1.54% | 1.36% | 0.72% | 92% | $24,465 |
| (1.21) | $11.05 | (1.64%) | 1.42% | 1.36% | 0.76% | 59% | $22,960 |
| (1.22) | $12.40 | (4.05%) | 1.34% | 1.25% | 0.86% | 32% | $19,279 |
| (0.54) | $14.09 | 22.02% | 1.37% | 1.25% | 0.96% | 48% | $14,444 |
| (0.32) | $12.06 | 21.48% (g) | 1.36% | 1.25% | 1.19% | 41% | $6,931 |
Variable Portfolio Funds | Semiannual Report 2017
| 243 |
Financial Highlights
Variable Portfolio – DFA International Value Fund
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income | Distributions
from net
realized
gains |
| Class 1 |
| 6/30/2017 (c) | $9.34 | 0.17 | 0.82 | 0.99 | (0.16) | — |
| 12/31/2016 | $8.91 | 0.25 | 0.46 | 0.71 | (0.24) | (0.04) |
| 12/31/2015 | $10.03 | 0.22 | (0.92) | (0.70) | (0.21) | (0.21) |
| 12/31/2014 | $11.55 | 0.28 | (1.06) | (0.78) | (0.28) | (0.46) |
| 12/31/2013 | $9.87 | 0.24 | 1.70 | 1.94 | (0.26) | — |
| 12/31/2012 | $8.63 | 0.22 | 1.22 | 1.44 | (0.20) | — |
| Class 2 |
| 6/30/2017 (c) | $9.33 | 0.17 | 0.79 | 0.96 | (0.14) | — |
| 12/31/2016 | $8.90 | 0.22 | 0.47 | 0.69 | (0.22) | (0.04) |
| 12/31/2015 | $10.01 | 0.20 | (0.92) | (0.72) | (0.18) | (0.21) |
| 12/31/2014 | $11.53 | 0.25 | (1.06) | (0.81) | (0.25) | (0.46) |
| 12/31/2013 | $9.85 | 0.19 | 1.72 | 1.91 | (0.23) | — |
| 12/31/2012 | $8.62 | 0.20 | 1.21 | 1.41 | (0.18) | — |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Ratios include line of credit interest expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 244 | Variable Portfolio Funds | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| (0.16) | $10.17 | 10.58% | 0.88% (d) | 0.88% (d) | 3.44% (d) | 2% | $1,647,301 |
| (0.28) | $9.34 | 8.33% | 0.91% (e) | 0.91% (e) | 2.89% | 17% | $2,000,961 |
| (0.42) | $8.91 | (7.40%) | 0.98% | 0.98% | 2.25% | 12% | $1,987,543 |
| (0.74) | $10.03 | (7.46%) | 0.99% | 0.89% | 2.50% | 13% | $1,508,393 |
| (0.26) | $11.55 | 20.04% | 1.00% (e) | 0.89% (e) | 2.27% | 15% | $1,291,683 |
| (0.20) | $9.87 | 17.01% | 0.99% (e) | 0.92% (e) | 2.40% | 16% | $1,580,912 |
| |
| (0.14) | $10.15 | 10.35% | 1.14% (d) | 1.14% (d) | 3.45% (d) | 2% | $16,016 |
| (0.26) | $9.33 | 8.08% | 1.16% (e) | 1.16% (e) | 2.52% | 17% | $12,345 |
| (0.39) | $8.90 | (7.56%) | 1.23% | 1.23% | 2.06% | 12% | $10,494 |
| (0.71) | $10.01 | (7.71%) | 1.24% | 1.14% | 2.25% | 13% | $6,751 |
| (0.23) | $11.53 | 19.80% | 1.25% (e) | 1.13% (e) | 1.80% | 15% | $5,321 |
| (0.18) | $9.85 | 16.63% | 1.24% (e) | 1.17% (e) | 2.23% | 16% | $2,269 |
Variable Portfolio Funds | Semiannual Report 2017
| 245 |
Financial Highlights
Variable Portfolio – Eaton Vance Floating-Rate Income Fund
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income | Distributions
from net
realized
gains |
| Class 1 |
| 6/30/2017 (c) | $7.74 | 0.15 | (0.01) | 0.14 | (0.29) | — |
| 12/31/2016 | $7.75 | 0.33 | 0.45 | 0.78 | (0.79) | — |
| 12/31/2015 | $9.52 | 0.36 | (0.43) | (0.07) | (1.70) | — |
| 12/31/2014 | $9.97 | 0.35 | (0.27) | 0.08 | (0.44) | (0.09) |
| 12/31/2013 | $10.09 | 0.40 | 0.00 (e) | 0.40 | (0.44) | (0.08) |
| 12/31/2012 | $9.93 | 0.45 | 0.28 | 0.73 | (0.49) | (0.08) |
| Class 2 |
| 6/30/2017 (c) | $7.61 | 0.14 | (0.01) | 0.13 | (0.27) | — |
| 12/31/2016 | $7.63 | 0.30 | 0.44 | 0.74 | (0.76) | — |
| 12/31/2015 | $9.39 | 0.32 | (0.41) | (0.09) | (1.67) | — |
| 12/31/2014 | $9.84 | 0.32 | (0.26) | 0.06 | (0.42) | (0.09) |
| 12/31/2013 | $9.96 | 0.37 | 0.01 | 0.38 | (0.42) | (0.08) |
| 12/31/2012 | $9.82 | 0.42 | 0.27 | 0.69 | (0.47) | (0.08) |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Rounds to zero. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 246 | Variable Portfolio Funds | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| (0.29) | $7.59 | 1.83% | 0.85% (d) | 0.74% (d) | 3.78% (d) | 54% | $99,607 |
| (0.79) | $7.74 | 10.56% | 0.86% | 0.75% | 4.26% | 66% | $97,843 |
| (1.70) | $7.75 | (1.41%) | 0.81% | 0.75% | 3.82% | 36% | $88,476 |
| (0.53) | $9.52 | 0.81% | 0.79% | 0.72% | 3.58% | 42% | $521,302 |
| (0.52) | $9.97 | 4.13% | 0.79% | 0.72% | 4.01% | 95% | $721,646 |
| (0.57) | $10.09 | 7.59% | 0.79% | 0.72% | 4.46% | 41% | $776,324 |
| |
| (0.27) | $7.47 | 1.75% | 1.10% (d) | 0.99% (d) | 3.54% (d) | 54% | $42,787 |
| (0.76) | $7.61 | 10.29% | 1.11% | 1.00% | 4.01% | 66% | $36,351 |
| (1.67) | $7.63 | (1.58%) | 1.08% | 1.00% | 3.71% | 36% | $30,923 |
| (0.51) | $9.39 | 0.56% | 1.04% | 0.97% | 3.34% | 42% | $31,628 |
| (0.50) | $9.84 | 3.92% | 1.04% | 0.97% | 3.73% | 95% | $28,919 |
| (0.55) | $9.96 | 7.23% | 1.04% | 0.97% | 4.24% | 41% | $12,156 |
Variable Portfolio Funds | Semiannual Report 2017
| 247 |
Financial Highlights
Variable Portfolio – Jennison Mid Cap Growth Fund
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| 6/30/2017 (c) | $19.06 | 0.00 (d) | 2.17 | 2.17 |
| 12/31/2016 | $18.38 | (0.02) | 0.70 | 0.68 |
| 12/31/2015 | $18.90 | (0.04) | (0.48) (f) | (0.52) |
| 12/31/2014 | $17.28 | (0.02) | 1.64 | 1.62 |
| 12/31/2013 | $13.50 | (0.01) | 3.79 | 3.78 |
| 12/31/2012 | $11.59 | 0.06 | 1.85 | 1.91 |
| Class 2 |
| 6/30/2017 (c) | $18.72 | (0.02) | 2.13 | 2.11 |
| 12/31/2016 | $18.10 | (0.07) | 0.69 | 0.62 |
| 12/31/2015 | $18.66 | (0.08) | (0.48) (f) | (0.56) |
| 12/31/2014 | $17.11 | (0.03) | 1.58 | 1.55 |
| 12/31/2013 | $13.40 | (0.05) | 3.76 | 3.71 |
| 12/31/2012 | $11.54 | 0.05 | 1.81 | 1.86 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Rounds to zero. |
| (e) | Annualized. |
| (f) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio. |
| (g) | Ratios include line of credit interest expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 248 | Variable Portfolio Funds | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income (loss)
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $21.23 | 11.39% | 0.89% (e) | 0.88% (e) | 0.05% (e) | 22% | $461,230 |
| $19.06 | 3.70% | 0.90% | 0.88% | (0.11%) | 36% | $411,066 |
| $18.38 | (2.75%) | 0.89% | 0.88% | (0.20%) | 34% | $217,012 |
| $18.90 | 9.37% | 0.88% | 0.86% | (0.13%) | 42% | $681,556 |
| $17.28 | 28.00% | 0.87% (g) | 0.83% (g) | (0.09%) | 37% | $965,195 |
| $13.50 | 16.48% | 0.87% | 0.82% | 0.49% | 47% | $1,039,067 |
| |
| $20.83 | 11.27% | 1.14% (e) | 1.13% (e) | (0.20%) (e) | 22% | $16,815 |
| $18.72 | 3.43% | 1.15% | 1.13% | (0.38%) | 36% | $13,635 |
| $18.10 | (3.00%) | 1.15% | 1.13% | (0.42%) | 34% | $12,750 |
| $18.66 | 9.06% | 1.13% | 1.12% | (0.19%) | 42% | $7,891 |
| $17.11 | 27.69% | 1.13% (g) | 1.08% (g) | (0.33%) | 37% | $5,297 |
| $13.40 | 16.12% | 1.12% | 1.07% | 0.36% | 47% | $2,333 |
Variable Portfolio Funds | Semiannual Report 2017
| 249 |
Financial Highlights
Variable Portfolio – Los Angeles Capital Large Cap Growth Fund
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| 6/30/2017 (c) | $20.25 | 0.04 | 3.35 | 3.39 |
| 12/31/2016 | $20.75 | 0.02 | (0.52) | (0.50) |
| 12/31/2015 | $19.54 | (0.00) (e) | 1.21 | 1.21 |
| 12/31/2014 | $17.70 | (0.00) (e) | 1.84 | 1.84 |
| 12/31/2013 | $12.96 | 0.01 | 4.73 | 4.74 |
| 12/31/2012 | $11.41 | 0.04 | 1.51 | 1.55 |
| Class 2 |
| 6/30/2017 (c) | $19.91 | 0.01 | 3.29 | 3.30 |
| 12/31/2016 | $20.44 | (0.03) | (0.50) | (0.53) |
| 12/31/2015 | $19.31 | (0.05) | 1.18 | 1.13 |
| 12/31/2014 | $17.53 | (0.05) | 1.83 | 1.78 |
| 12/31/2013 | $12.87 | (0.03) | 4.69 | 4.66 |
| 12/31/2012 | $11.36 | 0.02 | 1.49 | 1.51 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Rounds to zero. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 250 | Variable Portfolio Funds | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income (loss)
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $23.64 | 16.74% | 0.77% (d) | 0.77% (d) | 0.33% (d) | 105% | $1,456,013 |
| $20.25 | (2.41%) | 0.77% | 0.77% | 0.10% | 91% | $972,895 |
| $20.75 | 6.19% | 0.76% | 0.76% | (0.01%) | 64% | $1,453,564 |
| $19.54 | 10.40% | 0.76% | 0.76% | (0.02%) | 71% | $1,522,909 |
| $17.70 | 36.57% | 0.76% | 0.76% | 0.07% | 69% | $1,326,310 |
| $12.96 | 13.58% | 0.75% | 0.75% | 0.31% | 63% | $1,685,695 |
| |
| $23.21 | 16.57% | 1.03% (d) | 1.03% (d) | 0.05% (d) | 105% | $8,663 |
| $19.91 | (2.59%) | 1.02% | 1.02% | (0.15%) | 91% | $7,076 |
| $20.44 | 5.85% | 1.01% | 1.01% | (0.26%) | 64% | $6,258 |
| $19.31 | 10.15% | 1.01% | 1.01% | (0.27%) | 71% | $4,383 |
| $17.53 | 36.21% | 1.01% | 1.01% | (0.19%) | 69% | $2,663 |
| $12.87 | 13.29% | 1.00% | 1.00% | 0.16% | 63% | $1,367 |
Variable Portfolio Funds | Semiannual Report 2017
| 251 |
Financial Highlights
Variable Portfolio – MFS® Value Fund
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| 6/30/2017 (c) | $21.22 | 0.24 | 1.68 | 1.92 |
| 12/31/2016 | $18.61 | 0.37 | 2.24 | 2.61 |
| 12/31/2015 | $18.75 | 0.59 (e) | (0.73) | (0.14) |
| 12/31/2014 | $16.99 | 0.31 | 1.45 | 1.76 |
| 12/31/2013 | $12.51 | 0.25 | 4.23 | 4.48 |
| 12/31/2012 | $10.76 | 0.24 | 1.51 | 1.75 |
| Class 2 |
| 6/30/2017 (c) | $20.88 | 0.21 | 1.65 | 1.86 |
| 12/31/2016 | $18.36 | 0.33 | 2.19 | 2.52 |
| 12/31/2015 | $18.54 | 0.59 (f) | (0.77) | (0.18) |
| 12/31/2014 | $16.84 | 0.26 | 1.44 | 1.70 |
| 12/31/2013 | $12.43 | 0.22 | 4.19 | 4.41 |
| 12/31/2012 | $10.72 | 0.22 | 1.49 | 1.71 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.28 per share. |
| (f) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.33 per share. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 252 | Variable Portfolio Funds | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $23.14 | 9.05% | 0.74% (d) | 0.74% (d) | 2.21% (d) | 6% | $2,175,086 |
| $21.22 | 14.03% | 0.74% | 0.74% | 1.89% | 23% | $1,995,300 |
| $18.61 | (0.75%) | 0.73% | 0.73% | 3.14% | 16% | $1,925,986 |
| $18.75 | 10.36% | 0.73% | 0.73% | 1.75% | 13% | $2,364,990 |
| $16.99 | 35.81% | 0.74% | 0.74% | 1.71% | 18% | $2,327,134 |
| $12.51 | 16.26% | 0.75% | 0.74% | 2.05% | 15% | $1,846,204 |
| |
| $22.74 | 8.91% | 0.99% (d) | 0.99% (d) | 1.96% (d) | 6% | $40,766 |
| $20.88 | 13.73% | 1.00% | 1.00% | 1.71% | 23% | $33,917 |
| $18.36 | (0.97%) | 0.99% | 0.99% | 3.15% | 16% | $19,747 |
| $18.54 | 10.09% | 0.98% | 0.98% | 1.48% | 13% | $13,953 |
| $16.84 | 35.48% | 0.99% | 0.99% | 1.45% | 18% | $7,900 |
| $12.43 | 15.95% | 1.00% | 0.99% | 1.85% | 15% | $2,766 |
Variable Portfolio Funds | Semiannual Report 2017
| 253 |
Financial Highlights
Variable Portfolio – Morgan Stanley Advantage Fund
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain | Total from
investment
operations |
| Class 1 |
| 6/30/2017 (c) | $20.50 | (0.01) | 3.37 | 3.36 |
| 12/31/2016 | $19.85 | 0.08 | 0.57 | 0.65 |
| 12/31/2015 | $18.60 | 0.71 (e) | 0.54 | 1.25 |
| 12/31/2014 | $17.33 | 0.05 | 1.22 | 1.27 |
| 12/31/2013 | $13.20 | 0.05 | 4.08 | 4.13 |
| 12/31/2012 | $11.78 | 0.10 | 1.32 | 1.42 |
| Class 2 |
| 6/30/2017 (c) | $20.17 | (0.04) | 3.31 | 3.27 |
| 12/31/2016 | $19.57 | 0.03 | 0.57 | 0.60 |
| 12/31/2015 | $18.39 | 0.59 (f) | 0.59 | 1.18 |
| 12/31/2014 | $17.18 | 0.00 (g) | 1.21 | 1.21 |
| 12/31/2013 | $13.12 | 0.01 | 4.05 | 4.06 |
| 12/31/2012 | $11.73 | 0.07 | 1.32 | 1.39 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.64 per share. |
| (f) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.57 per share. |
| (g) | Rounds to zero. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 254 | Variable Portfolio Funds | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income (loss)
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $23.86 | 16.39% | 0.76% (d) | 0.76% (d) | (0.09%) (d) | 25% | $1,619,513 |
| $20.50 | 3.27% | 0.78% | 0.78% | 0.42% | 130% | $1,063,778 |
| $19.85 | 6.72% | 0.76% | 0.76% | 3.63% | 27% | $1,209,405 |
| $18.60 | 7.33% | 0.76% | 0.76% | 0.27% | 18% | $1,374,918 |
| $17.33 | 31.29% | 0.76% | 0.76% | 0.33% | 116% | $1,604,396 |
| $13.20 | 12.05% | 0.75% | 0.74% | 0.75% | 81% | $1,676,931 |
| |
| $23.44 | 16.21% | 1.01% (d) | 1.01% (d) | (0.34%) (d) | 25% | $8,453 |
| $20.17 | 3.07% | 1.03% | 1.03% | 0.16% | 130% | $6,769 |
| $19.57 | 6.42% | 1.01% | 1.01% | 3.08% | 27% | $7,758 |
| $18.39 | 7.04% | 1.01% | 1.01% | 0.03% | 18% | $5,944 |
| $17.18 | 30.95% | 1.01% | 1.01% | 0.08% | 116% | $4,955 |
| $13.12 | 11.85% | 1.00% | 0.99% | 0.56% | 81% | $3,365 |
Variable Portfolio Funds | Semiannual Report 2017
| 255 |
Financial Highlights
Variable Portfolio – Oppenheimer International Growth Fund
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income | Distributions
from net
realized
gains |
| Class 1 |
| 6/30/2017 (c) | $10.70 | 0.09 | 1.56 | 1.65 | (0.05) | (1.08) |
| 12/31/2016 | $11.36 | 0.15 | (0.54) | (0.39) | (0.15) | (0.12) |
| 12/31/2015 | $12.46 | 0.17 | (0.41) | (0.24) | (0.17) | (0.69) |
| 12/31/2014 | $13.63 | 0.20 | (0.11) | 0.09 | (0.24) | (1.02) |
| 12/31/2013 | $11.79 | 0.17 | 2.03 | 2.20 | (0.21) | (0.15) |
| 12/31/2012 | $10.54 | 0.15 | 1.46 | 1.61 | (0.14) | (0.22) |
| Class 2 |
| 6/30/2017 (c) | $10.66 | 0.09 | 1.54 | 1.63 | (0.03) | (1.08) |
| 12/31/2016 | $11.32 | 0.12 | (0.53) | (0.41) | (0.13) | (0.12) |
| 12/31/2015 | $12.42 | 0.13 | (0.40) | (0.27) | (0.14) | (0.69) |
| 12/31/2014 | $13.60 | 0.16 | (0.11) | 0.05 | (0.21) | (1.02) |
| 12/31/2013 | $11.76 | 0.12 | 2.05 | 2.17 | (0.18) | (0.15) |
| 12/31/2012 | $10.53 | 0.11 | 1.47 | 1.58 | (0.13) | (0.22) |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 256 | Variable Portfolio Funds | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| (1.13) | $11.22 | 15.46% | 0.97% (d) | 0.96% (d) | 1.58% (d) | 10% | $1,637,211 |
| (0.27) | $10.70 | (3.47%) | 0.96% | 0.96% | 1.37% | 94% | $2,270,612 |
| (0.86) | $11.36 | (2.27%) | 0.97% | 0.97% | 1.38% | 19% | $2,299,811 |
| (1.26) | $12.46 | 0.19% | 0.98% | 0.98% | 1.53% | 23% | $2,116,606 |
| (0.36) | $13.63 | 19.13% | 0.98% | 0.98% | 1.39% | 30% | $1,926,293 |
| (0.36) | $11.79 | 15.74% | 0.98% | 0.97% | 1.34% | 28% | $1,982,101 |
| |
| (1.11) | $11.18 | 15.31% | 1.23% (d) | 1.22% (d) | 1.64% (d) | 10% | $27,052 |
| (0.25) | $10.66 | (3.66%) | 1.21% | 1.21% | 1.11% | 94% | $21,570 |
| (0.83) | $11.32 | (2.54%) | 1.22% | 1.22% | 1.09% | 19% | $20,973 |
| (1.23) | $12.42 | (0.08%) | 1.23% | 1.23% | 1.23% | 23% | $12,163 |
| (0.33) | $13.60 | 18.89% | 1.24% | 1.24% | 0.95% | 30% | $6,813 |
| (0.35) | $11.76 | 15.35% | 1.23% | 1.22% | 1.03% | 28% | $3,080 |
Variable Portfolio Funds | Semiannual Report 2017
| 257 |
Financial Highlights
Variable Portfolio – Partners Core Bond Fund
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income | Distributions
from net
realized
gains |
| Class 1 |
| 6/30/2017 (c) | $10.82 | 0.13 | 0.11 | 0.24 | (0.25) | (0.01) |
| 12/31/2016 | $10.80 | 0.25 | 0.02 | 0.27 | (0.23) | (0.02) |
| 12/31/2015 | $10.94 | 0.24 | (0.14) | 0.10 | (0.21) | (0.03) |
| 12/31/2014 | $10.61 | 0.24 | 0.32 | 0.56 | (0.22) | (0.01) |
| 12/31/2013 | $11.11 | 0.22 | (0.47) | (0.25) | (0.23) | (0.02) |
| 12/31/2012 | $10.91 | 0.26 | 0.24 | 0.50 | (0.27) | (0.03) |
| Class 2 |
| 6/30/2017 (c) | $10.77 | 0.12 | 0.12 | 0.24 | (0.23) | (0.01) |
| 12/31/2016 | $10.75 | 0.22 | 0.03 | 0.25 | (0.21) | (0.02) |
| 12/31/2015 | $10.90 | 0.21 | (0.15) | 0.06 | (0.18) | (0.03) |
| 12/31/2014 | $10.57 | 0.21 | 0.33 | 0.54 | (0.20) | (0.01) |
| 12/31/2013 | $11.07 | 0.19 | (0.47) | (0.28) | (0.20) | (0.02) |
| 12/31/2012 | $10.87 | 0.23 | 0.25 | 0.48 | (0.25) | (0.03) |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 258 | Variable Portfolio Funds | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| (0.26) | $10.80 | 2.25% | 0.56% (d) | 0.56% (d) | 2.38% (d) | 118% | $3,343,805 |
| (0.25) | $10.82 | 2.48% | 0.56% | 0.56% | 2.27% | 17% | $3,343,966 |
| (0.24) | $10.80 | 0.88% | 0.57% | 0.56% | 2.18% | 20% | $3,363,421 |
| (0.23) | $10.94 | 5.35% | 0.57% | 0.56% | 2.23% | 11% | $2,940,311 |
| (0.25) | $10.61 | (2.23%) | 0.57% | 0.57% | 2.03% | 16% | $3,112,418 |
| (0.30) | $11.11 | 4.63% | 0.58% | 0.58% | 2.33% | 14% | $2,817,256 |
| |
| (0.24) | $10.77 | 2.20% | 0.81% (d) | 0.81% (d) | 2.13% (d) | 118% | $10,833 |
| (0.23) | $10.77 | 2.23% | 0.82% | 0.81% | 2.03% | 17% | $10,146 |
| (0.21) | $10.75 | 0.54% | 0.82% | 0.81% | 1.94% | 20% | $6,999 |
| (0.21) | $10.90 | 5.11% | 0.82% | 0.81% | 1.98% | 11% | $5,070 |
| (0.22) | $10.57 | (2.49%) | 0.82% | 0.82% | 1.77% | 16% | $4,720 |
| (0.28) | $11.07 | 4.47% | 0.83% | 0.83% | 2.07% | 14% | $5,837 |
Variable Portfolio Funds | Semiannual Report 2017
| 259 |
Financial Highlights
Variable Portfolio – Partners Small Cap Growth Fund
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| 6/30/2017 (c) | $18.48 | (0.03) | 1.63 | 1.60 |
| 12/31/2016 | $17.33 | (0.04) | 1.19 | 1.15 |
| 12/31/2015 | $18.25 | (0.04) | (0.88) | (0.92) |
| 12/31/2014 | $18.30 | (0.08) | 0.03 | (0.05) |
| 12/31/2013 | $13.05 | (0.03) | 5.28 | 5.25 |
| 12/31/2012 | $11.74 | 0.04 | 1.27 | 1.31 |
| Class 2 |
| 6/30/2017 (c) | $18.17 | (0.06) | 1.61 | 1.55 |
| 12/31/2016 | $17.08 | (0.08) | 1.17 | 1.09 |
| 12/31/2015 | $18.04 | (0.08) | (0.88) | (0.96) |
| 12/31/2014 | $18.13 | (0.12) | 0.03 | (0.09) |
| 12/31/2013 | $12.96 | (0.08) | 5.25 | 5.17 |
| 12/31/2012 | $11.68 | 0.03 | 1.25 | 1.28 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 260 | Variable Portfolio Funds | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income (loss)
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $20.08 | 8.66% | 0.94% (d) | 0.93% (d) | (0.35%) (d) | 74% | $604,914 |
| $18.48 | 6.64% | 0.98% | 0.94% | (0.25%) | 90% | $611,339 |
| $17.33 | (5.04%) | 1.02% | 0.96% | (0.20%) | 63% | $609,772 |
| $18.25 | (0.27%) | 1.02% | 0.96% | (0.46%) | 43% | $536,791 |
| $18.30 | 40.23% | 1.03% | 0.96% | (0.19%) | 53% | $622,614 |
| $13.05 | 11.16% | 1.03% | 0.99% | 0.33% | 70% | $510,214 |
| |
| $19.72 | 8.53% | 1.19% (d) | 1.18% (d) | (0.60%) (d) | 74% | $6,130 |
| $18.17 | 6.38% | 1.23% | 1.19% | (0.50%) | 90% | $5,031 |
| $17.08 | (5.32%) | 1.27% | 1.21% | (0.46%) | 63% | $4,734 |
| $18.04 | (0.50%) | 1.27% | 1.21% | (0.70%) | 43% | $3,355 |
| $18.13 | 39.89% | 1.28% | 1.21% | (0.48%) | 53% | $2,841 |
| $12.96 | 10.96% | 1.28% | 1.24% | 0.21% | 70% | $1,252 |
Variable Portfolio Funds | Semiannual Report 2017
| 261 |
Financial Highlights
Variable Portfolio – Pyramis® International Equity Fund
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income | Distributions
from net
realized
gains |
| Class 1 |
| 6/30/2017 (c) | $9.91 | 0.15 | 1.25 | 1.40 | (0.16) | — |
| 12/31/2016 | $10.48 | 0.20 | (0.54) | (0.34) | (0.23) | — |
| 12/31/2015 | $10.99 | 0.15 | (0.16) | (0.01) | (0.16) | (0.34) |
| 12/31/2014 | $12.99 | 0.23 | (0.99) | (0.76) | (0.22) | (1.02) |
| 12/31/2013 | $11.24 | 0.20 | 2.12 | 2.32 | (0.27) | (0.30) |
| 12/31/2012 | $9.65 | 0.23 | 1.73 | 1.96 | (0.21) | (0.16) |
| Class 2 |
| 6/30/2017 (c) | $9.86 | 0.14 | 1.24 | 1.38 | (0.15) | — |
| 12/31/2016 | $10.43 | 0.18 | (0.54) | (0.36) | (0.21) | — |
| 12/31/2015 | $10.94 | 0.13 | (0.16) | (0.03) | (0.14) | (0.34) |
| 12/31/2014 | $12.95 | 0.19 | (0.99) | (0.80) | (0.19) | (1.02) |
| 12/31/2013 | $11.21 | 0.14 | 2.15 | 2.29 | (0.25) | (0.30) |
| 12/31/2012 | $9.63 | 0.19 | 1.74 | 1.93 | (0.19) | (0.16) |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 262 | Variable Portfolio Funds | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| (0.16) | $11.15 | 14.20% | 0.95% (d) | 0.95% (d) | 2.84% (d) | 33% | $2,616,242 |
| (0.23) | $9.91 | (3.24%) | 0.97% | 0.96% | 2.04% | 50% | $2,317,135 |
| (0.50) | $10.48 | (0.41%) | 0.97% | 0.97% | 1.37% | 52% | $2,317,553 |
| (1.24) | $10.99 | (6.73%) | 0.99% | 0.99% | 1.86% | 55% | $1,523,162 |
| (0.57) | $12.99 | 21.51% | 1.00% | 1.00% | 1.64% | 78% | $1,427,986 |
| (0.37) | $11.24 | 20.92% | 1.01% | 0.98% | 2.19% | 66% | $1,195,137 |
| |
| (0.15) | $11.09 | 14.03% | 1.20% (d) | 1.20% (d) | 2.59% (d) | 33% | $7,724 |
| (0.21) | $9.86 | (3.44%) | 1.22% | 1.21% | 1.85% | 50% | $6,722 |
| (0.48) | $10.43 | (0.60%) | 1.22% | 1.22% | 1.13% | 52% | $7,749 |
| (1.21) | $10.94 | (7.02%) | 1.24% | 1.24% | 1.60% | 55% | $4,652 |
| (0.55) | $12.95 | 21.27% | 1.25% | 1.25% | 1.16% | 78% | $3,282 |
| (0.35) | $11.21 | 20.59% | 1.26% | 1.24% | 1.88% | 66% | $1,297 |
Variable Portfolio Funds | Semiannual Report 2017
| 263 |
Financial Highlights
Variable Portfolio – T. Rowe Price Large Cap Value Fund
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| 6/30/2017 (c) | $19.62 | 0.19 | 1.10 | 1.29 |
| 12/31/2016 | $17.16 | 0.41 | 2.05 | 2.46 |
| 12/31/2015 | $18.69 | 0.42 | (1.95) | (1.53) |
| 12/31/2014 | $17.03 | 0.38 | 1.28 | 1.66 |
| 12/31/2013 | $13.29 | 0.39 | 3.35 | 3.74 |
| 12/31/2012 | $11.66 | 0.38 | 1.25 | 1.63 |
| Class 2 |
| 6/30/2017 (c) | $19.30 | 0.16 | 1.08 | 1.24 |
| 12/31/2016 | $16.92 | 0.36 | 2.02 | 2.38 |
| 12/31/2015 | $18.48 | 0.37 | (1.93) | (1.56) |
| 12/31/2014 | $16.87 | 0.33 | 1.28 | 1.61 |
| 12/31/2013 | $13.21 | 0.35 | 3.31 | 3.66 |
| 12/31/2012 | $11.61 | 0.35 | 1.25 | 1.60 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 264 | Variable Portfolio Funds | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $20.91 | 6.57% | 0.73% (d) | 0.73% (d) | 1.83% (d) | 15% | $2,375,795 |
| $19.62 | 14.34% | 0.75% | 0.75% | 2.30% | 108% | $2,168,289 |
| $17.16 | (8.19%) | 0.75% | 0.75% | 2.32% | 59% | $1,894,441 |
| $18.69 | 9.75% | 0.74% | 0.74% | 2.10% | 32% | $2,105,199 |
| $17.03 | 28.14% | 0.75% | 0.75% | 2.58% | 29% | $2,058,095 |
| $13.29 | 13.98% | 0.75% | 0.75% | 2.98% | 42% | $1,843,656 |
| |
| $20.54 | 6.42% | 0.98% (d) | 0.98% (d) | 1.60% (d) | 15% | $13,850 |
| $19.30 | 14.07% | 1.00% | 1.00% | 2.05% | 108% | $10,555 |
| $16.92 | (8.44%) | 1.00% | 1.00% | 2.06% | 59% | $8,459 |
| $18.48 | 9.54% | 0.99% | 0.99% | 1.85% | 32% | $9,505 |
| $16.87 | 27.71% | 1.00% | 1.00% | 2.29% | 29% | $6,908 |
| $13.21 | 13.78% | 1.00% | 1.00% | 2.75% | 42% | $3,883 |
Variable Portfolio Funds | Semiannual Report 2017
| 265 |
Financial Highlights
Variable Portfolio – TCW Core Plus Bond Fund
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income | Distributions
from net
realized
gains |
| Class 1 |
| 6/30/2017 (c) | $10.48 | 0.10 | 0.12 | 0.22 | (0.17) | (0.04) |
| 12/31/2016 | $10.40 | 0.17 | 0.08 | 0.25 | (0.13) | (0.04) |
| 12/31/2015 | $10.47 | 0.14 | (0.12) | 0.02 | (0.09) | (0.00) (e) |
| 12/31/2014 | $10.02 | 0.16 | 0.36 | 0.52 | (0.07) | — |
| 12/31/2013 | $10.48 | 0.09 | (0.32) | (0.23) | (0.08) | (0.15) |
| 12/31/2012 | $10.62 | 0.07 | 0.17 | 0.24 | (0.20) | (0.18) |
| Class 2 |
| 6/30/2017 (c) | $10.44 | 0.09 | 0.12 | 0.21 | (0.15) | (0.04) |
| 12/31/2016 | $10.36 | 0.15 | 0.08 | 0.23 | (0.11) | (0.04) |
| 12/31/2015 | $10.43 | 0.12 | (0.13) | (0.01) | (0.06) | (0.00) (e) |
| 12/31/2014 | $9.99 | 0.14 | 0.34 | 0.48 | (0.04) | — |
| 12/31/2013 | $10.44 | 0.06 | (0.31) | (0.25) | (0.05) | (0.15) |
| 12/31/2012 | $10.59 | 0.04 | 0.17 | 0.21 | (0.18) | (0.18) |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
| (e) | Rounds to zero. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 266 | Variable Portfolio Funds | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| (0.21) | $10.49 | 2.13% | 0.55% (d) | 0.55% (d) | 1.87% (d) | 152% | $3,050,340 |
| (0.17) | $10.48 | 2.41% | 0.56% | 0.55% | 1.61% | 276% | $3,079,179 |
| (0.09) | $10.40 | 0.19% | 0.58% | 0.56% | 1.35% | 351% | $3,154,641 |
| (0.07) | $10.47 | 5.15% | 0.60% | 0.58% | 1.57% | 448% | $2,130,226 |
| (0.23) | $10.02 | (2.19%) | 0.61% | 0.61% | 0.85% | 1,233% | $1,247,945 |
| (0.38) | $10.48 | 2.32% | 0.62% | 0.60% | 0.69% | 1,142% | $1,479,732 |
| |
| (0.19) | $10.46 | 1.98% | 0.80% (d) | 0.80% (d) | 1.62% (d) | 152% | $6,605 |
| (0.15) | $10.44 | 2.17% | 0.81% | 0.80% | 1.38% | 276% | $6,052 |
| (0.06) | $10.36 | (0.06%) | 0.83% | 0.81% | 1.10% | 351% | $4,137 |
| (0.04) | $10.43 | 4.81% | 0.85% | 0.83% | 1.33% | 448% | $3,147 |
| (0.20) | $9.99 | (2.36%) | 0.86% | 0.86% | 0.60% | 1,233% | $3,260 |
| (0.36) | $10.44 | 2.05% | 0.87% | 0.85% | 0.40% | 1,142% | $3,684 |
Variable Portfolio Funds | Semiannual Report 2017
| 267 |
Financial Highlights
Variable Portfolio – Wells Fargo Short Duration Government Fund
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income | Distributions
from net
realized
gains |
| Class 1 |
| 6/30/2017 (c) | $10.08 | 0.05 | 0.01 | 0.06 | (0.10) | (0.00) (d) |
| 12/31/2016 | $10.11 | 0.09 | 0.02 | 0.11 | (0.10) | (0.04) |
| 12/31/2015 | $10.18 | 0.07 | (0.04) | 0.03 | (0.10) | — |
| 12/31/2014 | $10.14 | 0.05 | 0.04 | 0.09 | (0.05) | — |
| 12/31/2013 | $10.33 | 0.05 | (0.06) | (0.01) | (0.10) | (0.08) |
| 12/31/2012 | $10.32 | 0.11 | 0.10 | 0.21 | (0.12) | (0.08) |
| Class 2 |
| 6/30/2017 (c) | $10.04 | 0.04 | 0.00 (d) | 0.04 | (0.07) | (0.00) (d) |
| 12/31/2016 | $10.07 | 0.06 | 0.02 | 0.08 | (0.07) | (0.04) |
| 12/31/2015 | $10.14 | 0.04 | (0.03) | 0.01 | (0.08) | — |
| 12/31/2014 | $10.09 | 0.03 | 0.04 | 0.07 | (0.02) | — |
| 12/31/2013 | $10.29 | 0.02 | (0.07) | (0.05) | (0.07) | (0.08) |
| 12/31/2012 | $10.29 | 0.08 | 0.10 | 0.18 | (0.10) | (0.08) |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Rounds to zero. |
| (e) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 268 | Variable Portfolio Funds | Semiannual Report 2017 |
Total
distributions to
shareholders | Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| (0.10) | $10.04 | 0.60% | 0.50% (e) | 0.50% (e) | 1.01% (e) | 173% | $991,072 |
| (0.14) | $10.08 | 1.03% | 0.56% | 0.55% | 0.86% | 343% | $1,056,643 |
| (0.10) | $10.11 | 0.32% | 0.60% | 0.60% | 0.64% | 375% | $1,197,705 |
| (0.05) | $10.18 | 0.86% | 0.59% | 0.59% | 0.54% | 445% | $2,321,423 |
| (0.18) | $10.14 | (0.14%) | 0.59% | 0.59% | 0.47% | 282% | $2,455,893 |
| (0.20) | $10.33 | 2.01% | 0.60% | 0.59% | 1.03% | 356% | $2,106,703 |
| |
| (0.07) | $10.01 | 0.45% | 0.75% (e) | 0.75% (e) | 0.76% (e) | 173% | $20,166 |
| (0.11) | $10.04 | 0.78% | 0.80% | 0.80% | 0.63% | 343% | $22,083 |
| (0.08) | $10.07 | 0.07% | 0.86% | 0.85% | 0.40% | 375% | $13,574 |
| (0.02) | $10.14 | 0.71% | 0.84% | 0.84% | 0.31% | 445% | $6,479 |
| (0.15) | $10.09 | (0.49%) | 0.84% | 0.84% | 0.23% | 282% | $2,460 |
| (0.18) | $10.29 | 1.76% | 0.85% | 0.84% | 0.76% | 356% | $2,189 |
Variable Portfolio Funds | Semiannual Report 2017
| 269 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Funds Variable Series Trust II (the Trust) is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Information presented in these financial statements pertains to the following series of the Trust (each, a Fund and collectively, the Funds): Columbia Variable Portfolio – U.S. Equities Fund; Variable Portfolio – American Century Diversified Bond Fund; Variable Portfolio – CenterSquare Real Estate Fund; Variable Portfolio – Columbia Wanger International Equities Fund; Variable Portfolio – DFA International Value Fund; Variable Portfolio – Eaton Vance Floating-Rate Income Fund; Variable Portfolio – Jennison Mid Cap Growth Fund; Variable Portfolio – Los Angeles Capital Large Cap Growth Fund (formerly known as Variable Portfolio — Nuveen Winslow Large Cap Growth Fund); Variable Portfolio – MFS® Value Fund; Variable Portfolio – Morgan Stanley Advantage Fund; Variable Portfolio – Oppenheimer International Growth Fund; Variable Portfolio – Partners Core Bond Fund (formerly known as Variable Portfolio — J.P. Morgan Core Bond Fund); Variable Portfolio – Partners Small Cap Growth Fund; Variable Portfolio – Pyramis® International Equity Fund; Variable Portfolio – T. Rowe Price Large Cap Value Fund; Variable Portfolio – TCW Core Plus Bond Fund and Variable Portfolio – Wells Fargo Short Duration Government Fund. Effective May 1, 2017, Variable Portfolio — J.P. Morgan Core Bond Fund was renamed Variable Portfolio — Partners Core Bond Fund and Variable Portfolio — Nuveen Winslow Large Cap Growth Fund was renamed Variable Portfolio — Los Angeles Capital Large Cap Growth Fund.
Each Fund currently operates as a diversified fund.
Fund shares
The Trust may issue an unlimited number of shares (without par value). Each Fund offers Class 1 and Class 2 shares to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated and unaffiliated life insurance companies (Participating Insurance Companies) as well as qualified pension and retirement plans (Qualified Plans) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). You may not buy (nor will you own) shares of the Funds directly. You may invest by participating in a Qualified Plan or by buying a Contract and making allocations to one or more Funds. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Different share classes pay different distribution amounts to the extent the expenses of such share classes differ, and distributions in liquidation will be proportional to the net asset value of each share class. Each share class has its own cost structure and other features.
Note 2. Summary of significant accounting policies
Basis of preparation
Each Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements.
Security valuation
All equity securities are valued at the close of business of the New York Stock Exchange. Equity securities are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
| 270 | Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Debt securities generally are valued by pricing services approved by the Board of Trustees based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques that take into account, as applicable, factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as approved independent broker-dealer quotes. Debt securities for which quotations are not readily available or not believed to be reflective of market value may also be valued based upon a bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized cost value, unless this method results in a valuation that management believes does not approximate market value.
Asset- and mortgage-backed securities are generally valued by pricing services, which utilize pricing models that incorporate the securities’ cash flow and loan performance data. These models also take into account available market data, including trades, market quotations, and benchmark yield curves for identical or similar securities. Factors used to identify similar securities may include, but are not limited to, issuer, collateral type, vintage, prepayment speeds, collateral performance, credit ratings, credit enhancement and expected life. Asset-backed securities for which quotations are readily available may also be valued based upon an over-the-counter or exchange bid quote from an approved independent broker-dealer.
Senior loan securities for which reliable market quotations are readily available are generally valued by pricing services at the average of the bids received.
Foreign equity securities are valued based on the closing price on the foreign exchange in which such securities are primarily traded. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are generally determined at 4:00 p.m. Eastern (U.S.) time. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees, including, if available, utilizing a third party pricing service to determine these fair values. The third party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies, including money market funds, are valued at their latest net asset value.
Forward foreign currency exchange contracts are marked-to-market based upon foreign currency exchange rates provided by a pricing service.
Futures and options on futures contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of transactions, at the mean of the latest quoted bid and ask prices.
Swap transactions are valued through an independent pricing service or broker, or if neither is available, through an internal model based upon observable inputs.
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Variable Portfolio Funds | Semiannual Report 2017
| 271 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Foreign currency transactions and translations
The values of all assets and liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains (losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes, the Funds do not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Derivative instruments
Certain Funds invest in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract; therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded
| 272 | Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In addition to considering counterparty credit risk, the Fund would consider terminating the derivatives contracts based on whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Forward foreign currency exchange contracts
Forward foreign currency exchange contracts are over-the-counter agreements between two parties to buy and sell a currency at a set price on a future date. Certain Funds utilized forward foreign currency exchange contracts as detailed below:
| Forward foreign currency exchange contracts | Funds |
To hedge the currency exposure associated with some or all of the
Fund’s securities | Variable Portfolio — American Century Diversified Bond Fund
Variable Portfolio — TCW Core Plus Bond Fund |
| To shift foreign currency exposure back to U.S. dollars | Variable Portfolio — American Century Diversified Bond Fund
Variable Portfolio — TCW Core Plus Bond Fund |
| To shift investment exposure from one currency to another | Variable Portfolio — American Century Diversified Bond Fund |
To generate total return through long and short currency positions
versus the U.S. dollar | Variable Portfolio — American Century Diversified Bond Fund
Variable Portfolio — TCW Core Plus Bond Fund |
| To generate interest rate differential yield | Variable Portfolio — American Century Diversified Bond Fund |
The values of forward foreign currency exchange contracts fluctuate daily with changes in foreign currency exchange rates. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract is exercised or has expired. The Fund will realize a gain or loss when the forward foreign currency exchange contract is closed or expires.
The use of forward foreign currency exchange contracts does not eliminate fluctuations in the prices of the Fund’s portfolio securities. The risks of forward foreign currency exchange contracts include movement in the values of the foreign currencies relative to the U.S. dollar (or other foreign currencies) and the possibility that counterparties will not complete their contractual obligations, which may be in excess of the amount reflected, if any, in the Statement of Assets and Liabilities.
Variable Portfolio Funds | Semiannual Report 2017
| 273 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Futures contracts
Futures contracts are exchange traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. Certain Funds bought and sold futures contracts as detailed below:
| Futures contracts | Funds |
| To produce incremental earnings | Variable Portfolio — TCW Core Plus Bond Fund |
To manage the duration and yield curve exposure of the
Fund versus the benchmark | Variable Portfolio — American Century Diversified Bond Fund
Variable Portfolio — TCW Core Plus Bond Fund
Variable Portfolio — Wells Fargo Short Duration Government Fund |
To maintain appropriate equity market exposure while keeping
sufficient cash to accommodate daily redemptions | Columbia Variable Portfolio — U.S. Equities Fund
Variable Portfolio — Pyramis® International Equity Fund |
| To manage exposure to the securities market | Variable Portfolio — Pyramis® International Equity Fund |
| To manage exposure to movements in interest rates | Variable Portfolio — American Century Diversified Bond Fund
Variable Portfolio — TCW Core Plus Bond Fund |
Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into futures contracts, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Swap contracts
Swap contracts are negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (centrally cleared swap contract). In a centrally cleared swap contract, immediately following execution of the swap contract with a broker, the swap contract is novated to a central counterparty (the CCP) and the CCP becomes the Fund’s counterparty to the centrally cleared swap contract. The Fund is required to deposit initial margin with the futures commission merchant (FCM), which pledges it through to the CCP in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap contract. Securities deposited as initial margin are designated in the Portfolio of Investments and cash deposited is recorded in the Statement of Assets and Liabilities as margin deposits. Unlike a bilateral swap contract, for centrally cleared swap contracts, the Fund has minimal credit exposure to the FCM because the CCP stands between the Fund and the relevant buyer/seller on the other side of the contract. Swap contracts are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swap contracts, if any, is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities.
Entering into these contracts involves, to varying degrees, elements of interest, liquidity and counterparty credit risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there may be unfavorable changes in interest rates, market conditions or other conditions, it may be difficult to initiate a swap transaction or liquidate a position at an advantageous time or price which may result in significant losses, and that the FCM or CCP may not fulfill its obligation under the contract.
| 274 | Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Credit default swap contracts
Certain Funds entered into credit default swap contracts as detailed below:
| Credit default swap contracts | Funds |
| To manage credit risk exposure | Variable Portfolio — American Century Diversified Bond Fund |
To increase or decrease its credit exposure to a specific debt security
or a basket of debt securities as a protection buyer or seller to reduce or increase
overall credit exposure | Variable Portfolio — American Century Diversified Bond Fund |
| To increase or decrease its credit exposure to a credit sector | Variable Portfolio — American Century Diversified Bond Fund |
These instruments may be used for other purposes in future periods. Credit default swap contracts are agreements in which one party pays fixed periodic payments to a counterparty in consideration for a guarantee from the counterparty to make a specific payment should a specified credit event(s) take place. Although specified credit events are contract specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium.
As the purchaser of a credit default swap contract, the Fund purchases protection by paying a periodic interest rate on the notional amount to the counterparty. The interest amount is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as a realized loss upon payment. If a credit event as specified in the contract occurs, the Fund may have the option either to deliver the reference obligation to the seller in exchange for a cash payment of its par amount, or to receive a net cash settlement equal to the par amount less an agreed-upon value of the reference obligation as of the date of the credit event. The difference between the value of the obligation or cash delivered and the notional amount received will be recorded as a realized gain (loss).
As the seller of a credit default swap contract, the Fund sells protection to a buyer and will generally receive a periodic interest rate on a notional amount. The interest amount is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as a realized gain upon receipt of the payment. If a credit event as specified in the contract with the counterparty occurs, the Fund may either be required to accept the reference obligation from the buyer in exchange for a cash payment of its notional amount, or to pay the buyer a net cash settlement equal to the notional amount less an agreed-upon value of the reference obligation (recovery value) as of the date of the credit event. The difference between the value of the obligation or cash received and the notional amount paid will be recorded as a realized gain (loss). The maximum potential amount of undiscounted future payments the Fund could be required to make as the seller of protection under a credit default swap contract is equal to the notional amount of the reference obligation. These potential amounts may be partially offset by any recovery values of the respective reference obligations or premiums received upon entering into the agreement. The notional amounts and market values of all credit default swap contracts in which the Fund is the seller of protection, if any, are disclosed in the Credit Default Swap Contracts Outstanding schedule following the Portfolio of Investments.
As a protection seller, the Fund bears the risk of loss from the credit events specified in the contract with the counterparty. For credit default swap contracts on credit indices, quoted market prices and resulting market values serve as an indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.
Any premium paid or received by the Fund upon entering into a credit default swap contract is recorded as an asset or liability, respectively, and amortized daily as a component of realized gain (loss) in the Statement of Operations. Credit default swap contracts are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time a realized gain (loss) is recorded.
Credit default swap contracts can involve greater risks than if a fund had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to counterparty credit risk, leverage risk, hedging risk, correlation risk and liquidity risk.
Variable Portfolio Funds | Semiannual Report 2017
| 275 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Funds, including: the fair value of derivatives by risk category and the location of those fair values in the Statements of Assets and Liabilities; and the impact of derivative transactions over the period in the Statements of Operations, including realized gains or losses and unrealized gains or losses. The derivative schedules following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
Columbia Variable Portfolio – U.S. Equities Fund
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital - unrealized depreciation on futures | 28,248* |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Equity risk | 525,273 |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Equity risk | 58,202 |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 5,545,598 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2017. |
Variable Portfolio – American Century Diversified Bond Fund
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Credit risk | Net assets — unrealized appreciation on swap contracts | 417,083* |
| Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 427,093 |
| Interest rate risk | Net assets — unrealized appreciation on futures contracts | 101,800* |
| Total | | 945,976 |
| 276 | Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 346,817 |
| Interest rate risk | Net assets — unrealized depreciation on futures contracts | 459,599* |
| Total | | 806,416 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | — | 318,785 | 318,785 |
| Foreign exchange risk | (3,532,471) | — | — | (3,532,471) |
| Interest rate risk | — | (2,088,132) | — | (2,088,132) |
| Total | (3,532,471) | (2,088,132) | 318,785 | (5,301,818) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | — | 417,083 | 417,083 |
| Foreign exchange risk | (1,148,979) | — | — | (1,148,979) |
| Interest rate risk | — | 93,051 | — | 93,052 |
| Total | (1,148,979) | 93,051 | 417,083 | (638,844) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 138,322,344 |
| Futures contracts — short | 60,781,406 |
| Credit default swap contracts — sell protection | 14,900,000 |
| Derivative instrument | Average unrealized
appreciation ($)* | Average unrealized
depreciation ($)* |
| Forward foreign currency exchange contracts | 220,920 | (310,575) |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2017. |
Variable Portfolio Funds | Semiannual Report 2017
| 277 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Variable Portfolio – Pyramis® International Equity Fund
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Net assets — unrealized depreciation on futures contracts | 426,527* |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Equity risk | 8,383,043 |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Equity risk | (76,954) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 73,985,100 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2017. |
Variable Portfolio – TCW Core Plus Bond Fund
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 374,324 |
| Interest rate risk | Net assets — unrealized appreciation on futures contracts | 189,864* |
| Total | | 564,188 |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 98,755 |
| Interest rate risk | Net assets — unrealized depreciation on futures contracts | 831,855* |
| Total | | 930,610 |
| 278 | Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Interest rate risk | 1,647,768 |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Total
($) |
| Foreign exchange risk | 275,569 | — | 275,569 |
| Interest rate risk | — | (1,026) | (1,026) |
| Total | 275,569 | (1,026) | 274,543 |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 458,287,513 |
| Futures contracts — short | 93,290,000 |
| Derivative instrument | Average unrealized
appreciation ($)* | Average unrealized
depreciation ($)* |
| Forward foreign currency exchange contracts | 187,162 | (49,378) |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2017. |
Variable Portfolio – Wells Fargo Short Duration Government Fund
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Interest rate risk | Net assets — unrealized appreciation on futures contracts | 265,691* |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Interest rate risk | Net assets — unrealized depreciation on futures contracts | 218,365* |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
Variable Portfolio Funds | Semiannual Report 2017
| 279 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Credit risk | (209,358) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Interest rate risk | (119,811) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 179,071,423 |
| Futures contracts — short | 79,812,235 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2017. |
Investments in senior loans
Certain Funds may invest in senior loan assignments. When the Fund purchases an assignment of a senior loan, the Fund typically has direct rights against the borrower; provided, however, that the Fund’s rights may be more limited than the lender from which it acquired the assignment and the Fund may be able to enforce its rights only through an administrative agent. Although certain senior loan assignments are secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor. In the event that the administrator or collateral agent of a loan becomes insolvent or enters into receivership or bankruptcy, the Fund may incur costs and delays in realizing payment or may suffer a loss of principal and/or interest. The risk of loss is greater for unsecured or subordinated loans. In addition, senior loan assignments are vulnerable to market, economic or other conditions or events that may reduce the demand for senior loan assignments and certain senior loan assignments which were liquid when purchased, may become illiquid.
The Fund may enter into senior loan assignments where all or a portion of the loan may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments are generally traded and priced in the same manner as other senior loan securities and are disclosed as unfunded senior loan commitments in the Fund’s Portfolio of Investments with a corresponding payable for investments purchased. The Fund designates cash or liquid securities to cover these commitments.
Asset- and mortgage-backed securities
Certain Funds may invest in asset-backed and mortgage-backed securities. The maturity dates shown represent the original maturity of the underlying obligation. Actual maturity may vary based upon prepayment activity on these obligations. All, or a portion, of the obligation may be prepaid at any time because the underlying asset may be prepaid. As a result, decreasing market interest rates could result in an increased level of prepayment. An increased prepayment rate will have the effect of shortening the maturity of the security. Unless otherwise noted, the coupon rates presented are fixed rates.
Delayed delivery securities
Certain Funds may trade securities on other than normal settlement terms, including securities purchased or sold on a “when-issued” or "forward commitment" basis. This may increase risk to the Fund since the other party to the transaction may fail to deliver, which could cause the Fund to subsequently invest at less advantageous prices. The Fund designates cash or liquid securities in an amount equal to the delayed delivery commitment.
| 280 | Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
To be announced securities
Certain Funds may trade securities on a To Be Announced (TBA) basis. As with other delayed-delivery transactions, a seller agrees to issue a TBA security at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Fund agrees to accept any security that meets specified terms.
In some cases, Master Securities Forward Transaction Agreements (MSFTAs) may be used to govern transactions of certain forward-settling agency mortgage-backed securities, such as delayed-delivery and TBAs, between the Fund and counterparty. The MSFTA maintains provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral relating to such transactions.
Mortgage dollar roll transactions
Certain Funds may enter into mortgage “dollar rolls” in which the Fund sells securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar but not identical securities (same type, coupon and maturity) on a specified future date. During the roll period, the Fund loses the right to receive principal and interest paid on the securities sold. However, the Fund will benefit because it receives negotiated amounts in the form of reductions of the purchase price for the future purchase plus the interest earned on the cash proceeds of the securities sold until the settlement date of the forward purchase. The Fund records the incremental difference between the forward purchase and sale of each forward roll as a realized gain or loss. Unless any realized gains exceed the income, capital appreciation, and gain or loss due to mortgage prepayments that would have been realized on the securities sold as part of the mortgage dollar roll, the use of this technique will diminish the investment performance of the Fund compared to what the performance would have been without the use of mortgage dollar rolls. All cash proceeds will be invested in instruments that are permissible investments for the Fund. The Fund identifies cash or liquid securities in an amount equal to the forward purchase price.
For financial reporting and tax purposes, the Fund treats “to be announced” mortgage dollar rolls as two separate transactions, one involving the purchase of a security and a separate transaction involving a sale. These transactions may increase the Fund’s portfolio turnover rate. The Fund does not currently enter into mortgage dollar rolls that are accounted for as financing transactions.
Mortgage dollar rolls involve the risk that the market value of the securities the Fund is obligated to repurchase may decline below the repurchase price, or that the counterparty may default on its obligations.
Treasury inflation protected securities
Certain Funds may invest in treasury inflation protected securities (TIPS). The principal amount of TIPS is adjusted periodically and is increased for inflation or decreased for deflation based on a monthly published index. These adjustments are recorded as interest income in the Statement of Operations. Coupon payments are based on the adjusted principal at the time the interest is paid.
Interest only and principal only securities
Certain Funds may invest in Interest Only (IO) or Principal Only (PO) securities. IOs are stripped securities entitled to receive all of the security’s interest, but none of its principal. IOs are particularly sensitive to changes in interest rates and therefore subject to greater fluctuations in price than typical interest bearing debt securities. IOs are also subject to credit risk because the Fund may not receive all or part of the interest payments if the issuer, obligor, guarantor or counterparty defaults on its obligation. Payments received for IOs are included in interest income on the Statement of Operations. Because no principal will be received at the maturity of an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statement of Operations. POs are stripped securities entitled to receive the principal from the underlying obligation, but not the interest. POs are particularly sensitive to changes in interest rates and therefore are subject to fluctuations in price. POs are also subject to credit risk because the Fund may not receive all or part of its principal if the issuer, obligor, guarantor or counterparty defaults on its obligation. The Fund may also invest in IO or PO stripped mortgage-backed securities. Payments received for POs are treated as reductions to the cost and par value of the securities.
Variable Portfolio Funds | Semiannual Report 2017
| 281 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Offsetting of assets and liabilities
The following table presents the Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of June 30, 2017:
Variable Portfolio – American Century Diversified Bond Fund
| | Goldman
Sachs ($) | JPMorgan ($) | UBS ($) | Total ($) |
| Assets | | | | |
| Centrally cleared credit default swap contracts (a) | 92,430 | — | — | 92,430 |
| Forward foreign currency exchange contracts | — | 427,093 | — | 427,093 |
| Total assets | 92,430 | 427,093 | — | 519,523 |
| Liabilities | | | | |
| Forward foreign currency exchange contracts | — | 298,209 | 48,608 | 346,817 |
| Total liabilities | — | 298,209 | 48,608 | 346,817 |
| Total financial and derivative net assets | 92,430 | 128,884 | (48,608) | 172,706 |
| Total collateral received (pledged) (b) | — | — | — | — |
| Net amount (c) | 92,430 | 128,884 | (48,608) | 172,706 |
| (a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
| (b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (c) | Represents the net amount due from/(to) counterparties in the event of default. |
Offsetting of assets and liabilities
The following table presents the Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of June 30, 2017:
Variable Portfolio – TCW Core Plus Bond Fund
| | Goldman
Sachs ($) |
| Assets | |
| Forward foreign currency exchange contracts | 374,324 |
| Liabilities | |
| Forward foreign currency exchange contracts | 98,755 |
| Total financial and derivative net assets | 275,569 |
| Total collateral received (pledged) (a) | — |
| Net amount (b) | 275,569 |
| (a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (b) | Represents the net amount due from/(to) counterparties in the event of default. |
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
The trade date for senior loans purchased in the primary market is the date on which the loan is allocated. The trade date for senior loans purchased in the secondary market is the date on which the transaction is entered into.
Income recognition
Interest income is recorded on an accrual basis. Market premiums and discounts, including original issue discounts, are amortized and accreted, respectively, over the expected life of the security on all debt securities, unless otherwise noted. The Fund classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income.
| 282 | Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Certain Funds may place a debt security on non-accrual status and reduce related interest income when it becomes probable that the interest will not be collected and the amount of uncollectible interest can be reasonably estimated. A defaulted debt security is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities.
The Funds may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds, other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information on the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by the Fund’s management. Management’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities, the proceeds are recorded as realized gains.
The value of additional securities received as an income payment is recorded as income and increases the cost basis of such securities.
Certain Funds may receive other income from senior loans, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Fund. These amounts are included in Interest Income in the Statement of Operations.
Expenses
General expenses of the Trust are allocated to the Funds and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to a Fund are charged to that Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses which are charged directly to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of a Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
For federal income tax purposes, each Fund is treated as a separate entity.
Columbia Variable Portfolio – U.S. Equities Fund, Variable Portfolio – Jennison Mid Cap Growth Fund, Variable Portfolio – Los Angeles Capital Large Cap Growth Fund, Variable Portfolio – MFS® Value Fund, Variable Portfolio – Morgan Stanley Advantage Fund, Variable Portfolio – Partners Small Cap Growth Fund and Variable Portfolio – T. Rowe Price Large Cap Value Fund are treated as partnerships for federal income tax purposes, and these Funds do not expect to make regular distributions. These Funds will not be subject to federal income tax, and therefore, there are no provisions for federal income taxes. The partners of these Funds are subject to tax on their distributive share of each Fund’s income and loss. The components of each Fund’s net assets are reported at the partner level for federal income tax purposes, and therefore, are not presented in the Statement of Assets and Liabilities.
Variable Portfolio – American Century Diversified Bond Fund, Variable Portfolio – CenterSquare Real Estate Fund, Variable Portfolio – Columbia Wanger International Equities Fund, Variable Portfolio – DFA International Value Fund, Variable Portfolio – Eaton Vance Floating-Rate Income Fund, Variable Portfolio – Oppenheimer International Growth Fund, Variable Portfolio – Partners Core Bond Fund, Variable Portfolio – Pyramis® International Equity Fund, Variable Portfolio – TCW Core Plus Bond Fund and Variable Portfolio – Wells Fargo Short Duration Government Fund intend to qualify each year as separate “regulated
Variable Portfolio Funds | Semiannual Report 2017
| 283 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
investment companies” under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of their taxable income for their tax year, and as such will not be subject to federal income taxes. In addition, because the Funds meet the exception under Internal Revenue Code Section 4982(f), the Funds expect not to be subject to federal excise tax. Therefore, no federal income or excise tax provisions are recorded.
Foreign taxes
The Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability on the Statement of Assets and Liabilities.
Distributions to Subaccounts
Distributions to the subaccounts of Contracts, Qualified Plans and Qualified Investors are recorded at the close of business on the record date and are payable on the first business day following the record date. Dividends from net investment income, if any, are declared and distributed quarterly, when available, for Variable Portfolio – Columbia Wanger International Equities Fund, Variable Portfolio – DFA International Value Fund, Variable Portfolio – Oppenheimer International Growth Fund and Variable Portfolio – Pyramis® International Equity Fund. Dividends from net investment income, if any, are declared and distributed annually, when available, for Variable Portfolio – American Century Diversified Bond Fund, Variable Portfolio – CenterSquare Real Estate Fund, Variable Portfolio – Eaton Vance Floating-Rate Income Fund, Variable Portfolio – Partners Core Bond Fund, Variable Portfolio – TCW Core Plus Bond Fund and Variable Portfolio – Wells Fargo Short Duration Government Fund. Capital gain distributions, when available, will be made annually. However, an additional capital gain distribution may be made during the fiscal year in order to comply with the Internal Revenue Code, as applicable to registered investment companies. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. All dividends and distributions are reinvested in additional shares of the applicable share class of each Fund at the net asset value as of the ex-dividend date of the distribution.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Funds’ contracts with their service providers contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Funds cannot be determined, and the Funds have no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees
Each Fund entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides each Fund with investment research and advice, as well as administrative and accounting services. The Investment Manager is responsible for the ultimate oversight of investments made by each Fund. Each Fund,
| 284 | Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
as described below, has entered into Subadvisory Agreements such that day-to-day portfolio management of the Funds is provided by the Funds’ subadvisers (see Subadvisory agreement note below). The management services fee is an annual fee that is equal to a percentage of each Fund’s daily net assets that declines as each Fund’s net assets increase.
The fee rate range and annualized effective management services fee rate for each Fund as a percentage of each Fund’s average daily net assets for the six months ended June 30, 2017 was as follows:
| | High (%) | Low (%) | Effective
management
services
fee (%) |
| Columbia Variable Portfolio – U.S. Equities Fund | 0.870 | 0.750 | 0.837 |
| Variable Portfolio – American Century Diversified Bond Fund | 0.550 | 0.415 | 0.485 |
| Variable Portfolio – CenterSquare Real Estate Fund | 0.750 | 0.660 | 0.750 |
| Variable Portfolio – Columbia Wanger International Equities Fund | 1.030 | 0.770 | 1.030 |
| Variable Portfolio – DFA International Value Fund | 0.870 | 0.670 | 0.800 |
| Variable Portfolio – Eaton Vance Floating-Rate Income Fund | 0.700 | 0.570 | 0.700 |
| Variable Portfolio – Jennison Mid Cap Growth Fund | 0.810 | 0.680 | 0.810 |
| Variable Portfolio – Los Angeles Capital Large Cap Growth Fund | 0.710 | 0.530 | 0.703 |
| Variable Portfolio – MFS® Value Fund | 0.710 | 0.530 | 0.672 |
| Variable Portfolio – Morgan Stanley Advantage Fund | 0.710 | 0.530 | 0.689 |
| Variable Portfolio – Oppenheimer International Growth Fund | 0.930 | 0.750 | 0.888 |
| Variable Portfolio – Partners Core Bond Fund | 0.500 | 0.340 | 0.490 |
| Variable Portfolio – Partners Small Cap Growth Fund | 0.870 | 0.750 | 0.859 |
| Variable Portfolio – Pyramis® International Equity Fund | 0.930 | 0.750 | 0.873 |
| Variable Portfolio – T. Rowe Price Large Cap Value Fund | 0.710 | 0.530 | 0.663 |
| Variable Portfolio – TCW Core Plus Bond Fund | 0.500 | 0.340 | 0.478 |
| Variable Portfolio – Wells Fargo Short Duration Government Fund | 0.430 | 0.280 | 0.427 |
Variable Portfolio Funds | Semiannual Report 2017
| 285 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Subadvisory agreement
The Investment Manager may contract with and compensate subadvisers to manage the investment of each Fund’s assets. The Investment Manager has entered into Subadvisory Agreements with the following subadvisers:
| Fund | Subadviser |
| Columbia Variable Portfolio — U.S. Equities Fund | Columbia Wanger Asset Management, LLC(a) |
| Variable Portfolio — American Century Diversified Bond Fund | American Century Investment Management, Inc. |
| Variable Portfolio — CenterSquare Real Estate Fund | CenterSquare Investment Management, Inc. |
| Variable Portfolio — Columbia Wanger International Equities Fund | Columbia Wanger Asset Management, LLC(a) |
| Variable Portfolio — DFA International Value Fund | Dimensional Fund Advisors LP |
| Variable Portfolio — Eaton Vance Floating-Rate Income Fund | Eaton Vance Management |
| Variable Portfolio — Jennison Mid Cap Growth Fund | Jennison Associates LLC |
| Variable Portfolio — Los Angeles Capital Large Cap Growth Fund | Los Angeles Capital Management and Equity Research, Inc.(b) |
| Variable Portfolio — MFS® Value Fund | Massachusetts Financial Services Company |
| Variable Portfolio — Morgan Stanley Advantage Fund | Morgan Stanley Investment Management Inc. |
| Variable Portfolio — Oppenheimer International Growth Fund | OppenheimerFunds, Inc. |
| Variable Portfolio — Partners Core Bond Fund | J.P. Morgan Investment Management Inc.
Wells Capital Management Incorporated(c) |
| Variable Portfolio — Partners Small Cap Growth Fund | BMO Asset Management Corp.(d)
Kennedy Capital Management, Inc.
Wells Capital Management Incorporated |
| Variable Portfolio — Pyramis® International Equity Fund | FIAM LLC (doing business as Pyramis Global Advisors) |
| Variable Portfolio — T. Rowe Price Large Cap Value Fund | T. Rowe Price Associates, Inc. |
| Variable Portfolio — TCW Core Plus Bond Fund | TCW Investment Management Company LLC |
| Variable Portfolio — Wells Fargo Short Duration Government Fund | Wells Capital Management Incorporated |
| (a) | A wholly-owned subsidiary of the Investment Manager. |
| (b) | Effective May 1, 2017, the Investment Manager entered into a Subadvisory Agreement with Los Angeles Capital Management and Equity Research, Inc. to serve as the subadviser to the Fund. Prior to May 1, 2017, Winslow Capital Management, LLC served as the subadviser to the Fund. |
| (c) | Effective May 1, 2017, the Investment Manager entered into a Subadvisory Agreement with Wells Capital Management Incorporated to serve as a subadviser to the Fund. |
| (d) | Effective May 1, 2017, the Investment Manager entered into a Subadvisory Agreement with BMO Asset Management Corp. to serve as a subadviser to the Fund. Prior to May 1, 2017, London Company of Virginia, doing business as The London Company, served as a subadviser to the Fund. |
For Variable Portfolio — Partners Core Bond Fund and Variable Portfolio — Partners Small Cap Growth Fund, each subadviser manages a portion of the assets of the Fund. New investments, net of any redemptions, are allocated to each subadviser in accordance with the Investment Manager’s determination, subject to the oversight of the Board of Trustees, of the allocation that is in the best interest of the Fund’s shareholders. Each subadviser’s proportionate share of investments in the Fund will vary due to market fluctuations.
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Funds or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Funds and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Funds as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by
| 286 | Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
the Investment Manager. Each Fund’s liability for these amounts is adjusted for market value changes and remains in the Funds until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Funds.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Funds, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Transactions with affiliates
For the six months ended June 30, 2017, certain Funds engaged in purchase and/or sale transactions with affiliates and/or accounts that have a common investment manager (or affiliated investment managers), common directors/trustees, and/or common officers. Those purchase and sale transactions complied with provisions of Rule 17a-7 under the 1940 Act for the following Funds aggregated to:
| Fund | Purchases ($) | Sales ($) | Realized
gain/(loss)
from sale
transactions ($) |
| Variable Portfolio – Columbia Wanger International Equities Fund | 127,326 | — | — |
| Variable Portfolio – MFS® Value Fund | 684,787 | — | — |
| Variable Portfolio – Oppenheimer International Growth Fund | — | 941,210 | (289,164) |
| Variable Portfolio – Pyramis® International Equity Fund | 12,119,934 | 6,040,824 | 103,534 |
Service fees
Effective July 1, 2017, each Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, each Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to each Fund.
Transfer agency fees
Prior to July 1, 2017, each Fund had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.06% of each Fund’s average daily net assets attributable to each share class. Effective July 1, 2017, each Fund no longer pays a transfer agency fee.
Distribution fees
The Funds have an agreement with the Distributor, an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, each Fund pays a fee at an annual rate of up to 0.25% of each Fund’s average daily net assets attributable to Class 2 shares. The Funds pay no distribution and service fees for Class 1 shares.
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Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that each Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Funds’ custodian, do not exceed the following annual rate(s) as a percentage of the class’ average daily net assets:
| | May 1, 2017
through
April 30, 2018 | Prior to
May 1, 2017 |
| | Class 1
(%) | Class 2
(%) | Class 1
(%) | Class 2
(%) |
| Columbia Variable Portfolio — U.S. Equities Fund | 0.88% | 1.13% | 0.93% | 1.18% |
| Variable Portfolio — American Century Diversified Bond Fund | 0.57 | 0.82 | 0.56 | 0.81 |
| Variable Portfolio — CenterSquare Real Estate Fund | 0.94 | 1.19 | 0.84 | 1.09 |
| Variable Portfolio — Columbia Wanger International Equities Fund | 1.16 | 1.41 | 1.11 | 1.36 |
| Variable Portfolio — DFA International Value Fund | 0.99 | 1.24 | 0.99 | 1.24 |
| Variable Portfolio — Eaton Vance Floating-Rate Income Fund | 0.73 | 0.98 | 0.75 | 1.00 |
| Variable Portfolio — Jennison Mid Cap Growth Fund | 0.88 | 1.13 | 0.88 | 1.13 |
| Variable Portfolio — Los Angeles Capital Large Cap Growth Fund | 0.79 | 1.04 | 0.79 | 1.04 |
| Variable Portfolio — MFS® Value Fund | 0.75 | 1.00 | 0.77 | 1.02 |
| Variable Portfolio — Morgan Stanley Advantage Fund | 0.79 | 1.04 | 0.79 | 1.04 |
| Variable Portfolio — Oppenheimer International Growth Fund | 0.96 | 1.21 | 1.00 | 1.25 |
| Variable Portfolio — Partners Core Bond Fund | 0.56 | 0.81 | 0.56 | 0.81 |
| Variable Portfolio — Partners Small Cap Growth Fund | 0.93 | 1.18 | 0.93 | 1.18 |
| Variable Portfolio — Pyramis® International Equity Fund | 0.96 | 1.21 | 0.96 | 1.21 |
| Variable Portfolio — T. Rowe Price Large Cap Value Fund | 0.76 | 1.01 | 0.76 | 1.01 |
| Variable Portfolio — TCW Core Plus Bond Fund | 0.56 | 0.81 | 0.59 | 0.84 |
| Variable Portfolio — Wells Fargo Short Duration Government Fund | 0.53 | 0.78 | 0.56 | 0.81 |
Variable Portfolio - Wells Fargo Short Duration Government Fund had a contractual expense reimbursement arrangement from May 1, 2017 to June 30, 2017. The annual limitation rates were 0.55% for Class 1 shares and 0.80% for Class 2 shares under the contractual expense reimbursement arrangement. The expense caps listed in the above table were effective July 1, 2017.
Variable Portfolio - American Century Diversified Bond Fund, Variable Portfolio - CenterSquare Real Estate Fund, Variable Portfolio - Columbia Wanger International Equities Fund, Variable Portfolio - DFA International Value Fund, Variable Portfolio - Jennison Mid Cap Growth Fund, Variable Portfolio - Los Angeles Capital Large Cap Growth Fund, Variable Portfolio - Morgan Stanley Advantage Fund, Variable Portfolio - Partners Core Bond Fund, Variable Portfolio - Partners Small Cap Growth Fund, Variable Portfolio - Pyramis® International Equity Fund and Variable Portfolio - T. Rowe Price Large Cap Value Fund each had a voluntary expense reimbursement arrangement from May 1, 2017 to June 30, 2017. The annual limitation rates were the same under the voluntary expense reimbursement arrangement, which changed to a contractual arrangement on July 1, 2017 through April 30, 2018.
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of
| 288 | Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At June 30, 2017, the approximate cost of investments for federal income tax purposes and the aggregate gross approximate unrealized appreciation and depreciation based on that cost was:
| Fund | Tax cost ($) | Gross
unrealized
appreciation ($) | Gross
unrealized
(depreciation) ($) | Net unrealized
appreciation
(depreciation) ($) |
| Variable Portfolio – American Century Diversified Bond Fund | 4,315,322,000 | 86,084,000 | (24,581,000) | 61,503,000 |
| Variable Portfolio – CenterSquare Real Estate Fund | 438,542,000 | 20,314,000 | (22,451,000) | (2,137,000) |
| Variable Portfolio – Columbia Wanger International Equities Fund | 91,838,000 | 15,710,000 | (1,367,000) | 14,343,000 |
| Variable Portfolio – DFA International Value Fund | 1,566,735,000 | 215,403,000 | (125,863,000) | 89,540,000 |
| Variable Portfolio – Eaton Vance Floating-Rate Income Fund | 144,320,000 | 2,584,000 | (2,139,000) | 445,000 |
| Variable Portfolio – Oppenheimer International Growth Fund | 1,490,770,000 | 237,304,000 | (61,388,000) | 175,916,000 |
| Variable Portfolio – Partners Core Bond Fund | 3,486,659,000 | 56,771,000 | (14,553,000) | 42,218,000 |
| Variable Portfolio – Pyramis® International Equity Fund | 2,380,675,000 | 281,937,000 | (52,529,000) | 229,408,000 |
| Variable Portfolio – TCW Core Plus Bond Fund | 3,363,369,000 | 28,448,000 | (21,655,000) | 6,793,000 |
| Variable Portfolio – Wells Fargo Short Duration Government Fund | 1,022,358,000 | 1,452,000 | (3,556,000) | (2,104,000) |
The following capital loss carryforwards, determined at December 31, 2016, may be available to reduce taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code. Capital loss carryforwards with no expiration are required to be utilized prior to any capital losses which carry an expiration date. As a result of this ordering rule, capital loss carryforwards which carry an expiration date may be more likely to expire unused.
| Fund | 2017 ($) | 2018 ($) | 2019 ($) | No expiration
short-term ($) | No expiration
long-term ($) | Total ($) |
| Variable Portfolio – DFA International Value Fund | — | — | — | 3,313,847 | 15,789,313 | 19,103,160 |
| Variable Portfolio – Eaton Vance Floating-Rate Income Fund | — | — | — | — | 16,705,165 | 16,705,165 |
| Variable Portfolio – Pyramis® International Equity Fund | — | — | — | 76,418,520 | 36,058,277 | 112,476,797 |
Management of the Funds has concluded that there are no significant uncertain tax positions in the Funds that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
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Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Note 5. Portfolio information
For the six months ended June 30, 2017, the cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, for each Fund aggregated to:
| | Purchases
($) | Proceeds
from sales
($) | Purchases
of U.S.
Government
securities
($) | Proceeds
from sales
of U.S.
Government
securities
($) |
| Columbia Variable Portfolio – U.S. Equities Fund | 509,846,754 | 640,738,821 | — | — |
| Variable Portfolio – American Century Diversified Bond Fund | 3,550,698,299 | 3,788,154,163 | 2,955,126,267 | 3,244,913,427 |
| Variable Portfolio – CenterSquare Real Estate Fund | 163,611,590 | 152,436,796 | — | — |
| Variable Portfolio – Columbia Wanger International Equities Fund | 32,189,277 | 30,630,958 | — | — |
| Variable Portfolio – DFA International Value Fund | 44,502,462 | 555,721,096 | — | — |
| Variable Portfolio – Eaton Vance Floating-Rate Income Fund | 77,789,927 | 70,798,455 | — | — |
| Variable Portfolio – Jennison Mid Cap Growth Fund | 95,357,576 | 95,153,426 | — | — |
| Variable Portfolio – Los Angeles Capital Large Cap Growth Fund | 1,509,424,015 | 1,191,564,979 | — | — |
| Variable Portfolio – MFS® Value Fund | 155,369,011 | 117,172,746 | — | — |
| Variable Portfolio – Morgan Stanley Advantage Fund | 659,150,866 | 334,736,543 | — | — |
| Variable Portfolio – Oppenheimer International Growth Fund | 196,794,716 | 1,093,892,498 | — | — |
| Variable Portfolio – Partners Core Bond Fund | 4,003,902,274 | 3,906,207,067 | 3,040,660,378 | 3,001,802,808 |
| Variable Portfolio – Partners Small Cap Growth Fund | 461,115,374 | 519,660,958 | — | — |
| Variable Portfolio – Pyramis® International Equity Fund | 794,567,728 | 787,862,287 | — | — |
| Variable Portfolio – T. Rowe Price Large Cap Value Fund | 425,010,451 | 333,329,795 | — | — |
| Variable Portfolio – TCW Core Plus Bond Fund | 4,569,766,597 | 4,683,513,698 | 4,246,272,199 | 4,376,348,008 |
| Variable Portfolio – Wells Fargo Short Duration Government Fund | 1,796,351,789 | 1,876,748,650 | 1,476,553,948 | 1,489,430,404 |
The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Commission recapture
Variable Portfolio - Pyramis® International Equity Fund participated in the Pyramis Global Advisors’ commission recapture program (the Program). The Program generates rebates on a portion of portfolio trades. During the six months ended June 30, 2017, the Fund received cash rebates of $79,824 from the Program which are included in net realized gain or loss on investments in the Statement of Operations.
Note 7. Affiliated money market fund
Each Fund may invest in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by each Fund and other affiliated funds (the Affiliated MMF). The income earned by the Funds from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, each Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value (NAV) and no longer seeks to maintain a stable NAV. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 8. Line of credit
Each Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Funds may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Funds and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate
| 290 | Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. Each Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
No Fund had borrowings during the six months ended June 30, 2017.
Note 9. Significant risks
Consumer discretionary sector risk
Variable Portfolio — Columbia Wanger International Equities Fund, Variable Portfolio — Jennison Mid Cap Growth Fund, Variable Portfolio — Morgan Stanley Advantage Fund and Variable Portfolio — Oppenheimer International Growth Fund may be more susceptible to the particular risks that may affect companies in the consumer discretionary sector than if they were invested in a wider variety of companies in unrelated sectors. Companies in the discretionary sector are subject to certain risks, including fluctuations in the performance of the overall domestic and international economy, interest rate changes, increased competition and consumer confidence. Performance of such companies may be affected by factors including reduced disposable household income, reduced consumer spending, changing demographics and consumer tastes.
Credit risk
Credit risk is the risk that the value of debt securities in the Fund’s portfolio may decline because the issuer may default and fail to pay interest or repay principal when due. Rating agencies assign credit ratings to debt securities to indicate their credit risk. Lower rated or unrated debt securities held by Variable Portfolio — American Century Diversified Bond Fund, Variable Portfolio — Eaton Vance Floating-Rate Income Fund, Variable Portfolio — Partners Core Bond Fund, Variable Portfolio — TCW Core Plus Bond Fund and Variable Portfolio — Wells Fargo Short Duration Government Fund may present increased credit risk as compared to higher-rated debt securities.
Financial sector risk
Variable Portfolio — DFA International Value Fund, Variable Portfolio — MFS® Value Fund, Variable Portfolio — Pyramis® International Equity Fund and Variable Portfolio — T. Rowe Price Large Cap Value Fund may be more susceptible to the particular risks that may affect companies in the financial services sector than if they were invested in a wider variety of companies in unrelated sectors. Companies in the financial services sector are subject to certain risks, including the risk of regulatory change, decreased liquidity in credit markets and unstable interest rates. Such companies may have concentrated portfolios, such as a high level of loans to real estate developers, which makes them vulnerable to economic conditions that affect that industry. Performance of such companies may be affected by competitive pressures and exposure to investments or agreements that, under certain circumstances, may lead to losses (e.g., subprime loans). Companies in the financial services sector are subject to extensive governmental regulation that may limit the amount and types of loans and other financial commitments they can make, and interest rates and fees that they may charge. In addition, profitability of such companies is largely dependent upon the availability and the cost of capital.
Floating rate loan risk
Liquidity risk is the risk associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Decreases in the number of financial institutions willing to make markets in Variable Portfolio — Eaton Vance Floating-Rate Income Fund investments or in their capacity or willingness to trade such investments may increase the Fund’s exposure to this risk. Changing regulatory, market or other conditions or environments (for example, the interest rate or credit environments) may also adversely affect the liquidity of the Fund’s investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another, more appealing investment opportunity. Floating rate loans generally are subject to legal or contractual restrictions on resale, may trade infrequently, and their value may be impaired when the Fund needs to liquidate such loans. Loans or other assets may trade only in the over-the-counter market rather than on an organized exchange and may be more difficult to purchase or sell at a fair price, which may have a negative impact on the Fund’s performance. Price volatility may be higher for illiquid investments as a result of, for example, the relatively less frequent pricing of such securities (as compared to liquid investments). Generally,
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| 291 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. Price volatility, liquidity of the market and other factors can lead to an increase in Fund redemptions, which may negatively impact Fund performance and NAV, including, for example, if the Fund is forced to sell securities in a down market.
Foreign securities and emerging market countries risk
Investing in foreign securities may include certain risks and considerations not typically associated with investing in U.S. securities, such as fluctuating currency values and changing local and regional economic, political and social conditions, which may result in greater market volatility. In addition, certain foreign securities may not be as liquid as U.S. securities. Investing in emerging markets may accentuate these risks. These countries are also more likely to experience high levels of inflation, deflation or currency devaluation which could hurt their economies and securities markets. To the extent that Variable Portfolio — Columbia Wanger International Equities Fund, Variable Portfolio — DFA International Value Fund, Variable Portfolio — Oppenheimer International Growth Fund and Variable Portfolio — Pyramis® International Equity Fund concentrate their investment exposure to any one or a few specific countries, the Funds will be particularly susceptible to the various conditions, events or other factors impacting those countries and may, therefore, have a greater risk than that of a fund which is more geographically diversified.
Health care sector risk
Variable Portfolio — Partners Small Cap Growth Fund may be more susceptible to the particular risks that may affect companies in the health care sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the health care sector are subject to certain risks, including restrictions on government reimbursement for medical expenses, government approval of medical products and services, competitive pricing pressures, and the rising cost of medical products and services (especially for companies dependent upon a relatively limited number of products or services). Performance of such companies may be affected by factors including, government regulation, obtaining and protecting patents (or the failure to do so), product liability and other similar litigation as well as product obsolescence.
High-yield investments risk
Securities and other debt instruments held by Variable Portfolio — Eaton Vance Floating-Rate Income Fund that are rated below investment grade (commonly called "high-yield" or "junk" bonds) and unrated debt instruments of comparable quality expose the Fund to a greater risk of loss of principal and income than a fund that invests solely or primarily in investment grade securities. In addition, these investments have greater price fluctuations, are less liquid and are more likely to experience a default than higher-rated debt instruments. High-yield debt instruments are considered to be predominantly speculative with respect to the issuer’s capacity to pay interest and repay principal.
Industrial sector risk
Variable Portfolio — Columbia Wanger International Equities Fund may be more susceptible to the particular risks that may affect companies in the industrials sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the industrials sector are subject to certain risks, including changes in supply and demand for their specific product or service and for industrial sector products in general, including decline in demand for such products due to rapid technological developments and frequent new product introduction. Performance of such companies may be affected by factors including government regulation, world events and economic conditions and risks for environmental damage and product liability claims.
Interest rate risk
Interest rate risk is the risk of losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt securities tend to fall, and if interest rates fall, the values of debt securities tend to rise. Actions by governments and central banking authorities can result in increases in interest rates. Increasing interest rates may negatively affect the value of debt securities held by Variable Portfolio — American Century Diversified Bond Fund, Variable Portfolio — Eaton Vance Floating-Rate Income Fund, Variable Portfolio — Partners Core Bond Fund, Variable Portfolio — TCW Core Plus Bond Fund and Variable Portfolio — Wells Fargo Short Duration Government Fund resulting in a negative impact on the Fund’s performance and net asset value per share. In general, the longer the maturity or duration of a debt security, the greater its sensitivity to changes in interest rates.
| 292 | Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Liquidity risk
Liquidity risk is the risk associated with a lack of marketability of investments which may make it difficult to sell the investment at a desirable time or price. Changing regulatory, market or other conditions or environments (for example, the interest rate or credit environments) may adversely affect the liquidity of Variable Portfolio — American Century Diversified Bond Fund, Variable Portfolio — Eaton Vance Floating-Rate Income Fund, Variable Portfolio — Partners Core Bond Fund, Variable Porfolio — TCW Core Plus Bond Fund and Variable Portfolio — Wells Fargo Short Duration Government Fund investments. The Fund may have to accept a lower selling price for the holding, sell other investments, or forego another, more appealing investment opportunity. Generally, the less liquid the market at the time the Fund sells a portfolio investment, the greater the risk of loss or decline of value to the Fund. A less liquid market can lead to an increase in Fund redemptions, which may negatively impact Fund performance and net asset value per share, including, for example, if the Fund is forced to sell securities in a down market.
Mortgage- and other asset-backed securities risk
The value of any mortgage-backed and other asset-backed securities held by the Fund may be affected by, among other things, changes or perceived changes in: interest rates; factors concerning the interests in and structure of the issuer or the originator of the mortgages or other assets; the creditworthiness of the entities that provide any supporting letters of credit, surety bonds or other credit enhancements; or the market’s assessment of the quality of underlying assets. Payment of principal and interest on some mortgage-backed securities (but not the market value of the securities themselves) may be guaranteed by the full faith and credit of a particular U.S. Government agency, authority, enterprise or instrumentality, and some, but not all, are also insured or guaranteed by the U.S. Government. Mortgage-backed securities issued by non-governmental issuers (such as commercial banks, savings and loan institutions, private mortgage insurance companies, mortgage bankers and other secondary market issuers) may entail greater risk than obligations guaranteed by the U.S. Government. Mortgage- and other asset-backed securities are subject to prepayment risk, which is the possibility that the underlying mortgage or other asset may be refinanced or prepaid prior to maturity during periods of declining or low interest rates, causing Variable Portfolio — American Century Diversified Bond Fund, Variable Portfolio — Partners Core Bond Fund, Variable Portfolio — TCW Core Plus Bond Fund and Variable Portfolio — Wells Fargo Short Duration Government Fund to have to reinvest the money received in securities that have lower yields. Rising or high interest rates tend to extend the duration of mortgage- and other asset-backed securities, making their prices more volatile and more sensitive to changes in interest rates.
Real estate sector risk
Variable Portfolio — CenterSquare Real Estate Fund may be more susceptible to the particular risks of real estate related investments including risks of investing in REITs.
The risks associated with the ownership of real estate and the real estate industry in general can include fluctuations in the value of the properties underlying the Fund’s portfolio holdings, defaults by borrowers or tenants, market saturation, decreases in market rates for rents, and other economic, political, or regulatory occurrences affecting the real estate industry, including REITs.
REITs depend upon specialized management skills, may have limited financial resources, may have less trading volume, and may be subject to more abrupt or erratic price movements than the overall securities markets. REITs are also subject to the risk of failing to qualify for tax-free pass-through of income. Some REITs (especially mortgage REITs) are affected by risks similar to those associated with investments in debt securities including changes in interest rates and the quality of credit extended.
Shareholder concentration risk
At June 30, 2017, the affiliated shareholder accounts, including affiliated fund-of funds and separate accounts of affiliated insurance companies, owned 100% of Class 1 and Class 2 shares for each Fund. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Funds. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
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| 293 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Small- and mid-cap company risk
Investments in small- and mid-capitalization companies (small- and mid-cap companies) often involve greater risks than investments in larger, more established companies (larger companies) because small- and mid-cap companies tend to have less predictable earnings and may lack the management experience, financial resources, product diversification and competitive strengths of larger companies. Securities of small- and mid-cap companies may be less liquid and more volatile than the securities of larger companies.
Technology and technology-related investment risk
Variable Portfolio — Jennison Mid Cap Growth Fund, Variable Portfolio — Los Angeles Capital Large Cap Growth Fund, Variable Portfolio — Morgan Stanley Advantage Fund and Variable Portfolio — Partners Small Cap Growth Fund may be more susceptible to the particular risks that may affect companies in the information technology sector, as well as other technology-related sectors (collectively, the technology sectors) than if they were invested in a wider variety of companies in unrelated sectors. Companies in the technology sectors are subject to certain risks, including the risk that new services, equipment or technologies will not be accepted by consumers and businesses or will become rapidly obsolete. Performance of such companies may be affected by factors including obtaining and protecting patents (or the failure to do so) and significant competitive pressures, including aggressive pricing of their products or services, new market entrants, competition for market share and short product cycles due to an accelerated rate of technological developments. Such competitive pressures may lead to limited earnings and/or falling profit margins. As a result, the value of their securities may fall or fail to rise. In addition, many technology sector companies have limited operating histories and prices of these companies’ securities historically have been more volatile than other securities, especially over the short term.
Note 10. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued. Other than as noted in Note 3 and below, there were no items requiring adjustment of the financial statements or additional disclosure.
Effective September 18, 2017, Jennison Associates LLC will no longer serve as the subadviser to Variable Portfolio - Jennison Mid Cap Growth Fund and Westfield Capital Management Company, L.P. will assume the day-to-day management of the Fund’s portfolio. Also on this date, Variable Portfolio - Jennison Mid Cap Growth Fund name will change to Variable Portfolio - Westfield Mid Cap Growth Fund, along with certain changes to the Fund’s principal investment strategies.
Effective May 1, 2018, the following Funds will be renamed:
| Current Fund names | New Fund names |
| Variable Portfolio — American Century Diversified Bond Fund | CTIVP SM — American Century Diversified Bond Fund |
| Variable Portfolio — CenterSquare Real Estate Fund | CTIVP SM — CenterSquare Real Estate Fund |
| Variable Portfolio — DFA International Value Fund | CTIVP SM — DFA International Value Fund |
| Variable Portfolio — Eaton Vance Floating-Rate Income Fund | CTIVP SM — Eaton Vance Floating-Rate Income Fund |
| Variable Portfolio — Los Angeles Capital Large Cap Growth Fund | CTIVP SM — Los Angeles Capital Large Cap Growth Fund |
| Variable Portfolio — MFS® Value Fund | CTIVP SM — MFS® Value Fund |
| Variable Portfolio — Morgan Stanley Advantage Fund | CTIVP SM — Morgan Stanley Advantage Fund |
| Variable Portfolio — Oppenheimer International Growth Fund | CTIVP SM — Oppenheimer International Growth Fund |
| Variable Portfolio — Pyramis® International Equity Fund | CTIVP SM — Pyramis® International Equity Fund |
| Variable Portfolio — T. Rowe Price Large Cap Value Fund | CTIVP SM — T. Rowe Price Large Cap Value Fund |
| Variable Portfolio — TCW Core Plus Bond Fund | CTIVP SM — TCW Core Plus Bond Fund |
| Variable Portfolio — Wells Fargo Short Duration Government Fund | CTIVP SM — Wells Fargo Short Duration Government Fund |
| Variable Portfolio — Westfield Mid Cap Growth Fund | CTIVP SM — Westfield Mid Cap Growth Fund |
| 294 | Variable Portfolio Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Note 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
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Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to each of the below-named Columbia Variable Portfolio (Columbia VP) and Variable Portfolio (VP) Funds (each, a VP Fund and collectively, the VP Funds). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to each VP Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds). In addition, Columbia Threadneedle has engaged one or more subadvisers listed below (each, a Subadviser and collectively, the Subadvisers) to provide portfolio management and related services for its corresponding VP Fund listed below under a subadvisory agreement (each, a Subadvisory Agreement and collectively, the Subadvisory Agreements) between Columbia Threadneedle and the Subadviser(s) listed below.
| VP Fund | Subadvisers(s) |
| Columbia VP — U.S. Equities Fund* | Columbia Wanger Asset Management, LLC** |
| VP — American Century Diversified Bond Fund | American Century Investment Management, Inc. |
| VP — CenterSquare Real Estate Fund | CenterSquare Investment Management, Inc. |
| VP — Columbia Wanger International Equities Fund | Columbia Wanger Asset Management, LLC** |
| VP — DFA International Value Fund | Dimensional Fund Advisors LP |
| VP — Eaton Vance Floating-Rate Income Fund | Eaton Vance Management |
| VP — Jennison Mid Cap Growth Fund | Jennison Associates LLC |
| VP — Los Angeles Capital Large Cap Growth Fund | Los Angeles Capital Management and Equity Research, Inc. |
| VP — MFS® Value Fund | Massachusetts Financial Services Company |
| VP — Morgan Stanley Advantage Fund | Morgan Stanley Investment Management Inc. |
| VP — Oppenheimer International Growth Fund | OppenheimerFunds, Inc. |
| VP — Partners Core Bond Fund | J.P. Morgan Investment Management Inc.; and
Wells Capital Management Incorporated |
| VP — Partners Small Cap Growth Fund | BMO Asset Management Corp.;
Kennedy Capital Management, Inc.; and
Wells Capital Management Incorporated |
| VP — Pyramis® International Equity Fund | FIAM LLC (doing business as Pyramis Global Advisors) |
| VP — T. Rowe Price Large Cap Value Fund | T. Rowe Price Associates, Inc. |
| VP — TCW Core Plus Bond Fund | TCW Investment Management Company LLC |
| VP — Wells Fargo Short Duration Government Fund | Wells Capital Management Incorporated |
*Columbia Threadneedle manages a portion of the assets of Columbia VP – U.S. Equities Fund.
**Columbia Wanger Asset Management, LLC (the Affiliated Subadviser) is an affiliate of Columbia Threadneedle. Each other subadviser is not an affiliate of Columbia Threadneedle (each, an Unaffiliated Subadviser and together, the Unaffiliated Subadvisers).
On an annual basis, the VP Funds’ Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreements and the Subadvisory Agreements (together, the Advisory Agreements). Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge) and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and VP
| 296 | Variable Portfolio Funds | Semiannual Report 2017 |
Approval of Management and Subadvisory
Agreements (continued)
Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of the Advisory Agreements for additional one-year terms. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of advisory and subadvisory agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of each of the Advisory Agreements.
Nature, extent and quality of services provided by Columbia Threadneedle and the Subadvisers
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle and the Subadvisers, as well as their history, reputation, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, detailed information regarding the process employed for overseeing affiliated and unaffiliated Subadvisers and the enhancements made to the Subadviser investment oversight program. With respect to Columbia Threadneedle, the Board also noted the relatively recent change in the leadership of equity department oversight and the various technological enhancements that have been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each VP Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the VP Funds by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under the Advisory Agreements, the Board also took into account the organization and strength of the VP Funds’ and their service providers’ compliance programs. The Board also reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the VP Funds’ other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
In addition, the Board discussed the acceptability of the terms of the Advisory Agreements (including the relatively broad scope of services required to be performed by Columbia Threadneedle and each Subadviser), noting that no material changes are proposed from the form of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the VP Funds. It was also observed that the services being performed under the Advisory Agreements were of a reasonably high quality.
With respect to the Subadvisers, the Board observed that it had previously approved each Subadviser’s code of ethics and compliance program, that the Chief Compliance Officer of the VP Funds continues to monitor each code and program, and that no material concerns have been reported. The Board also considered each Subadviser’s organizational strength and resources, portfolio management team depth and capabilities and investment process. The Board also considered each Subadviser’s capability and wherewithal to carry out its responsibilities under the applicable Subadvisory Agreement. In addition, the Board discussed the acceptability of the terms of the Subadvisory Agreements, including the scope of services required to be performed. The Board noted that the terms of the Subadvisory Agreements are generally consistent with the terms of other subadviser agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no material changes were recommended to the Subadvisory Agreements, though the Board noted the proposal at the June Meeting to terminate Jennison Associates LLC (Jennison) as subadviser to VP - Jennison Mid Cap Growth Fund and replace them with Westfield Capital Management Company, L.P. (Westfield), effective September 18, 2017. Further, with respect to VP - Jennison Mid Cap Growth Fund, the Board took into account Columbia Threadneedle’s representation that Jennison was in a position to provide quality services to the VP Fund for a shortened period of time (until replaced by
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Westfield on September 18, 2017), noting Jennison’s outperformance in the fourth quarter of 2016. The Board noted the longer term underperformance of Jennison and other concerns raised by management with respect to retaining them over the longer term. With respect to the remaining VP Funds, the Board took into account Columbia Threadneedle’s representation that each Subadviser was in a position to provide quality services to the corresponding VP Fund, noting that Columbia Wanger Asset Management, LLC (Wanger) and TCW Investment Management Company LLC (TCW) were being subject to close scrutiny in light of their underperformance for VP - Columbia Wanger International Equities Fund and VP - TCW Core Plus Bond Fund, respectively. In this regard, the Board further observed the recent bolstering of the subadvisory oversight team (under new leadership with added resources) intended to help improve performance.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide quality services to the VP Funds and that each Subadviser is in a position to continue to provide a high quality and level of services to its corresponding VP Fund(s), recognizing (i) that Jennison was proposed to provide services only for a shortened period and (ii) that TCW and Wanger were being subject to close scrutiny.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under the Advisory Agreements, the Board carefully reviewed the investment performance of each VP Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of each VP Fund, the performance of a benchmark index, the percentage ranking of each VP Fund among its comparison group and the net assets of each VP Fund.
The Board observed that investment performance met expectations for VP - American Century Diversified Bond Fund, VP - DFA International Value Fund, VP - Eaton Vance Floating-Rate Income Fund, VP - Morgan Stanley Advantage Fund, and VP - Wells Fargo Short Duration Government Fund.
The Board observed that investment performance was understandable in light of the particular management style involved and the particular market environment for VP - MFS® Value Fund, VP - Oppenheimer International Growth Fund, VP - Partners Core Bond Fund, and VP - T. Rowe Price Large Cap Value Fund. In this regard, the Board observed the May 1, 2016 replacement of Invesco Advisers, Inc. with OppenheimerFunds, Inc. as subadviser to VP - Oppenheimer International Growth Fund; the May 1, 2017 addition of Wells Capital Management Incorporated as a subadviser to VP - Partners Core Bond Fund; and the November 14, 2016 replacement of NFJ Investment Group LLC with T. Rowe Price Associates, Inc. for VP - T. Rowe Price Large Cap Value Fund.
The Board observed underperformance for certain periods for Columbia VP - U.S. Equities Fund, VP - CenterSquare Real Estate Fund, VP - Columbia Wanger International Equities Fund, VP - Jennison Mid Cap Growth Fund, VP - Los Angeles Capital Large Cap Growth Fund, VP - Partners Small Cap Growth Fund, VP - Pyramis® International Equity Fund, and VP - TCW Core Plus Bond Fund noting that appropriate steps (such as changes to strategy, process or management teams) had been taken or are contemplated to help improve the VP Funds’ performance (except with respect to VP - Pyramis® International Equity Fund). In this regard, the Board observed that Wanger and TCW were being subject to close scrutiny in light of their underperformance for VP - Columbia Wanger International Equities Fund and VP - TCW Core Plus Bond Fund, respectively. The Board also noted that appropriate steps (such as changes to process and additional investment personnel) had been taken to help improve performance with respect to Columbia VP - U.S. Equities Fund; the June 1, 2016 replacement of Morgan Stanley Investment Management Inc. with CenterSquare Investment Management, Inc. for VP - CenterSquare Real Estate Fund; the May 1, 2017 replacement of Winslow Capital Management, LLC with Los Angeles Capital Management and Equity Research, Inc. for VP - Los Angeles Capital Large Cap Growth Fund; the upcoming September 18, 2017 replacement of Jennison with Westfield as subadviser of VP - Jennison Mid Cap Growth Fund; and the November 14, 2016 replacement of Palisade Capital Management, L.L.C. with Kennedy Capital Management, Inc. and the May 1, 2017 replacement of the London Company of Virginia, LLC with BMO Asset Management Corp. for VP - Partners Small Cap Growth Fund. With respect to VP - Pyramis® International Equity Fund, the Board observed that performance met expectations over the longer term.
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Approval of Management and Subadvisory
Agreements (continued)
Additionally, for each Unaffiliated Subadviser, the Board reviewed the performance of each of the Subadvisers and Columbia Threadneedle’s process for monitoring each Unaffiliated Subadviser and the enhancements implemented to the oversight program. The Board considered, in particular, management’s rationale for recommending the continued retention of each Subadviser and management’s representations that the profitability of each Unaffiliated Subadviser is not a key factor in their recommendation to select, renew or terminate the Subadviser.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle, its affiliates and the Subadvisers from their relationships with the VP Funds
The Board reviewed comparative fees and the costs of services provided under each of the Advisory Agreements. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of each VP Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing each VP Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the VP Funds’ performance and expenses, the reasonableness of the VP Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to each VP Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each Fund (with certain defined exceptions) are generally in line with the “pricing philosophy” currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe).
The Board took into account that the total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports for VP - CenterSquare Real Estate Fund and VP - DFA International Value Fund, and slightly below the peer universe’s median expense ratio shown in the reports for VP - Los Angeles Capital Large Cap Growth Fund, VP - Morgan Stanley Advantage Fund, and VP - Wells Fargo Short Duration Government Fund.
The Board also took into account that the total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio for Columbia VP - U.S. Equities Fund, VP - American Century Diversified Bond Fund, VP - Columbia Wanger International Equities Fund, VP - Eaton Vance Floating-Rate Income Fund, VP - Jennison Mid Cap Growth Fund, VP - MFS® Value Fund, VP - Oppenheimer International Growth Fund, VP - Partners Core Bond Fund, VP - Partners Small Cap Growth Fund, VP - Pyramis® International Equity Fund, VP - T. Rowe Price Large Cap Value Fund, and VP - TCW Core Plus Bond Fund.
Additionally, the Board reviewed the level of subadvisory fees paid to each Subadviser, noting that the fees are paid by the Investment Manager and do not impact the fees paid by the applicable VP Fund. The Board also reviewed the fees charged by the Subadvisers to other mutual funds employing similar investment strategies where the Subadvisers serve as investment adviser or subadviser. The Board also reviewed fee rates charged by other comparable mutual funds employing the Subadvisers (other than American Century Investment Management, Inc., Columbia Wanger Asset Management, LLC and Kennedy Capital Management, Inc.) to provide subadvisory services. Based on its reviews, including recommendations from JDL, the Board concluded that each VP Fund’s investment management and subadvisory fees were fair and reasonable in light of the extent and quality of services that the applicable VP Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to each VP Fund. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the VP Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the VP Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board
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noted that the fees paid by the VP Funds should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as each VP Fund grows and took note of the extent to which VP Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as Fund assets exceed various breakpoints, all of which have not been surpassed for any VP Fund. The Board concluded that the breakpoints in each management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as Fund assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that fees payable under the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of the Advisory Agreements.
JUNE 2017 BOARD CONSIDERATION AND APPROVAL OF THE NEW SUBADVISORY AGREEMENT WITH WESTFIELD CAPITAL MANAGEMENT COMPANY, L.P. FOR VARIABLE PORTFOLIO - JENNISON MID CAP GROWTH FUND
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Variable Portfolio (VP) — Jennison Mid Cap Growth Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle is responsible for the provision of investment advice and other services to the Fund. In addition, under a subadvisory agreement (the Subadvisory Agreement) between Columbia Threadneedle and Jennison Associates LLC (the Current Subadviser), the Current Subadviser provides portfolio management and related services for the Fund since May 2010. Effective on or about September 18, 2017, the Current Subadviser will no longer serve as a subadviser to the Fund and Westfield Capital Management Company, L.P. (Westfield) will begin to serve as a subadviser to the Fund and the Fund will be called Variable Portfolio – Westfield Mid Cap Growth Fund.
At a meeting of the Fund’s Board of Trustees (the Board) held June 21, 2017 (the June Meeting), the Board, including a majority of the Board members who are not interested persons of the Fund within the meaning of the Investment Company Act of 1940 (the Independent Trustees), unanimously approved the recommendations of the Investment Manager to terminate the subadvisory agreement between the Investment Manager and the Current Subadviser and approve the Subadvisory Agreement between the Investment Manager and Westfield.
At the June Meeting, independent legal counsel to the Independent Trustees reminded the Board of the legal standards for consideration by directors/trustees of advisory and subadvisory agreements. The Board considered and approved advisory and subadvisory agreements for annual renewal purposes at its June meeting held June 19-21, 2017 and, in that connection, independent legal counsel discussed the Board’s responsibilities pursuant to Sections 15(c) and 36(b) of the 1940 Act, and the SEC-enumerated factors that should be considered in determining whether to approve a new subadvisory agreement, in this case, with Westfield.
The Board held discussions with the Investment Manager and Westfield and reviewed and considered various written materials and oral presentations in connection with the evaluation of Westfield’s proposed services, including the reports from the Contracts Committee, with respect to the fees and terms of the proposed Subadvisory Agreement, the Investment Review Committee, with respect to the investment strategy/style, performance and the Compliance Committee, with respect to the code of ethics and compliance program of Westfield. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the Subadvisory Agreement with Westfield.
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Approval of Management and Subadvisory
Agreements (continued)
Nature, extent and quality of services to be provided by Westfield
The Board considered its analysis of the reports and presentations received by it, detailing the services proposed to be performed by Westfield as the subadviser for the Fund, as well as the history, reputation, expertise, resources and capabilities, and the qualifications of the personnel of Westfield. The Board observed that Westfield’s compliance program had been reviewed by the Fund’s Chief Compliance Officer and was determined to be reasonably designed to prevent violations of the federal securities laws by the Fund. The Board also observed that information had been presented regarding the capabilities and financial condition of Westfield and its ability to carry out its responsibilities under the proposed Subadvisory Agreement. The Board noted, in particular, that Westfield’s investment process was reviewed by the Investment Review Committee. The Board also recalled the information provided by the Investment Manager regarding Westfield’s personnel, risk controls, philosophy, and investment processes. The Board also noted the presentation by Westfield to the Investment Review Committee.
The Board also discussed the acceptability of the terms of the proposed Subadvisory Agreement. Independent legal counsel noted that the proposed Subadvisory Agreement was generally similar in scope to subadvisory agreements applicable to other subadvised funds. The Board recalled information about Westfield’s experience managing and/or subadvising registered mutual funds including subadvising another fund with a similar investment strategy. In this regard, the Board also considered the proposed termination of the Current Subadviser as subadviser to the Fund and the Investment Manager’s rationale for the termination and the retention of Westfield to replace the Current Subadviser.
Investment performance of Westfield
The Board noted that a review of investment performance is a key factor in evaluating the nature, extent and quality of services provided under investment advisory and subadvisory agreements. The Board considered Westfield’s investment performance, noting that it outperformed the Current Subadviser, the Fund’s benchmark and peers over both short- and long-term periods.
Based on the foregoing, and based on other information received (both oral and written) and other considerations, the Board concluded that Westfield was in a position to provide a high quality and level of service to the Fund.
Comparative fees, costs of services provided and profitability
The Board reviewed the proposed level of subadvisory fees under the proposed Subadvisory Agreement, noting that the proposed subadvisory fees payable to Westfield would be paid by the Investment Manager and would not impact the fees paid by the Fund. As part of its review, the Board also considered the management fees charged by other funds using Westfield for comparable strategies to those proposed to be employed for the Fund. The Board observed that while the Fund’s management fees were somewhat higher than the management fees of the other funds, the Fund’s net expense ratio is materially lower than the reported ratio for the other funds. The Board also considered the expected change in total profitability of the Investment Manager and its affiliates in connection with the hiring of Westfield and concluded that overall the Investment Manager’s profitability levels remained within the reasonable ranges of profitability levels reported at the June Meeting.
Economies of scale
The Board also considered the economies of scale that may be realized by the Investment Manager and its affiliates as the Fund grows and took note of the extent to which shareholders might also benefit from such growth. The Board observed that fees to be paid under the proposed Subadvisory Agreement would not impact fees paid by the Fund (as subadvisory fees are paid by the Investment Manager and not the Fund). The Board observed that the Fund’s investment management service agreement with the Investment Manager continues to provide for sharing of economies of scale as investment management fees decline as assets increase at pre-established breakpoints. The Board further considered that the proposed Subadvisory Agreement with Westfield provides for lower fees as assets increase at pre-established breakpoints. The Board observed that, with respect to the Fund, the Investment Manager would be paying more to Westfield than it had paid to the Current Subadviser. The Board took into account, in this regard, the significant oversight services provided by the Investment
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Manager to the Fund, which services are not proposed to change as a result of the replacement of the Current Subadviser. The Board concluded that the Fund’s investment management service agreement continues to provide adequately for sharing of economies of scale.
Based on all of the foregoing, including all of the information received and presented, the Board, including all of the Independent Trustees, concluded that the proposed subadvisory fees to be paid under the Subadvisory Agreement were fair and reasonable in light of the extent and quality of services to be provided. On June 21, 2017, the Board, including all of the Independent Trustees, approved the Subadvisory Agreement, effective September 18, 2017. In reaching this conclusion, no single factor was determinative.
FEBRUARY 2017 BOARD CONSIDERATION AND APPROVAL OF THE NEW SUBADVISORY AGREEMENT WITH LOS ANGELES CAPITAL MANAGEMENT AND EQUITY RESEARCH, INC. FOR VARIABLE PORTFOLIO - LOS ANGELES CAPITAL LARGE CAP GROWTH FUND
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Variable Portfolio – Los Angeles Capital Large Cap Growth Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds). In addition, under a subadvisory agreement (the Subadvisory Agreement) between Columbia Threadneedle and Los Angeles Capital Management and Equity Research, Inc. (Los Angeles Capital), Los Angeles Capital has provided portfolio management and related services for the Fund since May 1, 2017. Effective May 1, 2017, Winslow Capital Management, LLC (the Former Subadviser) was terminated as a subadviser to the Fund.
At the February 13-15, 2017 Board Meeting, the Board, including all of the Independent Trustees, unanimously approved the proposals to (i) change the name of the Fund from Variable Portfolio – Nuveen Winslow Large Cap Growth Fund to Variable Portfolio – Los Angeles Capital Large Cap Growth Fund; (ii) terminate the subadvisory agreement between the Investment Manager and the Former Subadviser; (iii) approve a subadvisory agreement (the Subadvisory Agreement) between the Investment Manager and Los Angeles Capital; (iv) modify the Fund’s principal investment strategies and principal risks to reflect Los Angeles Capital’s investment process; and (v) approve the proposed code of ethics and compliance program for Los Angeles Capital. Independent legal counsel to the Independent Trustees reminded the Board of the legal standards for consideration by directors/trustees of advisory and subadvisory agreements. The Board also recalled its consideration and approval of advisory and subadvisory agreements for annual renewal purposes at the meeting held on June 15, 2016 (June 2016 Meeting) and, in that connection, independent legal counsel’s discussion of the Board’s responsibilities pursuant to Sections 15(c) and 36(b) of the 1940 Act, and the SEC-enumerated factors that should be considered in determining whether to approve a new subadvisory agreement, in this case, with Los Angeles Capital. The Board held discussions with the Investment Manager and Los Angeles Capital and reviewed and considered various written materials and oral presentations in connection with the evaluation of Los Angeles Capital’s proposed services, including the reports from the Contracts Committee, with respect to the fees and terms of the proposed subadvisory agreements, the Investment Review Committee, with respect to the investment strategy/style, performance and the Compliance Committee, with respect to the code of ethics and compliance program of Los Angeles Capital. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the Subadvisory Agreement with Los Angeles Capital.
Nature, extent and quality of services to be provided by Los Angeles Capital
The Board considered its analysis of the reports and presentations received by it, detailing the services proposed to be performed by Los Angeles Capital as the subadviser for the Fund, as well as the history, reputation, expertise, resources and capabilities, and the qualifications of the personnel of Los Angeles Capital.
The Board observed that Los Angeles Capital’s compliance program had been reviewed by the Fund’s Chief Compliance Officer and was determined to be reasonably designed to prevent violations of the federal securities laws by the Fund. The Board also observed that information had been presented regarding the capabilities and financial condition of Los Angeles Capital and its ability to carry out its responsibilities under the proposed Subadvisory Agreement. The Board noted, in particular, that Los Angeles Capital’s investment process was reviewed by the Investment Review Committee. The Board also
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Approval of Management and Subadvisory
Agreements (continued)
recalled the information provided by the Investment Manager regarding Los Angeles Capital’s personnel, risk controls, philosophy, and investment processes. The Board also noted the presentation by Los Angeles Capital to the Investment Review Committee.
The Board also discussed the acceptability of the terms of the proposed Subadvisory Agreement. Independent legal counsel noted that the proposed Subadvisory Agreement was generally similar in scope to subadvisory agreements applicable to other subadvised funds.
The Board recalled information about Los Angeles Capital’s experience managing and/or subadvising registered mutual funds. In this regard, the Board also considered the proposed termination of the Former Subadviser as subadviser to the Fund and the Investment Manager’s rationale for such termination and the retention of Los Angeles Capital to replace the terminated subadviser. In particular, the Board recalled the reports regarding the search process undertaken by the Investment Manager to identify a prospective successor subadviser meeting the Investment Manager’s criteria and aligning with the goals of the insurance company client (as articulated by the Investment Manager).
Investment performance of Los Angeles Capital
The Board noted that a review of investment performance is a key factor in evaluating the nature, extent and quality of services provided under investment advisory and subadvisory agreements. The Board considered Los Angeles Capital’s investment performance, noting that it delivered relatively strong performance results (versus the Former Subadviser, the Fund’s benchmark and peers) over the one-, three- and five-year periods for the strategy proposed to be utilized to subadvise the Fund.
Based on the foregoing, and based on other information received (both oral and written) and other considerations, the Board concluded that Los Angeles Capital was in a position to provide a high quality and level of service to the Fund.
Comparative fees, costs of services provided and profitability
The Board reviewed the proposed level of subadvisory fees under the proposed Subadvisory Agreement, noting that the proposed subadvisory fees payable to Los Angeles Capital would be paid by the Investment Manager and would not impact the fees paid by the Fund. The Board also reviewed data regarding fees charged by Los Angeles Capital to other clients with similar funds and found the proposed subadviser’s fees to be within a reasonable range of the fees charged to such other clients. The Board further noted that the proposed subadvisory fee to be paid to Los Angeles Capital is based on the combined assets of the Multi-Manager Growth Strategies Fund and the Fund. As part of its review, the Board also considered the management fees charged by other funds using Los Angeles Capital for comparable strategies to those proposed to be employed for the Fund. The Board observed that the Fund’s management fees approximate the management fees of the other funds. The Board also considered the expected change in total profitability of the Investment Manager and its affiliates in connection with the hiring of Los Angeles Capital and concluded that overall the Investment Manager’s profitability levels remained within the reasonable ranges of profitability levels reported at the June 2016 Meeting.
Economies of scale to be realized
The Board also considered the economies of scale that may be realized by the Investment Manager and its affiliates as the Fund grows and took note of the extent to which shareholders might also benefit from such growth. The Board observed that fees to be paid under the proposed subadvisory agreement would not impact fees paid by the Fund (as subadvisory fees are paid by the Investment Manager and not the Fund). The Board observed that the Fund’s investment management service agreement with the Investment Manager continues to provide for sharing of economies of scale as investment management fees decline as assets increase at pre-established breakpoints. The Board further considered that the proposed subadvisory agreement with Los Angeles Capital provides for lower fees as assets increase at pre-established breakpoints. The Board observed that, with respect to the Fund, the Investment Manager would be paying less to Los Angeles Capital than it had paid to the Former Subadviser and considered whether there were increased opportunities for economies of scale to be shared with shareholders as a result. The Board took into account, in this regard, the significant oversight services provided by the Investment Manager to the Fund, which services are not proposed to change as a result of the replacement of the Former Subadviser. The Board concluded that the Fund’s investment management service agreement continues to provide adequately for sharing of economies of scale.
Variable Portfolio Funds | Semiannual Report 2017
| 303 |
Approval of Management and Subadvisory
Agreements (continued)
Based on all of the foregoing, including all of the information received and presented, the Board, including all of the Independent Trustees, concluded that the proposed subadvisory fees to be paid under the Subadvisory Agreement were fair and reasonable in light of the extent and quality of services to be provided. On February 15, 2017, the Board, including all of the Independent Trustees, approved the Subadvisory Agreement. In reaching this conclusion, no single factor was determinative.
APRIL 2017 BOARD CONSIDERATION AND APPROVAL OF THE NEW SUBADVISORY AGREEMENT WITH WELLS CAPITAL MANAGEMENT INCORPORATED FOR VARIABLE PORTFOLIO - PARTNERS CORE BOND FUND
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Variable Portfolio – Partners Core Bond Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle provides investment advice and other services to the Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds). In addition, under a subadvisory agreement (the Subadvisory Agreement) between Columbia Threadneedle and Wells Capital Management Incorporated (WellsCap), WellsCap has provided portfolio management and related services for the Fund since May 1, 2017. J.P. Morgan Investment Management Inc. continues to serve as a subadviser to the Fund.
At the April 19-21, 2017 Board Meeting, the Board, including all of the Independent Trustees, unanimously approved the proposals to (i) approve the subadvisory agreement (the Subadvisory Agreement) between the Investment Manager and WellsCap; (ii) change the name of the Fund from Variable Portfolio – J.P. Morgan Core Bond Fund to Variable Portfolio – Partners Core Bond Fund; (iii) modify the Fund’s principal investment strategies and principal risks to reflect WellsCap’s investment processes; and (iv) approve WellsCap’s Code of Ethics and compliance program. Independent legal counsel to the Independent Trustees reminded the Board of the legal standards for consideration by directors/trustees of advisory and subadvisory agreements. The Board also recalled its most recent consideration and approval of advisory and subadvisory agreements for annual renewal purposes at the June 2016 Meeting (the June Meeting) and, in that connection, Independent legal counsel’s discussion of the Board’s responsibilities pursuant to Sections 15(c) and 36(b) of the 1940 Act, and the SEC-enumerated factors that should be considered in determining whether to approve new subadvisory agreements, in this case, with WellsCap. The Board held discussions with the Investment Manager and WellsCap and reviewed and considered various written materials and oral presentations in connection with the evaluation of WellsCap’s proposed services, including the reports from the Contracts Committee, with respect to the fees and terms of the proposed subadvisory agreement and the Compliance Committee, with respect to the code of ethics and compliance program of WellsCap. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the Subadvisory Agreement with WellsCap.
Nature, extent and quality of services to be provided by WellsCap
The Board noted that WellsCap currently serves as subadviser for other funds that are series of the Trust (the Other Funds). The Board then considered its analysis of the reports and presentations received by it, detailing the services proposed to be performed by WellsCap as a subadviser for the Fund, as well as the history, reputation, expertise, resources and capabilities, and the qualifications of the personnel of WellsCap.
The Board observed that WellsCap’s compliance program had been reviewed by the Fund’s Chief Compliance Officer and was determined to be reasonably designed to prevent WellsCap’s violation of the federal securities laws in performing services for the Fund. The Board noted that WellsCap already serves as subadviser for the Other Funds and that the Board had previously considered and approved WellsCap’s compliance program and code of ethics. It was observed that since assuming such role as subadviser for the Other Funds, no material compliance or other issues were reported. The Board also observed that information had been presented regarding the capabilities and financial condition of WellsCap and its ability to carry out its responsibilities under the Subadvisory Agreement. The Board noted, in particular, that WellsCap’s investment processes were reviewed by the Contracts Committee and the full Board. The Board also recalled the information provided by the Investment Manager regarding the personnel, risk controls, philosophy, and investment processes of WellsCap. The Board also noted the presentation by WellsCap to the Contracts Committee.
| 304 | Variable Portfolio Funds | Semiannual Report 2017 |
Approval of Management and Subadvisory
Agreements (continued)
The Board also discussed the acceptability of the terms of the Subadvisory Agreement. Independent legal counsel noted that the proposed Subadvisory Agreement would be identical to the subadvisory agreement already in place (and approved by the Board) for the Other Funds, and generally similar in scope to subadvisory agreements applicable to other subadvised funds.
The Board noted WellsCap’s experience managing and/or subadvising registered mutual funds, including its services to the Other Funds, noting management’s satisfaction with the quality of subadvisory services provided by WellsCap for the Other Funds. It was also observed that the same portfolio management team managing one of the Other Funds is proposed to manage the Fund. The Board reviewed, in depth, the investment strategy and style of WellsCap, observing how they align with the goals of the insurance company client (as articulated by the Investment Manager).
Investment performance of WellsCap
The Board noted that a review of investment performance is a key factor in evaluating the nature, extent and quality of services provided under advisory and subadvisory agreements. The Board considered WellsCap’s investment performance, noting that it delivered relatively strong performance results (versus the Fund’s benchmark and peers) over the one-, three-, five- and ten-year periods for the strategy proposed to be utilized to subadvise the Fund.
Based on the foregoing, and based on other information received (both oral and written) and other considerations, the Board concluded that WellsCap was in a position to provide a high quality and level of service to the Fund.
Comparative fees, costs of services provided and profitability
The Board reviewed the proposed level of subadvisory fees under the Subadvisory Agreement, noting that the proposed subadvisory fees payable to WellsCap would be paid by the Investment Manager and would not impact the fees paid by the Fund. In this regard, the Board also considered the proposed reduction in management fee rates for the Fund (which were also approved at the April Meeting), that would result in estimated annual savings for Fund shareholders of approximately $700,000. The Board also reviewed data regarding fees charged by WellsCap to other clients with similar funds and found the proposed subadvisory fees to be within a reasonable range of the subadvisory fees charged to such other clients. It was also observed that the proposed rate is identical to the rate proposed to be charged by WellsCap for subadvising one of the Other Funds, noting that, under the proposals, the assets of both Funds would be combined for purposes of applying the breakpoints in such schedule. The Board also considered the expected change in total profitability of the Investment Manager and its affiliates in connection with the Subadvisory Agreement and concluded that overall the Investment Manager’s profitability levels remained within the reasonable ranges of profitability levels reported at the Fund’s June Meeting.
Economies of scale to be realized
The Board also considered the economies of scale that may be realized by the Investment Manager and its affiliates as the Fund grows and took note of the extent to which shareholders might also benefit from such growth. The Board observed that the subadvisory fees to be paid under the Subadvisory Agreement would not impact fees paid by the Fund (as subadvisory fees are paid by the Investment Manager and not the Fund). The Board observed that, with respect to the Fund, the Investment Manager would be paying out less subadvisory costs under the Subadvisory Agreement and considered whether there were increased opportunities for economies of scale to be shared with shareholders as a result. The Board considered, in this regard, that the related proposed management fee reduction for the Fund under the amendment the Fund’s Management Agreement would result in an annualized benefit to the Fund of approximately $700,000, resulting in some sharing of economies of scale with Fund shareholders. The Board further observed that the Fund’s investment management services agreement with the Investment Manager continues to provide for sharing of economies of scale as investment management fees decline as assets increase at pre-established breakpoints. The Board also took into account, in this regard, the significant oversight services provided by the Investment Manager to the Fund, noting that such services would be increasing in scope somewhat with the addition of another subadviser to the Fund, requiring the monitoring of multiple subadvisers for a single Fund. The Board concluded that the Fund’s investment management services agreement continues to provide adequately for sharing of economies of scale.
Variable Portfolio Funds | Semiannual Report 2017
| 305 |
Approval of Management and Subadvisory
Agreements (continued)
Based on all of the foregoing, including all of the information received and presented, the Board, including all of the Independent Trustees, concluded that the proposed Subadvisory Agreement is fair and reasonable in light of the services proposed to be provided. On April 21, 2017, the Board, including all of the Independent Trustees, approved the Subadvisory Agreement. In reaching this conclusion, no single factor was determinative.
FEBRUARY 2017 BOARD CONSIDERATION AND APPROVAL OF THE NEW SUBADVISORY AGREEMENT WITH BMO ASSET MANAGEMENT CORP. FOR VARIABLE PORTFOLIO - PARTNERS SMALL CAP GROWTH FUND
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Variable Portfolio (VP) — Partners Small Cap Growth Fund (the Fund). Under a management agreement (the Management Agreement), Columbia Threadneedle is responsible for the provision of investment advice and other services to the Fund. In addition, under a subadvisory agreement (the Subadvisory Agreement) between Columbia Threadneedle and BMO Asset Management Corp. (BMO), BMO has provided portfolio management and related services for the Fund since May 1, 2017. Prior to May 1, 2017, the Fund had been subadvised by The London Company of Virginia (the “Former Subadviser”), Kennedy Capital Management, Inc. (“Kennedy”) and Wells Capital Management, Inc. (“WellsCap”). Effective May 1, 2017, The London Company of Virginia (the Former Subadviser) was terminated as a subadviser to the Fund.
At a meeting of the Fund’s Board of Trustees (the Board) held February 15, 2017 (the February Meeting), the Board, including a majority of the Board members who are not interested persons of the Fund within the meaning of the Investment Company Act of 1940 (the Independent Trustees), unanimously approved the recommendations of the Investment Manager to terminate the subadvisory agreement between the Investment Manager and the Former Subadviser and approve the Subadvisory Agreement between the Investment Manager and BMO. There were no changes proposed or made to the subadvisory agreements between the Investment Manager and Kennedy or WellsCap, respectively, at the February Meeting.
At the February Meeting, independent legal counsel to the Independent Trustees reminded the Board of the legal standards for consideration by directors/trustees of advisory and subadvisory agreements. The Board also recalled its most recent consideration and approval of advisory and subadvisory agreements for annual renewal purposes at its meeting held June 13-15 2016 and, in that connection, independent legal counsel’s discussion of the Board’s responsibilities pursuant to Sections 15(c) and 36(b) of the 1940 Act, and the SEC-enumerated factors that should be considered in determining whether to approve a new subadvisory agreement, in this case, with BMO.
The Board held discussions with the Investment Manager and BMO and reviewed and considered various written materials and oral presentations in connection with the evaluation of BMO’s proposed services, including the reports from the Contracts Committee, with respect to the fees and terms of the proposed subadvisory agreements, the Investment Review Committee, with respect to the investment strategy/style, performance and the Compliance Committee, with respect to the code of ethics and compliance program of BMO. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the Subadvisory Agreement with BMO.
Nature, extent and quality of services to be provided by BMO
The Board considered its analysis of the reports and presentations received by it, detailing the services proposed to be performed by BMO as the subadviser for the Fund, as well as the history, reputation, expertise, resources and capabilities, and the qualifications of the personnel of BMO. The Board observed that BMO’s compliance program had been reviewed by the Fund’s Chief Compliance Officer and was determined to be reasonably designed to prevent violations of the federal securities laws by the Fund. The Board also observed that information had been presented regarding the capabilities and financial condition of BMO and its ability to carry out its responsibilities under the proposed Subadvisory Agreement. The Board noted, in particular, that BMO’s investment process was reviewed by the Investment Review Committee. The Board also recalled the information provided by the Investment Manager regarding BMO’s personnel, risk controls, philosophy, and investment processes. The Board also noted the presentation by BMO to the Investment Review Committee.
The Board also discussed the acceptability of the terms of the proposed Subadvisory Agreement. Independent legal counsel noted that the proposed Subadvisory Agreement was generally similar in scope to subadvisory agreements applicable to other subadvised funds. The Board recalled information about BMO’s experience managing and/or subadvising registered
| 306 | Variable Portfolio Funds | Semiannual Report 2017 |
Approval of Management and Subadvisory
Agreements (continued)
mutual funds. In this regard, the Board also considered the proposed termination of the Former Subadviser as subadviser to the Fund and the Investment Manager’s rationale for the termination and the retention of BMO to replace the terminated subadviser. In particular, the Trustees observed that with respect to the termination of the Former Subadviser, the Board observed that the Former Subadviser underperformed its benchmark since its hire and did not smooth out the Fund’s volatility as intended. The Board reviewed, in depth, the investment strategy and style of BMO, observing how it aligns with the goals of the insurance company client (as articulated by the Investment Manager).
Investment performance of BMO
The Board noted that a review of investment performance is a key factor in evaluating the nature, extent and quality of services provided under investment advisory and subadvisory agreements. The Board considered BMO’s investment performance, noting that it delivered relatively strong performance results (versus the Former Subadviser, the Fund’s benchmark and peers) over the one-, three- and five-year periods for the strategy to be utilized to subadvise the Fund.
Based on the foregoing, and based on other information received (both oral and written) and other considerations, the Board concluded that BMO was in a position to provide a high quality and level of service to the Fund.
Comparative fees, costs of services provided and profitability
The Board reviewed the proposed level of subadvisory fees under the proposed Subadvisory Agreement, noting that the proposed subadvisory fees payable to BMO would be paid by the Investment Manager and would not impact the fees paid by the Fund. The Board observed that the proposed subadvisory fee to be paid to BMO is based on the combined assets of the Multi-Manager Small Cap Equity Strategies Fund and the Fund. As part of its review, the Board also considered the management fees charged by other funds using BMO for comparable strategies to those proposed to be employed for the Fund. The Board observed that the Fund’s management fees approximate or are lower than the management fees of the other funds. The Board also considered the expected change in total profitability of the Investment Manager and its affiliates in connection with the hiring of BMO and concluded that overall the Investment Manager’s profitability levels remained within the reasonable ranges of profitability levels reported at the June 2016 Meeting.
Economies of scale
The Board also considered the economies of scale that may be realized by the Investment Manager and its affiliates as the Fund grows and took note of the extent to which shareholders might also benefit from such growth. The Board observed that fees to be paid under the proposed Subadvisory Agreement would not impact fees paid by the Fund (as subadvisory fees are paid by the Investment Manager and not the Fund). The Board observed that the Fund’s investment management service agreement with the Investment Manager continues to provide for sharing of economies of scale as investment management fees decline as assets increase at pre-established breakpoints. The Board further considered that the proposed Subadvisory Agreement with BMO provides for lower fees as assets increase at pre-established breakpoints. The Board observed that, with respect to the Fund, the Investment Manager would be paying less to BMO than it had paid to the Former Subadviser and considered whether there were increased opportunities for economies of scale to be shared with shareholders as a result. The Board took into account, in this regard, the significant oversight services provided by the Investment Manager to the Fund, which services are not proposed to change as a result of the replacement of the Former Subadviser. The Board concluded that the Fund’s investment management service agreement continues to provide adequately for sharing of economies of scale.
Based on all of the foregoing, including all of the information received and presented, the Board, including all of the Independent Trustees, concluded that the proposed subadvisory fees to be paid under the Subadvisory Agreement were fair and reasonable in light of the extent and quality of services to be provided. On February 15, 2017, the Board, including all of the Independent Trustees, approved the Subadvisory Agreement. In reaching this conclusion, no single factor was determinative.
Variable Portfolio Funds | Semiannual Report 2017
| 307 |
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which each Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how each Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
Each Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Each Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. Each Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
| 308 | Variable Portfolio Funds | Semiannual Report 2017 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
Variable Portfolio Funds
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For fund and other investment product prospectuses, which contain this and important information, contact your financial advisor or insurance representative. Please read the prospectus carefully before you invest. Each Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2017
Portfolio Navigator Funds
Variable Portfolio -- Conservative Portfolio
Variable Portfolio -- Moderately Conservative Portfolio
Variable Portfolio -- Moderate Portfolio
Variable Portfolio -- Moderately Aggressive Portfolio
Variable Portfolio -- Aggressive Portfolio
Please remember that you may not buy (nor will you own) shares of the Fund directly. Each Fund is available through variable annuity contracts and variable life insurance policies offered by the separate accounts of affiliated insurance companies. Please contact your financial advisor or insurance representative for more information.
Not FDIC Insured • No bank guarantee • May lose value
Portfolio Navigator Funds | Semiannual Report 2017
Fund at a Glance
Variable Portfolio – Conservative Portfolio (Unaudited)
Investment objective
Variable Portfolio -- Conservative Portfolio (the Fund) seeks to provide a high level of total return that is consistent with a conservative level of risk.
Portfolio management
Jeffrey Knight, CFA
Lead manager
Managed Fund since 2013
Anwiti Bahuguna, Ph.D.
Co-manager
Managed Fund since 2015
David Weiss, CFA
Co-manager
Managed Fund since 2016
Brian Virginia
Co-manager
Managed Fund since 2015
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 2 | 05/07/10 | 3.94 | 3.46 | 3.64 | 4.34 |
| Class 4 | 05/07/10 | 3.94 | 3.46 | 3.64 | 4.34 |
| Blended Benchmark | | 3.86 | 3.35 | 4.35 | 5.21 |
| Bloomberg Barclays U.S. Aggregate Bond Index | | 2.27 | -0.31 | 2.21 | 3.40 |
| Russell 3000 Index | | 8.93 | 18.51 | 14.58 | 13.85 |
| MSCI EAFE Index (Net) | | 13.81 | 20.27 | 8.69 | 7.34 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Blended Benchmark consists of 80% Bloomberg Barclays U.S. Aggregate Bond Index, 14% Russell 3000 Index, and 6% MSCI EAFE Index (Net).
The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage passthroughs), asset-backed securities, and commercial mortgage-backed securities.
The Russell 3000 Index, an unmanaged index, measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
The MSCI EAFE Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The index is compiled from a composite of securities markets of Europe, Australasia and the Far East and is widely recognized by investors in foreign markets as the measurement index for portfolios of non-North American securities.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI EAFE Index (Net), which reflects reinvested dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may not match those in an index.
| 2 | Portfolio Navigator Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Variable Portfolio – Conservative Portfolio (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Alternative Strategies Funds | 2.8 |
| Equity Funds | 20.5 |
| Fixed-Income Funds | 73.0 |
| Money Market Funds | 3.7 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
Portfolio Navigator Funds | Semiannual Report 2017
| 3 |
Fund at a Glance
Variable Portfolio – Moderately Conservative Portfolio (Unaudited)
Investment objective
Variable Portfolio – Moderately Conservative Portfolio (the Fund) seeks to provide a high level of total return that is consistent with a moderately conservative level of risk.
Portfolio management
Jeffrey Knight, CFA
Lead manager
Managed Fund since 2013
Anwiti Bahuguna, Ph.D.
Co-manager
Managed Fund since 2015
David Weiss, CFA
Co-manager
Managed Fund since 2016
Brian Virginia
Co-manager
Managed Fund since 2015
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 2 | 05/07/10 | 5.18 | 6.02 | 5.03 | 5.46 |
| Class 4 | 05/07/10 | 5.17 | 6.01 | 5.04 | 5.49 |
| Blended Benchmark | | 5.09 | 6.17 | 5.92 | 6.50 |
| Bloomberg Barclays U.S. Aggregate Bond Index | | 2.27 | -0.31 | 2.21 | 3.40 |
| Russell 3000 Index | | 8.93 | 18.51 | 14.58 | 13.85 |
| MSCI EAFE Index (Net) | | 13.81 | 20.27 | 8.69 | 7.34 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Blended Benchmark consists of 65% Bloomberg Barclays U.S. Aggregate Bond Index, 24% Russell 3000 Index, and 11% MSCI EAFE Index (Net).
The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage passthroughs), asset-backed securities, and commercial mortgage-backed securities.
The Russell 3000 Index, an unmanaged index, measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
The MSCI EAFE Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The index is compiled from a composite of securities markets of Europe, Australasia and the Far East and is widely recognized by investors in foreign markets as the measurement index for portfolios of non-North American securities.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI EAFE Index (Net), which reflects reinvested dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may not match those in an index.
| 4 | Portfolio Navigator Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Variable Portfolio – Moderately Conservative Portfolio (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Alternative Strategies Funds | 2.6 |
| Equity Funds | 36.2 |
| Fixed-Income Funds | 58.3 |
| Money Market Funds | 2.9 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
Portfolio Navigator Funds | Semiannual Report 2017
| 5 |
Fund at a Glance
Variable Portfolio – Moderate Portfolio (Unaudited)
Investment objective
Variable Portfolio – Moderate Portfolio (the Fund) seeks to provide a high level of total return that is consistent with a moderate level of risk.
Portfolio management
Jeffrey Knight, CFA
Lead manager
Managed Fund since 2013
Anwiti Bahuguna, Ph.D.
Co-manager
Managed Fund since 2015
David Weiss, CFA
Co-manager
Managed Fund since 2016
Brian Virginia
Co-manager
Managed Fund since 2015
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 2 | 05/07/10 | 6.78 | 9.05 | 6.52 | 6.73 |
| Class 4 | 05/07/10 | 6.77 | 9.03 | 6.51 | 6.75 |
| Blended Benchmark | | 6.28 | 9.05 | 7.55 | 7.83 |
| Bloomberg Barclays U.S. Aggregate Bond Index | | 2.27 | -0.31 | 2.21 | 3.40 |
| Russell 3000 Index | | 8.93 | 18.51 | 14.58 | 13.85 |
| MSCI EAFE Index (Net) | | 13.81 | 20.27 | 8.69 | 7.34 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Blended Benchmark consists of 50% Bloomberg Barclays U.S. Aggregate Bond Index, 35% Russell 3000 Index, and 15% MSCI EAFE Index (Net).
The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage passthroughs), asset-backed securities, and commercial mortgage-backed securities.
The Russell 3000 Index, an unmanaged index, measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
The MSCI EAFE Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The index is compiled from a composite of securities markets of Europe, Australasia and the Far East and is widely recognized by investors in foreign markets as the measurement index for portfolios of non-North American securities.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI EAFE Index (Net), which reflects reinvested dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may not match those in an index.
| 6 | Portfolio Navigator Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Variable Portfolio – Moderate Portfolio (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Alternative Strategies Funds | 2.5 |
| Equity Funds | 53.5 |
| Fixed-Income Funds | 42.0 |
| Money Market Funds | 2.0 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
Portfolio Navigator Funds | Semiannual Report 2017
| 7 |
Fund at a Glance
Variable Portfolio – Moderately Aggressive Portfolio (Unaudited)
Investment objective
Variable Portfolio – Moderately Aggressive Portfolio (the Fund) seeks to provide a high level of total return that is consistent with a moderately aggressive level of risk.
Portfolio management
Jeffrey Knight, CFA
Lead manager
Managed Fund since 2013
Anwiti Bahuguna, Ph.D.
Co-manager
Managed Fund since 2015
David Weiss, CFA
Co-manager
Managed Fund since 2016
Brian Virginia
Co-manager
Managed Fund since 2015
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 2 | 05/07/10 | 7.98 | 11.66 | 7.90 | 7.77 |
| Class 4 | 05/07/10 | 7.97 | 11.64 | 7.88 | 7.78 |
| Blended Benchmark | | 7.48 | 11.98 | 9.17 | 9.13 |
| Russell 3000 Index | | 8.93 | 18.51 | 14.58 | 13.85 |
| Bloomberg Barclays U.S. Aggregate Bond Index | | 2.27 | -0.31 | 2.21 | 3.40 |
| MSCI EAFE Index (Net) | | 13.81 | 20.27 | 8.69 | 7.34 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Blended Benchmark consists of 46% Russell 3000 Index, 35% Bloomberg Barclays U.S. Aggregate Bond Index, and 19% MSCI EAFE Index (Net).
The Russell 3000 Index, an unmanaged index, measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage passthroughs), asset-backed securities, and commercial mortgage-backed securities.
The MSCI EAFE Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The index is compiled from a composite of securities markets of Europe, Australasia and the Far East and is widely recognized by investors in foreign markets as the measurement index for portfolios of non-North American securities.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI EAFE Index (Net), which reflects reinvested dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may not match those in an index.
| 8 | Portfolio Navigator Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Variable Portfolio – Moderately Aggressive Portfolio (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Alternative Strategies Funds | 2.9 |
| Equity Funds | 68.3 |
| Fixed-Income Funds | 26.0 |
| Money Market Funds | 2.8 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
Portfolio Navigator Funds | Semiannual Report 2017
| 9 |
Fund at a Glance
Variable Portfolio – Aggressive Portfolio (Unaudited)
Investment objective
Variable Portfolio – Aggressive Portfolio (the Fund) seeks to provide a high level of total return that is consistent with an aggressive level of risk.
Portfolio management
Jeffrey Knight, CFA
Lead manager
Managed Fund since 2013
Anwiti Bahuguna, Ph.D.
Co-manager
Managed Fund since 2015
David Weiss, CFA
Co-manager
Managed Fund since 2016
Brian Virginia
Co-manager
Managed Fund since 2015
| Average annual total returns (%) (for the period ended June 30, 2017) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 2 | 05/07/10 | 9.18 | 14.69 | 9.36 | 8.88 |
| Class 4 | 05/07/10 | 9.17 | 14.73 | 9.36 | 8.91 |
| Blended Benchmark | | 8.73 | 15.00 | 10.74 | 10.33 |
| Russell 3000 Index | | 8.93 | 18.51 | 14.58 | 13.85 |
| MSCI EAFE Index (Net) | | 13.81 | 20.27 | 8.69 | 7.34 |
| Bloomberg Barclays U.S. Aggregate Bond Index | | 2.27 | -0.31 | 2.21 | 3.40 |
Performance data quoted represents past performance and current performance may be lower or higher. Past performance is no guarantee of future results. The investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than the original cost. For current month-end performance information, please contact your financial advisor or insurance representative.
Performance results reflect any fee waivers or reimbursements of fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
Investment earnings, if any, are tax-deferred until distributed to shareholders, at which time taxes may become due. Total return performance includes changes in share price and assumes reinvestment of dividends and capital gains, if any. Performance results reflect the effect of all fund expenses, but do not include any fees and expenses imposed under your variable annuity contract and/or variable life insurance policy or qualified pension or retirement plan. If performance results included the effect of these additional charges, they would be lower.
The Blended Benchmark consists of 56% Russell 3000 Index, 24% MSCI EAFE Index (Net) and 20% Bloomberg Barclays U.S. Aggregate Bond Index.
The Russell 3000 Index, an unmanaged index, measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
The MSCI EAFE Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The index is compiled from a composite of securities markets of Europe, Australasia and the Far East and is widely recognized by investors in foreign markets as the measurement index for portfolios of non-North American securities.
The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage passthroughs), asset-backed securities, and commercial mortgage-backed securities.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes (except the MSCI EAFE Index (Net), which reflects reinvested dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may not match those in an index.
| 10 | Portfolio Navigator Funds | Semiannual Report 2017 |
Fund at a Glance (continued)
Variable Portfolio – Aggressive Portfolio (Unaudited)
| Portfolio breakdown (%) (at June 30, 2017) |
| Alternative Strategies Funds | 2.8 |
| Equity Funds | 82.1 |
| Exchange-Traded Funds | 0.6 |
| Fixed-Income Funds | 12.0 |
| Money Market Funds | 2.5 |
| Total | 100.0 |
Percentages indicated are based upon total investments. The Fund’s portfolio composition is subject to change.
Portfolio Navigator Funds | Semiannual Report 2017
| 11 |
Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur ongoing costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
The information below does not reflect fees and expenses imposed under your variable annuity contract and/or variable life insurance policy (collectively, Contracts) or qualified pension and retirement plan (Qualified Plan), if any. The total fees and expenses you bear may therefore be higher than those shown below.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
In addition to the ongoing expenses which the Fund bears directly, the Fund’s shareholders indirectly bear the Fund’s allocable share of the costs and expenses of each underlying fund in which the Fund invests. You can also estimate the effective expenses paid during the period, which includes the indirect fees associated with investing in the underlying funds, by using the amounts listed in the "Effective expenses paid during the period" column.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) | Effective expenses
paid during the
period ($) | Fund’s effective
annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual |
| Variable Portfolio – Conservative Portfolio |
| Class 2 | 1,000.00 | 1,000.00 | 1,039.40 | 1,023.44 | 1.53 | 1.51 | 0.30 | 4.63 | 4.59 | 0.91 |
| Class 4 | 1,000.00 | 1,000.00 | 1,039.40 | 1,023.44 | 1.53 | 1.51 | 0.30 | 4.63 | 4.59 | 0.91 |
| Variable Portfolio – Moderately Conservative Portfolio |
| Class 2 | 1,000.00 | 1,000.00 | 1,051.80 | 1,023.44 | 1.53 | 1.51 | 0.30 | 4.86 | 4.79 | 0.95 |
| Class 4 | 1,000.00 | 1,000.00 | 1,051.70 | 1,023.44 | 1.53 | 1.51 | 0.30 | 4.86 | 4.79 | 0.95 |
| Variable Portfolio – Moderate Portfolio |
| Class 2 | 1,000.00 | 1,000.00 | 1,067.80 | 1,023.49 | 1.50 | 1.46 | 0.29 | 5.10 | 4.99 | 0.99 |
| Class 4 | 1,000.00 | 1,000.00 | 1,067.70 | 1,023.49 | 1.49 | 1.46 | 0.29 | 5.10 | 4.99 | 0.99 |
| 12 | Portfolio Navigator Funds | Semiannual Report 2017 |
Understanding Your Fund’s Expenses (continued)
(Unaudited)
| January 1, 2017 — June 30, 2017 |
| | Account value at the
beginning of the
period ($) | Account value at the
end of the
period ($) | Expenses paid during
the period ($) | Fund’s annualized
expense ratio (%) | Effective expenses
paid during the
period ($) | Fund’s effective
annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual |
| Variable Portfolio – Moderately Aggressive Portfolio |
| Class 2 | 1,000.00 | 1,000.00 | 1,079.80 | 1,023.44 | 1.56 | 1.51 | 0.30 | 5.39 | 5.25 | 1.04 |
| Class 4 | 1,000.00 | 1,000.00 | 1,079.70 | 1,023.44 | 1.56 | 1.51 | 0.30 | 5.39 | 5.25 | 1.04 |
| Variable Portfolio – Aggressive Portfolio |
| Class 2 | 1,000.00 | 1,000.00 | 1,091.80 | 1,023.44 | 1.56 | 1.51 | 0.30 | 5.58 | 5.40 | 1.07 |
| Class 4 | 1,000.00 | 1,000.00 | 1,091.70 | 1,023.44 | 1.56 | 1.51 | 0.30 | 5.58 | 5.40 | 1.07 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Effective expenses paid during the period and the Fund’s effective annualized expense ratio include expenses borne directly to the class plus the Fund’s pro rata portion of the ongoing expenses charged by the underlying funds using the expense ratio of each class of the underlying funds as of the underlying fund’s most recent shareholder report.
Portfolio Navigator Funds | Semiannual Report 2017
| 13 |
Portfolio of Investments
Variable Portfolio – Conservative Portfolio, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Alternative Strategies Funds 2.8% |
| | Shares | Value ($) |
| Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 2,757,487 | 15,497,076 |
| Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares(a),(b) | 1,439,410 | 13,717,577 |
| Variable Portfolio – AQR Managed Futures Strategy Fund, Class 1 Shares(a) | 1,015,684 | 7,485,595 |
Total Alternative Strategies Funds
(Cost $41,955,535) | 36,700,248 |
|
| Equity Funds 20.4% |
| | |
| Global Real Estate 0.5% |
| Variable Portfolio – CenterSquare Real Estate Fund, Class 1 Shares(a) | 732,643 | 6,073,610 |
| International 7.7% |
| Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 608,974 | 10,681,408 |
| Columbia Variable Portfolio – Select International Equity Fund, Class 1 Shares(a) | 655,493 | 9,255,567 |
| Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares(a) | 181,908 | 965,932 |
| Variable Portfolio – DFA International Value Fund, Class 1 Shares(a) | 964,778 | 9,811,792 |
| Variable Portfolio – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 3,078,269 | 34,014,869 |
| Variable Portfolio – Oppenheimer International Growth Fund, Class 1 Shares(a) | 930,979 | 10,445,579 |
| Variable Portfolio – Pyramis® International Equity Fund, Class 1 Shares(a) | 2,422,649 | 27,012,532 |
| Total | 102,187,679 |
| U.S. Large Cap 9.5% |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 1,135,196 | 22,806,079 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 505,465 | 21,573,268 |
| Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(a),(b) | 39,517 | 918,771 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 25,495 | 390,333 |
| Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares(a),(b) | 73,444 | 1,600,354 |
| Variable Portfolio – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 313,600 | 8,103,427 |
| Variable Portfolio – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 191,967 | 4,538,091 |
| Variable Portfolio – MFS Value Fund, Class 1 Shares(a),(b) | 1,412,207 | 32,678,462 |
| Equity Funds (continued) |
| | Shares | Value ($) |
| Variable Portfolio – MFS® Blended Research® Core Equity Fund, Class 1 Shares(a),(b) | 753,973 | 13,910,794 |
| Variable Portfolio – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 396,272 | 9,455,056 |
| Variable Portfolio – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 497,252 | 10,397,545 |
| Total | 126,372,180 |
| U.S. Mid Cap 0.9% |
| Variable Portfolio – Jennison Mid Cap Growth Fund, Class 1 Shares(a),(b) | 127,430 | 2,705,331 |
| Variable Portfolio – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 393,377 | 9,401,717 |
| Total | 12,107,048 |
| U.S. Small Cap 1.8% |
| Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares(a),(b) | 481,696 | 10,337,193 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 396,797 | 7,967,685 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 217,755 | 5,722,590 |
| Total | 24,027,468 |
Total Equity Funds
(Cost $232,674,672) | 270,767,985 |
|
| Fixed-Income Funds 72.8% |
| | |
| Emerging Markets 0.4% |
| Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 462,035 | 4,597,254 |
| Floating Rate 0.3% |
| Variable Portfolio – Eaton Vance Floating-Rate Income Fund, Class 1 Shares(a) | 553,982 | 4,204,724 |
| High Yield 0.4% |
| Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 629,490 | 4,670,813 |
| Investment Grade 71.4% |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 26,892,895 | 275,383,249 |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 3,869,524 | 36,296,138 |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 2,349,744 | 23,896,901 |
| Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 5,394,139 | 55,343,868 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Portfolio Navigator Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Conservative Portfolio, June 30, 2017 (Unaudited)
| Fixed-Income Funds (continued) |
| | Shares | Value ($) |
| Variable Portfolio – American Century Diversified Bond Fund, Class 1 Shares(a) | 20,539,713 | 224,499,058 |
| Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 12,130,797 | 131,012,604 |
| Variable Portfolio – TCW Core Plus Bond Fund, Class 1 Shares(a) | 13,169,053 | 138,143,362 |
| Variable Portfolio – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 6,169,964 | 61,946,435 |
| Total | 946,521,615 |
| Multisector 0.3% |
| Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares(a) | 1,080,443 | 4,559,470 |
Total Fixed-Income Funds
(Cost $979,260,993) | 964,553,876 |
|
| Money Market Funds 3.7% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(a),(c) | 40,397,075 | 40,397,075 |
| Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 0.361%(a),(c) | 8,732,999 | 8,732,999 |
Total Money Market Funds
(Cost $49,129,694) | 49,130,074 |
Total Investments
(Cost: $1,303,020,894) | 1,321,152,183 |
| Other Assets & Liabilities, Net | | 3,723,694 |
| Net Assets | 1,324,875,877 |
At June 30, 2017, securities and/or cash totaling $3,945,083 were pledged as collateral.
Investments in derivatives
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| S&P 500 E-mini | 184 | USD | 22,272,280 | 09/2017 | — | (69,456) |
| TOPIX Index | 46 | JPY | 6,590,709 | 09/2017 | 87,396 | — |
| U.S. Ultra Bond | 315 | USD | 52,250,625 | 09/2017 | 1,069,161 | — |
| Total | | | 81,113,614 | | 1,156,557 | (69,456) |
| Short futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Russell 2000 Mini | (461) | USD | (32,599,615) | 09/2017 | — | (146,293) |
| U.S. Treasury 2-Year Note | (143) | USD | (30,903,641) | 09/2017 | 24,306 | — |
| Total | | | (63,503,256) | | 24,306 | (146,293) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 15 |
Portfolio of Investments (continued)
Variable Portfolio – Conservative Portfolio, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments
| (a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Capital gain
distributions ($) | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 23,753,636 | 34,287,891 | (17,644,452) | 40,397,075 | — | (290) | 156,789 | 40,397,075 |
| Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | 2,588,948 | 168,539 | — | 2,757,487 | — | — | 932,021 | 15,497,076 |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | 1,450,730 | 1,079 | (316,613) | 1,135,196 | — | 1,690,843 | — | 22,806,079 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | 652,849 | 502 | (147,886) | 505,465 | — | 1,710,173 | — | 21,573,268 |
| Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares | 1,439,410 | — | — | 1,439,410 | — | — | — | 13,717,577 |
| Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | 39,517 | — | — | 39,517 | — | — | — | 918,771 |
| Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | 450,728 | 11,307 | — | 462,035 | — | — | 111,263 | 4,597,254 |
| Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | 606,662 | 2,312 | — | 608,974 | — | — | 18,350 | 10,681,408 |
| Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 0.361% | 8,702,390 | 30,609 | — | 8,732,999 | — | — | 9,688 | 8,732,999 |
| Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | 590,748 | 38,742 | — | 629,490 | — | — | 287,464 | 4,670,813 |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | 28,703,057 | 978,030 | (2,788,192) | 26,892,895 | 2,327,924 | 979,393 | 7,687,243 | 275,383,249 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | 24,322 | 1,173 | — | 25,495 | — | — | — | 390,333 |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | 4,536,939 | 90,290 | (757,705) | 3,869,524 | — | (786,837) | 846,920 | 36,296,138 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Portfolio Navigator Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Conservative Portfolio, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Capital gain
distributions ($) | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | 3,917,658 | 89,216 | (1,657,130) | 2,349,744 | 93,041 | 581,499 | 811,193 | 23,896,901 |
| Columbia Variable Portfolio – Select International Equity Fund, Class 1 Shares | 643,058 | 12,435 | — | 655,493 | — | — | 169,121 | 9,255,567 |
| Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares | 73,182 | 262 | — | 73,444 | — | — | — | 1,600,354 |
| Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares | 1,080,443 | — | — | 1,080,443 | — | — | — | 4,559,470 |
| Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | 481,696 | — | — | 481,696 | — | — | — | 10,337,193 |
| Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | 6,321,989 | 158,807 | (1,086,657) | 5,394,139 | 37,272 | 34,965 | 1,583,981 | 55,343,868 |
| Variable Portfolio – American Century Diversified Bond Fund, Class 1 Shares | 23,927,442 | 609,414 | (3,997,143) | 20,539,713 | 1,377,348 | 592,513 | 5,216,175 | 224,499,058 |
| Variable Portfolio – AQR Managed Futures Strategy Fund, Class 1 Shares | 1,009,433 | 6,252 | — | 1,015,685 | — | — | 46,383 | 7,485,595 |
| Variable Portfolio – CenterSquare Real Estate Fund, Class 1 Shares | 695,160 | 37,483 | — | 732,643 | 181,569 | — | 128,417 | 6,073,610 |
| Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares | 164,022 | 17,886 | — | 181,908 | 86,136 | — | 8,724 | 965,932 |
| Variable Portfolio – DFA International Value Fund, Class 1 Shares | 1,299,472 | 226,365 | (561,059) | 964,778 | — | (525,638) | 142,965 | 9,811,792 |
| Variable Portfolio – Eaton Vance Floating-Rate Income Fund, Class 1 Shares | 533,479 | 20,503 | — | 553,982 | — | — | 155,621 | 4,204,724 |
| Variable Portfolio – Jennison Mid Cap Growth Fund, Class 1 Shares | 126,620 | 810 | — | 127,430 | — | — | — | 2,705,331 |
| Variable Portfolio – Lazard International Equity Advantage Fund, Class 1 Shares | 2,318,930 | 866,878 | (107,539) | 3,078,269 | — | 142,678 | 298,330 | 34,014,869 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 17 |
Portfolio of Investments (continued)
Variable Portfolio – Conservative Portfolio, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Capital gain
distributions ($) | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Variable Portfolio – Loomis Sayles Growth Fund, Class 1 Shares | 353,016 | 305,552 | (344,968) | 313,600 | — | 796,081 | — | 8,103,427 |
| Variable Portfolio – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | 319,630 | 751 | (128,414) | 191,967 | — | 365,481 | — | 4,538,091 |
| Variable Portfolio – MFS Value Fund, Class 1 Shares | 1,558,909 | 908 | (147,610) | 1,412,207 | — | 1,170,220 | — | 32,678,462 |
| Variable Portfolio – MFS® Blended Research® Core Equity Fund, Class 1 Shares | 935,582 | 919 | (182,528) | 753,973 | — | 921,329 | — | 13,910,794 |
| Variable Portfolio – Morgan Stanley Advantage Fund, Class 1 Shares | 835,985 | 741 | (440,454) | 396,272 | — | 4,209,088 | — | 9,455,056 |
| Variable Portfolio – Oppenheimer International Growth Fund, Class 1 Shares | 2,035,167 | 88,216 | (1,192,404) | 930,979 | 917,064 | (1,946,949) | 56,063 | 10,445,579 |
| Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | 13,761,631 | 292,533 | (1,923,367) | 12,130,797 | 104,909 | (423,793) | 3,036,547 | 131,012,604 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | 396,422 | 375 | — | 396,797 | — | — | — | 7,967,685 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | 217,755 | — | — | 217,755 | — | — | — | 5,722,590 |
| Variable Portfolio – Pyramis® International Equity Fund, Class 1 Shares | 2,385,139 | 37,510 | — | 2,422,649 | — | — | 394,404 | 27,012,532 |
| Variable Portfolio – T. Rowe Price Large Cap Value Fund, Class 1 Shares | 633,921 | 809 | (137,478) | 497,252 | — | 985,606 | — | 10,397,545 |
| Variable Portfolio – TCW Core Plus Bond Fund, Class 1 Shares | 15,297,313 | 265,218 | (2,393,478) | 13,169,053 | 481,479 | 1,049,617 | 2,293,511 | 138,143,362 |
| Variable Portfolio – Victory Sycamore Established Value Fund, Class 1 Shares | 392,681 | 696 | — | 393,377 | — | — | — | 9,401,717 |
| Variable Portfolio – Wells Fargo Short Duration Government Fund, Class 1 Shares | 7,571,639 | 61,209 | (1,462,884) | 6,169,964 | 3,492 | (313,719) | 611,652 | 61,946,435 |
| Total | 162,827,310 | 38,712,222 | (37,417,961) | 164,121,571 | 5,610,234 | 11,232,260 | 25,002,825 | 1,321,152,183 |
| (b) | Non-income producing investment. |
| (c) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Portfolio Navigator Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Conservative Portfolio, June 30, 2017 (Unaudited)
Currency Legend
| JPY | Japanese Yen |
| USD | US Dollar |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Variable Portfolios serve as investment vehicles for variable annuity contracts and variable life insurance policies. Principle investment strategies within these Variable Portfolios vary based on the Portfolios investment objective. Investments in the Variable Portfolios may be redeemed on a daily basis without restriction. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 19 |
Portfolio of Investments (continued)
Variable Portfolio – Conservative Portfolio, June 30, 2017 (Unaudited)
Fair value measurements (continued)
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Alternative Strategies Funds | — | — | — | 36,700,248 | 36,700,248 |
| Equity Funds | — | — | — | 270,767,985 | 270,767,985 |
| Fixed-Income Funds | — | — | — | 964,553,876 | 964,553,876 |
| Money Market Funds | — | — | — | 49,130,074 | 49,130,074 |
| Total Investments | — | — | — | 1,321,152,183 | 1,321,152,183 |
| Derivatives | | | | | |
| Asset | | | | | |
| Futures Contracts | 1,180,863 | — | — | — | 1,180,863 |
| Liability | | | | | |
| Futures Contracts | (215,749) | — | — | — | (215,749) |
| Total | 965,114 | — | — | 1,321,152,183 | 1,322,117,297 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
Derivative instruments are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Portfolio Navigator Funds | Semiannual Report 2017 |
Portfolio of Investments
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Alternative Strategies Funds 2.6% |
| | Shares | Value ($) |
| Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 7,021,949 | 39,463,354 |
| Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares(a),(b) | 3,442,061 | 32,802,839 |
| Variable Portfolio – AQR Managed Futures Strategy Fund, Class 1 Shares(a) | 2,996,972 | 22,087,685 |
Total Alternative Strategies Funds
(Cost $105,493,570) | 94,353,878 |
|
| Equity Funds 36.1% |
| | |
| Global Real Estate 0.7% |
| Variable Portfolio – CenterSquare Real Estate Fund, Class 1 Shares(a) | 3,242,384 | 26,879,366 |
| International 11.6% |
| Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 1,581,147 | 27,733,322 |
| Columbia Variable Portfolio – Select International Equity Fund, Class 1 Shares(a) | 2,579,860 | 36,427,622 |
| Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares(a) | 964,657 | 5,122,330 |
| Variable Portfolio – DFA International Value Fund, Class 1 Shares(a) | 5,617,450 | 57,129,465 |
| Variable Portfolio – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 10,416,868 | 115,106,386 |
| Variable Portfolio – Oppenheimer International Growth Fund, Class 1 Shares(a) | 5,661,079 | 63,517,311 |
| Variable Portfolio – Pyramis® International Equity Fund, Class 1 Shares(a) | 10,043,405 | 111,983,968 |
| Total | 417,020,404 |
| U.S. Large Cap 20.1% |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 3,296,498 | 66,226,634 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a) | 2,608,392 | 111,326,157 |
| Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares(a),(b) | 1,590,982 | 36,990,344 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 2,128,928 | 32,593,887 |
| Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares(a),(b) | 6,031 | 131,421 |
| Variable Portfolio – Loomis Sayles Growth Fund, Class 1 Shares(a) | 1,725,448 | 44,585,573 |
| Variable Portfolio – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 1,629,812 | 38,528,761 |
| Variable Portfolio – MFS Value Fund, Class 1 Shares(a),(b) | 6,208,477 | 143,664,164 |
| Equity Funds (continued) |
| | Shares | Value ($) |
| Variable Portfolio – MFS® Blended Research® Core Equity Fund, Class 1 Shares(a),(b) | 4,884,815 | 90,124,834 |
| Variable Portfolio – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 2,080,877 | 49,649,731 |
| Variable Portfolio – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 5,178,808 | 108,288,873 |
| Total | 722,110,379 |
| U.S. Mid Cap 0.9% |
| Variable Portfolio – Jennison Mid Cap Growth Fund, Class 1 Shares(a),(b) | 865,016 | 18,364,295 |
| Variable Portfolio – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 650,707 | 15,551,889 |
| Total | 33,916,184 |
| U.S. Small Cap 2.8% |
| Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares(a),(b) | 2,298,163 | 49,318,574 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 1,165,591 | 23,405,058 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 1,011,141 | 26,572,798 |
| Total | 99,296,430 |
Total Equity Funds
(Cost $998,734,165) | 1,299,222,763 |
|
| Fixed-Income Funds 58.2% |
| | |
| Emerging Markets 0.3% |
| Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 1,109,790 | 11,042,413 |
| Floating Rate 0.3% |
| Variable Portfolio – Eaton Vance Floating-Rate Income Fund, Class 1 Shares(a) | 1,570,853 | 11,922,775 |
| High Yield 0.3% |
| Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 1,369,740 | 10,163,468 |
| Investment Grade 57.0% |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 45,593,631 | 466,878,777 |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 10,603,660 | 99,462,334 |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 9,405,043 | 95,649,285 |
| Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 8,626,609 | 88,509,004 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 21 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2017 (Unaudited)
| Fixed-Income Funds (continued) |
| | Shares | Value ($) |
| Variable Portfolio – American Century Diversified Bond Fund, Class 1 Shares(a) | 35,898,481 | 392,370,395 |
| Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 42,086,493 | 454,534,130 |
| Variable Portfolio – TCW Core Plus Bond Fund, Class 1 Shares(a) | 25,194,367 | 264,288,908 |
| Variable Portfolio – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 19,002,929 | 190,789,409 |
| Total | 2,052,482,242 |
| Multisector 0.3% |
| Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares(a) | 2,384,220 | 10,061,409 |
Total Fixed-Income Funds
(Cost $2,119,213,983) | 2,095,672,307 |
|
| Money Market Funds 2.9% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(a),(c) | 102,670,071 | 102,670,071 |
| Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 0.361%(a),(c) | 2,461,132 | 2,461,132 |
Total Money Market Funds
(Cost $105,129,868) | 105,131,203 |
Total Investments
(Cost: $3,328,571,586) | 3,594,380,151 |
| Other Assets & Liabilities, Net | | 7,196,130 |
| Net Assets | 3,601,576,281 |
At June 30, 2017, securities and/or cash totaling $7,887,496 were pledged as collateral.
Investments in derivatives
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| TOPIX Index | 268 | JPY | 38,398,044 | 09/2017 | 509,179 | — |
| U.S. Ultra Bond | 731 | USD | 121,254,625 | 09/2017 | 2,481,132 | — |
| Total | | | 159,652,669 | | 2,990,311 | — |
| Short futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Russell 2000 Mini | (932) | USD | (65,906,380) | 09/2017 | — | (52,540) |
| S&P 500 E-mini | (73) | USD | (8,836,285) | 09/2017 | 27,194 | — |
| U.S. Treasury 2-Year Note | (347) | USD | (74,989,953) | 09/2017 | 58,981 | — |
| Total | | | (149,732,618) | | 86,175 | (52,540) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 22 | Portfolio Navigator Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments
| (a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Capital gain
distributions ($) | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 99,665,225 | 51,953,835 | (48,948,989) | 102,670,071 | — | (643) | 396,814 | 102,670,071 |
| Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | 6,592,764 | 429,185 | — | 7,021,949 | — | — | 2,373,395 | 39,463,354 |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | 4,186,926 | — | (890,428) | 3,296,498 | — | 5,961,682 | — | 66,226,634 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | 3,084,486 | — | (476,094) | 2,608,392 | — | 5,285,116 | — | 111,326,157 |
| Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares | 3,442,061 | — | — | 3,442,061 | — | — | — | 32,802,839 |
| Columbia Variable Portfolio – Dividend Opportunity Fund, Class 1 Shares | 1,590,982 | — | — | 1,590,982 | — | — | — | 36,990,344 |
| Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | 1,082,631 | 27,159 | — | 1,109,790 | — | — | 267,250 | 11,042,413 |
| Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | 1,578,194 | 2,953 | — | 1,581,147 | — | — | 47,661 | 27,733,322 |
| Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 0.361% | 2,458,437 | 2,695 | — | 2,461,132 | — | — | 2,730 | 2,461,132 |
| Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | 1,285,440 | 84,300 | — | 1,369,740 | — | — | 625,508 | 10,163,468 |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | 47,561,970 | 1,655,593 | (3,623,932) | 45,593,631 | 3,944,465 | (847,958) | 13,025,364 | 466,878,777 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | 3,274,254 | — | (1,145,326) | 2,128,928 | — | 4,236,749 | — | 32,593,887 |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | 10,802,529 | 247,042 | (445,911) | 10,603,660 | — | (367,310) | 2,317,255 | 99,462,334 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 23 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Capital gain
distributions ($) | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | 12,708,132 | 6,493,478 | (9,796,567) | 9,405,043 | 372,346 | 1,459,139 | 3,246,367 | 95,649,285 |
| Columbia Variable Portfolio – Select International Equity Fund, Class 1 Shares | 2,530,916 | 48,944 | — | 2,579,860 | — | — | 665,618 | 36,427,622 |
| Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares | 6,031 | — | — | 6,031 | — | — | — | 131,421 |
| Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares | 2,384,220 | — | — | 2,384,220 | — | — | — | 10,061,409 |
| Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | 2,298,163 | — | — | 2,298,163 | — | — | — | 49,318,574 |
| Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | 11,566,989 | 251,792 | (3,192,172) | 8,626,609 | 59,449 | (144,225) | 2,526,454 | 88,509,004 |
| Variable Portfolio – American Century Diversified Bond Fund, Class 1 Shares | 38,685,100 | 1,052,448 | (3,839,067) | 35,898,481 | 2,407,361 | 2,959,594 | 9,116,949 | 392,370,395 |
| Variable Portfolio – AQR Managed Futures Strategy Fund, Class 1 Shares | 2,978,527 | 18,445 | — | 2,996,972 | — | — | 136,863 | 22,087,685 |
| Variable Portfolio – CenterSquare Real Estate Fund, Class 1 Shares | 3,076,499 | 165,885 | — | 3,242,384 | 803,551 | — | 568,322 | 26,879,366 |
| Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares | 869,809 | 94,848 | — | 964,657 | 456,779 | — | 46,265 | 5,122,330 |
| Variable Portfolio – DFA International Value Fund, Class 1 Shares | 7,697,214 | 294,605 | (2,374,369) | 5,617,450 | — | 373,880 | 910,996 | 57,129,465 |
| Variable Portfolio – Eaton Vance Floating-Rate Income Fund, Class 1 Shares | 1,512,714 | 58,139 | — | 1,570,853 | — | — | 441,274 | 11,922,775 |
| Variable Portfolio – Jennison Mid Cap Growth Fund, Class 1 Shares | 865,016 | — | — | 865,016 | — | — | — | 18,364,295 |
| Variable Portfolio – Lazard International Equity Advantage Fund, Class 1 Shares | 8,786,412 | 1,784,262 | (153,806) | 10,416,868 | — | 144,202 | 1,029,286 | 115,106,386 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 24 | Portfolio Navigator Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Capital gain
distributions ($) | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Variable Portfolio – Loomis Sayles Growth Fund, Class 1 Shares | 3,248,296 | — | (1,522,848) | 1,725,448 | — | 12,755,593 | — | 44,585,573 |
| Variable Portfolio – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | 2,043,339 | 317,308 | (730,835) | 1,629,812 | — | 7,614,608 | — | 38,528,761 |
| Variable Portfolio – MFS Value Fund, Class 1 Shares | 6,468,411 | — | (259,934) | 6,208,477 | — | 3,382,072 | — | 143,664,164 |
| Variable Portfolio – MFS® Blended Research® Core Equity Fund, Class 1 Shares | 5,024,545 | — | (139,730) | 4,884,815 | — | 1,372,118 | — | 90,124,834 |
| Variable Portfolio – Morgan Stanley Advantage Fund, Class 1 Shares | 1,933,789 | 147,088 | — | 2,080,877 | — | — | — | 49,649,731 |
| Variable Portfolio – Oppenheimer International Growth Fund, Class 1 Shares | 8,493,764 | 525,640 | (3,358,325) | 5,661,079 | 5,606,911 | 2,752,846 | 298,775 | 63,517,311 |
| Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | 43,082,588 | 1,005,779 | (2,001,874) | 42,086,493 | 363,423 | 1,409,392 | 10,519,101 | 454,534,130 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | 1,165,591 | — | — | 1,165,591 | — | — | — | 23,405,058 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | 1,011,141 | — | — | 1,011,141 | — | — | — | 26,572,798 |
| Variable Portfolio – Pyramis® International Equity Fund, Class 1 Shares | 9,895,105 | 148,300 | — | 10,043,405 | — | — | 1,635,124 | 111,983,968 |
| Variable Portfolio – T. Rowe Price Large Cap Value Fund, Class 1 Shares | 5,178,808 | — | — | 5,178,808 | — | — | — | 108,288,873 |
| Variable Portfolio – TCW Core Plus Bond Fund, Class 1 Shares | 28,239,782 | 504,411 | (3,549,826) | 25,194,367 | 918,946 | 331,770 | 4,377,370 | 264,288,908 |
| Variable Portfolio – Victory Sycamore Established Value Fund, Class 1 Shares | 650,707 | — | — | 650,707 | — | — | — | 15,551,889 |
| Variable Portfolio – Wells Fargo Short Duration Government Fund, Class 1 Shares | 20,217,678 | 188,304 | (1,403,053) | 19,002,929 | 10,744 | (12,568) | 1,881,713 | 190,789,409 |
| Total | 419,225,185 | 67,502,438 | (87,853,086) | 398,874,537 | 14,943,975 | 48,666,057 | 56,456,454 | 3,594,380,151 |
| (b) | Non-income producing investment. |
| (c) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 25 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2017 (Unaudited)
Currency Legend
| JPY | Japanese Yen |
| USD | US Dollar |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Variable Portfolios serve as investment vehicles for variable annuity contracts and variable life insurance policies. Principle investment strategies within these Variable Portfolios vary based on the Portfolios investment objective. Investments in the Variable Portfolios may be redeemed on a daily basis without restriction. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
The accompanying Notes to Financial Statements are an integral part of this statement.
| 26 | Portfolio Navigator Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2017 (Unaudited)
Fair value measurements (continued)
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Alternative Strategies Funds | — | — | — | 94,353,878 | 94,353,878 |
| Equity Funds | — | — | — | 1,299,222,763 | 1,299,222,763 |
| Fixed-Income Funds | — | — | — | 2,095,672,307 | 2,095,672,307 |
| Money Market Funds | — | — | — | 105,131,203 | 105,131,203 |
| Total Investments | — | — | — | 3,594,380,151 | 3,594,380,151 |
| Derivatives | | | | | |
| Asset | | | | | |
| Futures Contracts | 3,076,486 | — | — | — | 3,076,486 |
| Liability | | | | | |
| Futures Contracts | (52,540) | — | — | — | (52,540) |
| Total | 3,023,946 | — | — | 3,594,380,151 | 3,597,404,097 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
Derivative instruments are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 27 |
Portfolio of Investments
Variable Portfolio – Moderate Portfolio, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Alternative Strategies Funds 2.5% |
| | Shares | Value ($) |
| Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 35,102,782 | 197,277,635 |
| Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares(a),(b) | 15,996,580 | 152,447,412 |
| Variable Portfolio – AQR Managed Futures Strategy Fund, Class 1 Shares(a) | 17,651,438 | 130,091,100 |
Total Alternative Strategies Funds
(Cost $559,526,284) | 479,816,147 |
|
| Equity Funds 53.4% |
| | |
| Global Real Estate 1.0% |
| Variable Portfolio – CenterSquare Real Estate Fund, Class 1 Shares(a) | 24,622,790 | 204,122,928 |
| International 16.3% |
| Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 14,627,410 | 256,564,773 |
| Columbia Variable Portfolio – Select International Equity Fund, Class 1 Shares(a) | 24,926,108 | 351,956,651 |
| Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares(a) | 6,858,770 | 36,420,067 |
| Variable Portfolio – DFA International Value Fund, Class 1 Shares(a) | 46,400,811 | 471,896,251 |
| Variable Portfolio – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 73,226,108 | 809,148,493 |
| Variable Portfolio – Oppenheimer International Growth Fund, Class 1 Shares(a) | 41,393,312 | 464,432,960 |
| Variable Portfolio – Pyramis® International Equity Fund, Class 1 Shares(a) | 68,132,650 | 759,679,044 |
| Total | 3,150,098,239 |
| U.S. Large Cap 31.4% |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 39,776,178 | 799,103,420 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 19,843,927 | 846,938,818 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 20,016,904 | 306,458,797 |
| Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares(a),(b) | 6,911,334 | 150,597,968 |
| Variable Portfolio – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 20,074,759 | 518,731,759 |
| Variable Portfolio – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 20,432,925 | 483,034,344 |
| Variable Portfolio – MFS Value Fund, Class 1 Shares(a),(b) | 46,486,842 | 1,075,705,515 |
| Variable Portfolio – MFS® Blended Research® Core Equity Fund, Class 1 Shares(a),(b) | 21,302,239 | 393,026,305 |
| Equity Funds (continued) |
| | Shares | Value ($) |
| Variable Portfolio – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 22,270,521 | 531,374,635 |
| Variable Portfolio – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 45,571,852 | 952,907,429 |
| Total | 6,057,878,990 |
| U.S. Mid Cap 1.0% |
| Variable Portfolio – Jennison Mid Cap Growth Fund, Class 1 Shares(a),(b) | 4,886,022 | 103,730,248 |
| Variable Portfolio – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 3,715,416 | 88,798,449 |
| Total | 192,528,697 |
| U.S. Small Cap 3.7% |
| Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares(a),(b) | 18,194,152 | 390,446,510 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 7,302,817 | 146,640,578 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 6,663,650 | 175,120,715 |
| Total | 712,207,803 |
Total Equity Funds
(Cost $7,520,227,951) | 10,316,836,657 |
|
| Fixed-Income Funds 41.9% |
| | |
| Emerging Markets 0.3% |
| Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 6,231,809 | 62,006,497 |
| Floating Rate 0.3% |
| Variable Portfolio – Eaton Vance Floating-Rate Income Fund, Class 1 Shares(a) | 7,648,535 | 58,052,384 |
| High Yield 0.3% |
| Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 7,073,155 | 52,482,809 |
| Investment Grade 40.7% |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 179,065,962 | 1,833,635,453 |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 25,699,418 | 241,060,541 |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 61,028,763 | 620,662,521 |
| Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 35,883,529 | 368,165,007 |
| Variable Portfolio – American Century Diversified Bond Fund, Class 1 Shares(a) | 157,550,594 | 1,722,027,994 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 28 | Portfolio Navigator Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Moderate Portfolio, June 30, 2017 (Unaudited)
| Fixed-Income Funds (continued) |
| | Shares | Value ($) |
| Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 115,796,046 | 1,250,597,295 |
| Variable Portfolio – TCW Core Plus Bond Fund, Class 1 Shares(a) | 123,324,561 | 1,293,674,642 |
| Variable Portfolio – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 53,987,032 | 542,029,805 |
| Total | 7,871,853,258 |
| Multisector 0.3% |
| Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares(a) | 12,571,578 | 53,052,058 |
Total Fixed-Income Funds
(Cost $8,105,347,959) | 8,097,447,006 |
|
| Money Market Funds 2.0% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(a),(c) | 376,428,501 | 376,428,501 |
| Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 0.361%(a),(c) | 17,059 | 17,059 |
Total Money Market Funds
(Cost $376,437,747) | 376,445,560 |
Total Investments
(Cost: $16,561,539,941) | 19,270,545,370 |
| Other Assets & Liabilities, Net | | 47,845,994 |
| Net Assets | 19,318,391,364 |
At June 30, 2017, securities and/or cash totaling $50,309,718 were pledged as collateral.
Investments in derivatives
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| TOPIX Index | 1,087 | JPY | 155,741,320 | 09/2017 | 2,065,217 | — |
| U.S. Ultra Bond | 2,605 | USD | 432,104,375 | 09/2017 | 8,841,789 | — |
| Total | | | 587,845,695 | | 10,907,006 | — |
| Short futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Russell 2000 Mini | (5,583) | USD | (394,801,845) | 09/2017 | — | (451,969) |
| S&P 500 E-mini | (3,434) | USD | (415,668,530) | 09/2017 | 1,279,234 | — |
| U.S. Treasury 2-Year Note | (578) | USD | (124,911,219) | 09/2017 | 98,245 | — |
| Total | | | (935,381,594) | | 1,377,479 | (451,969) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 29 |
Portfolio of Investments (continued)
Variable Portfolio – Moderate Portfolio, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments
| (a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Capital gain
distributions ($) | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 382,282,269 | 256,554,111 | (262,407,879) | 376,428,501 | — | (3,696) | 1,486,721 | 376,428,501 |
| Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | 32,957,281 | 2,145,501 | — | 35,102,782 | — | — | 11,864,621 | 197,277,635 |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | 42,733,668 | — | (2,957,490) | 39,776,178 | — | 29,268,437 | — | 799,103,420 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | 21,228,069 | — | (1,384,142) | 19,843,927 | — | 18,732,211 | — | 846,938,818 |
| Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares | 15,996,580 | — | — | 15,996,580 | — | — | — | 152,447,412 |
| Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | 6,079,299 | 152,510 | — | 6,231,809 | — | — | 1,500,691 | 62,006,497 |
| Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | 14,600,091 | 27,319 | — | 14,627,410 | — | — | 440,923 | 256,564,773 |
| Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 0.361% | 17,041 | 18 | — | 17,059 | — | — | 18 | 17,059 |
| Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | 6,637,840 | 435,315 | — | 7,073,155 | — | — | 3,230,039 | 52,482,809 |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | 180,447,055 | 6,502,603 | (7,883,696) | 179,065,962 | 15,492,509 | (4,569,722) | 51,159,176 | 1,833,635,453 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 30 | Portfolio Navigator Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Moderate Portfolio, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Capital gain
distributions ($) | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | 23,519,965 | — | (3,503,061) | 20,016,904 | — | 20,936,984 | — | 306,458,797 |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | 30,817,811 | 598,600 | (5,716,993) | 25,699,418 | — | (5,894,770) | 5,614,862 | 241,060,541 |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | 67,237,546 | 2,300,616 | (8,509,399) | 61,028,763 | 2,412,189 | 3,469,383 | 21,031,090 | 620,662,521 |
| Columbia Variable Portfolio – Select International Equity Fund, Class 1 Shares | 24,453,225 | 472,883 | — | 24,926,108 | — | — | 6,431,072 | 351,956,651 |
| Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares | 6,911,334 | — | — | 6,911,334 | — | — | — | 150,597,968 |
| Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares | 12,571,578 | — | — | 12,571,578 | — | — | — | 53,052,058 |
| Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | 18,360,333 | — | (166,181) | 18,194,152 | — | 2,027,893 | — | 390,446,510 |
| Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | 43,101,134 | 1,045,495 | (8,263,100) | 35,883,529 | 246,845 | (474,816) | 10,490,389 | 368,165,007 |
| Variable Portfolio – American Century Diversified Bond Fund, Class 1 Shares | 161,092,452 | 4,618,049 | (8,159,907) | 157,550,594 | 10,563,284 | 6,779,497 | 40,004,357 | 1,722,027,994 |
| Variable Portfolio – AQR Managed Futures Strategy Fund, Class 1 Shares | 17,542,801 | 108,637 | — | 17,651,438 | — | — | 806,092 | 130,091,100 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 31 |
Portfolio of Investments (continued)
Variable Portfolio – Moderate Portfolio, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Capital gain
distributions ($) | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Variable Portfolio – CenterSquare Real Estate Fund, Class 1 Shares | 23,363,050 | 1,259,740 | — | 24,622,790 | 6,102,195 | — | 4,315,856 | 204,122,928 |
| Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares | 6,184,390 | 674,380 | — | 6,858,770 | 3,247,728 | — | 328,948 | 36,420,067 |
| Variable Portfolio – DFA International Value Fund, Class 1 Shares | 60,290,443 | 752,190 | (14,641,822) | 46,400,811 | — | 15,173,142 | 7,563,102 | 471,896,251 |
| Variable Portfolio – Eaton Vance Floating-Rate Income Fund, Class 1 Shares | 7,365,455 | 283,080 | — | 7,648,535 | — | — | 2,148,577 | 58,052,384 |
| Variable Portfolio – Jennison Mid Cap Growth Fund, Class 1 Shares | 4,886,022 | — | — | 4,886,022 | — | — | — | 103,730,248 |
| Variable Portfolio – Lazard International Equity Advantage Fund, Class 1 Shares | 48,424,016 | 25,438,615 | (636,523) | 73,226,108 | — | 596,209 | 7,013,689 | 809,148,493 |
| Variable Portfolio – Loomis Sayles Growth Fund, Class 1 Shares | 31,216,699 | — | (11,141,940) | 20,074,759 | — | 169,718,112 | — | 518,731,759 |
| Variable Portfolio – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | 15,540,721 | 6,980,442 | (2,088,238) | 20,432,925 | — | 22,231,380 | — | 483,034,344 |
| Variable Portfolio – MFS Value Fund, Class 1 Shares | 47,418,302 | — | (931,460) | 46,486,842 | — | 12,658,160 | — | 1,075,705,515 |
| Variable Portfolio – MFS® Blended Research® Core Equity Fund, Class 1 Shares | 24,929,063 | 9,999,322 | (13,626,146) | 21,302,239 | — | 34,189,190 | — | 393,026,305 |
| Variable Portfolio – Morgan Stanley Advantage Fund, Class 1 Shares | 22,510,506 | 202,303 | (442,288) | 22,270,521 | — | 6,256,796 | — | 531,374,635 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 32 | Portfolio Navigator Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Moderate Portfolio, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Capital gain
distributions ($) | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Variable Portfolio – Oppenheimer International Growth Fund, Class 1 Shares | 61,005,202 | 3,843,034 | (23,454,924) | 41,393,312 | 40,946,617 | 36,999,903 | 2,231,800 | 464,432,960 |
| Variable Portfolio - Partners Core Bond Fund, Class 1 Shares | 117,582,603 | 2,770,879 | (4,557,436) | 115,796,046 | 1,001,216 | 3,737,000 | 28,979,693 | 1,250,597,295 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | 7,302,817 | — | — | 7,302,817 | — | — | — | 146,640,578 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | 6,663,650 | — | — | 6,663,650 | — | — | — | 175,120,715 |
| Variable Portfolio – Pyramis® International Equity Fund, Class 1 Shares | 67,126,610 | 1,006,040 | — | 68,132,650 | — | — | 11,092,391 | 759,679,044 |
| Variable Portfolio – T. Rowe Price Large Cap Value Fund, Class 1 Shares | 46,426,761 | — | (854,909) | 45,571,852 | — | 9,646,540 | — | 952,907,429 |
| Variable Portfolio – TCW Core Plus Bond Fund, Class 1 Shares | 125,390,353 | 2,470,052 | (4,535,844) | 123,324,561 | 4,499,987 | 2,375,852 | 21,435,552 | 1,293,674,642 |
| Variable Portfolio – Victory Sycamore Established Value Fund, Class 1 Shares | 3,715,416 | — | — | 3,715,416 | — | — | — | 88,798,449 |
| Variable Portfolio – Wells Fargo Short Duration Government Fund, Class 1 Shares | 58,406,003 | 535,156 | (4,954,127) | 53,987,032 | 30,534 | (452,991) | 5,347,791 | 542,029,805 |
| Total | 1,894,335,454 | 331,176,890 | (390,817,505) | 1,834,694,839 | 84,543,104 | 383,400,694 | 244,517,450 | 19,270,545,370 |
| (b) | Non-income producing investment. |
| (c) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
Currency Legend
| JPY | Japanese Yen |
| USD | US Dollar |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 33 |
Portfolio of Investments (continued)
Variable Portfolio – Moderate Portfolio, June 30, 2017 (Unaudited)
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Variable Portfolios serve as investment vehicles for variable annuity contracts and variable life insurance policies. Principle investment strategies within these Variable Portfolios vary based on the Portfolios investment objective. Investments in the Variable Portfolios may be redeemed on a daily basis without restriction. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Alternative Strategies Funds | — | — | — | 479,816,147 | 479,816,147 |
| Equity Funds | — | — | — | 10,316,836,657 | 10,316,836,657 |
| Fixed-Income Funds | — | — | — | 8,097,447,006 | 8,097,447,006 |
| Money Market Funds | — | — | — | 376,445,560 | 376,445,560 |
| Total Investments | — | — | — | 19,270,545,370 | 19,270,545,370 |
| Derivatives | | | | | |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 34 | Portfolio Navigator Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Moderate Portfolio, June 30, 2017 (Unaudited)
Fair value measurements (continued)
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Asset | | | | | |
| Futures Contracts | 12,284,485 | — | — | — | 12,284,485 |
| Liability | | | | | |
| Futures Contracts | (451,969) | — | — | — | (451,969) |
| Total | 11,832,516 | — | — | 19,270,545,370 | 19,282,377,886 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
Derivative instruments are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 35 |
Portfolio of Investments
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Alternative Strategies Funds 2.9% |
| | Shares | Value ($) |
| Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 25,832,130 | 145,176,570 |
| Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares(a),(b) | 6,147,788 | 58,588,421 |
| Variable Portfolio – AQR Managed Futures Strategy Fund, Class 1 Shares(a) | 8,951,926 | 65,975,696 |
Total Alternative Strategies Funds
(Cost $312,738,923) | 269,740,687 |
|
| Equity Funds 68.1% |
| | |
| Global Real Estate 1.3% |
| Variable Portfolio – CenterSquare Real Estate Fund, Class 1 Shares(a) | 15,082,398 | 125,033,082 |
| International 21.1% |
| Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 7,753,055 | 135,988,581 |
| Columbia Variable Portfolio – Select International Equity Fund, Class 1 Shares(a) | 16,000,369 | 225,925,215 |
| Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares(a) | 4,453,708 | 23,649,191 |
| Variable Portfolio – DFA International Value Fund, Class 1 Shares(a) | 30,220,190 | 307,339,335 |
| Variable Portfolio – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 44,890,190 | 496,036,594 |
| Variable Portfolio – Oppenheimer International Growth Fund, Class 1 Shares(a) | 27,074,570 | 303,776,675 |
| Variable Portfolio – Pyramis® International Equity Fund, Class 1 Shares(a) | 44,223,249 | 493,089,226 |
| Total | 1,985,804,817 |
| U.S. Large Cap 39.7% |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 28,399,960 | 570,555,189 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 12,661,327 | 540,385,423 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 10,196,152 | 156,103,081 |
| Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares(a),(b) | 15,324,985 | 333,931,424 |
| Variable Portfolio – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 10,940,994 | 282,715,297 |
| Variable Portfolio – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 11,213,675 | 265,091,281 |
| Variable Portfolio – MFS Value Fund, Class 1 Shares(a),(b) | 15,556,659 | 359,981,088 |
| Variable Portfolio – MFS® Blended Research® Core Equity Fund, Class 1 Shares(a),(b) | 16,340,761 | 301,487,046 |
| Equity Funds (continued) |
| | Shares | Value ($) |
| Variable Portfolio – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 12,218,194 | 291,526,101 |
| Variable Portfolio – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 29,847,405 | 624,109,240 |
| Total | 3,725,885,170 |
| U.S. Mid Cap 1.6% |
| Variable Portfolio – Jennison Mid Cap Growth Fund, Class 1 Shares(a),(b) | 3,733,473 | 79,261,629 |
| Variable Portfolio – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 3,069,266 | 73,355,462 |
| Total | 152,617,091 |
| U.S. Small Cap 4.4% |
| Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares(a),(b) | 8,513,251 | 182,694,364 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 5,190,636 | 104,227,981 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 4,667,889 | 122,672,114 |
| Total | 409,594,459 |
Total Equity Funds
(Cost $4,759,659,111) | 6,398,934,619 |
|
| Fixed-Income Funds 25.9% |
| | |
| Emerging Markets 0.3% |
| Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 2,151,839 | 21,410,799 |
| Floating Rate 0.2% |
| Variable Portfolio – Eaton Vance Floating-Rate Income Fund, Class 1 Shares(a) | 2,726,007 | 20,690,392 |
| High Yield 0.2% |
| Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 2,375,419 | 17,625,607 |
| Investment Grade 25.1% |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 65,888,355 | 674,696,760 |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 12,766,226 | 119,747,197 |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 9,655,965 | 98,201,161 |
| Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 9,049,863 | 92,851,594 |
| Variable Portfolio – American Century Diversified Bond Fund, Class 1 Shares(a) | 51,829,286 | 566,494,094 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 36 | Portfolio Navigator Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2017 (Unaudited)
| Fixed-Income Funds (continued) |
| | Shares | Value ($) |
| Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 44,199,016 | 477,349,371 |
| Variable Portfolio – TCW Core Plus Bond Fund, Class 1 Shares(a) | 30,609,541 | 321,094,085 |
| Variable Portfolio – Wells Fargo Short Duration Government Fund, Class 1 Shares(a) | 953,945 | 9,577,614 |
| Total | 2,360,011,876 |
| Multisector 0.1% |
| Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares(a) | 2,802,527 | 11,826,666 |
Total Fixed-Income Funds
(Cost $2,453,695,046) | 2,431,565,340 |
|
| Money Market Funds 2.8% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(a),(c) | 265,285,748 | 265,285,748 |
| Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 0.361%(a),(c) | 998 | 998 |
Total Money Market Funds
(Cost $265,283,350) | 265,286,746 |
Total Investments
(Cost: $7,791,376,430) | 9,365,527,392 |
| Other Assets & Liabilities, Net | | 29,811,488 |
| Net Assets | 9,395,338,880 |
At June 30, 2017, securities and/or cash totaling $31,552,547 were pledged as collateral.
Investments in derivatives
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| TOPIX Index | 1,050 | JPY | 150,440,098 | 09/2017 | 1,994,919 | — |
| U.S. Ultra Bond | 1,752 | USD | 290,613,000 | 09/2017 | 5,946,570 | — |
| Total | | | 441,053,098 | | 7,941,489 | — |
| Short futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Russell 2000 Mini | (4,109) | USD | (290,567,935) | 09/2017 | — | (1,491,290) |
| S&P 500 E-mini | (1,187) | USD | (143,680,415) | 09/2017 | 442,181 | — |
| U.S. Treasury 2-Year Note | (676) | USD | (146,089,938) | 09/2017 | 114,903 | — |
| Total | | | (580,338,288) | | 557,084 | (1,491,290) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 37 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments
| (a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Capital gain
distributions ($) | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 262,432,762 | 147,836,078 | (144,983,092) | 265,285,748 | — | (2,217) | 1,056,645 | 265,285,748 |
| Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | 24,253,256 | 1,578,874 | — | 25,832,130 | — | — | 8,731,172 | 145,176,570 |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | 30,610,572 | — | (2,210,612) | 28,399,960 | — | 22,091,759 | — | 570,555,189 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | 13,470,816 | — | (809,489) | 12,661,327 | — | 12,305,885 | — | 540,385,423 |
| Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares | 6,147,788 | — | — | 6,147,788 | — | — | — | 58,588,421 |
| Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | 2,099,178 | 52,661 | — | 2,151,839 | — | — | 518,188 | 21,410,799 |
| Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | 9,541,996 | 14,921 | (1,803,862) | 7,753,055 | — | (1,221,735) | 240,827 | 135,988,581 |
| Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 0.361% | 997 | 1 | — | 998 | — | — | 1 | 998 |
| Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | 2,229,224 | 146,195 | — | 2,375,419 | — | — | 1,084,763 | 17,625,607 |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | 67,161,818 | 2,392,246 | (3,665,709) | 65,888,355 | 5,699,548 | (1,844,922) | 18,820,980 | 674,696,760 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | 12,347,046 | — | (2,150,894) | 10,196,152 | — | 11,929,488 | — | 156,103,081 |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares | 13,611,006 | 296,801 | (1,141,581) | 12,766,226 | — | (1,189,375) | 2,783,988 | 119,747,197 |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | 12,752,383 | 364,156 | (3,460,574) | 9,655,965 | 381,816 | 109,775 | 3,328,932 | 98,201,161 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 38 | Portfolio Navigator Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Capital gain
distributions ($) | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Columbia Variable Portfolio – Select International Equity Fund, Class 1 Shares | 15,982,461 | 306,875 | (288,967) | 16,000,369 | — | 406,359 | 4,172,204 | 225,925,215 |
| Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares | 15,970,578 | — | (645,593) | 15,324,985 | — | 7,403,215 | — | 333,931,424 |
| Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares | 2,802,527 | — | — | 2,802,527 | — | — | — | 11,826,666 |
| Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | 8,706,378 | — | (193,127) | 8,513,251 | — | 206,855 | — | 182,694,364 |
| Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares | 10,907,809 | 263,115 | (2,121,061) | 9,049,863 | 62,123 | (131,852) | 2,640,066 | 92,851,594 |
| Variable Portfolio – American Century Diversified Bond Fund, Class 1 Shares | 55,459,997 | 1,518,842 | (5,149,553) | 51,829,286 | 3,474,184 | (1,236,311) | 13,157,132 | 566,494,094 |
| Variable Portfolio – AQR Managed Futures Strategy Fund, Class 1 Shares | 8,896,831 | 55,095 | — | 8,951,926 | — | — | 408,809 | 65,975,696 |
| Variable Portfolio – CenterSquare Real Estate Fund, Class 1 Shares | 14,310,759 | 771,639 | — | 15,082,398 | 3,737,827 | — | 2,643,627 | 125,033,082 |
| Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares | 4,015,803 | 437,905 | — | 4,453,708 | 2,108,896 | — | 213,601 | 23,649,191 |
| Variable Portfolio – DFA International Value Fund, Class 1 Shares | 35,819,952 | 2,073,211 | (7,672,973) | 30,220,190 | — | (5,165,328) | 4,736,666 | 307,339,335 |
| Variable Portfolio – Eaton Vance Floating-Rate Income Fund, Class 1 Shares | 2,625,115 | 100,892 | — | 2,726,007 | — | — | 765,772 | 20,690,392 |
| Variable Portfolio – J.P. Morgan Core Bond Fund, Class 1 Shares | 45,452,679 | 1,056,158 | (2,309,821) | 44,199,016 | 381,627 | (480,220) | 11,046,002 | 477,349,371 |
| Variable Portfolio – Jennison Mid Cap Growth Fund, Class 1 Shares | 3,733,473 | — | — | 3,733,473 | — | — | — | 79,261,629 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 39 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Capital gain
distributions ($) | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Variable Portfolio – Lazard International Equity Advantage Fund, Class 1 Shares | 30,219,739 | 15,594,451 | (924,000) | 44,890,190 | — | 872,987 | 4,311,827 | 496,036,594 |
| Variable Portfolio – Loomis Sayles Growth Fund, Class 1 Shares | 18,067,423 | — | (7,126,429) | 10,940,994 | — | 105,285,217 | — | 282,715,297 |
| Variable Portfolio – MFS Value Fund, Class 1 Shares | 16,390,816 | — | (834,157) | 15,556,659 | — | 10,800,243 | — | 359,981,088 |
| Variable Portfolio – MFS® Blended Research® Core Equity Fund, Class 1 Shares | 18,275,714 | 8,172,690 | (10,107,643) | 16,340,761 | — | 18,220,660 | — | 301,487,046 |
| Variable Portfolio – Morgan Stanley Advantage Fund, Class 1 Shares | 9,447,434 | 3,113,093 | (342,333) | 12,218,194 | — | 4,881,733 | — | 291,526,101 |
| Variable Portfolio – Nuveen Winslow Large Cap Growth Fund, Class 1 Shares | 11,158,237 | 1,915,537 | (1,860,099) | 11,213,675 | — | 19,289,715 | — | 265,091,281 |
| Variable Portfolio – Oppenheimer International Growth Fund, Class 1 Shares | 40,964,841 | 2,513,069 | (16,403,340) | 27,074,570 | 26,742,427 | 36,587,325 | 1,493,913 | 303,776,675 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | 4,613,209 | 629,389 | (51,962) | 5,190,636 | — | 521,931 | — | 104,227,981 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | 4,250,296 | 457,115 | (39,522) | 4,667,889 | — | 552,540 | — | 122,672,114 |
| Variable Portfolio – Pyramis® International Equity Fund, Class 1 Shares | 45,134,852 | 660,595 | (1,572,198) | 44,223,249 | — | 2,617,068 | 7,281,131 | 493,089,226 |
| Variable Portfolio – T. Rowe Price Large Cap Value Fund, Class 1 Shares | 30,542,766 | — | (695,361) | 29,847,405 | — | 7,897,323 | — | 624,109,240 |
| Variable Portfolio – TCW Core Plus Bond Fund, Class 1 Shares | 32,858,677 | 612,482 | (2,861,618) | 30,609,541 | 1,115,831 | 588,828 | 5,315,224 | 321,094,085 |
| Variable Portfolio – Victory Sycamore Established Value Fund, Class 1 Shares | 3,069,266 | — | — | 3,069,266 | — | — | — | 73,355,462 |
| Variable Portfolio – Wells Fargo Short Duration Government Fund, Class 1 Shares | 944,510 | 9,435 | — | 953,945 | 538 | — | 94,290 | 9,577,614 |
| Total | 947,280,984 | 192,943,521 | (221,425,570) | 918,798,935 | 43,704,817 | 251,296,946 | 94,845,760 | 9,365,527,392 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 40 | Portfolio Navigator Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| (b) | Non-income producing investment. |
| (c) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
Currency Legend
| JPY | Japanese Yen |
| USD | US Dollar |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Variable Portfolios serve as investment vehicles for variable annuity contracts and variable life insurance policies. Principle investment strategies within these Variable Portfolios vary based on the Portfolios investment objective. Investments in the Variable Portfolios may be redeemed on a daily basis without restriction. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 41 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2017 (Unaudited)
Fair value measurements (continued)
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Alternative Strategies Funds | — | — | — | 269,740,687 | 269,740,687 |
| Equity Funds | — | — | — | 6,398,934,619 | 6,398,934,619 |
| Fixed-Income Funds | — | — | — | 2,431,565,340 | 2,431,565,340 |
| Money Market Funds | — | — | — | 265,286,746 | 265,286,746 |
| Total Investments | — | — | — | 9,365,527,392 | 9,365,527,392 |
| Derivatives | | | | | |
| Asset | | | | | |
| Futures Contracts | 8,498,573 | — | — | — | 8,498,573 |
| Liability | | | | | |
| Futures Contracts | (1,491,290) | — | — | — | (1,491,290) |
| Total | 7,007,283 | — | — | 9,365,527,392 | 9,372,534,675 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
Derivative instruments are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 42 | Portfolio Navigator Funds | Semiannual Report 2017 |
Portfolio of Investments
Variable Portfolio – Aggressive Portfolio, June 30, 2017 (Unaudited)
(Percentages represent value of investments compared to net assets)
| Alternative Strategies Funds 2.8% |
| | Shares | Value ($) |
| Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 10,190,327 | 57,269,634 |
| Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares(a),(b) | 1,070,138 | 10,198,418 |
| Variable Portfolio – AQR Managed Futures Strategy Fund, Class 1 Shares(a) | 1,853,038 | 13,656,890 |
Total Alternative Strategies Funds
(Cost $93,847,298) | 81,124,942 |
|
| Equity Funds 81.8% |
| | |
| Global Real Estate 1.6% |
| Variable Portfolio – CenterSquare Real Estate Fund, Class 1 Shares(a) | 5,657,860 | 46,903,661 |
| International 24.3% |
| Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a) | 2,267,653 | 39,774,642 |
| Columbia Variable Portfolio – Select International Equity Fund, Class 1 Shares(a) | 3,725,675 | 52,606,527 |
| Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares(a) | 1,607,903 | 8,537,968 |
| Variable Portfolio – DFA International Value Fund, Class 1 Shares(a) | 10,091,068 | 102,626,158 |
| Variable Portfolio – Lazard International Equity Advantage Fund, Class 1 Shares(a) | 17,506,279 | 193,444,382 |
| Variable Portfolio – Oppenheimer International Growth Fund, Class 1 Shares(a) | 9,081,995 | 101,899,980 |
| Variable Portfolio – Pyramis® International Equity Fund, Class 1 Shares(a) | 17,426,773 | 194,308,519 |
| Total | 693,198,176 |
| U.S. Large Cap 48.2% |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 8,728,487 | 175,355,310 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 4,514,389 | 192,674,140 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 7,531,664 | 115,309,780 |
| Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares(a),(b) | 8,545,744 | 186,211,755 |
| Variable Portfolio – Loomis Sayles Growth Fund, Class 1 Shares(a),(b) | 3,777,191 | 97,602,605 |
| Variable Portfolio – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares(a),(b) | 3,782,903 | 89,427,822 |
| Variable Portfolio – MFS Value Fund, Class 1 Shares(a),(b) | 5,572,892 | 128,956,713 |
| Variable Portfolio – MFS® Blended Research® Core Equity Fund, Class 1 Shares(a),(b) | 5,397,295 | 99,580,085 |
| Equity Funds (continued) |
| | Shares | Value ($) |
| Variable Portfolio – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 4,274,575 | 101,991,370 |
| Variable Portfolio – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 9,137,957 | 191,074,678 |
| Total | 1,378,184,258 |
| U.S. Mid Cap 1.9% |
| Variable Portfolio – Jennison Mid Cap Growth Fund, Class 1 Shares(a),(b) | 1,350,687 | 28,675,098 |
| Variable Portfolio – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 1,074,482 | 25,680,115 |
| Total | 54,355,213 |
| U.S. Small Cap 5.8% |
| Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares(a),(b) | 3,893,550 | 83,555,572 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 1,899,266 | 38,137,265 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 1,654,013 | 43,467,458 |
| Total | 165,160,295 |
Total Equity Funds
(Cost $1,814,283,819) | 2,337,801,603 |
|
| Exchange-Traded Funds 0.6% |
| | |
| iShares MSCI EAFE ETF | 249,311 | 16,255,077 |
Total Exchange-Traded Funds
(Cost $14,628,597) | 16,255,077 |
|
| Fixed-Income Funds 11.9% |
| | |
| Emerging Markets 0.1% |
| Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 469,542 | 4,671,946 |
| Floating Rate 0.2% |
| Variable Portfolio – Eaton Vance Floating-Rate Income Fund, Class 1 Shares(a) | 619,454 | 4,701,654 |
| High Yield 0.0% |
| Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares(a) | 5,952 | 44,161 |
| Investment Grade 11.5% |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 8,503,098 | 87,071,725 |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 2,767,310 | 28,143,542 |
| Variable Portfolio – American Century Diversified Bond Fund, Class 1 Shares(a) | 9,852,966 | 107,692,921 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 43 |
Portfolio of Investments (continued)
Variable Portfolio – Aggressive Portfolio, June 30, 2017 (Unaudited)
| Fixed-Income Funds (continued) |
| | Shares | Value ($) |
| Variable Portfolio - Partners Core Bond Fund, Class 1 Shares(a) | 5,568,725 | 60,142,233 |
| Variable Portfolio – TCW Core Plus Bond Fund, Class 1 Shares(a) | 4,469,708 | 46,887,237 |
| Total | 329,937,658 |
| Multisector 0.1% |
| Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares(a) | 612,912 | 2,586,490 |
Total Fixed-Income Funds
(Cost $344,110,738) | 341,941,909 |
|
| Money Market Funds 2.5% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.033%(a),(c) | 71,546,943 | 71,546,943 |
| Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 0.361%(a),(c) | 994 | 994 |
Total Money Market Funds
(Cost $71,546,740) | 71,547,937 |
Total Investments
(Cost: $2,338,417,192) | 2,848,671,468 |
| Other Assets & Liabilities, Net | | 10,453,420 |
| Net Assets | 2,859,124,888 |
At June 30, 2017, securities and/or cash totaling $11,175,529 were pledged as collateral.
Investments in derivatives
Futures contracts outstanding at June 30, 2017
| Long futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| EURO STOXX 50 | 600 | EUR | 23,512,293 | 09/2017 | — | (827,771) |
| TOPIX Index | 357 | JPY | 51,149,633 | 09/2017 | 678,272 | — |
| U.S. Ultra Bond | 401 | USD | 66,515,875 | 09/2017 | 1,361,059 | — |
| Total | | | 141,177,801 | | 2,039,331 | (827,771) |
| Short futures contracts outstanding |
| Contract description | Number of
contracts | Trading
currency | Notional market
value ($) | Expiration date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| Russell 2000 Mini | (1,247) | USD | (88,181,605) | 09/2017 | — | (195,887) |
| S&P 500 E-mini | (419) | USD | (50,717,855) | 09/2017 | 156,086 | — |
| U.S. Treasury 2-Year Note | (172) | USD | (37,170,812) | 09/2017 | 29,236 | — |
| Total | | | (176,070,272) | | 185,322 | (195,887) |
Notes to Portfolio of Investments
| (a) | As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. Holdings and transactions in these affiliated companies during the period ended June 30, 2017 are as follows: |
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Capital gain
distributions ($) | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Columbia Short-Term Cash Fund, 1.033% | 71,442,876 | 47,483,034 | (47,378,967) | 71,546,943 | — | (655) | 282,771 | 71,546,943 |
| Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares | 9,567,488 | 622,839 | — | 10,190,327 | — | — | 3,444,296 | 57,269,634 |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares | 9,270,089 | 2,569 | (544,171) | 8,728,487 | — | 3,889,085 | — | 175,355,310 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 44 | Portfolio Navigator Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Aggressive Portfolio, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Capital gain
distributions ($) | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares | 4,790,959 | 1,382 | (277,952) | 4,514,389 | — | 3,857,504 | — | 192,674,140 |
| Columbia Variable Portfolio – Diversified Absolute Return Fund, Class 1 Shares | 1,049,167 | 20,971 | — | 1,070,138 | — | — | — | 10,198,418 |
| Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares | 458,051 | 11,491 | — | 469,542 | — | — | 113,071 | 4,671,946 |
| Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares | 2,250,205 | 17,448 | — | 2,267,653 | — | — | 68,330 | 39,774,642 |
| Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 0.361% | 993 | 1 | — | 994 | — | — | 1 | 994 |
| Columbia Variable Portfolio – Income Opportunities Fund, Class 1 Shares | 5,586 | 366 | — | 5,952 | — | — | 2,718 | 44,161 |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares | 9,375,468 | 308,921 | (1,181,291) | 8,503,098 | 736,007 | 622,331 | 2,430,432 | 87,071,725 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares | 8,070,820 | 2,861 | (542,017) | 7,531,664 | — | 3,436,615 | — | 115,309,780 |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares | 2,991,615 | 104,188 | (328,493) | 2,767,310 | 109,241 | (13,573) | 952,439 | 28,143,542 |
| Columbia Variable Portfolio – Select International Equity Fund, Class 1 Shares | 3,726,518 | 72,556 | (73,399) | 3,725,675 | — | 102,657 | 972,328 | 52,606,527 |
| Columbia Variable Portfolio – Select Large-Cap Value Fund, Class 1 Shares | 8,934,000 | 5,999 | (394,255) | 8,545,744 | — | 4,268,156 | — | 186,211,755 |
| Columbia Variable Portfolio – Strategic Income Fund, Class 1 Shares | 612,912 | — | — | 612,912 | — | — | — | 2,586,490 |
| Columbia Variable Portfolio – U.S. Equities Fund, Class 1 Shares | 3,938,916 | 3,670 | (49,036) | 3,893,550 | — | 493,215 | — | 83,555,572 |
| Variable Portfolio – American Century Diversified Bond Fund, Class 1 Shares | 10,381,777 | 288,753 | (817,564) | 9,852,966 | 660,491 | 498,195 | 2,501,353 | 107,692,921 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 45 |
Portfolio of Investments (continued)
Variable Portfolio – Aggressive Portfolio, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Capital gain
distributions ($) | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Variable Portfolio – AQR Managed Futures Strategy Fund, Class 1 Shares | 1,841,633 | 11,405 | — | 1,853,038 | — | — | 84,623 | 13,656,890 |
| Variable Portfolio – CenterSquare Real Estate Fund, Class 1 Shares | 5,368,396 | 289,464 | — | 5,657,860 | 1,402,170 | — | 991,704 | 46,903,661 |
| Variable Portfolio – Columbia Wanger International Equities Fund, Class 1 Shares | 1,449,809 | 158,094 | — | 1,607,903 | 761,366 | — | 77,116 | 8,537,968 |
| Variable Portfolio – DFA International Value Fund, Class 1 Shares | 14,267,285 | 187,148 | (4,363,365) | 10,091,068 | — | (2,762,290) | 1,688,206 | 102,626,158 |
| Variable Portfolio – Eaton Vance Floating-Rate Income Fund, Class 1 Shares | 596,527 | 22,927 | — | 619,454 | — | — | 174,013 | 4,701,654 |
| Variable Portfolio – Partners Core Bond Fund, Class 1 Shares | 5,871,964 | 132,937 | (436,176) | 5,568,725 | 48,035 | 72,299 | 1,390,345 | 60,142,233 |
| Variable Portfolio – Jennison Mid Cap Growth Fund, Class 1 Shares | 1,360,282 | 2,695 | (12,290) | 1,350,687 | — | 139,429 | — | 28,675,098 |
| Variable Portfolio – Lazard International Equity Advantage Fund, Class 1 Shares | 9,235,957 | 9,059,612 | (789,290) | 17,506,279 | — | 637,115 | 1,637,005 | 193,444,382 |
| Variable Portfolio – Loomis Sayles Growth Fund, Class 1 Shares | 7,975,739 | 1,687 | (4,200,235) | 3,777,191 | — | 60,977,866 | — | 97,602,605 |
| Variable Portfolio – MFS Value Fund, Class 1 Shares | 5,902,583 | 1,607 | (331,298) | 5,572,892 | — | 4,253,018 | — | 128,956,713 |
| Variable Portfolio – MFS® Blended Research® Core Equity Fund, Class 1 Shares | 5,805,495 | 1,999 | (410,199) | 5,397,295 | — | 3,935,272 | — | 99,580,085 |
| Variable Portfolio – Morgan Stanley Advantage Fund, Class 1 Shares | 3,004,986 | 1,395,852 | (126,263) | 4,274,575 | — | 1,753,945 | — | 101,991,370 |
| Variable Portfolio – Los Angeles Capital Large Cap Growth Fund, Class 1 Shares | 2,398,235 | 2,012,843 | (628,175) | 3,782,903 | — | 6,451,950 | — | 89,427,822 |
| Variable Portfolio – Oppenheimer International Growth Fund, Class 1 Shares | 14,933,331 | 858,946 | (6,710,282) | 9,081,995 | 8,969,992 | 10,846,500 | 512,710 | 101,899,980 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares | 1,908,959 | 3,505 | (13,198) | 1,899,266 | — | 140,488 | — | 38,137,265 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 46 | Portfolio Navigator Funds | Semiannual Report 2017 |
Portfolio of Investments (continued)
Variable Portfolio – Aggressive Portfolio, June 30, 2017 (Unaudited)
Notes to Portfolio of Investments (continued)
| Issuer | Beginning
shares | Shares
purchased | Shares
sold | Ending
shares | Capital gain
distributions ($) | Realized gain
(loss) ($) | Dividends —
affiliated
issuers ($) | Value ($) |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares | 1,661,508 | 2,536 | (10,031) | 1,654,013 | — | 137,338 | — | 43,467,458 |
| Variable Portfolio – Pyramis® International Equity Fund, Class 1 Shares | 17,929,038 | 276,737 | (779,002) | 17,426,773 | — | 1,186,336 | 2,864,911 | 194,308,519 |
| Variable Portfolio – T. Rowe Price Large Cap Value Fund, Class 1 Shares | 9,626,825 | 7,526 | (496,394) | 9,137,957 | — | 5,489,199 | — | 191,074,678 |
| Variable Portfolio – TCW Core Plus Bond Fund, Class 1 Shares | 4,429,197 | 89,339 | (48,828) | 4,469,708 | 162,759 | 6,157 | 775,297 | 46,887,237 |
| Variable Portfolio – Victory Sycamore Established Value Fund, Class 1 Shares | 1,085,310 | 156 | (10,984) | 1,074,482 | — | 161,323 | — | 25,680,115 |
| Total | 263,520,499 | 63,464,064 | (70,953,155) | 256,031,408 | 12,850,061 | 110,579,475 | 20,963,668 | 2,832,416,391 |
| (b) | Non-income producing investment. |
| (c) | The rate shown is the seven-day current annualized yield at June 30, 2017. |
Currency Legend
| EUR | Euro |
| JPY | Japanese Yen |
| USD | US Dollar |
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
| • | Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments. |
| • | Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
| • | Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments). |
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Certain investments that have been measured at fair value using the net asset value (NAV) per share (or its equivalent) are not categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to reconcile the fair value hierarchy to the amounts presented in the Portfolio of Investments. The Variable Portfolios serve as investment vehicles for variable annuity contracts and variable life insurance policies. Principle investment strategies within these Variable Portfolios vary based on the Portfolios investment objective. Investments in the Variable Portfolios may be redeemed on a daily basis without restriction. The Columbia Short-Term Cash Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal. Columbia Short-Term Cash Fund prices its shares with a floating NAV and no longer seeks to maintain a stable NAV.
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 47 |
Portfolio of Investments (continued)
Variable Portfolio – Aggressive Portfolio, June 30, 2017 (Unaudited)
Fair value measurements (continued)
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
For investments categorized as Level 3, the Committee monitors information similar to that described above, which may include: (i) data specific to the issuer or comparable issuers, (ii) general market or specific sector news and (iii) quoted prices and specific or similar security transactions. The Committee considers this data and any changes from prior periods in order to assess the reasonableness of observable and unobservable inputs, any assumptions or internal models used to value those securities and changes in fair value. This data is also used to corroborate, when available, information received from approved pricing vendors and brokers. Various factors impact the frequency of monitoring this information (which may occur as often as daily). However, the Committee may determine that changes to inputs, assumptions and models are not required as a result of the monitoring procedures performed.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2017:
| | Level 1
quoted prices
in active
markets for
identical
assets ($) | Level 2
other
significant
observable
inputs ($) | Level 3
significant
unobservable
inputs ($) | Investments
measured at
net asset
value ($) | Total ($) |
| Investments | | | | | |
| Alternative Strategies Funds | — | — | — | 81,124,942 | 81,124,942 |
| Equity Funds | — | — | — | 2,337,801,603 | 2,337,801,603 |
| Exchange-Traded Funds | 16,255,077 | — | — | — | 16,255,077 |
| Fixed-Income Funds | — | — | — | 341,941,909 | 341,941,909 |
| Money Market Funds | — | — | — | 71,547,937 | 71,547,937 |
| Total Investments | 16,255,077 | — | — | 2,832,416,391 | 2,848,671,468 |
| Derivatives | | | | | |
| Asset | | | | | |
| Futures Contracts | 2,224,653 | — | — | — | 2,224,653 |
| Liability | | | | | |
| Futures Contracts | (1,023,658) | — | — | — | (1,023,658) |
| Total | 17,456,072 | — | — | 2,832,416,391 | 2,849,872,463 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
Derivative instruments are valued at unrealized appreciation (depreciation).
There were no transfers of financial assets between levels during the period.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 48 | Portfolio Navigator Funds | Semiannual Report 2017 |
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
| | Variable
Portfolio –
Conservative
Portfolio | Variable
Portfolio –
Moderately
Conservative
Portfolio | Variable
Portfolio –
Moderate
Portfolio |
| Assets | | | |
| Investments, at cost | | | |
| Affiliated issuers, at cost | $1,303,020,894 | $3,328,571,586 | $16,561,539,941 |
| Total investments, at cost | 1,303,020,894 | 3,328,571,586 | 16,561,539,941 |
| Investments, at value | | | |
| Affiliated issuers, at value | 1,321,152,183 | 3,594,380,151 | 19,270,545,370 |
| Total investments, at value | 1,321,152,183 | 3,594,380,151 | 19,270,545,370 |
| Margin deposits | 3,945,083 | 7,887,496 | 50,309,718 |
| Receivable for: | | | |
| Investments sold | 2,393,294 | 4,358,584 | 29,630,519 |
| Dividends | 32,831 | 80,787 | 290,389 |
| Variation margin for futures contracts | 106,971 | 204,951 | 1,087,042 |
| Prepaid expenses | — | 1 | 1 |
| Total assets | 1,327,630,362 | 3,606,911,970 | 19,351,863,039 |
| Liabilities | | | |
| Payable for: | | | |
| Capital shares purchased | 2,393,294 | 4,358,584 | 29,630,519 |
| Variation margin for futures contracts | 265,640 | 791,778 | 3,105,192 |
| Management services fees | 2,147 | 5,407 | 24,393 |
| Distribution and/or service fees | 9,105 | 24,727 | 132,605 |
| Transfer agent fees | 121 | 294 | 1,209 |
| Compensation of board members | 55,887 | 109,090 | 422,902 |
| Compensation of chief compliance officer | 164 | 415 | 2,119 |
| Other expenses | 28,127 | 45,394 | 152,736 |
| Total liabilities | 2,754,485 | 5,335,689 | 33,471,675 |
| Net assets applicable to outstanding capital stock | $1,324,875,877 | $3,601,576,281 | $19,318,391,364 |
| Represented by | | | |
| Trust capital | $1,324,875,877 | $3,601,576,281 | $19,318,391,364 |
| Total - representing net assets applicable to outstanding capital stock | $1,324,875,877 | $3,601,576,281 | $19,318,391,364 |
| Class 2 | | | |
| Net assets | $555,971,250 | $1,526,890,745 | $8,018,009,552 |
| Shares outstanding | 41,328,676 | 104,503,387 | 503,901,249 |
| Net asset value per share | $13.45 | $14.61 | $15.91 |
| Class 4 | | | |
| Net assets | $768,904,627 | $2,074,685,536 | $11,300,381,812 |
| Shares outstanding | 57,176,028 | 141,728,282 | 709,260,441 |
| Net asset value per share | $13.45 | $14.64 | $15.93 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 49 |
Statement of Assets and Liabilities (continued)
June 30, 2017 (Unaudited)
| | Variable
Portfolio –
Moderately
Aggressive Portfolio | Variable
Portfolio –
Aggressive
Portfolio |
| Assets | | |
| Investments, at cost | | |
| Unaffiliated issuers, at cost | $— | $14,628,597 |
| Affiliated issuers, at cost | 7,791,376,430 | 2,323,788,595 |
| Total investments, at cost | 7,791,376,430 | 2,338,417,192 |
| Investments, at value | | |
| Unaffiliated issuers, at value | — | 16,255,077 |
| Affiliated issuers, at value | 9,365,527,392 | 2,832,416,391 |
| Total investments, at value | 9,365,527,392 | 2,848,671,468 |
| Margin deposits | 31,552,547 | 11,175,529 |
| Receivable for: | | |
| Investments sold | 10,150,098 | 2,573,784 |
| Dividends | 212,898 | 56,308 |
| Variation margin for futures contracts | 823,540 | 246,820 |
| Prepaid expenses | — | 1 |
| Total assets | 9,408,266,475 | 2,862,723,910 |
| Liabilities | | |
| Payable for: | | |
| Capital shares purchased | 10,150,098 | 2,573,784 |
| Variation margin for futures contracts | 2,378,164 | 881,014 |
| Management services fees | 13,276 | 4,041 |
| Distribution and/or service fees | 64,456 | 19,607 |
| Transfer agent fees | 696 | 212 |
| Compensation of board members | 232,838 | 81,764 |
| Compensation of chief compliance officer | 1,008 | 305 |
| Other expenses | 87,059 | 38,295 |
| Total liabilities | 12,927,595 | 3,599,022 |
| Net assets applicable to outstanding capital stock | $9,395,338,880 | $2,859,124,888 |
| Represented by | | |
| Trust capital | $9,395,338,880 | $2,859,124,888 |
| Total - representing net assets applicable to outstanding capital stock | $9,395,338,880 | $2,859,124,888 |
| Class 2 | | |
| Net assets | $4,633,906,631 | $1,455,559,423 |
| Shares outstanding | 271,820,519 | 80,028,844 |
| Net asset value per share | $17.05 | $18.19 |
| Class 4 | | |
| Net assets | $4,761,432,249 | $1,403,565,465 |
| Shares outstanding | 278,866,368 | 77,047,997 |
| Net asset value per share | $17.07 | $18.22 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 50 | Portfolio Navigator Funds | Semiannual Report 2017 |
Statement of Operations
Six Months Ended June 30, 2017 (Unaudited)
| | Variable
Portfolio –
Conservative
Portfolio | Variable
Portfolio –
Moderately
Conservative
Portfolio | Variable
Portfolio –
Moderate
Portfolio |
| Net investment income | | | |
| Income: | | | |
| Dividends — affiliated issuers | $25,002,825 | $56,456,454 | $244,517,450 |
| Interest | 3,611 | 4,927 | 39,428 |
| Total income | 25,006,436 | 56,461,381 | 244,556,878 |
| Expenses: | | | |
| Management services fees | 284,854 | 739,717 | 3,389,351 |
| Distribution and/or service fees | | | |
| Class 2 | 713,967 | 1,927,461 | 9,853,319 |
| Class 4 | 1,020,414 | 2,678,324 | 14,284,175 |
| Transfer agent fees | | | |
| Class 2 | 5,160 | 13,321 | 51,045 |
| Class 4 | 7,363 | 18,501 | 73,984 |
| Compensation of board members | 18,082 | 36,642 | 157,876 |
| Custodian fees | 9,964 | 10,133 | 10,894 |
| Printing and postage fees | 13,458 | 33,228 | 162,018 |
| Audit fees | 10,154 | 10,278 | 10,278 |
| Legal fees | 8,380 | 16,998 | 75,140 |
| Compensation of chief compliance officer | 148 | 398 | 2,082 |
| Other | 12,973 | 29,071 | 136,536 |
| Total expenses | 2,104,917 | 5,514,072 | 28,206,698 |
| Net investment income | 22,901,519 | 50,947,309 | 216,350,180 |
| Realized and unrealized gain (loss) — net | | | |
| Net realized gain (loss) on: | | | |
| Investments — affiliated issuers | 11,232,260 | 48,666,057 | 383,400,694 |
| Capital gain distributions from underlying affiliated funds | 5,610,234 | 14,943,975 | 84,543,104 |
| Foreign currency translations | (54,434) | 29,110 | 141,011 |
| Futures contracts | 912,832 | 2,237,066 | (303,621) |
| Net realized gain | 17,700,892 | 65,876,208 | 467,781,188 |
| Net change in unrealized appreciation (depreciation) on: | | | |
| Investments — affiliated issuers | 11,492,150 | 66,630,696 | 577,470,230 |
| Foreign currency translations | 81,336 | 109,999 | 774,929 |
| Futures contracts | 1,770,652 | 3,111,101 | 7,023,657 |
| Net change in unrealized appreciation (depreciation) | 13,344,138 | 69,851,796 | 585,268,816 |
| Net realized and unrealized gain | 31,045,030 | 135,728,004 | 1,053,050,004 |
| Net increase in net assets resulting from operations | $53,946,549 | $186,675,313 | $1,269,400,184 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 51 |
Statement of Operations (continued)
Six Months Ended June 30, 2017 (Unaudited)
| | Variable
Portfolio –
Moderately
Aggressive Portfolio | Variable
Portfolio –
Aggressive
Portfolio |
| Net investment income | | |
| Income: | | |
| Dividends — unaffiliated issuers | $— | $264,701 |
| Dividends — affiliated issuers | 94,845,760 | 20,963,668 |
| Interest | 13,583 | 2,752 |
| Total income | 94,859,343 | 21,231,121 |
| Expenses: | | |
| Management services fees | 1,940,206 | 616,289 |
| Distribution and/or service fees | | |
| Class 2 | 5,714,568 | 1,774,850 |
| Class 4 | 6,042,617 | 1,776,275 |
| Transfer agent fees | | |
| Class 2 | 41,653 | 14,234 |
| Class 4 | 44,030 | 14,240 |
| Compensation of board members | 81,320 | 28,687 |
| Custodian fees | 10,584 | 9,947 |
| Printing and postage fees | 79,823 | 25,477 |
| Audit fees | 10,278 | 10,278 |
| Legal fees | 38,164 | 13,655 |
| Compensation of chief compliance officer | 1,030 | 311 |
| Other | 67,756 | 22,118 |
| Total expenses | 14,072,029 | 4,306,361 |
| Net investment income | 80,787,314 | 16,924,760 |
| Realized and unrealized gain (loss) — net | | |
| Net realized gain (loss) on: | | |
| Investments — affiliated issuers | 251,296,946 | 110,579,475 |
| Capital gain distributions from underlying affiliated funds | 43,704,817 | 12,850,061 |
| Foreign currency translations | (220,246) | 20,438 |
| Futures contracts | 6,113,510 | 3,801,560 |
| Net realized gain | 300,895,027 | 127,251,534 |
| Net change in unrealized appreciation (depreciation) on: | | |
| Investments — unaffiliated issuers | — | 1,862,354 |
| Investments — affiliated issuers | 333,528,952 | 102,348,489 |
| Foreign currency translations | 598,891 | 233,508 |
| Futures contracts | 6,894,169 | (130,721) |
| Net change in unrealized appreciation (depreciation) | 341,022,012 | 104,313,630 |
| Net realized and unrealized gain | 641,917,039 | 231,565,164 |
| Net increase in net assets resulting from operations | $722,704,353 | $248,489,924 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 52 | Portfolio Navigator Funds | Semiannual Report 2017 |
Statement of Changes in Net Assets
| | Variable Portfolio –
Conservative Portfolio | Variable Portfolio –
Moderately Conservative Portfolio |
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | | | |
| Net investment income | $22,901,519 | $20,468,062 | $50,947,309 | $46,181,193 |
| Net realized gain | 17,700,892 | 23,256,999 | 65,876,208 | 106,211,581 |
| Net change in unrealized appreciation (depreciation) | 13,344,138 | 7,841,690 | 69,851,796 | 901,057 |
| Net increase in net assets resulting from operations | 53,946,549 | 51,566,751 | 186,675,313 | 153,293,831 |
| Decrease in net assets from capital stock activity | (196,486,388) | (32,385,916) | (369,898,496) | (363,145,237) |
| Total increase (decrease) in net assets | (142,539,839) | 19,180,835 | (183,223,183) | (209,851,406) |
| Net assets at beginning of period | 1,467,415,716 | 1,448,234,881 | 3,784,799,464 | 3,994,650,870 |
| Net assets at end of period | $1,324,875,877 | $1,467,415,716 | $3,601,576,281 | $3,784,799,464 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 53 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
Moderate
Portfolio | Variable Portfolio –
Moderately Aggressive Portfolio |
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | | | |
| Net investment income | $216,350,180 | $190,763,395 | $80,787,314 | $75,302,953 |
| Net realized gain | 467,781,188 | 553,600,575 | 300,895,027 | 493,112,962 |
| Net change in unrealized appreciation (depreciation) | 585,268,816 | 146,364,346 | 341,022,012 | (79,118,761) |
| Net increase in net assets resulting from operations | 1,269,400,184 | 890,728,316 | 722,704,353 | 489,297,154 |
| Decrease in net assets from capital stock activity | (1,115,617,088) | (1,947,498,205) | (632,874,172) | (1,378,062,398) |
| Total increase (decrease) in net assets | 153,783,096 | (1,056,769,889) | 89,830,181 | (888,765,244) |
| Net assets at beginning of period | 19,164,608,268 | 20,221,378,157 | 9,305,508,699 | 10,194,273,943 |
| Net assets at end of period | $19,318,391,364 | $19,164,608,268 | $9,395,338,880 | $9,305,508,699 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 54 | Portfolio Navigator Funds | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
Aggressive Portfolio |
| | Six Months Ended
June 30, 2017
(Unaudited) | Year Ended
December 31, 2016 |
| Operations | | |
| Net investment income | $16,924,760 | $15,485,649 |
| Net realized gain | 127,251,534 | 148,859,772 |
| Net change in unrealized appreciation (depreciation) | 104,313,630 | (1,106,526) |
| Net increase in net assets resulting from operations | 248,489,924 | 163,238,895 |
| Decrease in net assets from capital stock activity | (175,163,651) | (404,770,405) |
| Total increase (decrease) in net assets | 73,326,273 | (241,531,510) |
| Net assets at beginning of period | 2,785,798,615 | 3,027,330,125 |
| Net assets at end of period | $2,859,124,888 | $2,785,798,615 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 55 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
Conservative Portfolio | Variable Portfolio –
Moderately Conservative Portfolio |
| | Six Months Ended | Year Ended | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 2 | | | | | | | | |
| Subscriptions | 743,708 | 9,827,280 | 7,130,125 | 91,408,274 | 562,985 | 8,111,386 | 5,191,770 | 71,621,172 |
| Redemptions | (5,301,404) | (69,957,835) | (5,832,765) | (75,336,335) | (8,897,497) | (126,876,107) | (9,591,177) | (130,856,060) |
| Net increase (decrease) | (4,557,696) | (60,130,555) | 1,297,360 | 16,071,939 | (8,334,512) | (118,764,721) | (4,399,407) | (59,234,888) |
| Class 4 | | | | | | | | |
| Subscriptions | 298,338 | 3,931,238 | 7,179,849 | 91,850,060 | 230,051 | 3,301,907 | 1,356,536 | 18,694,822 |
| Redemptions | (10,633,441) | (140,287,071) | (10,876,343) | (140,307,915) | (17,791,215) | (254,435,682) | (23,502,449) | (322,605,171) |
| Net decrease | (10,335,103) | (136,355,833) | (3,696,494) | (48,457,855) | (17,561,164) | (251,133,775) | (22,145,913) | (303,910,349) |
| Total net decrease | (14,892,799) | (196,486,388) | (2,399,134) | (32,385,916) | (25,895,676) | (369,898,496) | (26,545,320) | (363,145,237) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 56 | Portfolio Navigator Funds | Semiannual Report 2017 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
Moderate
Portfolio | Variable Portfolio –
Moderately Aggressive Portfolio |
| | Six Months Ended | Year Ended | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 2 | | | | | | | | |
| Subscriptions | 1,517,552 | 23,553,378 | 4,070,726 | 59,266,105 | 1,055,013 | 17,419,107 | 1,394,157 | 21,189,074 |
| Redemptions | (15,173,410) | (234,829,565) | (26,500,903) | (384,720,443) | (11,968,203) | (198,016,474) | (29,848,292) | (456,138,600) |
| Net decrease | (13,655,858) | (211,276,187) | (22,430,177) | (325,454,338) | (10,913,190) | (180,597,367) | (28,454,135) | (434,949,526) |
| Class 4 | | | | | | | | |
| Subscriptions | 214,054 | 3,339,060 | 392,841 | 5,723,807 | 214,843 | 3,517,915 | 349,457 | 5,418,154 |
| Redemptions | (58,506,155) | (907,679,961) | (111,613,595) | (1,627,767,674) | (27,517,263) | (455,794,720) | (61,973,294) | (948,531,026) |
| Net decrease | (58,292,101) | (904,340,901) | (111,220,754) | (1,622,043,867) | (27,302,420) | (452,276,805) | (61,623,837) | (943,112,872) |
| Total net decrease | (71,947,959) | (1,115,617,088) | (133,650,931) | (1,947,498,205) | (38,215,610) | (632,874,172) | (90,077,972) | (1,378,062,398) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2017
| 57 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
Aggressive Portfolio |
| | Six Months Ended | Year Ended |
| | June 30, 2017 (Unaudited) | December 31, 2016 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 2 | | | | |
| Subscriptions | 1,210,114 | 21,306,708 | 1,506,038 | 23,823,365 |
| Redemptions | (3,461,028) | (60,704,582) | (9,454,315) | (151,152,408) |
| Net decrease | (2,250,914) | (39,397,874) | (7,948,277) | (127,329,043) |
| Class 4 | | | | |
| Subscriptions | 173,740 | 3,015,196 | 392,025 | 6,302,658 |
| Redemptions | (7,879,537) | (138,780,973) | (17,755,623) | (283,744,020) |
| Net decrease | (7,705,797) | (135,765,777) | (17,363,598) | (277,441,362) |
| Total net decrease | (9,956,711) | (175,163,651) | (25,311,875) | (404,770,405) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 58 | Portfolio Navigator Funds | Semiannual Report 2017 |
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Portfolio Navigator Funds | Semiannual Report 2017
| 59 |
Financial Highlights
Variable Portfolio – Conservative Portfolio
The following tables are intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect any fees and expenses imposed under your Contract and/or Qualified Plan, as applicable; such fees and expenses would reduce the total returns for all periods shown. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 2 |
| 6/30/2017 (c) | $12.94 | 0.22 | 0.29 | 0.51 |
| 12/31/2016 | $12.51 | 0.17 | 0.26 | 0.43 |
| 12/31/2015 | $12.53 | 0.17 | (0.19) | (0.02) |
| 12/31/2014 | $12.02 | 0.12 | 0.39 | 0.51 |
| 12/31/2013 | $11.65 | 0.16 | 0.21 | 0.37 |
| 12/31/2012 | $10.86 | 0.22 | 0.57 | 0.79 |
| Class 4 |
| 6/30/2017 (c) | $12.94 | 0.21 | 0.30 | 0.51 |
| 12/31/2016 | $12.51 | 0.17 | 0.26 | 0.43 |
| 12/31/2015 | $12.53 | 0.17 | (0.19) | (0.02) |
| 12/31/2014 | $12.01 | 0.12 | 0.40 | 0.52 |
| 12/31/2013 | $11.65 | 0.16 | 0.20 | 0.36 |
| 12/31/2012 | $10.86 | 0.22 | 0.57 | 0.79 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of the underlying funds in which the Fund invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 60 | Portfolio Navigator Funds | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $13.45 | 3.94% | 0.30% (d) | 0.30% (d) | 3.37% (d) | 4% | $555,971 |
| $12.94 | 3.44% | 0.30% | 0.30% | 1.34% | 14% | $593,909 |
| $12.51 | (0.16%) | 0.28% | 0.28% | 1.35% | 27% | $557,777 |
| $12.53 | 4.24% | 0.28% | 0.28% | 0.93% | 20% | $623,543 |
| $12.02 | 3.18% | 0.28% | 0.28% | 1.32% | 34% | $787,736 |
| $11.65 | 7.27% | 0.27% | 0.27% | 1.92% | 10% | $1,113,897 |
| |
| $13.45 | 3.94% | 0.30% (d) | 0.30% (d) | 3.25% (d) | 4% | $768,905 |
| $12.94 | 3.44% | 0.30% | 0.30% | 1.35% | 14% | $873,507 |
| $12.51 | (0.16%) | 0.28% | 0.28% | 1.35% | 27% | $890,458 |
| $12.53 | 4.33% | 0.28% | 0.28% | 0.94% | 20% | $1,057,953 |
| $12.01 | 3.09% | 0.28% | 0.28% | 1.33% | 34% | $1,470,726 |
| $11.65 | 7.27% | 0.27% | 0.27% | 1.89% | 10% | $2,407,365 |
Portfolio Navigator Funds | Semiannual Report 2017
| 61 |
Financial Highlights
Variable Portfolio – Moderately Conservative Portfolio
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 2 |
| 6/30/2017 (c) | $13.89 | 0.20 | 0.52 | 0.72 |
| 12/31/2016 | $13.36 | 0.16 | 0.37 | 0.53 |
| 12/31/2015 | $13.39 | 0.17 | (0.20) | (0.03) |
| 12/31/2014 | $12.78 | 0.11 | 0.50 | 0.61 |
| 12/31/2013 | $11.93 | 0.15 | 0.70 | 0.85 |
| 12/31/2012 | $10.97 | 0.19 | 0.77 | 0.96 |
| Class 4 |
| 6/30/2017 (c) | $13.92 | 0.20 | 0.52 | 0.72 |
| 12/31/2016 | $13.38 | 0.16 | 0.38 | 0.54 |
| 12/31/2015 | $13.42 | 0.17 | (0.21) | (0.04) |
| 12/31/2014 | $12.81 | 0.11 | 0.50 | 0.61 |
| 12/31/2013 | $11.96 | 0.15 | 0.70 | 0.85 |
| 12/31/2012 | $10.99 | 0.19 | 0.78 | 0.97 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of the underlying funds in which the Fund invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 62 | Portfolio Navigator Funds | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $14.61 | 5.18% | 0.30% (d) | 0.30% (d) | 2.80% (d) | 3% | $1,526,891 |
| $13.89 | 3.97% | 0.30% | 0.30% | 1.18% | 8% | $1,567,642 |
| $13.36 | (0.22%) | 0.28% | 0.28% | 1.25% | 22% | $1,566,214 |
| $13.39 | 4.77% | 0.28% | 0.28% | 0.87% | 10% | $1,730,584 |
| $12.78 | 7.12% | 0.27% | 0.27% | 1.24% | 23% | $1,968,131 |
| $11.93 | 8.75% | 0.27% | 0.27% | 1.65% | 8% | $2,256,492 |
| |
| $14.64 | 5.17% | 0.30% (d) | 0.30% (d) | 2.74% (d) | 3% | $2,074,686 |
| $13.92 | 4.04% | 0.30% | 0.30% | 1.18% | 8% | $2,217,158 |
| $13.38 | (0.30%) | 0.28% | 0.28% | 1.25% | 22% | $2,428,436 |
| $13.42 | 4.76% | 0.28% | 0.28% | 0.86% | 10% | $2,906,985 |
| $12.81 | 7.11% | 0.27% | 0.27% | 1.24% | 23% | $3,570,296 |
| $11.96 | 8.83% | 0.27% | 0.26% | 1.64% | 8% | $4,401,488 |
Portfolio Navigator Funds | Semiannual Report 2017
| 63 |
Financial Highlights
Variable Portfolio – Moderate Portfolio
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 2 |
| 6/30/2017 (c) | $14.90 | 0.18 | 0.83 | 1.01 |
| 12/31/2016 | $14.24 | 0.14 | 0.52 | 0.66 |
| 12/31/2015 | $14.32 | 0.16 | (0.24) | (0.08) |
| 12/31/2014 | $13.63 | 0.11 | 0.58 | 0.69 |
| 12/31/2013 | $12.24 | 0.16 | 1.23 | 1.39 |
| 12/31/2012 | $11.04 | 0.18 | 1.02 | 1.20 |
| Class 4 |
| 6/30/2017 (c) | $14.92 | 0.17 | 0.84 | 1.01 |
| 12/31/2016 | $14.26 | 0.14 | 0.52 | 0.66 |
| 12/31/2015 | $14.34 | 0.16 | (0.24) | (0.08) |
| 12/31/2014 | $13.65 | 0.11 | 0.58 | 0.69 |
| 12/31/2013 | $12.25 | 0.16 | 1.24 | 1.40 |
| 12/31/2012 | $11.05 | 0.17 | 1.03 | 1.20 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of the underlying funds in which the Fund invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 64 | Portfolio Navigator Funds | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $15.91 | 6.78% | 0.29% (d) | 0.29% (d) | 2.28% (d) | 4% | $8,018,010 |
| $14.90 | 4.64% | 0.29% | 0.29% | 0.97% | 6% | $7,712,231 |
| $14.24 | (0.56%) | 0.28% | 0.28% | 1.13% | 23% | $7,690,136 |
| $14.32 | 5.06% | 0.27% | 0.27% | 0.76% | 8% | $8,060,457 |
| $13.63 | 11.36% | 0.27% | 0.27% | 1.24% | 23% | $8,081,681 |
| $12.24 | 10.87% | 0.27% | 0.27% | 1.50% | 12% | $7,058,383 |
| |
| $15.93 | 6.77% | 0.29% (d) | 0.29% (d) | 2.21% (d) | 4% | $11,300,382 |
| $14.92 | 4.63% | 0.29% | 0.29% | 0.97% | 6% | $11,452,377 |
| $14.26 | (0.56%) | 0.28% | 0.28% | 1.13% | 23% | $12,531,242 |
| $14.34 | 5.05% | 0.27% | 0.27% | 0.76% | 8% | $14,089,178 |
| $13.65 | 11.43% | 0.27% | 0.27% | 1.24% | 23% | $15,354,056 |
| $12.25 | 10.86% | 0.27% | 0.25% | 1.48% | 12% | $14,632,327 |
Portfolio Navigator Funds | Semiannual Report 2017
| 65 |
Financial Highlights
Variable Portfolio – Moderately Aggressive Portfolio
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 2 |
| 6/30/2017 (c) | $15.79 | 0.14 | 1.12 | 1.26 |
| 12/31/2016 | $15.00 | 0.12 | 0.67 | 0.79 |
| 12/31/2015 | $15.11 | 0.14 | (0.25) | (0.11) |
| 12/31/2014 | $14.37 | 0.09 | 0.65 | 0.74 |
| 12/31/2013 | $12.38 | 0.14 | 1.85 | 1.99 |
| 12/31/2012 | $11.03 | 0.13 | 1.22 | 1.35 |
| Class 4 |
| 6/30/2017 (c) | $15.81 | 0.14 | 1.12 | 1.26 |
| 12/31/2016 | $15.02 | 0.12 | 0.67 | 0.79 |
| 12/31/2015 | $15.14 | 0.14 | (0.26) | (0.12) |
| 12/31/2014 | $14.39 | 0.09 | 0.66 | 0.75 |
| 12/31/2013 | $12.40 | 0.14 | 1.85 | 1.99 |
| 12/31/2012 | $11.05 | 0.13 | 1.22 | 1.35 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of the underlying funds in which the Fund invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 66 | Portfolio Navigator Funds | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $17.05 | 7.98% | 0.30% (d) | 0.30% (d) | 1.74% (d) | 5% | $4,633,907 |
| $15.79 | 5.27% | 0.30% | 0.30% | 0.78% | 9% | $4,463,979 |
| $15.00 | (0.73%) | 0.28% | 0.28% | 0.89% | 24% | $4,668,252 |
| $15.11 | 5.15% | 0.27% | 0.27% | 0.62% | 7% | $4,911,469 |
| $14.37 | 16.07% | 0.27% | 0.27% | 1.03% | 19% | $5,027,271 |
| $12.38 | 12.24% | 0.27% | 0.27% | 1.06% | 13% | $3,989,411 |
| |
| $17.07 | 7.97% | 0.30% (d) | 0.30% (d) | 1.69% (d) | 5% | $4,761,432 |
| $15.81 | 5.26% | 0.30% | 0.30% | 0.78% | 9% | $4,841,529 |
| $15.02 | (0.79%) | 0.28% | 0.28% | 0.88% | 24% | $5,526,022 |
| $15.14 | 5.21% | 0.27% | 0.27% | 0.61% | 7% | $6,352,004 |
| $14.39 | 16.05% | 0.27% | 0.27% | 1.05% | 19% | $8,457,620 |
| $12.40 | 12.22% | 0.27% | 0.25% | 1.05% | 13% | $8,377,366 |
Portfolio Navigator Funds | Semiannual Report 2017
| 67 |
Financial Highlights
Variable Portfolio – Aggressive Portfolio
| Year ended (except as noted) | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 2 |
| 6/30/2017 (c) | $16.66 | 0.11 | 1.42 | 1.53 |
| 12/31/2016 | $15.73 | 0.09 | 0.84 | 0.93 |
| 12/31/2015 | $15.85 | 0.10 | (0.22) | (0.12) |
| 12/31/2014 | $15.02 | 0.07 | 0.76 | 0.83 |
| 12/31/2013 | $12.44 | 0.10 | 2.48 | 2.58 |
| 12/31/2012 | $10.94 | 0.08 | 1.42 | 1.50 |
| Class 4 |
| 6/30/2017 (c) | $16.69 | 0.10 | 1.43 | 1.53 |
| 12/31/2016 | $15.75 | 0.09 | 0.85 | 0.94 |
| 12/31/2015 | $15.87 | 0.10 | (0.22) | (0.12) |
| 12/31/2014 | $15.04 | 0.07 | 0.76 | 0.83 |
| 12/31/2013 | $12.46 | 0.10 | 2.48 | 2.58 |
| 12/31/2012 | $10.96 | 0.08 | 1.42 | 1.50 |
| Notes to Financial Highlights |
| (a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of the underlying funds in which the Fund invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
| (b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
| (c) | For the six months ended June 30, 2017 (unaudited). |
| (d) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 68 | Portfolio Navigator Funds | Semiannual Report 2017 |
Net
asset
value,
end of
period | Total
return | Total gross
expense
ratio to
average
net assets(a) | Total net
expense
ratio to
average
net assets(a),(b) | Net investment
income
ratio to
average
net assets | Portfolio
turnover | Net
assets,
end of
period
(000’s) |
| |
| $18.19 | 9.18% | 0.30% (d) | 0.30% (d) | 1.21% (d) | 8% | $1,455,559 |
| $16.66 | 5.91% | 0.30% | 0.30% | 0.54% | 8% | $1,371,164 |
| $15.73 | (0.76%) | 0.28% | 0.28% | 0.62% | 26% | $1,418,902 |
| $15.85 | 5.53% | 0.28% | 0.28% | 0.43% | 10% | $1,439,472 |
| $15.02 | 20.74% | 0.28% | 0.28% | 0.72% | 27% | $1,404,526 |
| $12.44 | 13.71% | 0.27% | 0.27% | 0.65% | 12% | $997,395 |
| |
| $18.22 | 9.17% | 0.30% (d) | 0.30% (d) | 1.17% (d) | 8% | $1,403,565 |
| $16.69 | 5.97% | 0.30% | 0.30% | 0.54% | 8% | $1,414,635 |
| $15.75 | (0.76%) | 0.28% | 0.28% | 0.61% | 26% | $1,608,428 |
| $15.87 | 5.52% | 0.28% | 0.28% | 0.43% | 10% | $1,823,465 |
| $15.04 | 20.71% | 0.28% | 0.28% | 0.72% | 27% | $2,377,267 |
| $12.46 | 13.69% | 0.27% | 0.24% | 0.66% | 12% | $2,169,995 |
Portfolio Navigator Funds | Semiannual Report 2017
| 69 |
Notes to Financial Statements
June 30, 2017 (Unaudited)
Note 1. Organization
Columbia Funds Variable Series Trust II (the Trust) is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Information presented in these financial statements pertains to the following series of the Trust (each, a Fund and collectively, the Funds): Variable Portfolio – Conservative Portfolio; Variable Portfolio – Moderately Conservative Portfolio; Variable Portfolio – Moderate Portfolio; Variable Portfolio – Moderately Aggressive Portfolio and Variable Portfolio – Aggressive Portfolio.
Each Fund is a "fund-of-funds", investing significantly in affiliated funds managed by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), or third-party advised (unaffiliated) funds, including exchange-traded funds (collectively, Underlying Funds).
*For information on the Underlying Funds, please refer to each Fund’s current prospectus and the prospectuses of the Underlying Funds, which are available, free of charge, from the Securities and Exchange Commission website, www.sec.gov.
Fund shares
The Trust may issue an unlimited number of shares (without par value). Each Fund offers Class 2 and Class 4 shares. Class 2 shares are offered to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated life insurance companies, RiverSource Life Insurance Company and RiverSource Life Insurance Co. of New York (Participating Insurance Companies). Class 4 shares are offered to participants in the Portfolio Navigator program, and to owners of other series of annuity contracts or life insurance policies issued by Participating Insurance Companies. You may not buy (nor will you own) shares of the Funds directly. You invest by buying a Contract and making all allocations to the subaccounts that invest in each Fund. Although all share classes generally have identical voting, dividend and liquidation rights, each share class votes separately when required by the Trust’s organizational documents or by law. Each share class has its own expense structure.
Note 2. Summary of significant accounting policies
Basis of preparation
Each Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements.
Security valuation
All equity securities and exchange-traded funds are valued at the close of business of the New York Stock Exchange. Equity securities and exchange-traded funds are valued at the last quoted sales price on the principal exchange or market on which they trade, except for securities traded on the NASDAQ Stock Market, which are valued at the NASDAQ official close price. Unlisted securities or listed securities for which there were no sales during the day are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets.
Investments in the Underlying Funds are valued at the net asset value of the applicable class of the Underlying Fund determined as of the close of the New York Stock Exchange on the valuation date.
Futures and options on futures contracts are valued based upon the settlement price at the close of regular trading on their principal exchanges or, in the absence of transactions, at the mean of the latest quoted bid and ask prices.
| 70 | Portfolio Navigator Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Funds’ Portfolio of Investments.
Derivative instruments
Each Fund invests in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract; therefore, additional counterparty credit risk is failure of the clearinghouse or CCP. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives contract counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract specific for over-the-counter derivatives. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Portfolio Navigator Funds | Semiannual Report 2017
| 71 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In addition to considering counterparty credit risk, the Fund would consider terminating the derivatives contracts based on whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to produce incremental earnings, to manage the duration and yield curve exposure of the Fund versus the benchmark, to manage exposure to movements in interest rates, to manage exposure to the securities market and to maintain appropriate equity market exposure while keeping sufficient cash to accommodate daily redemptions. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Funds, including: the fair value of derivatives by risk category and the location of those fair values in the Statements of Assets and Liabilities; and the impact of derivative transactions over the period in the Statements of Operations, including realized gains or losses and unrealized gains or losses. The derivative schedules following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
Variable Portfolio – Conservative Portfolio
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 87,396 |
| Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 1,093,467 |
| Total | | 1,180,863 |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital - unrealized depreciation on futures | 215,749 |
| 72 | Portfolio Navigator Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | | | | | | Futures
contracts
($) |
| Equity risk | | | | | | 781,496 |
| Interest rate risk | | | | | | 131,336 |
| Total | | | | | | 912,832 |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | | | | | | Futures
contracts
($) |
| Equity risk | | | | | | 361,089 |
| Interest rate risk | | | | | | 1,409,563 |
| Total | | | | | | 1,770,652 |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($) |
| Futures contracts — long | 66,894,503 |
| Futures contracts — short | 33,050,347 |
Variable Portfolio – Moderately Conservative Portfolio
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 536,373 |
| Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 2,540,113 |
| Total | | 3,076,486 |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital - unrealized depreciation on futures | 52,540 |
Portfolio Navigator Funds | Semiannual Report 2017
| 73 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | | | | | | Futures
contracts
($) |
| Equity risk | | | | | | 2,038,398 |
| Interest rate risk | | | | | | 198,668 |
| Total | | | | | | 2,237,066 |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | | | | | | Futures
contracts
($) |
| Equity risk | | | | | | (130,608) |
| Interest rate risk | | | | | | 3,241,709 |
| Total | | | | | | 3,111,101 |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($) |
| Futures contracts — long | 135,189,953 |
| Futures contracts — short | 82,766,848 |
Variable Portfolio – Moderate Portfolio
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 3,344,451 |
| Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 8,940,034 |
| Total | | 12,284,485 |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital - unrealized depreciation on futures | 451,969 |
| 74 | Portfolio Navigator Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | | | | | | Futures
contracts
($) |
| Equity risk | | | | | | (2,707,421) |
| Interest rate risk | | | | | | 2,403,800 |
| Total | | | | | | (303,621) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | | | | | | Futures
contracts
($) |
| Equity risk | | | | | | (4,421,756) |
| Interest rate risk | | | | | | 11,445,413 |
| Total | | | | | | 7,023,657 |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($) |
| Futures contracts — long | 540,552,807 |
| Futures contracts — short | 613,121,621 |
Variable Portfolio – Moderately Aggressive Portfolio
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 2,437,100 |
| Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 6,061,473 |
| Total | | 8,498,573 |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital - unrealized depreciation on futures | 1,491,290 |
Portfolio Navigator Funds | Semiannual Report 2017
| 75 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | | | | | | Futures
contracts
($) |
| Equity risk | | | | | | 4,335,416 |
| Interest rate risk | | | | | | 1,778,094 |
| Total | | | | | | 6,113,510 |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | | | | | | Futures
contracts
($) |
| Equity risk | | | | | | (1,036,286) |
| Interest rate risk | | | | | | 7,930,455 |
| Total | | | | | | 6,894,169 |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($) |
| Futures contracts — long | 383,544,851 |
| Futures contracts — short | 319,983,335 |
Variable Portfolio – Aggressive Portfolio
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2017:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 834,358 |
| Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 1,390,295 |
| Total | | 2,224,653 |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital - unrealized depreciation on futures | 1,023,658 |
| 76 | Portfolio Navigator Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2017:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | | | | | | Futures
contracts
($) |
| Equity risk | | | | | | 3,380,920 |
| Interest rate risk | | | | | | 420,640 |
| Total | | | | | | 3,801,560 |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | | | | | | Futures
contracts
($) |
| Equity risk | | | | | | (1,994,591) |
| Interest rate risk | | | | | | 1,863,870 |
| Total | | | | | | (130,721) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2017:
| Derivative instrument | Average notional
amounts ($) |
| Futures contracts — long | 127,910,317 |
| Futures contracts — short | 105,909,336 |
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Income and capital gain distributions from the Underlying Funds, if any, are recorded on the ex-dividend date.
Expenses
General expenses of the Trust are allocated to the Funds and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to a Fund are charged to that Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Determination of class net asset value
All income, expenses (other than class-specific expenses which are charged directly to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of a Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
Each Fund is treated as a partnership for federal income tax purposes, and the Funds do not expect to make regular distributions. The Funds will not be subject to federal income tax, and therefore, there is no provision for federal income taxes. The partners of each Fund are subject to tax on their distributive share of the Fund’s income and loss. The components of each Fund’s net assets are reported at the partner-level for federal income tax purposes, and therefore, are not presented in the Statement of Assets and Liabilities.
Portfolio Navigator Funds | Semiannual Report 2017
| 77 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Management of the Funds has concluded that there are no significant uncertain tax positions in the Funds that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Funds’ contracts with their service providers contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Funds cannot be determined, and the Funds have no historical basis for predicting the likelihood of any such claims.
Investment company reporting modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize reporting and disclosure of information by registered investment companies. The amendments to Regulation S-X will require standardized, enhanced disclosure about derivatives in investment company financial statements, and will also change the rules governing the form and content of such financial statements. The amendments to Regulation S-X take effect on August 1, 2017. At this time, management is assessing the anticipated impact of these regulatory developments.
Note 3. Fees and other transactions with affiliates
Management services fees and underlying fund fees
Each Fund entered into a Management Agreement with the Investment Manager. Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The management services fee is an annual fee that is a blend of (i) 0.02% on assets invested in underlying funds, (including exchange-traded funds and closed-end funds) that pay a management fee (or advisory fee, as applicable) to the Investment Manager, and (ii) a fee that declines from 0.72% to 0.52%, depending on asset levels, on assets invested in securities, (other than affiliated underlying funds (including exchange-traded funds and closed end funds) that pay a management fee to the Investment Manager), including other funds advised by the Investment Manager that do not pay a management fee, third party funds, derivatives and individual securities.
The annualized effective management services fee rates based on each Fund’s average daily net assets for the six months ended June 30, 2017 were as follows:
| Fund | Effective management services fee rate (%) |
| Variable Portfolio – Conservative Portfolio | 0.04 |
| Variable Portfolio – Moderately Conservative Portfolio | 0.04 |
| Variable Portfolio – Moderate Portfolio | 0.04 |
| Variable Portfolio – Moderately Aggressive Portfolio | 0.04 |
| Variable Portfolio – Aggressive Portfolio | 0.04 |
In addition to the fees and expenses which the Funds bear directly, the Funds indirectly bear a pro rata share of the fees and expenses of the Underlying Funds in which the Funds invest. Because the Underlying Funds have varied expense and fee levels and the Funds may own different proportions of Underlying Funds at different times, the amount of fees and expenses incurred indirectly by the Funds will vary. These expenses are not reflected in the expenses shown in Statement of Operations and are not included in the ratios to average net assets shown in the Financial Highlights.
| 78 | Portfolio Navigator Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Other expenses
Other expenses are for, among other things, miscellaneous expenses of the Funds or the Board of Trustees, including payments to Board Services Corp., a company that prior to March 16, 2017 provided limited administrative services to the Funds and the Board of Trustees. That company’s expenses include boardroom and office expense, employee compensation, employee health and retirement benefits, and certain other expenses.
Compensation of board members
Members of the Board of Trustees, who are not officers or employees of the Investment Manager or Ameriprise Financial, are compensated for their services to the Funds as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. Each Fund’s liability for these amounts is adjusted for market value changes and remains in the Funds until distributed in accordance with the Plan. All amounts payable under the Plan constitute a general unsecured obligation of the Funds.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. A portion of the Chief Compliance Officer’s total compensation is allocated to the Funds, along with other affiliated funds governed by the Board of Trustees, based on relative net assets. The total amount allocated to all affiliated funds governed by the Board of Trustees will not exceed $40,000 annually.
Service fees
Effective July 1, 2017, each Fund has a Shareholder Services Agreement with Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial. Under this agreement, each Fund bears a service fee paid to Participating Insurance Companies and other financial intermediaries up to a cap approved by the Board of Trustees from time to time.
The Transfer Agent may retain as compensation for its services revenues for fees for wire, telephone and redemption orders, account transcripts due the Transfer Agent from Fund shareholders and interest (net of bank charges) earned with respect to balances in accounts the Transfer Agent maintains in connection with its services to each Fund.
Transfer agency fees
Prior to July 1, 2017, the Funds had a Transfer and Dividend Disbursing Agent Agreement with the Transfer Agent. The annual fee rate under this agreement was 0.00% on assets invested in Underlying Funds that paid a transfer agency fee to the Transfer Agent and 0.06% of each Fund’s average daily net assets on assets invested in securities (other than Underlying Funds that paid a transfer agency fee to the Transfer Agent), including other funds that did not pay a transfer agency fee to the Transfer Agent, exchange-traded funds, derivatives and individual securities. Effective July 1, 2017, each Fund no longer pays a transfer agency fee.
For the six months ended June 30, 2017, each Fund’s annualized effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
| Fund | Class 2 (%) | Class 4 (%) |
| Variable Portfolio – Conservative Portfolio | 0.00* | 0.00* |
| Variable Portfolio – Moderately Conservative Portfolio | 0.00* | 0.00* |
| Variable Portfolio – Moderate Portfolio | 0.00* | 0.00* |
| Variable Portfolio – Moderately Aggressive Portfolio | 0.00* | 0.00* |
| Variable Portfolio – Aggressive Portfolio | 0.00* | 0.00* |
| * rounds to zero. | | |
Portfolio Navigator Funds | Semiannual Report 2017
| 79 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Distribution fees
The Funds have an agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution services. Under a Plan and Agreement of Distribution, each Fund pays a fee at an annual rate of up to 0.25% of each Fund’s average daily net assets attributable to Class 2 and Class 4 shares.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that each Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the annual rates of:
| | May 1, 2017 through April 30, 2018 | Prior to May 1, 2017 |
| | Class 2
(%) | Class 4
(%) | Class 2
(%) | Class 4
(%) |
| Variable Portfolio - Conservative Portfolio | 0.36 | 0.36 | 0.43 | 0.43 |
| Variable Portfolio - Moderately Conservative Portfolio | 0.43 | 0.43 | 0.43 | 0.43 |
| Variable Portfolio - Moderate Portfolio | 0.44 | 0.44 | 0.39 | 0.39 |
| Variable Portfolio - Moderately Aggressive Portfolio | 0.37 | 0.37 | 0.37 | 0.37 |
| Variable Portfolio - Aggressive Portfolio | 0.42 | 0.42 | 0.37 | 0.37 |
Variable Portfolio - Moderately Conservative Portfolio and Variable Portfolio - Moderately Aggressive Portfolio had a voluntary expense reimbursement arrangement from May 1, 2017 to June 30, 2017. The annual limitation rates were the same under the voluntary expense reimbursement arrangement, which changed to a contractual arrangement on July 1, 2017 through April 30, 2018.
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend and interest expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Portfolio information
For the six months ended June 30, 2017, the cost of purchases and proceeds from sales of investments in the Underlying Funds, but excluding investments in money market funds and derivatives, if any, for each Fund aggregated to:
| | Purchases
($) | Proceeds
from sales
($) |
| Variable Portfolio – Conservative Portfolio | 49,111,828 | 231,968,426 |
| Variable Portfolio – Moderately Conservative Portfolio | 101,621,218 | 406,019,945 |
| Variable Portfolio – Moderate Portfolio | 759,555,814 | 1,575,724,711 |
| Variable Portfolio – Moderately Aggressive Portfolio | 452,617,099 | 962,031,165 |
| Variable Portfolio – Aggressive Portfolio | 208,295,758 | 354,224,041 |
The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
| 80 | Portfolio Navigator Funds | Semiannual Report 2017 |
Notes to Financial Statements (continued)
June 30, 2017 (Unaudited)
Note 5. Line of credit
Each Fund has access to a revolving credit facility with a syndicate of banks led by Citibank, N.A., HSBC Bank USA, N.A. and JPMorgan Chase Bank, N.A. whereby the Funds may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. The credit facility, which is a collective agreement between the Funds and certain other funds managed by the Investment Manager, severally and not jointly, permits collective borrowings up to $1 billion. Interest is charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the overnight federal funds rate plus 1.00% or (ii) the one-month LIBOR rate plus 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. Each Fund also pays a commitment fee equal to its pro rata share of the amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations.
No Fund had borrowings during the six months ended June 30, 2017.
Note 6. Significant risks
Shareholder concentration risk
At June 30, 2017, the Investment Manager and affiliates owned 100% of Class 2 and Class 4 shares for each Fund. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Funds. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid or more liquid positions, resulting in Fund losses and the Fund holding a higher percentage of less liquid or illiquid securities. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 7. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 8. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates have historically been involved in a number of legal, arbitration and regulatory proceedings, including routine litigation, class actions, and governmental actions, concerning matters arising in connection with the conduct of their business activities. Ameriprise Financial believes that the Funds are not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Funds. Further, although we believe proceedings are not likely to have a material adverse effect on the Funds or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Funds, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial.
Portfolio Navigator Funds | Semiannual Report 2017
| 81 |
Approval of Management Agreement
Columbia Management Investment Advisers, LLC (Columbia Threadneedle or the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial), serves as the investment manager to Variable Portfolio-Aggressive Portfolio, Variable Portfolio-Conservative Portfolio, Variable Portfolio-Moderately Aggressive Portfolio, Variable Portfolio-Moderately Conservative Portfolio and Variable Portfolio-Moderate Portfolio (each, a VP Fund and collectively, the VP Funds). Under a management agreement with respect to each VP Fund (each, a Management Agreement), Columbia Threadneedle provides investment advice and other services to each VP Fund and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Funds).
On an annual basis, the Fund’s Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreement. Columbia Threadneedle prepared detailed reports for the Board and its Contracts Committee in February, March, April and June 2017, including reports providing the results of analyses performed by an independent organization, Broadridge Financial Solutions, Inc. (Broadridge), and a comprehensive response to items of information requested by independent legal counsel to the Independent Trustees (Independent Legal Counsel) in a letter to the Investment Manager, to assist the Board in making this determination. Many of the materials presented at these meetings were first supplied in draft form to designated independent Board representatives, i.e., Independent Legal Counsel, Fund Counsel, the Chair of the Board and the Chair of the Contracts Committee, and the final materials were revised to include information reflective of discussion and subsequent requests made by the Contracts Committee. In addition, throughout the year, the Board (or its committees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by Columbia Threadneedle addressing the services Columbia Threadneedle provides and Fund performance. The Board also accords appropriate weight to the work, deliberations and conclusions of the various committees, such as the Contracts Committee, the Investment Review Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 19-21, 2017 in-person Board meeting (the June Meeting), considered the renewal of each Management Agreement for an additional one-year term. At the June Meeting, Independent Legal Counsel reviewed with the Independent Trustees various factors relevant to the Board’s consideration of management agreements and the Board’s legal responsibilities related to such consideration. Following an analysis and discussion of the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of each Management Agreement.
Nature, extent and quality of services provided by Columbia Threadneedle
The Board analyzed various reports and presentations it had received detailing the services performed by Columbia Threadneedle, as well as their history, reputation, expertise, resources and capabilities, and the qualifications of their personnel.
The Board specifically considered many developments during the past year concerning the services provided by Columbia Threadneedle, including, in particular, the relatively recent change in the leadership of equity department oversight, and the various technological enhancements that had been made or are anticipated. The Board further observed the enhancements to the investment risk management department’s processes. The Board also took into account the broad scope of services provided by Columbia Threadneedle to each Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning Columbia Threadneedle’s ability to attract and retain key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel.
In connection with the Board’s evaluation of the overall package of services provided by Columbia Threadneedle, the Board also considered the nature, quality and range of administrative services provided to the Funds by Columbia Threadneedle, as well as the achievements in 2016 in the performance of administrative services, and noted the various enhancements anticipated for 2017. In evaluating the quality of services provided under each Management Agreement, the Board also took into account the organization and strength of each VP Fund and each VP Fund’s service providers’ compliance programs. In addition, the Board reviewed the financial condition of Columbia Threadneedle and its affiliates and each entity’s ability to carry out its responsibilities under each Management Agreement and each VP Fund’s other service agreements with affiliates of Ameriprise Financial, observing the financial strength of Ameriprise Financial, with its solid balance sheet.
| 82 | Portfolio Navigator Funds | Semiannual Report 2017 |
Approval of Management Agreement (continued)
The Board also discussed the acceptability of the terms of each Management Agreement (including the relatively broad scope of services required to be performed by Columbia Threadneedle), noting that no material changes are proposed from the form of agreement previously approved. They also noted the wide array of legal and compliance services provided to the VP Funds. It was also observed that the services being performed under each Management Agreement were of a reasonably high quality.
Based on the foregoing, and based on other information received (both oral and written, including the information on investment performance referenced below) and other considerations, the Board concluded that Columbia Threadneedle and its affiliates are in a position to continue to provide a high quality and level of services to each VP Fund.
Investment performance
For purposes of evaluating the nature, extent and quality of services provided under each Management Agreement, the Board carefully reviewed the investment performance of each VP Fund. In this regard, the Board considered detailed reports providing the results of analyses performed by an independent organization showing, for various periods, the performance of each VP Fund, the performance of a benchmark index, the percentage ranking of each VP Fund among its comparison group and the net assets of each VP Fund. The Board observed the VP Funds’ underperformance for certain periods (except with respect to Variable Portfolio-Aggressive Portfolio and Variable Portfolio-Moderately Conservative Portfolio which performance was understandable in light of the particular management style involved and the particular market environment), noting appropriate steps, (such as changes to the management team and changes to the benchmark) had been taken to help improve each VP Fund’s performance.
Comparative fees, costs of services provided and the profits realized by Columbia Threadneedle and its affiliates from their relationships with the Fund
The Board reviewed comparative fees and the costs of services provided under each Management Agreement. The Board members considered detailed comparative information set forth in an annual report on fees and expenses, including, among other things, data (based on analyses conducted by an independent organization) showing a comparison of each VP Fund’s expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Fund’s contribution to Columbia Threadneedle’s profitability.
The Board considered the reports of its independent fee consultant, JDL Consultants, LLC (JDL), which assisted in the Board’s analysis of the Funds’ performance and expenses, the reasonableness of the Funds’ fee rates, the reasonableness of Columbia Threadneedle’s profitability and JDL’s conclusion that the management fees being charged to each VP Fund are reasonable. The Board accorded particular weight to the notion that the level of fees should generally reflect a rational pricing model applied consistently across the various product lines in the Fund family, while assuring that the overall fees for each VP Fund (with certain defined exceptions) are generally in line with the "pricing philosophy" currently in effect (i.e., that Fund total expense ratios, in general, approximate or are lower than median expense ratios of funds in an agreed upon Lipper or customized comparison universe). The Board took into account that each VP Fund’s total expense ratio (after considering proposed expense caps/waivers) was below the peer universe’s median expense ratio shown in the reports. Based on its review, the Board concluded that each VP Fund’s management fee was fair and reasonable in light of the extent and quality of services that each VP Fund receives.
The Board also considered the profitability of Columbia Threadneedle and its affiliates in connection with Columbia Threadneedle providing management services to each of the VP Funds. In this regard, the Independent Trustees referred to their detailed analysis of the Profitability Report, discussing the profitability to Columbia Threadneedle and Ameriprise Financial from managing, operating and distributing the VP Funds. The Board took into account JDL’s conclusion that 2016 Columbia Threadneedle profitability, relative to industry competitors, was reasonable. It also considered that in 2016 the Board had concluded that 2015 profitability was reasonable and that Columbia Threadneedle generated 2016 profitability that declined slightly from 2015 levels. It also took into account the indirect economic benefits flowing to Columbia Threadneedle or its affiliates in connection with managing or distributing the VP Funds, such as the enhanced ability to offer various other financial products to Ameriprise Financial customers, soft dollar benefits and overall reputational advantages. The Board
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Approval of Management Agreement (continued)
noted that the fees paid by each VP Fund should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. The Board concluded that profitability levels were reasonable.
Economies of scale to be realized
The Board also considered the economies of scale that might be realized by Columbia Threadneedle as each VP Fund grows and took note of the extent to which VP Fund shareholders might also benefit from such growth. In this regard, the Board took into account that management fees decline as each VP Fund assets exceed various breakpoints, all of which have not been surpassed, except for Variable Portfolio – Moderate Portfolio, which even though it has surpassed its breakpoints, it has yet to approach an asset level that fully employs them. The Board concluded that the breakpoints in the management fee rate schedule satisfactorily provides for the sharing of economies of scale, as they allow for adequate opportunity for shareholders to realize benefits (fee breaks) as each VP Fund’s assets grow.
Based on the foregoing, the Board, including all of the Independent Trustees, concluded that the management fees were fair and reasonable in light of the extent and quality of services provided. In reaching this conclusion, no single factor was determinative. On June 21, 2017, the Board, including all of the Independent Trustees, approved the renewal of each Management Agreement.
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Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which each Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how each Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting investor.columbiathreadneedleus.com, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
Each Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Each Fund’s Form N-Q is available on the SEC’s website at sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.SEC.0330. Each Fund’s complete schedule of portfolio holdings, as filed on Form N-Q, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
225 Franklin Street
Boston, MA 02110
Fund distributor
Columbia Management Investment Distributors, Inc.
225 Franklin Street
Boston, MA 02110
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 8081
Boston, MA 02266-8081
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Portfolio Navigator Funds
P.O. Box 8081
Boston, MA 02266-8081
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For fund and other investment product prospectuses, which contains this and important information, contact your financial advisor or insurance representaive. Please read the prospectus carefully before you invest. Each Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved. Columbia Management Investment Distributors, Inc., 225 Franklin Street, Boston, MA 02110-2804
© 2017 Columbia Management Investment Advisers, LLC.
Item 2. Code of Ethics.
Not applicable for semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semiannual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semiannual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments
| | (a) | The registrant’s “Schedule I – Investments in securities of unaffiliated issuers” (as set forth in 17 CFR 210.12-12) is included in Item 1 of this Form N-CSR. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors.
Item 11. Controls and Procedures.
| | (a) | The registrant’s principal executive officer and principal financial officers, based on their evaluation of the registrant’s disclosure controls and procedures as of a |
| | date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that material information required to be disclosed by the registrant in Form N-CSR is accumulated and communicated to the registrant’s management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure. |
| | (b) | There was no change in the registrant’s internal control over financial reporting that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a)(1) Code of ethics required to be disclosed under Item 2 of Form N-CSR: Not applicable for semiannual reports.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.
(a)(3) Not applicable.
(b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) attached hereto as Exhibit 99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | |
(registrant) | | Columbia Funds Variable Series Trust II |
| | |
By (Signature and Title) | | /s/ Christopher O. Petersen |
| | Christopher O. Petersen, President and Principal Executive Officer |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
By (Signature and Title) | | /s/ Christopher O. Petersen |
| | Christopher O. Petersen, President and Principal Executive Officer |
| | |
By (Signature and Title) | | /s/ Michael G. Clarke |
| | Michael G. Clarke, Treasurer and Chief Financial Officer |
