UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-22127
Columbia Funds Variable Series Trust II
(Exact name of registrant as specified in charter)
290 Congress Street, Boston, MA 02210
(Address of principal executive offices) (Zip code)
Daniel J. Beckman
c/o Columbia Management Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
Ryan C. Larrenaga, Esq.
c/o Columbia Management Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
(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, 2022
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, 100 F Street, NE, Washington, DC 20549. 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, 2022 (Unaudited)
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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – Commodity Strategy Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT, and for reporting periods ended prior to March 31, 2019, on Form N-Q. The Fund’s Form N-Q and Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-Q or Form N-PORT, is available on columbiathreadneedleus.com/investor/ or 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 (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with total return.
Portfolio management
Marc Khalamayzer, CFA
Commodity Strategies Co-Portfolio Manager
Managed Fund since 2019
Matthew Ferrelli, CFA
Commodity Strategies Co-Portfolio Manager
Managed Fund since 2019
Ronald Stahl, CFA
Cash/Liquidity Strategies Co-Portfolio Manager
Managed Fund since 2021
Gregory Liechty
Cash/Liquidity Strategies Co-Portfolio Manager
Managed Fund since 2021
John D. Dempsey, CFA
Cash/Liquidity Strategies Co-Portfolio Manager
Managed Fund since 2021
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | Life |
| Class 1 | 04/30/13 | 19.55 | 27.37 | 9.39 | -0.55 |
| Class 2 | 04/30/13 | 19.47 | 26.88 | 9.08 | -0.80 |
| Bloomberg Commodity Index Total Return | | 18.44 | 24.27 | 8.40 | -0.76 |
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.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Asset-Backed Securities — Non-Agency | 20.0 |
| Commercial Mortgage-Backed Securities - Non-Agency | 1.1 |
| Corporate Bonds & Notes | 29.5 |
| Foreign Government Obligations | 0.6 |
| Money Market Funds | 44.2 |
| Residential Mortgage-Backed Securities - Non-Agency | 3.4 |
| U.S. Government & Agency Obligations | 0.6 |
| U.S. Treasury Obligations | 0.6 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
At period end, the Fund held an investment in an Affiliated Money Market Fund, which has been segregated to cover obligations relating to the Fund’s investments in open commodities 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 of the Notes to Consolidated Financial Statements.
Commodities market exposure (%)
(at June 30, 2022) |
| Commodities contracts(a) | Long | Short | Net |
| Agriculture | 26.0 | — | 26.0 |
| Energy | 39.7 | — | 39.7 |
| Industrial Metals | 12.2 | — | 12.2 |
| Livestock | 6.3 | — | 6.3 |
| Precious metals | 15.8 | | 15.8 |
| Total | 100.0 | — | 100.0 |
(a) Reflects notional market value of commodities 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 contract are shown in the Consolidated Portfolio of Investments. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Consolidated Portfolio of Investments and Note 2 of the Notes to Consolidated Financial Statements.
| 4 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 1,195.50 | 1,021.12 | 4.03 | 3.71 | 0.74 |
| Class 2 | 1,000.00 | 1,000.00 | 1,194.70 | 1,019.84 | 5.44 | 5.01 | 1.00 |
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.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022
| 5 |
Consolidated Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Asset-Backed Securities — Non-Agency 16.5% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| ACC Auto Trust(a) |
| Series 2021-A Class A |
| 04/15/2027 | 1.080% | | 116,156 | 114,709 |
| ACC Trust(a) |
| Series 2021-1 Class A |
| 11/20/2023 | 0.740% | | 4,599 | 4,595 |
| American Credit Acceptance Receivables Trust(a) |
| Series 2021-2 Class A |
| 10/15/2024 | 0.370% | | 27,449 | 27,429 |
| Series 2021-3 Class A |
| 06/13/2025 | 0.330% | | 267,967 | 267,117 |
| AmeriCredit Automobile Receivables Trust |
| Series 2021-2 Class A2 |
| 11/18/2024 | 0.260% | | 68,824 | 68,534 |
| Atalaya Equipment Leasing Trust(a) |
| Series 2021-1A Class A2 |
| 05/15/2026 | 1.230% | | 124,919 | 122,375 |
| Avis Budget Rental Car Funding AESOP LLC(a) |
| Series 2017-1A Class A |
| 09/20/2023 | 3.070% | | 500,000 | 500,318 |
| Carmax Auto Owner Trust |
| Series 2019-2 Class A4 |
| 12/16/2024 | 2.770% | | 650,000 | 647,953 |
| Series 2019-4 Class A3 |
| 11/15/2024 | 2.020% | | 551,205 | 548,723 |
| Carvana Auto Receivables Trust |
| Series 2021-P2 Class A2 |
| 07/10/2024 | 0.300% | | 198,650 | 197,947 |
| Commercial Equipment Finance LLC(a) |
| Series 2021-A Class A |
| 02/16/2027 | 2.050% | | 277,613 | 269,139 |
| Conn’s Receivables Funding LLC(a) |
| Series 2021-A Class A |
| 05/15/2026 | 1.050% | | 167,170 | 165,567 |
| CPS Auto Receivables Trust(a) |
| Series 2022-A Class A |
| 04/16/2029 | 0.980% | | 109,064 | 107,451 |
| Credit Acceptance Auto Loan Trust(a) |
| Series 2020-2A Class A |
| 07/16/2029 | 1.370% | | 725,000 | 714,782 |
| Dell Equipment Finance Trust(a) |
| Subordinated Series 2020-1 Class B |
| 04/24/2023 | 2.980% | | 875,000 | 874,477 |
| DLLST LLC(a) |
| Series 2022-1A Class A1 |
| 05/22/2023 | 1.560% | | 1,069,298 | 1,065,376 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| DT Auto Owner Trust(a) |
| Series 2019-3A Class D |
| 04/15/2025 | 2.960% | | 525,000 | 521,807 |
| Series 2020-2A Class B |
| 03/16/2026 | 2.080% | | 107,802 | 107,715 |
| Series 2022-1A Class A |
| 04/15/2026 | 1.580% | | 397,759 | 393,094 |
| FHF Trust(a) |
| Series 2021-1A Class A |
| 03/15/2027 | 1.270% | | 213,224 | 204,848 |
| Flagship Credit Auto Trust(a) |
| Series 2021-1 Class A |
| 06/16/2025 | 0.310% | | 289,607 | 286,748 |
| Ford Credit Floorplan Master Owner Trust |
| Series 2017-3 Class A |
| 09/15/2024 | 2.480% | | 1,025,000 | 1,024,702 |
| FREED ABS Trust(a) |
| Series 2021-3FP Class A |
| 11/20/2028 | 0.620% | | 24,235 | 24,176 |
| Subordinated Series 2021-3FP Class B |
| 11/20/2028 | 1.010% | | 150,000 | 146,496 |
| GLS Auto Receivables Issuer Trust(a) |
| Subordinated Series 2019-4A Class B |
| 09/16/2024 | 2.780% | | 456,044 | 456,028 |
| GLS Auto Receivables Trust(a) |
| Subordinated Series 2021-2A Class B |
| 09/15/2025 | 0.770% | | 560,000 | 547,675 |
| Harley-Davidson Motorcycle Trust |
| Series 2020-A Class A3 |
| 10/15/2024 | 1.870% | | 138,627 | 138,466 |
| HPEFS Equipment Trust(a) |
| Series 2021-2A Class A2 |
| 09/20/2028 | 0.300% | | 192,634 | 191,063 |
| Hyundai Auto Lease Securitization Trust(a) |
| Series 2021-B Class A3 |
| 06/17/2024 | 0.330% | | 500,000 | 487,343 |
| John Deere Owner Trust |
| Series 2021-B Class A2 |
| 06/17/2024 | 0.250% | | 443,432 | 438,398 |
| JPMorgan Chase Bank NA(a) |
| Subordinated Series 2021-2 Class C |
| 12/26/2028 | 0.969% | | 774,364 | 749,201 |
| JPMorgan Chase Bank NA - CACLN(a) |
| Series 2021-3 Class B |
| 02/26/2029 | 0.760% | | 164,976 | 159,327 |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
Consolidated Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| LAD Auto Receivables Trust(a) |
| Series 2021-1A Class A |
| 08/17/2026 | 1.300% | | 77,718 | 75,928 |
| Lendbuzz Securitization Trust(a) |
| Series 2021-1A Class A |
| 06/15/2026 | 1.460% | | 112,919 | 109,847 |
| LendingPoint Asset Securitization Trust(a) |
| Series 2021-A Class A |
| 12/15/2028 | 1.000% | | 198,304 | 196,832 |
| Series 2021-B Class A |
| 02/15/2029 | 1.110% | | 223,532 | 219,629 |
| Series 2022-A Class A |
| 06/15/2029 | 1.680% | | 492,950 | 486,790 |
| LL ABS Trust(a) |
| Series 2021-1A Class A |
| 05/15/2029 | 1.070% | | 84,092 | 81,558 |
| Marlette Funding Trust(a) |
| Series 2021-2A Class A |
| 09/15/2031 | 0.510% | | 166,048 | 164,731 |
| Marlin Receivables LLC(a) |
| Series 2022-1A Class A1 |
| 07/20/2023 | 3.372% | | 1,050,000 | 1,050,240 |
| MMAF Equipment Finance LLC(a) |
| Series 2017-B Class A4 |
| 11/15/2024 | 2.410% | | 260,458 | 260,443 |
| Series 2020-A Class A2 |
| 04/09/2024 | 0.740% | | 185,717 | 183,437 |
| NextGear Floorplan Master Owner Trust(a) |
| Series 2019-2A Class A2 |
| 10/15/2024 | 2.070% | | 1,000,000 | 997,008 |
| Nissan Auto Receivables Owner Trust |
| Series 2019-C Class A3 |
| 07/15/2024 | 1.930% | | 312,411 | 311,478 |
| NMEF Funding LLC(a) |
| Series 2022-A Class A1 |
| 03/15/2023 | 0.968% | | 328,636 | 327,745 |
| Octane Receivables Trust(a) |
| Series 2022-1A Class A1 |
| 05/22/2023 | 1.550% | | 1,025,978 | 1,025,216 |
| Oscar US Funding XIII LLC(a) |
| Series 2021-2A Class A2 |
| 08/12/2024 | 0.390% | | 810,950 | 801,797 |
| Pagaya AI Debt Selection Trust(a) |
| Series 2021-1 Class A |
| 11/15/2027 | 1.180% | | 475,636 | 467,121 |
| Series 2021-3 Class A |
| 05/15/2029 | 1.150% | | 573,573 | 560,858 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Pagaya AI Debt Trust(a) |
| Series 2022-1 Class A |
| 10/15/2029 | 2.030% | | 631,916 | 610,541 |
| Pawnee Equipment Receivables LLC(a) |
| Series 2019-1 Class A2 |
| 10/15/2024 | 2.290% | | 95,278 | 95,155 |
| Santander Drive Auto Receivables Trust |
| Series 2021-2 Class A3 |
| 02/18/2025 | 0.340% | | 106,929 | 106,703 |
| Series 2022-2 Class A2 |
| 10/15/2026 | 2.120% | | 575,000 | 571,240 |
| Subordinated Series 2019-2 Class D |
| 07/15/2025 | 3.220% | | 190,044 | 189,575 |
| Santander Retail Auto Lease Trust(a) |
| Series 2021-B Class A2 |
| 01/22/2024 | 0.310% | | 256,846 | 254,713 |
| Theorem Funding Trust(a) |
| Series 2021-1A Class A |
| 12/15/2027 | 1.210% | | 152,898 | 150,138 |
| Series 2022-1A Class A |
| 02/15/2028 | 1.850% | | 553,842 | 544,607 |
| Tricolor Auto Securitization Trust(a) |
| Series 2021-1A Class A |
| 04/15/2024 | 0.740% | | 56,958 | 56,689 |
| United Auto Credit Securitization Trust(a) |
| Series 2022-1 Class A |
| 07/10/2024 | 1.110% | | 124,911 | 124,003 |
| Upstart Pass-Through Trust(a) |
| Series 2021-ST6 Class A |
| 08/20/2027 | 1.850% | | 85,217 | 80,951 |
| Upstart Securitization Trust(a) |
| Series 2020-3 Class A |
| 11/20/2030 | 1.702% | | 45,778 | 45,613 |
| Series 2021-3 Class A |
| 07/20/2031 | 0.830% | | 375,922 | 366,264 |
| VFI ABS LLC(a) |
| Series 2022-1A Class A |
| 03/24/2028 | 2.230% | | 224,673 | 220,658 |
| Westlake Automobile Receivables Trust(a) |
| Series 2020-2A Class B |
| 07/15/2025 | 1.320% | | 216,865 | 216,546 |
| Subordinated Series 2021-2A Class B |
| 07/15/2026 | 0.620% | | 300,000 | 288,978 |
| World Omni Auto Receivables Trust |
| Series 2021-A Class A3 |
| 01/15/2026 | 0.300% | | 200,000 | 195,124 |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022
| 7 |
Consolidated Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| World Omni Automobile Lease Securitization Trust |
| Series 2021-A Class A2 |
| 04/15/2024 | 0.210% | | 609,172 | 604,215 |
Total Asset-Backed Securities — Non-Agency
(Cost $23,924,032) | 23,615,950 |
|
| Commercial Mortgage-Backed Securities - Non-Agency 0.9% |
| | | | |
| Citigroup Commercial Mortgage Trust(a) |
| Series 2012-GC8 Class AS |
| 09/10/2045 | 3.683% | | 424,757 | 423,705 |
| Citigroup Commercial Mortgage Trust |
| Series 2013-GC11 Class AAB |
| 04/10/2046 | 2.690% | | 121,035 | 120,966 |
| WFRBS Commercial Mortgage Trust |
| Series 2013-C14 Class A5 |
| 06/15/2046 | 3.337% | | 700,000 | 688,763 |
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $1,283,925) | 1,233,434 |
|
| Corporate Bonds & Notes 24.3% |
| | | | |
| Aerospace & Defense 0.5% |
| L3Harris Technologies, Inc. |
| 06/15/2023 | 3.850% | | 340,000 | 339,605 |
| Raytheon Technologies Corp. |
| 03/15/2024 | 3.200% | | 350,000 | 349,070 |
| Total | 688,675 |
| Automotive 0.6% |
| Daimler Trucks Finance North America LLC(a),(b) |
SOFR + 1.000%
04/05/2024 | 2.510% | | 335,000 | 332,843 |
| Toyota Motor Credit Corp. |
| 06/14/2024 | 0.500% | | 490,000 | 460,850 |
| Total | 793,693 |
| Banking 8.6% |
| American Express Co.(b) |
3-month USD LIBOR + 0.750%
08/03/2023 | 2.036% | | 500,000 | 499,922 |
| Australia & New Zealand Banking Group Ltd.(a),(b) |
3-month USD LIBOR + 0.580%
11/09/2022 | 1.951% | | 360,000 | 359,913 |
| Bank of America Corp.(b) |
3-month USD LIBOR + 0.430%
05/28/2024 | 1.938% | | 700,000 | 688,912 |
| Bank of Montreal(b) |
SOFR + 0.465%
01/10/2025 | 1.975% | | 425,000 | 416,888 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Bank of New York Mellon Corp. (The)(b) |
3-month USD LIBOR + 1.050%
10/30/2023 | 2.289% | | 485,000 | 485,258 |
| Bank of Nova Scotia (The)(b) |
SOFR + 0.380%
07/31/2024 | 1.890% | | 425,000 | 418,741 |
| Canadian Imperial Bank of Commerce(b) |
3-month USD LIBOR + 0.660%
09/13/2023 | 2.381% | | 400,000 | 399,182 |
| Citigroup, Inc.(b) |
3-month USD LIBOR + 1.100%
05/17/2024 | 2.544% | | 675,000 | 669,116 |
| Commonwealth Bank of Australia(a),(b) |
3-month USD LIBOR + 0.820%
06/04/2024 | 2.431% | | 375,000 | 376,296 |
| Cooperatieve Rabobank UA(b) |
3-month USD LIBOR + 0.480%
01/10/2023 | 1.469% | | 450,000 | 449,378 |
| Discover Bank |
| 02/06/2023 | 3.350% | | 325,000 | 324,858 |
| DNB Bank ASA(a) |
| 12/02/2022 | 2.150% | | 360,000 | 359,444 |
| Goldman Sachs Group, Inc. (The)(b) |
3-month USD LIBOR + 1.600%
11/29/2023 | 3.198% | | 650,000 | 652,108 |
| HSBC Holdings PLC(c) |
| 08/17/2024 | 0.732% | | 407,000 | 390,561 |
| JPMorgan Chase & Co.(c) |
| 06/14/2025 | 3.845% | | 675,000 | 668,380 |
| Morgan Stanley(b) |
3-month USD LIBOR + 1.220%
05/08/2024 | 2.591% | | 650,000 | 651,086 |
| National Australia Bank Ltd.(a),(b) |
3-month USD LIBOR + 0.410%
12/13/2022 | 2.131% | | 360,000 | 359,513 |
| PNC Bank NA(b) |
3-month USD LIBOR + 0.500%
07/27/2022 | 1.725% | | 426,000 | 426,045 |
| Royal Bank of Canada(b) |
3-month USD LIBOR + 0.660%
10/05/2023 | 1.622% | | 399,000 | 398,228 |
| Skandinaviska Enskilda Banken AB(a),(b) |
3-month USD LIBOR + 0.320%
09/01/2023 | 1.900% | | 350,000 | 347,630 |
| Svenska Handelsbanken AB(a) |
| 06/30/2023 | 0.625% | | 375,000 | 364,498 |
| Toronto-Dominion Bank (The)(b) |
SOFR + 0.910%
03/08/2024 | 2.420% | | 400,000 | 398,530 |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
Consolidated Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Truist Bank(b) |
SOFR + 0.200%
01/17/2024 | 1.710% | | 400,000 | 394,373 |
| UBS AG(a) |
| 02/09/2024 | 0.450% | | 450,000 | 427,507 |
| US Bancorp |
| 07/30/2024 | 2.400% | | 415,000 | 405,015 |
| Wells Fargo & Co.(b) |
3-month USD LIBOR + 1.230%
10/31/2023 | 2.469% | | 685,000 | 685,285 |
| Westpac Banking Corp.(b) |
3-month USD LIBOR + 0.770%
02/26/2024 | 2.301% | | 350,000 | 349,681 |
| Total | 12,366,348 |
| Cable and Satellite 0.5% |
| Charter Communications Operating LLC/Capital(b) |
3-month USD LIBOR + 1.650%
02/01/2024 | 2.936% | | 350,000 | 351,253 |
| Comcast Corp.(b) |
3-month USD LIBOR + 0.630%
04/15/2024 | 1.674% | | 351,000 | 351,306 |
| Total | 702,559 |
| Chemicals 0.3% |
| DuPont de Nemours, Inc.(b) |
3-month USD LIBOR + 1.110%
11/15/2023 | 2.521% | | 350,000 | 351,187 |
| Construction Machinery 0.5% |
| Caterpillar Financial Services Corp. |
| 03/01/2023 | 0.250% | | 375,000 | 368,397 |
| John Deere Capital Corp.(b) |
3-month USD LIBOR + 0.550%
06/07/2023 | 2.176% | | 375,000 | 374,605 |
| Total | 743,002 |
| Diversified Manufacturing 0.6% |
| General Electric Co. |
| 10/09/2022 | 2.700% | | 450,000 | 450,569 |
| Honeywell International, Inc.(b) |
3-month USD LIBOR + 0.370%
08/08/2022 | 1.741% | | 13,000 | 13,001 |
| Siemens Financieringsmaatschappij NV(a) |
| 03/11/2023 | 0.400% | | 400,000 | 392,520 |
| Total | 856,090 |
| Electric 2.0% |
| American Electric Power Co., Inc. |
| 12/15/2022 | 2.950% | | 350,000 | 348,826 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CenterPoint Energy, Inc.(b) |
SOFR + 0.650%
05/13/2024 | 2.160% | | 206,000 | 201,069 |
| Consumers Energy Co. |
| 08/15/2023 | 3.375% | | 297,000 | 297,279 |
| DTE Energy Co. |
| 11/01/2022 | 2.250% | | 325,000 | 323,866 |
| Duke Energy Corp.(b) |
SOFR + 0.250%
06/10/2023 | 1.760% | | 347,000 | 344,180 |
| Eversource Energy(b) |
SOFR + 0.250%
08/15/2023 | 1.760% | | 331,000 | 328,455 |
| Mississippi Power Co.(b) |
SOFR + 0.300%
06/28/2024 | 1.810% | | 319,000 | 310,094 |
| NextEra Energy Capital Holdings, Inc.(b) |
SOFR + 1.020%
03/21/2024 | 2.530% | | 281,000 | 278,948 |
| PPL Electric Utilities Corp.(b) |
SOFR + 0.330%
06/24/2024 | 1.840% | | 353,000 | 346,246 |
| Public Service Enterprise Group, Inc. |
| 11/08/2023 | 0.841% | | 72,000 | 69,155 |
| Total | 2,848,118 |
| Food and Beverage 1.0% |
| Campbell Soup Co. |
| 03/15/2023 | 3.650% | | 325,000 | 324,873 |
| ConAgra Foods, Inc. |
| 01/25/2023 | 3.200% | | 350,000 | 350,264 |
| Mondelez International, Inc. |
| 03/17/2024 | 2.125% | | 351,000 | 342,216 |
| Tyson Foods, Inc. |
| 09/28/2023 | 3.900% | | 346,000 | 347,153 |
| Total | 1,364,506 |
| Health Care 0.8% |
| Becton Dickinson and Co. |
| 06/06/2024 | 3.363% | | 360,000 | 356,269 |
| Cigna Corp.(b) |
3-month USD LIBOR + 0.890%
07/15/2023 | 1.934% | | 375,000 | 377,132 |
| Thermo Fisher Scientific, Inc.(b) |
SOFR + 0.350%
04/18/2023 | 1.860% | | 400,000 | 398,899 |
| Total | 1,132,300 |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022
| 9 |
Consolidated Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Healthcare Insurance 0.2% |
| Anthem, Inc. |
| 12/01/2022 | 2.950% | | 325,000 | 324,907 |
| Independent Energy 0.2% |
| Pioneer Natural Resources Co. |
| 05/15/2023 | 0.550% | | 275,000 | 267,939 |
| Integrated Energy 0.8% |
| BP Capital Markets PLC |
| 11/06/2022 | 2.500% | | 350,000 | 349,999 |
| Chevron USA, Inc.(b) |
3-month USD LIBOR + 0.200%
08/11/2023 | 1.599% | | 400,000 | 397,186 |
| Shell International Finance BV(b) |
3-month USD LIBOR + 0.400%
11/13/2023 | 1.822% | | 425,000 | 423,434 |
| Total | 1,170,619 |
| Life Insurance 1.0% |
| Metropolitan Life Global Funding I(a) |
| 09/27/2024 | 0.700% | | 397,000 | 370,606 |
| New York Life Global Funding(a),(b) |
SOFR + 0.220%
02/02/2023 | 1.730% | | 303,000 | 302,065 |
| Pricoa Global Funding I(a) |
| 09/21/2022 | 2.450% | | 410,000 | 409,998 |
| Principal Life Global Funding II(a) |
| 01/08/2024 | 0.500% | | 425,000 | 404,574 |
| Total | 1,487,243 |
| Media and Entertainment 0.5% |
| Magallanes, Inc.(a),(b) |
SOFR + 1.780%
03/15/2024 | 3.290% | | 340,000 | 338,873 |
| Walt Disney Co. (The)(b) |
3-month USD LIBOR + 0.390%
09/01/2022 | 1.970% | | 302,000 | 301,855 |
| Total | 640,728 |
| Midstream 1.3% |
| Enbridge, Inc. |
| 02/16/2024 | 2.150% | | 258,000 | 250,475 |
| Energy Transfer Partners LP |
| 02/01/2023 | 3.600% | | 250,000 | 249,259 |
| Enterprise Products Operating LLC |
| 02/15/2024 | 3.900% | | 300,000 | 299,649 |
| Kinder Morgan, Inc. |
| 01/15/2023 | 3.150% | | 250,000 | 249,712 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Plains All American Pipeline LP/Finance Corp. |
| 10/15/2023 | 3.850% | | 325,000 | 323,331 |
| Southern Natural Gas Co. LLC(a) |
| 04/28/2023 | 0.625% | | 200,000 | 193,873 |
| Williams Companies, Inc. (The) |
| 11/15/2023 | 4.500% | | 279,000 | 280,734 |
| Total | 1,847,033 |
| Pharmaceuticals 1.3% |
| AbbVie, Inc.(b) |
3-month USD LIBOR + 0.650%
11/21/2022 | 2.155% | | 400,000 | 399,910 |
| Amgen, Inc. |
| 05/22/2024 | 3.625% | | 400,000 | 399,318 |
| AstraZeneca PLC |
| 05/26/2023 | 0.300% | | 350,000 | 341,926 |
| Bristol-Myers Squibb Co. |
| 11/13/2023 | 0.537% | | 425,000 | 410,897 |
| Roche Holdings, Inc.(a),(b) |
SOFR + 0.330%
09/11/2023 | 1.840% | | 350,000 | 348,498 |
| Total | 1,900,549 |
| Property & Casualty 0.5% |
| Chubb INA Holdings, Inc. |
| 05/15/2024 | 3.350% | | 350,000 | 349,064 |
| Loews Corp. |
| 05/15/2023 | 2.625% | | 350,000 | 348,776 |
| Total | 697,840 |
| Railroads 0.3% |
| CSX Corp. |
| 08/01/2024 | 3.400% | | 145,000 | 144,028 |
| Union Pacific Corp. |
| 01/15/2023 | 2.950% | | 335,000 | 335,043 |
| Total | 479,071 |
| Technology 1.7% |
| Broadcom Corp./Cayman Finance Ltd. |
| 01/15/2024 | 3.625% | | 350,000 | 349,645 |
| Fidelity National Information Services, Inc. |
| 03/01/2023 | 0.375% | | 350,000 | 342,780 |
| International Business Machines Corp. |
| 02/12/2024 | 3.625% | | 303,000 | 303,863 |
| Microchip Technology, Inc. |
| 02/15/2024 | 0.972% | | 315,000 | 299,291 |
| NXP BV/Funding LLC |
| 03/01/2024 | 4.875% | | 85,000 | 85,874 |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
Consolidated Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Oracle Corp. |
| 09/15/2023 | 2.400% | | 335,000 | 329,869 |
| QUALCOMM, Inc.(b) |
3-month USD LIBOR + 0.730%
01/30/2023 | 1.969% | | 425,000 | 424,870 |
| RELX Capital, Inc. |
| 03/16/2023 | 3.500% | | 335,000 | 334,076 |
| Total | 2,470,268 |
| Transportation Services 0.2% |
| ERAC U.S.A. Finance LLC(a) |
| 11/01/2023 | 2.700% | | 350,000 | 344,767 |
| Wireless 0.2% |
| American Tower Corp. |
| 01/31/2023 | 3.500% | | 325,000 | 324,954 |
| Wirelines 0.7% |
| AT&T, Inc.(b) |
3-month USD LIBOR + 1.180%
06/12/2024 | 2.901% | | 525,000 | 522,587 |
| Verizon Communications, Inc.(b) |
SOFR + 0.500%
03/22/2024 | 2.010% | | 500,000 | 493,546 |
| Total | 1,016,133 |
Total Corporate Bonds & Notes
(Cost $35,407,030) | 34,818,529 |
|
| Foreign Government Obligations(d) 0.5% |
| | | | |
| Canada 0.5% |
| Province of Ontario |
| 01/24/2023 | 1.750% | | 345,000 | 343,457 |
| Province of Quebec |
| 02/13/2023 | 2.625% | | 342,000 | 341,506 |
| Total | 684,963 |
Total Foreign Government Obligations
(Cost $692,319) | 684,963 |
|
| Residential Mortgage-Backed Securities - Non-Agency 2.8% |
| | | | |
| Bellemeade Re Ltd.(a),(b) |
| CMO Series 2020-3A Class M1B |
1-month USD LIBOR + 2.850%
Floor 2.850%
10/25/2030 | 4.474% | | 485,023 | 481,876 |
| CMO Series 2021-3A Class M1A |
30-day Average SOFR + 1.000%
Floor 1.000%
09/25/2031 | 1.585% | | 275,000 | 272,445 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CFMT LLC(a),(e) |
| CMO Series 2021-EBO1 Class A |
| 11/25/2050 | 0.985% | | 206,578 | 201,943 |
| Connecticut Avenue Securities Trust(a),(b) |
| CMO Series 2022-R05 Class 2M1 |
30-day Average SOFR + 1.900%
04/25/2042 | 2.826% | | 283,044 | 281,329 |
| Oceanview Trust(a),(e) |
| CMO Series 2021-1 Class A |
| 12/29/2051 | 1.219% | | 383,609 | 379,844 |
| Pretium Mortgage Credit Partners LLC(a),(e) |
| CMO Series 2021-RN2 Class A1 |
| 07/25/2051 | 1.744% | | 205,878 | 192,561 |
| Towd Point Mortgage Trust(a),(e) |
| CMO Series 2021-SJ1 Class A1 |
| 07/25/2068 | 2.250% | | 661,752 | 644,953 |
| VCAT Asset Securitization LLC(a),(e) |
| CMO Series 2021-NPL6 Class A1 |
| 09/25/2051 | 1.917% | | 898,795 | 843,416 |
| VCAT LLC(a),(e) |
| CMO Series 2021-NPL4 Class A1 |
| 08/25/2051 | 1.868% | | 578,245 | 534,699 |
| CMO Series 2021-NPL5 Class A1 |
| 08/25/2051 | 1.868% | | 238,949 | 225,727 |
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $4,230,759) | 4,058,793 |
|
| U.S. Government & Agency Obligations 0.5% |
| | | | |
| Federal Farm Credit Banks Funding Corp.(b) |
SOFR + 0.050%
08/22/2023 | 1.560% | | 280,000 | 280,209 |
SOFR + 0.060%
12/27/2023 | 1.570% | | 425,000 | 425,304 |
Total U.S. Government & Agency Obligations
(Cost $705,000) | 705,513 |
|
| U.S. Treasury Obligations 0.5% |
| | | | |
| U.S. Treasury |
| 10/31/2022 | 1.875% | | 700,000 | 699,371 |
Total U.S. Treasury Obligations
(Cost $701,216) | 699,371 |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022
| 11 |
Consolidated Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Money Market Funds 36.3% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(f),(g) | 52,083,886 | 52,052,635 |
Total Money Market Funds
(Cost $52,062,072) | 52,052,635 |
Total Investments in Securities
(Cost: $119,006,353) | 117,869,188 |
| Other Assets & Liabilities, Net | | 25,310,117 |
| Net Assets | 143,179,305 |
At June 30, 2022, securities and/or cash totaling $13,348,860 were pledged as collateral.
Investments in derivatives
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| Brent Crude | 22 | 07/2022 | USD | 2,398,660 | 648,312 | — |
| Brent Crude | 23 | 07/2022 | USD | 2,507,690 | — | (40,744) |
| Brent Crude | 23 | 09/2022 | USD | 2,364,860 | 589,478 | — |
| Brent Crude | 24 | 11/2022 | USD | 2,366,400 | 134,962 | — |
| Brent Crude | 9 | 01/2023 | USD | 860,670 | 5,193 | — |
| Brent Crude | 41 | 01/2023 | USD | 3,920,830 | — | (271,677) |
| Cocoa | 15 | 09/2022 | USD | 351,000 | — | (15,817) |
| Coffee | 2 | 09/2022 | USD | 172,575 | 11,954 | — |
| Coffee | 17 | 12/2022 | USD | 1,447,444 | 36,084 | — |
| Coffee | 17 | 03/2023 | USD | 1,428,956 | 25,151 | — |
| Copper | 8 | 09/2022 | USD | 742,000 | — | (102,728) |
| Copper | 26 | 12/2022 | USD | 2,418,975 | — | (520,640) |
| Copper | 26 | 03/2023 | USD | 2,424,175 | — | (368,393) |
| Corn | 38 | 09/2022 | USD | 1,194,625 | 121,357 | — |
| Corn | 89 | 12/2022 | USD | 2,757,888 | 49,471 | — |
| Corn | 12 | 12/2022 | USD | 371,850 | — | (13,489) |
| Corn | 100 | 03/2023 | USD | 3,131,250 | — | (492,884) |
| Cotton | 21 | 12/2022 | USD | 1,037,820 | 49,011 | — |
| Cotton | 29 | 03/2023 | USD | 1,374,310 | — | (336,296) |
| Feeder Cattle | 1 | 08/2022 | USD | 86,800 | 3,671 | — |
| Feeder Cattle | 1 | 08/2022 | USD | 86,800 | — | (579) |
| Gas Oil | 12 | 09/2022 | USD | 1,322,400 | 455,697 | — |
| Gas Oil | 17 | 09/2022 | USD | 1,873,400 | — | (161,068) |
| Gas Oil | 10 | 11/2022 | USD | 1,057,000 | 313,657 | — |
| Gas Oil | 1 | 11/2022 | USD | 105,700 | — | (8,028) |
| Gas Oil | 22 | 01/2023 | USD | 2,230,800 | 263,105 | — |
| Gas Oil | 12 | 03/2023 | USD | 1,167,600 | — | (65,995) |
| Gold 100 oz. | 18 | 08/2022 | USD | 3,253,140 | 29,320 | — |
| Gold 100 oz. | 2 | 08/2022 | USD | 361,460 | — | (8,143) |
| Gold 100 oz. | 43 | 12/2022 | USD | 7,858,250 | — | (21,293) |
| Gold 100 oz. | 43 | 02/2023 | USD | 7,909,420 | — | (172,953) |
| Lead | 10 | 09/2022 | USD | 477,125 | — | (61,789) |
| Lean Hogs | 65 | 08/2022 | USD | 2,654,600 | — | (62,614) |
| Lean Hogs | 16 | 10/2022 | USD | 567,520 | 23,262 | — |
| Lean Hogs | 17 | 12/2022 | USD | 563,550 | — | (11,617) |
| Lean Hogs | 33 | 02/2023 | USD | 1,158,630 | — | (17,514) |
| Live Cattle | 24 | 08/2022 | USD | 1,272,720 | — | (17,639) |
| Live Cattle | 16 | 10/2022 | USD | 888,160 | — | (7,351) |
| Live Cattle | 16 | 12/2022 | USD | 927,200 | — | (18,520) |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
Consolidated Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Long futures contracts (continued) |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| Live Cattle | 30 | 02/2023 | USD | 1,798,800 | — | (24,874) |
| Natural Gas | 53 | 08/2022 | USD | 2,857,760 | 554,630 | — |
| Natural Gas | 13 | 08/2022 | USD | 700,960 | — | (247,672) |
| Natural Gas | 57 | 10/2022 | USD | 3,146,400 | 584,269 | — |
| Natural Gas | 110 | 12/2022 | USD | 6,325,000 | — | (1,799,478) |
| Natural Gas | 63 | 02/2023 | USD | 3,157,560 | — | (1,715,416) |
| Nickel | 1 | 09/2022 | USD | 136,206 | 19,628 | — |
| Nickel | 6 | 11/2022 | USD | 818,856 | 13,722 | — |
| Nickel | 12 | 01/2023 | USD | 1,641,024 | — | (581,119) |
| Nickel | 6 | 03/2023 | USD | 822,240 | — | (199,390) |
| NY Harbor ULSD | 1 | 08/2022 | USD | 158,126 | — | (13,954) |
| NY Harbor ULSD | 6 | 02/2023 | USD | 840,244 | — | (75,872) |
| NY Harbor ULSD Heat Oil | 7 | 08/2022 | USD | 1,106,881 | 304,890 | — |
| NY Harbor ULSD Heat Oil | 6 | 10/2022 | USD | 913,676 | 212,382 | — |
| NY Harbor ULSD Heat Oil | 12 | 12/2022 | USD | 1,755,281 | 161,522 | — |
| Primary Aluminum | 9 | 09/2022 | USD | 550,181 | — | (39,692) |
| Primary Aluminum | 15 | 11/2022 | USD | 916,406 | — | (230,761) |
| Primary Aluminum | 30 | 01/2023 | USD | 1,838,250 | — | (391,084) |
| Primary Aluminum | 15 | 03/2023 | USD | 920,813 | — | (105,284) |
| RBOB Gasoline | 8 | 08/2022 | USD | 1,143,038 | 286,808 | — |
| RBOB Gasoline | 5 | 08/2022 | USD | 714,399 | — | (73,162) |
| RBOB Gasoline | 7 | 10/2022 | USD | 861,273 | 167,423 | — |
| RBOB Gasoline | 12 | 12/2022 | USD | 1,364,126 | 20,402 | — |
| RBOB Gasoline | 3 | 12/2022 | USD | 341,032 | — | (8,345) |
| RBOB Gasoline | 8 | 02/2023 | USD | 889,694 | — | (99,033) |
| Silver | 10 | 09/2022 | USD | 1,017,600 | — | (91,981) |
| Silver | 22 | 12/2022 | USD | 2,255,770 | — | (380,146) |
| Silver | 22 | 03/2023 | USD | 2,274,250 | — | (160,362) |
| Soybean | 21 | 11/2022 | USD | 1,530,900 | 224,160 | — |
| Soybean | 58 | 01/2023 | USD | 4,240,525 | — | (82,506) |
| Soybean | 29 | 03/2023 | USD | 2,107,575 | — | (125,892) |
| Soybean Meal | 27 | 12/2022 | USD | 1,098,090 | 116,662 | — |
| Soybean Meal | 60 | 01/2023 | USD | 2,435,400 | 43,701 | — |
| Soybean Meal | 30 | 03/2023 | USD | 1,203,900 | 32,836 | — |
| Soybean Oil | 25 | 12/2022 | USD | 966,900 | 89,812 | — |
| Soybean Oil | 63 | 01/2023 | USD | 2,427,894 | — | (265,387) |
| Soybean Oil | 32 | 03/2023 | USD | 1,226,880 | — | (219,300) |
| Sugar #11 | 31 | 09/2022 | USD | 642,320 | 30,242 | — |
| Sugar #11 | 7 | 09/2022 | USD | 145,040 | — | (2,069) |
| Sugar #11 | 142 | 02/2023 | USD | 2,985,181 | — | (108,101) |
| Wheat | 8 | 09/2022 | USD | 380,700 | 70,535 | — |
| Wheat | 5 | 09/2022 | USD | 221,000 | — | (8,397) |
| Wheat | 20 | 12/2022 | USD | 900,500 | 113,751 | — |
| Wheat | 12 | 12/2022 | USD | 576,450 | 71,248 | — |
| Wheat | 10 | 12/2022 | USD | 480,375 | — | (53,942) |
| Wheat | 19 | 12/2022 | USD | 855,475 | — | (109,789) |
| Wheat | 22 | 03/2023 | USD | 1,063,425 | — | (239,977) |
| Wheat | 39 | 03/2023 | USD | 1,776,450 | — | (399,989) |
| White Sugar #5 | 12 | 09/2022 | USD | 530,400 | 80,093 | — |
| WTI Crude | 30 | 08/2022 | USD | 3,093,000 | 903,273 | — |
| WTI Crude | 28 | 10/2022 | USD | 2,737,000 | 454,957 | — |
| WTI Crude | 59 | 12/2022 | USD | 5,526,530 | 50,639 | — |
| WTI Crude | 30 | 02/2023 | USD | 2,720,400 | — | (350,098) |
| Zinc | 32 | 09/2022 | USD | 2,528,600 | — | (318,030) |
| Zinc | 9 | 11/2022 | USD | 706,444 | — | (85,554) |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022
| 13 |
Consolidated Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Long futures contracts (continued) |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| Zinc | 19 | 01/2023 | USD | 1,479,506 | — | (259,793) |
| Zinc | 10 | 03/2023 | USD | 772,313 | — | (135,595) |
| Total | | | | | 7,367,270 | (11,799,815) |
| Cleared interest rate swap contracts |
| Fund receives | Fund pays | Payment
frequency | Counterparty | Maturity
date | Notional
currency | Notional
amount | Value
($) | Upfront
payments
($) | Upfront
receipts
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| SOFR | Fixed rate of 2.541% | Receives Annually, Pays Annually | Morgan Stanley | 04/28/2024 | USD | 6,000,000 | 28,339 | — | — | 28,339 | — |
| SOFR | Fixed rate of 3.421% | Receives Annually, Pays Annually | Morgan Stanley | 06/17/2024 | USD | 2,000,000 | (19,376) | — | — | — | (19,376) |
| SOFR | Fixed rate of 2.657% | Receives Annually, Pays Annually | Morgan Stanley | 04/29/2025 | USD | 1,000,000 | 1,860 | — | — | 1,860 | — |
| Total | | | | | | | 10,823 | — | — | 30,199 | (19,376) |
| Reference index and values for swap contracts as of period end |
| Reference index | | Reference rate |
| SOFR | Secured Overnight Financing Rate | 1.510% |
Notes to Consolidated Portfolio of Investments
| (a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2022, the total value of these securities amounted to $29,088,808, which represents 20.32% of total net assets. |
| (b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2022. |
| (c) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2022. |
| (d) | Principal and interest may not be guaranteed by a governmental entity. |
| (e) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of June 30, 2022. |
| (f) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (g) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 51,438,236 | 48,476,480 | (47,848,996) | (13,085) | 52,052,635 | (13,332) | 133,705 | 52,083,886 |
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
| LIBOR | London Interbank Offered Rate |
| SOFR | Secured Overnight Financing Rate |
Currency Legend
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
Consolidated Portfolio of Investments (continued)
June 30, 2022 (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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Asset-Backed Securities — Non-Agency | — | 23,615,950 | — | 23,615,950 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 1,233,434 | — | 1,233,434 |
| Corporate Bonds & Notes | — | 34,818,529 | — | 34,818,529 |
| Foreign Government Obligations | — | 684,963 | — | 684,963 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 4,058,793 | — | 4,058,793 |
| U.S. Government & Agency Obligations | — | 705,513 | — | 705,513 |
| U.S. Treasury Obligations | 699,371 | — | — | 699,371 |
| Money Market Funds | 52,052,635 | — | — | 52,052,635 |
| Total Investments in Securities | 52,752,006 | 65,117,182 | — | 117,869,188 |
| Investments in Derivatives | | | | |
| Asset | | | | |
| Futures Contracts | 7,367,270 | — | — | 7,367,270 |
| Swap Contracts | — | 30,199 | — | 30,199 |
| Liability | | | | |
| Futures Contracts | (11,799,815) | — | — | (11,799,815) |
| Swap Contracts | — | (19,376) | — | (19,376) |
| Total | 48,319,461 | 65,128,005 | — | 113,447,466 |
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).
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022
| 15 |
Consolidated Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $66,944,281) | $65,816,553 |
| Affiliated issuers (cost $52,062,072) | 52,052,635 |
| Cash | 18,229,855 |
| Margin deposits on: | |
| Futures contracts | 13,222,390 |
| Swap contracts | 126,470 |
| Receivable for: | |
| Investments sold | 700,243 |
| Capital shares sold | 124,978 |
| Dividends | 57,528 |
| Interest | 173,020 |
| Foreign tax reclaims | 280 |
| Variation margin for futures contracts | 78,830 |
| Prepaid expenses | 4,952 |
| Total assets | 150,587,734 |
| Liabilities | |
| Payable for: | |
| Capital shares purchased | 325,197 |
| Variation margin for futures contracts | 6,973,998 |
| Variation margin for swap contracts | 27,517 |
| Management services fees | 2,601 |
| Distribution and/or service fees | 355 |
| Service fees | 2,972 |
| Compensation of board members | 45,158 |
| Compensation of chief compliance officer | 18 |
| Other expenses | 30,613 |
| Total liabilities | 7,408,429 |
| Net assets applicable to outstanding capital stock | $143,179,305 |
| Represented by | |
| Paid in capital | 225,956,035 |
| Total distributable earnings (loss) | (82,776,730) |
| Total - representing net assets applicable to outstanding capital stock | $143,179,305 |
| Class 1 | |
| Net assets | $93,837,207 |
| Shares outstanding | 13,706,925 |
| Net asset value per share | $6.85 |
| Class 2 | |
| Net assets | $49,342,098 |
| Shares outstanding | 7,314,567 |
| Net asset value per share | $6.75 |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
| 16 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
Consolidated Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $133,705 |
| Interest | 304,366 |
| Total income | 438,071 |
| Expenses: | |
| Management services fees | 472,073 |
| Distribution and/or service fees | |
| Class 2 | 53,320 |
| Service fees | 29,025 |
| Compensation of board members | 5,818 |
| Custodian fees | 7,366 |
| Printing and postage fees | 6,805 |
| Audit fees | 19,642 |
| Legal fees | 5,880 |
| Interest on collateral | 6,879 |
| Compensation of chief compliance officer | 13 |
| Other | 4,973 |
| Total expenses | 611,794 |
| Net investment loss | (173,723) |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (61,672) |
| Investments — affiliated issuers | (13,332) |
| Futures contracts | 35,910,800 |
| Swap contracts | 15 |
| Net realized gain | 35,835,811 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (850,296) |
| Investments — affiliated issuers | (13,085) |
| Futures contracts | (9,789,427) |
| Swap contracts | 10,823 |
| Net change in unrealized appreciation (depreciation) | (10,641,985) |
| Net realized and unrealized gain | 25,193,826 |
| Net increase in net assets resulting from operations | $25,020,103 |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022
| 17 |
Consolidated Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment loss | $(173,723) | $(799,669) |
| Net realized gain | 35,835,811 | 41,254,210 |
| Net change in unrealized appreciation (depreciation) | (10,641,985) | (3,539,356) |
| Net increase in net assets resulting from operations | 25,020,103 | 36,915,185 |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class 1 | — | (254,188) |
| Total distributions to shareholders | — | (254,188) |
| Decrease in net assets from capital stock activity | (13,358,243) | (24,249,059) |
| Total increase in net assets | 11,661,860 | 12,411,938 |
| Net assets at beginning of period | 131,517,445 | 119,105,507 |
| Net assets at end of period | $143,179,305 | $131,517,445 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 485,582 | 3,532,804 | 394,790 | 2,119,779 |
| Distributions reinvested | — | — | 45,717 | 254,188 |
| Redemptions | (4,681,520) | (32,616,468) | (6,362,572) | (34,120,629) |
| Net decrease | (4,195,938) | (29,083,664) | (5,922,065) | (31,746,662) |
| Class 2 | | | | |
| Subscriptions | 3,275,694 | 23,678,916 | 2,402,551 | 12,553,461 |
| Redemptions | (1,093,398) | (7,953,495) | (979,530) | (5,055,858) |
| Net increase | 2,182,296 | 15,725,421 | 1,423,021 | 7,497,603 |
| Total net decrease | (2,013,642) | (13,358,243) | (4,499,044) | (24,249,059) |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
| 18 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
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Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022
| 19 |
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.
| | 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 | Total
distributions to
shareholders |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $5.73 | (0.01) | 1.13 | 1.12 | — | — |
| Year Ended 12/31/2021 | $4.33 | (0.03) | 1.44 | 1.41 | (0.01) | (0.01) |
| Year Ended 12/31/2020 | $5.55 | 0.01 | (0.22) | (0.21) | (1.01) | (1.01) |
| Year Ended 12/31/2019 | $5.21 | 0.08 | 0.33 | 0.41 | (0.07) | (0.07) |
| Year Ended 12/31/2018 | $6.05 | 0.07 | (0.90) | (0.83) | (0.01) | (0.01) |
| Year Ended 12/31/2017 | $6.33 | 0.01 | 0.07 | 0.08 | (0.36) | (0.36) |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $5.65 | (0.01) | 1.11 | 1.10 | — | — |
| Year Ended 12/31/2021 | $4.28 | (0.04) | 1.41 | 1.37 | — | — |
| Year Ended 12/31/2020 | $5.50 | (0.02) | (0.20) | (0.22) | (1.00) | (1.00) |
| Year Ended 12/31/2019 | $5.15 | 0.07 | 0.33 | 0.40 | (0.05) | (0.05) |
| Year Ended 12/31/2018 | $6.00 | 0.06 | (0.91) | (0.85) | — | — |
| Year Ended 12/31/2017 | $6.27 | (0.01) | 0.08 | 0.07 | (0.34) | (0.34) |
| 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) | Annualized. |
| (d) | Ratios include interest on collateral expense. If interest on collateral expense had been excluded, expenses would have been lower by 0.01%. |
| (e) | Ratios include interfund lending expense which is less than 0.01%. |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
| 20 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
Consolidated Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $6.85 | 19.55% | 0.74%(c),(d) | 0.74%(c),(d) | (0.17%)(c) | 36% | $93,837 |
| Year Ended 12/31/2021 | $5.73 | 32.63% | 0.76%(d) | 0.76%(d) | (0.56%) | 101% | $102,522 |
| Year Ended 12/31/2020 | $4.33 | (1.29%) | 0.70% | 0.70% | 0.23% | 0% | $103,243 |
| Year Ended 12/31/2019 | $5.55 | 7.80% | 0.66% | 0.66% | 1.53% | 0% | $404,193 |
| Year Ended 12/31/2018 | $5.21 | (13.77%) | 0.66%(e) | 0.66%(e) | 1.18% | 0% | $226,877 |
| Year Ended 12/31/2017 | $6.05 | 1.80% | 0.69% | 0.69% | 0.15% | 0% | $536,624 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $6.75 | 19.47% | 1.00%(c),(d) | 1.00%(c),(d) | (0.38%)(c) | 36% | $49,342 |
| Year Ended 12/31/2021 | $5.65 | 32.01% | 1.01%(d) | 1.01%(d) | (0.80%) | 101% | $28,996 |
| Year Ended 12/31/2020 | $4.28 | (1.55%) | 0.98% | 0.98% | (0.39%) | 0% | $15,862 |
| Year Ended 12/31/2019 | $5.50 | 7.78% | 0.91% | 0.91% | 1.29% | 0% | $16,059 |
| Year Ended 12/31/2018 | $5.15 | (14.17%) | 0.92%(e) | 0.92%(e) | 1.05% | 0% | $15,269 |
| Year Ended 12/31/2017 | $6.00 | 1.71% | 0.94% | 0.94% | (0.09%) | 0% | $15,541 |
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022
| 21 |
Notes to Consolidated Financial Statements
June 30, 2022 (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, 2022, the Subsidiary financial statement information is as follows:
| | CVPCSF Offshore Fund, Ltd. |
| % of consolidated fund net assets | 17.15% |
| Net assets | $24,553,429 |
| Net investment income (loss) | (100,451) |
| Net realized gain (loss) | 35,625,826 |
| Net change in unrealized appreciation (depreciation) | (9,768,841) |
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 net investment income 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.
| 22 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
Notes to Consolidated Financial Statements (continued)
June 30, 2022 (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 market value, unless this method results in a valuation that management believes does not approximate fair 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. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management believes does not approximate fair value.
Investments in open-end investment companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
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 a settlement price, 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, if available.
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, in seeking 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.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022
| 23 |
Notes to Consolidated Financial Statements (continued)
June 30, 2022 (Unaudited)
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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. 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 clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing 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 counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts and 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 instruments’ 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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as well. 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 may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in the Consolidated Statement of Operations. 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 determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, 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 the duration and yield curve exposure of the Fund versus the benchmark, to manage exposure to movements in interest rates and to manage exposure to the
| 24 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
Notes to Consolidated Financial Statements (continued)
June 30, 2022 (Unaudited)
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 generally expects to earn interest income on its margin deposits. 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.
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 Consolidated Portfolio of Investments and cash deposited is recorded in the Consolidated Statement of Assets and Liabilities as margin deposits. For a bilateral swap contract, the Fund has credit exposure to the broker, but exchanges daily variation margin with the broker based on the mark-to-market value of the swap contract to minimize that exposure. 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 Consolidated 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 Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that there may be unfavorable changes in interest rates, market conditions or other conditions, that 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.
Interest rate and inflation rate swap contracts
The Fund entered into interest rate swap transactions and/or inflation rate swap contracts to manage interest rate and market risk exposure to produce incremental earnings and to hedge the portfolio risk associated with some or all of the Fund’s securities. These instruments may be used for other purposes in future periods. An interest rate swap or inflation rate swap, as applicable, 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.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022
| 25 |
Notes to Consolidated Financial Statements (continued)
June 30, 2022 (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, 2022:
| | Asset derivatives | |
Risk exposure
category | Consolidated statement
of assets and liabilities
location | Fair value ($) |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 30,199* |
| Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 7,367,270* |
| Total | | 7,397,469 |
| | Liability derivatives | |
Risk exposure
category | Consolidated statement
of assets and liabilities
location | Fair value ($) |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 19,376* |
| Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 11,799,815* |
| Total | | 11,819,191 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Consolidated Statement of Operations for the six months ended June 30, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) | Swap
contracts
($) | Total
($) |
| Commodity-related investment risk | 35,625,816 | — | 35,625,816 |
| Interest rate risk | 284,984 | 15 | 284,999 |
| Total | 35,910,800 | 15 | 35,910,815 |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) | Swap
contracts
($) | Total
($) |
| Commodity-related investment risk | (9,768,841) | — | (9,768,841) |
| Interest rate risk | (20,586) | 10,823 | (9,763) |
| Total | (9,789,427) | 10,823 | (9,778,604) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 163,722,797 |
| Futures contracts — short | 5,086,125 |
| 26 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
Notes to Consolidated Financial Statements (continued)
June 30, 2022 (Unaudited)
| Derivative instrument | Average unrealized
appreciation ($)* | Average unrealized
depreciation ($)* |
| Interest rate swap contracts | 15,100 | (9,688) |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
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.
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 may 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 may 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.
| | Morgan
Stanley ($) |
| Liabilities | |
| Centrally cleared interest rate swap contracts (a) | 27,517 |
| Total liabilities | 27,517 |
| Total financial and derivative net assets | (27,517) |
| Total collateral received (pledged) (b) | (27,517) |
| Net amount (c) | - |
| (a) | Centrally cleared swaps are included within payable/receivable for variation margin on the Consolidated 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.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022
| 27 |
Notes to Consolidated Financial Statements (continued)
June 30, 2022 (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 collectability 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 investment company taxable income and net capital gain, 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 in the Consolidated 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 annually. 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 the Fund at the net asset value as of the ex-dividend date of the distribution.
| 28 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
Notes to Consolidated Financial Statements (continued)
June 30, 2022 (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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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, 2022 was 0.63% of the Fund’s average daily net assets.
Subadvisory agreement
The Fund’s Board of Trustees has approved a Subadvisory Agreement between the Investment Manager and Threadneedle International Limited (Threadneedle), an affiliate of the Investment Manager and an indirect wholly-owned subsidiary of Ameriprise Financial. As of June 30, 2022, Threadneedle is not providing services to the Fund pursuant to the Subadvisory Agreement.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Consolidated Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Consolidated Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.04% of the Fund’s average daily net assets.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022
| 29 |
Notes to Consolidated Financial Statements (continued)
June 30, 2022 (Unaudited)
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | May 1, 2022
through
April 30, 2023 | Prior to
May 1, 2022 |
| Class 1 | 0.74% | 0.80% |
| Class 2 | 0.99 | 1.05 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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, 2022, the approximate cost of all 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) ($) |
| 119,006,000 | 7,398,000 | (12,957,000) | (5,559,000) |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss carryforwards, determined at December 31, 2021, may be available to reduce future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code.
| 30 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
Notes to Consolidated Financial Statements (continued)
June 30, 2022 (Unaudited)
No expiration
short-term ($) | No expiration
long-term ($) | Total ($) |
| (156,520) | — | (156,520) |
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 $24,160,672 and $23,785,137, respectively, for the six months ended June 30, 2022, of which $701,641 and $0, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Consolidated Financial Highlights.
Note 6. 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 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022
| 31 |
Notes to Consolidated Financial Statements (continued)
June 30, 2022 (Unaudited)
permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 9. 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 instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower-rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
Derivatives risk
Losses involving derivative instruments may be substantial, because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency, 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, liquidity risk and pricing 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 instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise 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. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
Leverage risk
Leverage occurs when the Fund increases its assets available for investment using borrowings, short sales, derivatives, or similar instruments or techniques. The use of leverage may produce volatility and may exaggerate changes in the NAV of Fund shares and in the return on the Fund’s portfolio, which may increase the risk that the Fund will lose more than it has invested. Because short sales involve borrowing securities and then selling them, the Fund’s short sales effectively leverage the Fund’s assets. The Fund’s assets that are used as collateral to secure the Fund’s obligations to return the securities sold short may decrease in value while the short positions are outstanding, which may force the Fund to use its other assets to increase the collateral. Leverage can create an interest expense that may lower the Fund’s overall returns. Leverage presents the opportunity for increased net income and capital gains, but may also exaggerate the Fund’s volatility and risk of loss. There can be no guarantee that a leveraging strategy will be successful.
| 32 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
Notes to Consolidated Financial Statements (continued)
June 30, 2022 (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.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022
| 33 |
Notes to Consolidated Financial Statements (continued)
June 30, 2022 (Unaudited)
Money market fund investment risk
An investment in a money market fund is not a bank deposit and is not insured or guaranteed by any bank, the FDIC or any other government agency. Certain money market funds float their net asset value while others seek to preserve the value of investments at a stable net asset value (typically, $1.00 per share). An investment in a money market fund, even an investment in a fund seeking to maintain a stable net asset value per share, is not guaranteed and it is possible for the Fund to lose money by investing in these and other types of money market funds. If the liquidity of a money market fund’s portfolio deteriorates below certain levels, the money market fund may suspend redemptions (i.e., impose a redemption gate) and thereby prevent the Fund from selling its investment in the money market fund or impose a fee of up to 2% on amounts the Fund redeems from the money market fund (i.e., impose a liquidity fee). These measures may result in an investment loss or prohibit the Fund from redeeming shares when the Investment Manager would otherwise redeem shares. In addition to the fees and expenses that the Fund directly bears, the Fund indirectly bears the fees and expenses of any money market funds in which it invests, including affiliated money market funds. By investing in a money market fund, the Fund will be exposed to the investment risks of the money market fund in direct proportion to such investment. To the extent the Fund invests in instruments such as derivatives, the Fund may hold investments, which may be significant, in money market fund shares to cover its obligations resulting from the Fund’s investments in such instruments. Money market funds and the securities they invest in are subject to comprehensive regulations. The enactment of new legislation or regulations, as well as changes in interpretation and enforcement of current laws, may affect the manner of operation, performance and/or yield of money market funds.
Mortgage- and other asset-backed securities risk
The value of any mortgage-backed and other asset-backed securities including collateralized debt obligations, if any, 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 liquidity risk and prepayment risk. A decline or flattening of housing values may cause delinquencies in mortgages (especially sub-prime or non-prime mortgages) underlying mortgage-backed securities and thereby adversely affect the ability of the mortgage-backed securities issuer to make principal and/or interest payments to mortgage-backed securities holders, including the Fund. 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, 2022, one unaffiliated shareholder of record owned 12.0% 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 80.7% 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. 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.
| 34 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
Notes to Consolidated Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022
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Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management and Subadvisory
Agreements
(Unaudited)
Columbia Management Investment Advisers, LLC (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), the Investment Manager 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 the Investment Manager and Threadneedle International Limited (the Subadviser),an affiliate of the Investment Manager, the Investment Manager has retained the Subadviser to perform portfolio management and related services for the Fund. Although the Subadviser is not currently providing such services, the Investment Manager may in the future reallocate Fund assets to be managed by the Subadviser.
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). The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
| 36 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board, at its June 23, 2022 Board meeting (the June Meeting), considered the renewal of each 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. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Advisory Agreements; |
| • | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager and the Subadviser under the Advisory Agreements, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager and the Subadviser, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager and the Subadviser with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement and the Subadvisory Agreement.
Nature, extent and quality of services provided by the Investment Manager and the Subadviser
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager and the Subadviser, as well as their history, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers. With respect to the Investment Manager, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022
| 37 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. 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 the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by the Investment Manager in addition to monitoring the Subadviser), noting that no changes were proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
The Board 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 subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no changes were recommended to the Subadvisory Agreement. The Board took into account the Investment Manager’s representation that the Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Advisory Agreements supported the continuation of the Management Agreement and the Subadvisory Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
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.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
| 38 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board also considered the Investment Manager’s and Subadviser’s performance and reputation generally and the Investment Manager’s evaluation of the Subadviser’s contribution to the Fund’s broader investment mandate. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadviser, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates 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 Broadridge and JDL) 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 the Investment Manager’s profitability.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees, subadvisory fees and expenses of the Fund, in light of other considerations, supported the continuation of each of the Management Agreement and the Subadvisory Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. The Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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
Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022
| 39 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
Board observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. The Board also noted that the breakpoints in the Subadvisory Agreement did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement and the Subadvisory Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under each of the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided and approved the renewal of each of the Advisory Agreements.
| 40 | Columbia Variable Portfolio – Commodity Strategy Fund | Semiannual Report 2022 |
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Columbia Variable Portfolio – Commodity Strategy Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
Portfolio Navigator Funds
References to “Fund” throughout this semiannual report refer to the following individual funds, singularly or collectively as the context requires:
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 participating insurance companies. Please contact your financial advisor or insurance representative for more information.
Not FDIC or NCUA Insured • No Financial Institution Guarantee • May Lose Value
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Portfolio Navigator Funds | Semiannual Report 2022
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
Anwiti Bahuguna, Ph.D.
Lead Portfolio Manager
Managed Fund since 2015
Brian Virginia
Portfolio Manager
Managed Fund since 2015
David Weiss, CFA
Portfolio Manager
Managed Fund since 2016
Joshua Kutin, CFA
Portfolio Manager
Managed Fund since 2018
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1* | 02/20/19 | -13.36 | -12.43 | 1.72 | 2.68 |
| Class 2 | 05/07/10 | -13.52 | -12.64 | 1.54 | 2.58 |
| Class 4 | 05/07/10 | -13.47 | -12.64 | 1.54 | 2.58 |
| Blended Benchmark | | -12.42 | -11.12 | 2.50 | 3.42 |
| Bloomberg U.S. Aggregate Bond Index | | -10.35 | -10.29 | 0.88 | 1.54 |
| Russell 3000 Index | | -21.10 | -13.87 | 10.60 | 12.57 |
| MSCI EAFE Index (Net) | | -19.57 | -17.77 | 2.20 | 5.40 |
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 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. Since the Fund launched more than one share class at its inception, Class 2 shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
The Blended Benchmark consists of 80% Bloomberg U.S. Aggregate Bond Index, 14% Russell 3000 Index, and 6% MSCI EAFE Index (Net).
The Bloomberg 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.
Portfolio Navigator Funds | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
Variable Portfolio – Conservative Portfolio (Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Alternative Strategies Funds | 0.1 |
| Equity Funds | 17.9 |
| Fixed Income Funds | 75.1 |
| Money Market Funds | 6.9 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| 4 | Portfolio Navigator Funds | Semiannual Report 2022 |
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
Anwiti Bahuguna, Ph.D.
Lead Portfolio Manager
Managed Fund since 2015
Brian Virginia
Portfolio Manager
Managed Fund since 2015
David Weiss, CFA
Portfolio Manager
Managed Fund since 2016
Joshua Kutin, CFA
Portfolio Manager
Managed Fund since 2018
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1* | 02/20/19 | -14.96 | -13.42 | 2.74 | 3.88 |
| Class 2 | 05/07/10 | -15.06 | -13.65 | 2.56 | 3.79 |
| Class 4 | 05/07/10 | -15.08 | -13.67 | 2.56 | 3.79 |
| Blended Benchmark | | -13.97 | -11.80 | 3.61 | 4.76 |
| Bloomberg U.S. Aggregate Bond Index | | -10.35 | -10.29 | 0.88 | 1.54 |
| Russell 3000 Index | | -21.10 | -13.87 | 10.60 | 12.57 |
| MSCI EAFE Index (Net) | | -19.57 | -17.77 | 2.20 | 5.40 |
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 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. Since the Fund launched more than one share class at its inception, Class 2 shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
The Blended Benchmark consists of 65% Bloomberg U.S. Aggregate Bond Index, 24% Russell 3000 Index, and 11% MSCI EAFE Index (Net).
The Bloomberg 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.
Portfolio Navigator Funds | Semiannual Report 2022
| 5 |
Fund at a Glance (continued)
Variable Portfolio – Moderately Conservative Portfolio (Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Alternative Strategies Funds | 0.2 |
| Equity Funds | 32.6 |
| Fixed Income Funds | 63.2 |
| Money Market Funds | 4.0 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| 6 | Portfolio Navigator Funds | Semiannual Report 2022 |
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
Anwiti Bahuguna, Ph.D.
Lead Portfolio Manager
Managed Fund since 2015
Brian Virginia
Portfolio Manager
Managed Fund since 2015
David Weiss, CFA
Portfolio Manager
Managed Fund since 2016
Joshua Kutin, CFA
Portfolio Manager
Managed Fund since 2018
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1* | 02/20/19 | -16.46 | -14.29 | 3.78 | 5.14 |
| Class 2 | 05/07/10 | -16.52 | -14.49 | 3.61 | 5.06 |
| Class 4 | 05/07/10 | -16.54 | -14.52 | 3.61 | 5.05 |
| Blended Benchmark | | -15.52 | -12.47 | 4.76 | 6.15 |
| Bloomberg U.S. Aggregate Bond Index | | -10.35 | -10.29 | 0.88 | 1.54 |
| Russell 3000 Index | | -21.10 | -13.87 | 10.60 | 12.57 |
| MSCI EAFE Index (Net) | | -19.57 | -17.77 | 2.20 | 5.40 |
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 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. Since the Fund launched more than one share class at its inception, Class 2 shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
The Blended Benchmark consists of 50% Bloomberg U.S. Aggregate Bond Index, 35% Russell 3000 Index, and 15% MSCI EAFE Index (Net).
The Bloomberg 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.
Portfolio Navigator Funds | Semiannual Report 2022
| 7 |
Fund at a Glance (continued)
Variable Portfolio – Moderate Portfolio (Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Alternative Strategies Funds | 0.3 |
| Equity Funds | 47.0 |
| Fixed Income Funds | 45.5 |
| Money Market Funds | 7.2 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| 8 | Portfolio Navigator Funds | Semiannual Report 2022 |
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
Anwiti Bahuguna, Ph.D.
Lead Portfolio Manager
Managed Fund since 2015
Brian Virginia
Portfolio Manager
Managed Fund since 2015
David Weiss, CFA
Portfolio Manager
Managed Fund since 2016
Joshua Kutin, CFA
Portfolio Manager
Managed Fund since 2018
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1* | 02/20/19 | -18.07 | -15.44 | 4.63 | 6.25 |
| Class 2 | 05/07/10 | -18.17 | -15.63 | 4.46 | 6.17 |
| Class 4 | 05/07/10 | -18.18 | -15.65 | 4.47 | 6.16 |
| Blended Benchmark | | -17.07 | -13.18 | 5.86 | 7.50 |
| Russell 3000 Index | | -21.10 | -13.87 | 10.60 | 12.57 |
| Bloomberg U.S. Aggregate Bond Index | | -10.35 | -10.29 | 0.88 | 1.54 |
| MSCI EAFE Index (Net) | | -19.57 | -17.77 | 2.20 | 5.40 |
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 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. Since the Fund launched more than one share class at its inception, Class 2 shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
The Blended Benchmark consists of 46% Russell 3000 Index, 35% Bloomberg 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 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.
Portfolio Navigator Funds | Semiannual Report 2022
| 9 |
Fund at a Glance (continued)
Variable Portfolio – Moderately Aggressive Portfolio (Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Alternative Strategies Funds | 0.4 |
| Equity Funds | 62.9 |
| Fixed Income Funds | 31.3 |
| Money Market Funds | 5.4 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| 10 | Portfolio Navigator Funds | Semiannual Report 2022 |
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
Anwiti Bahuguna, Ph.D.
Lead Portfolio Manager
Managed Fund since 2015
Brian Virginia
Portfolio Manager
Managed Fund since 2015
David Weiss, CFA
Portfolio Manager
Managed Fund since 2016
Joshua Kutin, CFA
Portfolio Manager
Managed Fund since 2018
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1* | 02/20/19 | -19.59 | -16.32 | 5.47 | 7.40 |
| Class 2 | 05/07/10 | -19.69 | -16.56 | 5.29 | 7.31 |
| Class 4 | 05/07/10 | -19.72 | -16.57 | 5.28 | 7.30 |
| Blended Benchmark | | -18.59 | -13.95 | 6.82 | 8.76 |
| Russell 3000 Index | | -21.10 | -13.87 | 10.60 | 12.57 |
| MSCI EAFE Index (Net) | | -19.57 | -17.77 | 2.20 | 5.40 |
| Bloomberg U.S. Aggregate Bond Index | | -10.35 | -10.29 | 0.88 | 1.54 |
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. Since the Fund launched more than one share class at its inception, Class 2 shares were used. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
The Blended Benchmark consists of 56% Russell 3000 Index, 24% MSCI EAFE Index (Net) and 20% Bloomberg 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 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.
Portfolio Navigator Funds | Semiannual Report 2022
| 11 |
Fund at a Glance (continued)
Variable Portfolio – Aggressive Portfolio (Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Alternative Strategies Funds | 0.6 |
| Equity Funds | 79.9 |
| Fixed Income Funds | 16.7 |
| Money Market Funds | 2.8 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| 12 | Portfolio Navigator Funds | Semiannual Report 2022 |
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, 2022 — June 30, 2022 |
| | 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 ($) | Fund’s effective
annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual |
| Variable Portfolio – Conservative Portfolio |
| Class 1 | 1,000.00 | 1,000.00 | 866.40 | 1,024.10 | 0.65 | 0.70 | 0.14 | 2.92 | 3.16 | 0.63 |
| Class 2 | 1,000.00 | 1,000.00 | 864.80 | 1,022.86 | 1.80 | 1.96 | 0.39 | 4.07 | 4.41 | 0.88 |
| Class 4 | 1,000.00 | 1,000.00 | 865.30 | 1,022.86 | 1.80 | 1.96 | 0.39 | 4.07 | 4.41 | 0.88 |
| Variable Portfolio – Moderately Conservative Portfolio |
| Class 1 | 1,000.00 | 1,000.00 | 850.40 | 1,024.20 | 0.55 | 0.60 | 0.12 | 3.07 | 3.36 | 0.67 |
| Class 2 | 1,000.00 | 1,000.00 | 849.40 | 1,022.96 | 1.70 | 1.86 | 0.37 | 4.22 | 4.61 | 0.92 |
| Class 4 | 1,000.00 | 1,000.00 | 849.20 | 1,022.96 | 1.70 | 1.86 | 0.37 | 4.22 | 4.61 | 0.92 |
Portfolio Navigator Funds | Semiannual Report 2022
| 13 |
Understanding Your Fund’s Expenses (continued)
(Unaudited)
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 – Moderate Portfolio |
| Class 1 | 1,000.00 | 1,000.00 | 835.40 | 1,024.15 | 0.59 | 0.65 | 0.13 | 3.19 | 3.51 | 0.70 |
| Class 2 | 1,000.00 | 1,000.00 | 834.80 | 1,022.91 | 1.73 | 1.91 | 0.38 | 4.32 | 4.76 | 0.95 |
| Class 4 | 1,000.00 | 1,000.00 | 834.60 | 1,022.91 | 1.73 | 1.91 | 0.38 | 4.32 | 4.76 | 0.95 |
| Variable Portfolio – Moderately Aggressive Portfolio |
| Class 1 | 1,000.00 | 1,000.00 | 819.30 | 1,024.15 | 0.59 | 0.65 | 0.13 | 3.34 | 3.71 | 0.74 |
| Class 2 | 1,000.00 | 1,000.00 | 818.30 | 1,022.91 | 1.71 | 1.91 | 0.38 | 4.46 | 4.97 | 0.99 |
| Class 4 | 1,000.00 | 1,000.00 | 818.20 | 1,022.91 | 1.71 | 1.91 | 0.38 | 4.46 | 4.97 | 0.99 |
| Variable Portfolio – Aggressive Portfolio |
| Class 1 | 1,000.00 | 1,000.00 | 804.10 | 1,024.20 | 0.54 | 0.60 | 0.12 | 3.49 | 3.91 | 0.78 |
| Class 2 | 1,000.00 | 1,000.00 | 803.10 | 1,022.96 | 1.65 | 1.86 | 0.37 | 4.60 | 5.17 | 1.03 |
| Class 4 | 1,000.00 | 1,000.00 | 802.80 | 1,022.96 | 1.65 | 1.86 | 0.37 | 4.60 | 5.17 | 1.03 |
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..
| 14 | Portfolio Navigator Funds | Semiannual Report 2022 |
Portfolio of Investments
Variable Portfolio – Conservative Portfolio, June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Alternative Strategies Funds 0.2% |
| | Shares | Value ($) |
| Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 193,127 | 1,322,922 |
Total Alternative Strategies Funds
(Cost $923,530) | 1,322,922 |
|
| Equity Funds 17.8% |
| | |
| Global Real Estate 0.2% |
| CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 184,974 | 1,514,935 |
| International 5.4% |
| Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 2,833,977 | 31,513,821 |
| Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 517,429 | 4,361,932 |
| Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a),(b) | 844,427 | 8,216,271 |
| Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 1,092,909 | 9,005,574 |
| Total | 53,097,598 |
| U.S. Large Cap 11.1% |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 457,961 | 15,112,726 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 204,918 | 14,606,575 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 308,676 | 8,241,660 |
| Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 2,088,888 | 30,664,874 |
| Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 271,060 | 9,010,035 |
| CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 126,373 | 4,151,334 |
| CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 91,278 | 3,309,727 |
| CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 98,065 | 4,165,816 |
| CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 152,939 | 4,635,569 |
| Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 495,049 | 14,450,466 |
| Total | 108,348,782 |
| Equity Funds (continued) |
| | Shares | Value ($) |
| U.S. Small Cap 1.1% |
| Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 143,096 | 2,489,868 |
| Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 141,990 | 2,117,079 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 113,843 | 3,014,557 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 109,369 | 3,430,906 |
| Total | 11,052,410 |
Total Equity Funds
(Cost $171,546,862) | 174,013,725 |
|
| Fixed Income Funds 74.8% |
| | |
| Emerging Markets 0.6% |
| Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 772,108 | 5,721,318 |
| Investment Grade 74.2% |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 14,222,957 | 127,579,925 |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 4,592,303 | 42,203,260 |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 3,204,469 | 27,942,967 |
| Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 4,306,776 | 40,311,425 |
| CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 7,031,952 | 69,827,283 |
| CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 12,610,295 | 120,428,322 |
| Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 29,834,947 | 296,559,378 |
| Total | 724,852,560 |
Total Fixed Income Funds
(Cost $830,724,238) | 730,573,878 |
|
| Money Market Funds 6.9% |
| | |
| Columbia Short-Term Cash Fund, 1.247%(a),(c) | 67,577,141 | 67,536,594 |
Total Money Market Funds
(Cost $67,563,487) | 67,536,594 |
Total Investments in Securities
(Cost: $1,070,758,117) | 973,447,119 |
| Other Assets & Liabilities, Net | | 2,940,809 |
| Net Assets | 976,387,928 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2022
| 15 |
Portfolio of Investments (continued)
Variable Portfolio – Conservative Portfolio, June 30, 2022 (Unaudited)
At June 30, 2022, securities and/or cash totaling $2,944,135 were pledged as collateral.
Investments in derivatives
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| EURO STOXX 50 Index | 126 | 09/2022 | EUR | 4,335,660 | — | (180,824) |
| Russell 2000 Index E-mini | 29 | 09/2022 | USD | 2,476,600 | — | (207,132) |
| S&P 500 Index E-mini | 126 | 09/2022 | USD | 23,873,850 | — | (1,436,083) |
| U.S. Treasury 10-Year Note | 203 | 09/2022 | USD | 24,061,844 | — | (320,745) |
| U.S. Ultra Treasury Bond | 86 | 09/2022 | USD | 13,273,562 | — | (387,192) |
| Total | | | | | — | (2,531,976) |
Notes to Portfolio of Investments
| (a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Capital gain
distributions($) | Realized gain
(loss)($) | Dividends —
affiliated
issuers ($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 80,580,194 | 29,659,354 | (42,683,893) | (19,061) | 67,536,594 | — | (9,999) | 155,489 | 67,577,141 |
| Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares |
| | 1,106,620 | — | — | 216,302 | 1,322,922 | — | — | — | 193,127 |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares |
| | 20,040,173 | 721,882 | (1,240,801) | (4,408,528) | 15,112,726 | — | 936,714 | — | 457,961 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares |
| | 20,047,247 | 757,585 | (1,628,941) | (4,569,316) | 14,606,575 | — | 1,009,668 | — | 204,918 |
| Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares |
| | 7,091,612 | 218,512 | (112,176) | (1,476,630) | 5,721,318 | — | (6,794) | 132,123 | 772,108 |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares |
| | 134,170,309 | 11,792,535 | (233,491) | (18,149,428) | 127,579,925 | — | (12,096) | — | 14,222,957 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares |
| | 11,777,551 | 626,018 | (513,921) | (3,647,988) | 8,241,660 | — | 279,768 | — | 308,676 |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares |
| | 35,268,819 | 31,441,585 | (23,608,287) | (898,857) | 42,203,260 | — | (1,501,404) | — | 4,592,303 |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares |
| | 35,415,685 | 640,034 | (306,781) | (7,805,971) | 27,942,967 | — | 17,474 | — | 3,204,469 |
| Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares |
| | 41,520,265 | 4,020,843 | (3,449,571) | (10,577,716) | 31,513,821 | 2,490,666 | 362,985 | 277,054 | 2,833,977 |
| Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares |
| | 40,083,009 | 1,297,973 | (2,139,992) | (8,576,116) | 30,664,874 | — | 875,922 | — | 2,088,888 |
| Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares |
| | 11,472,923 | 261,648 | (742,877) | (1,981,659) | 9,010,035 | — | 916,734 | — | 271,060 |
| Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares |
| | 3,504,807 | 95,795 | (631,396) | (479,338) | 2,489,868 | — | 7,840 | — | 143,096 |
| Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares |
| | 3,463,149 | — | — | (1,346,070) | 2,117,079 | — | — | — | 141,990 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Portfolio Navigator Funds | Semiannual Report 2022 |
Portfolio of Investments (continued)
Variable Portfolio – Conservative Portfolio, June 30, 2022 (Unaudited)
Notes to Portfolio of Investments (continued)
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Capital gain
distributions($) | Realized gain
(loss)($) | Dividends —
affiliated
issuers ($) | End of
period shares |
| Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares |
| | 47,425,646 | 30,328 | (2,968,249) | (4,176,300) | 40,311,425 | — | (174,426) | — | 4,306,776 |
| CTIVP® – Allspring Short Duration Government Fund, Class 1 Shares |
| | 35,619,459 | 253,319 | (37,291,209) | 1,418,431 | — | 169,594 | (2,802,365) | 73,624 | — |
| CTIVP® – American Century Diversified Bond Fund, Class 1 Shares |
| | 82,163,499 | 39,902 | (2,995,112) | (9,381,006) | 69,827,283 | — | (196,645) | — | 7,031,952 |
| CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares |
| | 2,354,735 | 222,923 | (640,183) | (422,540) | 1,514,935 | — | 88,953 | — | 184,974 |
| CTIVP® – MFS® Value Fund, Class 1 Shares |
| | 5,893,259 | 424,182 | (1,145,497) | (1,020,610) | 4,151,334 | — | 382,127 | — | 126,373 |
| CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares |
| | 5,210,497 | 490,127 | (218,284) | (2,172,613) | 3,309,727 | — | 156,800 | — | 91,278 |
| CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares |
| | 5,899,900 | 391,099 | (330,670) | (1,794,513) | 4,165,816 | — | 270,915 | — | 98,065 |
| CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares |
| | 5,895,878 | 128,133 | (434,562) | (953,880) | 4,635,569 | — | 458,056 | — | 152,939 |
| CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares |
| | 142,689,006 | 59,967 | (7,181,481) | (15,139,170) | 120,428,322 | — | (263,060) | — | 12,610,295 |
| Variable Portfolio – Partners Core Bond Fund, Class 1 Shares |
| | 350,699,116 | 130,071 | (18,706,105) | (35,563,704) | 296,559,378 | — | (697,786) | — | 29,834,947 |
| Variable Portfolio – Partners Core Equity Fund, Class 1 Shares |
| | 18,841,199 | 602,631 | (737,312) | (4,256,052) | 14,450,466 | — | 835,622 | — | 495,049 |
| Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares |
| | 5,916,423 | 1,217,105 | (518,426) | (2,253,170) | 4,361,932 | 785,004 | 109,873 | 98,612 | 517,429 |
| Variable Portfolio – Partners International Growth Fund, Class 1 Shares |
| | 11,876,951 | 1,081,134 | (577,064) | (4,164,750) | 8,216,271 | 514,058 | 341,206 | — | 844,427 |
| Variable Portfolio – Partners International Value Fund, Class 1 Shares |
| | 11,773,624 | 655,376 | (828,018) | (2,595,408) | 9,005,574 | — | 582,485 | 240,114 | 1,092,909 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares |
| | 4,520,980 | 236,274 | (214,875) | (1,527,822) | 3,014,557 | — | 218,192 | — | 113,843 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares |
| | 4,723,556 | 125,396 | (660,508) | (757,538) | 3,430,906 | — | 81,012 | — | 109,369 |
| Total | 1,187,046,091 | | | (148,481,021) | 973,447,119 | 3,959,322 | 2,267,771 | 977,016 | |
| (b) | Non-income producing investment. |
| (c) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
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
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2022
| 17 |
Portfolio of Investments (continued)
Variable Portfolio – Conservative Portfolio, June 30, 2022 (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 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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) |
| Investments in Securities | | | | | |
| Alternative Strategies Funds | — | — | — | 1,322,922 | 1,322,922 |
| Equity Funds | — | �� | — | 174,013,725 | 174,013,725 |
| Fixed Income Funds | — | — | — | 730,573,878 | 730,573,878 |
| Money Market Funds | 67,536,594 | — | — | — | 67,536,594 |
| Total Investments in Securities | 67,536,594 | — | — | 905,910,525 | 973,447,119 |
| Investments in Derivatives | | | | | |
| Liability | | | | | |
| Futures Contracts | (2,531,976) | — | — | — | (2,531,976) |
| Total | 65,004,618 | — | — | 905,910,525 | 970,915,143 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
Derivative instruments are valued at unrealized appreciation (depreciation).
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Portfolio Navigator Funds | Semiannual Report 2022 |
Portfolio of Investments
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Alternative Strategies Funds 0.2% |
| | Shares | Value ($) |
| Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 819,973 | 5,616,813 |
Total Alternative Strategies Funds
(Cost $3,855,572) | 5,616,813 |
|
| Equity Funds 32.5% |
| | |
| Global Real Estate 0.4% |
| CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 1,101,724 | 9,023,114 |
| International 10.5% |
| Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a),(b) | 1,002,150 | 9,420,209 |
| Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 9,268,537 | 103,066,136 |
| Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 6,677,263 | 56,289,328 |
| Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a),(b) | 3,686,784 | 35,872,409 |
| Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 5,191,040 | 42,774,166 |
| Total | 247,422,248 |
| U.S. Large Cap 19.7% |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 1,365,423 | 45,058,964 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 636,878 | 45,396,634 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 1,560,133 | 41,655,548 |
| Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 6,166,421 | 90,523,066 |
| Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 1,368,156 | 45,477,498 |
| CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 1,192,223 | 39,164,518 |
| CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 717,866 | 26,029,835 |
| CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 819,123 | 34,796,360 |
| CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 1,279,545 | 38,783,010 |
| Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 2,037,315 | 59,469,221 |
| Total | 466,354,654 |
| Equity Funds (continued) |
| | Shares | Value ($) |
| U.S. Mid Cap 0.6% |
| CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 212,178 | 8,160,375 |
| CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 213,226 | 7,307,242 |
| Total | 15,467,617 |
| U.S. Small Cap 1.3% |
| Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 456,839 | 7,949,004 |
| Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 415,668 | 6,197,611 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 365,606 | 9,681,233 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 200,186 | 6,279,845 |
| Total | 30,107,693 |
Total Equity Funds
(Cost $679,796,200) | 768,375,326 |
|
| Fixed Income Funds 63.1% |
| | |
| Emerging Markets 0.6% |
| Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 1,910,736 | 14,158,555 |
| Investment Grade 62.5% |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 23,431,791 | 210,183,164 |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 10,428,115 | 95,834,376 |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 5,272,597 | 45,977,043 |
| Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 5,378,037 | 50,338,422 |
| CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 16,266,283 | 161,524,193 |
| CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 28,757,266 | 274,631,891 |
| Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 64,246,558 | 638,610,790 |
| Total | 1,477,099,879 |
Total Fixed Income Funds
(Cost $1,681,397,814) | 1,491,258,434 |
|
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2022
| 19 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2022 (Unaudited)
| Money Market Funds 4.0% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(a),(c) | 93,834,321 | 93,778,021 |
Total Money Market Funds
(Cost $93,807,487) | 93,778,021 |
Total Investments in Securities
(Cost: $2,458,857,073) | 2,359,028,594 |
| Other Assets & Liabilities, Net | | 5,908,409 |
| Net Assets | 2,364,937,003 |
At June 30, 2022, securities and/or cash totaling $6,628,337 were pledged as collateral.
Investments in derivatives
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| EURO STOXX 50 Index | 434 | 09/2022 | EUR | 14,933,940 | — | (622,838) |
| Russell 2000 Index E-mini | 267 | 09/2022 | USD | 22,801,800 | — | (1,907,042) |
| S&P 500 Index E-mini | 223 | 09/2022 | USD | 42,252,925 | — | (2,541,638) |
| U.S. Ultra Treasury Bond | 147 | 09/2022 | USD | 22,688,531 | — | (661,829) |
| Total | | | | | — | (5,733,347) |
Notes to Portfolio of Investments
| (a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Capital gain
distributions($) | Realized gain
(loss)($) | Dividends —
affiliated
issuers ($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 118,825,058 | 64,426,373 | (89,455,174) | (18,236) | 93,778,021 | — | (23,343) | 221,774 | 93,834,321 |
| Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares |
| | 6,922,099 | — | (2,111,115) | 805,829 | 5,616,813 | — | 613,058 | — | 819,973 |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares |
| | 59,775,278 | — | (1,402,985) | (13,313,329) | 45,058,964 | — | 2,707,972 | — | 1,365,423 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares |
| | 60,084,868 | — | (1,543,132) | (13,145,102) | 45,396,634 | — | 1,927,125 | — | 636,878 |
| Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares |
| | 17,789,981 | 330,400 | (282,873) | (3,678,953) | 14,158,555 | — | (25,537) | 327,820 | 1,910,736 |
| Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares |
| | 13,441,489 | 2,948,130 | — | (6,969,410) | 9,420,209 | 2,948,130 | — | — | 1,002,150 |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares |
| | 251,634,555 | 2,376 | (10,035,842) | (31,417,925) | 210,183,164 | — | (635,840) | — | 23,431,791 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares |
| | 59,365,722 | 24,683 | (63,606) | (17,671,251) | 41,655,548 | — | 117,929 | — | 1,560,133 |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares |
| | 59,300,108 | 80,198,252 | (41,661,498) | (2,002,486) | 95,834,376 | — | (2,367,709) | — | 10,428,115 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Portfolio Navigator Funds | Semiannual Report 2022 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2022 (Unaudited)
Notes to Portfolio of Investments (continued)
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Capital gain
distributions($) | Realized gain
(loss)($) | Dividends —
affiliated
issuers ($) | End of
period shares |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares |
| | 59,024,805 | 12,428 | (33,202) | (13,026,988) | 45,977,043 | — | 2,632 | — | 5,272,597 |
| Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares |
| | 132,621,660 | 9,106,847 | (3,963,252) | (34,699,119) | 103,066,136 | 8,171,672 | 772,451 | 906,604 | 9,268,537 |
| Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares |
| | 119,690,493 | — | (3,486,968) | (25,680,459) | 90,523,066 | — | 2,412,875 | — | 6,166,421 |
| Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares |
| | 59,812,281 | — | (6,314,319) | (8,020,464) | 45,477,498 | — | 2,539,454 | — | 1,368,156 |
| Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares |
| | 10,143,684 | — | (647,301) | (1,547,379) | 7,949,004 | — | 7,246 | — | 456,839 |
| Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares |
| | 10,138,144 | — | — | (3,940,533) | 6,197,611 | — | — | — | 415,668 |
| Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares |
| | 58,976,393 | 333 | (3,426,476) | (5,211,828) | 50,338,422 | — | (231,004) | — | 5,378,037 |
| CTIVP® – Allspring Short Duration Government Fund, Class 1 Shares |
| | 88,652,918 | 620,655 | (91,226,405) | 1,952,832 | — | 432,777 | (5,443,079) | 187,877 | — |
| CTIVP® – American Century Diversified Bond Fund, Class 1 Shares |
| | 192,847,249 | 1,093 | (9,388,869) | (21,935,280) | 161,524,193 | — | (313,662) | — | 16,266,283 |
| CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares |
| | 12,486,511 | — | (1,257,824) | (2,205,573) | 9,023,114 | — | 84,845 | — | 1,101,724 |
| CTIVP® – MFS® Value Fund, Class 1 Shares |
| | 49,502,578 | — | (3,117,216) | (7,220,844) | 39,164,518 | — | 1,093,244 | — | 1,192,223 |
| CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares |
| | 42,931,563 | 97,703 | — | (16,999,431) | 26,029,835 | — | — | — | 717,866 |
| CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares |
| | 48,655,557 | 13,374 | (187,861) | (13,684,710) | 34,796,360 | — | 335,784 | — | 819,123 |
| CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares |
| | 49,363,621 | — | (1,947,634) | (8,632,977) | 38,783,010 | — | 4,386,755 | — | 1,279,545 |
| CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares |
| | 325,985,605 | 1,169 | (16,447,823) | (34,907,060) | 274,631,891 | — | (339,274) | — | 28,757,266 |
| CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares |
| | 10,497,658 | — | (498,116) | (1,839,167) | 8,160,375 | — | 830,985 | — | 212,178 |
| CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares |
| | 10,375,684 | 3,016 | (59,172) | (3,012,286) | 7,307,242 | — | 95,828 | — | 213,226 |
| Variable Portfolio – Partners Core Bond Fund, Class 1 Shares |
| | 755,407,740 | 2,303 | (40,624,570) | (76,174,683) | 638,610,790 | — | (2,086,258) | — | 64,246,558 |
| Variable Portfolio – Partners Core Equity Fund, Class 1 Shares |
| | 77,729,995 | — | (1,079,817) | (17,180,957) | 59,469,221 | — | 2,853,437 | — | 2,037,315 |
| Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares |
| | 74,018,268 | 11,470,196 | (859,200) | (28,339,936) | 56,289,328 | 10,197,406 | 152,900 | 1,251,267 | 6,677,263 |
| Variable Portfolio – Partners International Growth Fund, Class 1 Shares |
| | 50,491,200 | 2,337,692 | — | (16,956,483) | 35,872,409 | 2,252,837 | — | — | 3,686,784 |
| Variable Portfolio – Partners International Value Fund, Class 1 Shares |
| | 51,314,528 | 1,152,353 | — | (9,692,715) | 42,774,166 | — | — | 1,108,999 | 5,191,040 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2022
| 21 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2022 (Unaudited)
Notes to Portfolio of Investments (continued)
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Capital gain
distributions($) | Realized gain
(loss)($) | Dividends —
affiliated
issuers ($) | End of
period shares |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares |
| | 13,927,091 | 13,878 | — | (4,259,736) | 9,681,233 | — | — | — | 365,606 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares |
| | 7,471,340 | 43,558 | — | (1,235,053) | 6,279,845 | — | — | — | 200,186 |
| Total | 2,959,205,724 | | | (441,861,692) | 2,359,028,594 | 24,002,822 | 9,468,814 | 4,004,341 | |
| (b) | Non-income producing investment. |
| (c) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
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 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.
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.
| 22 | Portfolio Navigator Funds | Semiannual Report 2022 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Conservative Portfolio, June 30, 2022 (Unaudited)
Fair value measurements (continued)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) |
| Investments in Securities | | | | | |
| Alternative Strategies Funds | — | — | — | 5,616,813 | 5,616,813 |
| Equity Funds | — | — | — | 768,375,326 | 768,375,326 |
| Fixed Income Funds | — | — | — | 1,491,258,434 | 1,491,258,434 |
| Money Market Funds | 93,778,021 | — | — | — | 93,778,021 |
| Total Investments in Securities | 93,778,021 | — | — | 2,265,250,573 | 2,359,028,594 |
| Investments in Derivatives | | | | | |
| Liability | | | | | |
| Futures Contracts | (5,733,347) | — | — | — | (5,733,347) |
| Total | 88,044,674 | — | — | 2,265,250,573 | 2,353,295,247 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
Derivative instruments are valued at unrealized appreciation (depreciation).
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2022
| 23 |
Portfolio of Investments
Variable Portfolio – Moderate Portfolio, June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Alternative Strategies Funds 0.3% |
| | Shares | Value ($) |
| Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 6,925,141 | 47,437,215 |
Total Alternative Strategies Funds
(Cost $33,296,607) | 47,437,215 |
|
| Equity Funds 46.9% |
| | |
| Global Real Estate 0.6% |
| CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 10,440,606 | 85,508,562 |
| International 14.1% |
| Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a),(b) | 3,169,180 | 29,790,295 |
| Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 78,385,436 | 871,646,044 |
| Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 53,964,334 | 454,919,336 |
| Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a),(b) | 30,276,782 | 294,593,087 |
| Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 44,112,072 | 363,483,475 |
| Total | 2,014,432,237 |
| U.S. Large Cap 29.3% |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 10,602,049 | 349,867,614 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 4,943,409 | 352,366,194 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 14,376,439 | 383,850,914 |
| Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 47,763,768 | 701,172,110 |
| Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 12,798,311 | 425,415,854 |
| CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 11,661,218 | 383,071,021 |
| CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 6,860,401 | 248,758,152 |
| CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 7,923,050 | 336,571,166 |
| CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 12,535,597 | 379,953,931 |
| Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 21,571,503 | 629,672,176 |
| Total | 4,190,699,132 |
| Equity Funds (continued) |
| | Shares | Value ($) |
| U.S. Mid Cap 1.1% |
| CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 2,085,584 | 80,211,552 |
| CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 2,060,485 | 70,612,836 |
| Total | 150,824,388 |
| U.S. Small Cap 1.8% |
| Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 4,447,667 | 77,389,405 |
| Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 3,639,553 | 54,265,734 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 2,891,555 | 76,568,388 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 1,595,566 | 50,052,898 |
| Total | 258,276,425 |
Total Equity Funds
(Cost $5,735,385,171) | 6,699,740,744 |
|
| Fixed Income Funds 45.4% |
| | |
| Emerging Markets 0.6% |
| Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 11,266,184 | 83,482,424 |
| Investment Grade 44.8% |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 119,782,652 | 1,074,450,388 |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 53,139,875 | 488,355,447 |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 71,453,538 | 623,074,853 |
| Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 28,431,979 | 266,123,329 |
| CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 70,876,407 | 703,802,717 |
| CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 126,813,945 | 1,211,073,177 |
| Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 204,416,080 | 2,031,895,836 |
| Total | 6,398,775,747 |
Total Fixed Income Funds
(Cost $7,321,406,963) | 6,482,258,171 |
|
The accompanying Notes to Financial Statements are an integral part of this statement.
| 24 | Portfolio Navigator Funds | Semiannual Report 2022 |
Portfolio of Investments (continued)
Variable Portfolio – Moderate Portfolio, June 30, 2022 (Unaudited)
| Money Market Funds 7.1% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(a),(c) | 986,831,190 | 986,239,091 |
| Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 1.013%(a),(c) | 29,934,304 | 29,934,304 |
Total Money Market Funds
(Cost $1,016,491,631) | 1,016,173,395 |
Total Investments in Securities
(Cost: $14,106,580,372) | 14,245,609,525 |
| Other Assets & Liabilities, Net | | 39,115,994 |
| Net Assets | 14,284,725,519 |
At June 30, 2022, securities and/or cash totaling $43,842,413 were pledged as collateral.
Investments in derivatives
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| EURO STOXX 50 Index | 2,623 | 09/2022 | EUR | 90,257,430 | — | (3,764,297) |
| Russell 2000 Index E-mini | 2,038 | 09/2022 | USD | 174,045,200 | — | (14,556,374) |
| S&P 500 Index E-mini | 1,490 | 09/2022 | USD | 282,317,750 | — | (16,982,246) |
| U.S. Ultra Treasury Bond | 621 | 09/2022 | USD | 95,847,469 | — | (2,978,398) |
| Total | | | | | — | (38,281,315) |
| Cleared credit default swap contracts - sell protection |
Reference
entity | Counterparty | Maturity
date | Receive
fixed
rate
(%) | Payment
frequency | Implied
credit
spread
(%)* | Notional
currency | Notional
amount | Value
($) | Upfront
payments
($) | Upfront
receipts
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Markit CDX North America Investment Grade Index, Series 38 | Morgan Stanley | 06/20/2027 | 1.000 | Quarterly | 1.010 | USD | 52,323,000 | (724,567) | — | — | — | (724,567) |
| * | 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) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Capital gain
distributions($) | Realized gain
(loss)($) | Dividends —
affiliated
issuers ($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 983,397,100 | 774,929,878 | (771,848,808) | (239,079) | 986,239,091 | — | (196,550) | 2,319,056 | 986,831,190 |
| Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares |
| | 55,257,709 | — | (14,788,304) | 6,967,810 | 47,437,215 | — | 4,039,999 | — | 6,925,141 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2022
| 25 |
Portfolio of Investments (continued)
Variable Portfolio – Moderate Portfolio, June 30, 2022 (Unaudited)
Notes to Portfolio of Investments (continued)
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Capital gain
distributions($) | Realized gain
(loss)($) | Dividends —
affiliated
issuers ($) | End of
period shares |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares |
| | 458,128,586 | — | (8,895,077) | (99,365,895) | 349,867,614 | — | 16,874,798 | — | 10,602,049 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares |
| | 465,469,284 | — | (11,593,371) | (101,509,719) | 352,366,194 | — | 14,251,057 | — | 4,943,409 |
| Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares |
| | 103,283,790 | 1,929,158 | (4,931) | (21,725,593) | 83,482,424 | — | (1,051) | 1,928,153 | 11,266,184 |
| Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares |
| | 42,505,343 | 9,324,497 | — | (22,039,545) | 29,790,295 | 9,323,111 | — | — | 3,169,180 |
| Columbia Variable Portfolio – Government Money Market Fund, Class 1 Shares, 1.013% |
| | 29,915,616 | 18,688 | — | — | 29,934,304 | — | — | 19,123 | 29,934,304 |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares |
| | 1,406,491,366 | 50,675 | (171,588,585) | (160,503,068) | 1,074,450,388 | — | (3,328,586) | — | 119,782,652 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares |
| | 547,236,442 | 789 | (375,124) | (163,011,193) | 383,850,914 | — | 1,215,532 | — | 14,376,439 |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares |
| | 173,153,922 | 488,057,626 | (169,016,417) | (3,839,684) | 488,355,447 | — | (11,851,814) | — | 53,139,875 |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares |
| | 801,802,808 | 14,389 | (1,957,175) | (176,785,169) | 623,074,853 | — | 154,365 | — | 71,453,538 |
| Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares |
| | 1,099,785,818 | 76,749,293 | (15,730,634) | (289,158,433) | 871,646,044 | 69,109,081 | 2,287,578 | 7,639,169 | 78,385,436 |
| Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares |
| | 924,516,426 | — | (25,550,280) | (197,794,036) | 701,172,110 | — | 17,354,224 | — | 47,763,768 |
| Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares |
| | 550,308,803 | — | (52,926,919) | (71,966,030) | 425,415,854 | — | 19,591,739 | — | 12,798,311 |
| Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares |
| | 99,531,944 | — | (5,155,517) | (16,987,022) | 77,389,405 | — | 1,911,302 | — | 4,447,667 |
| Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares |
| | 88,768,695 | — | — | (34,502,961) | 54,265,734 | — | — | — | 3,639,553 |
| Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares |
| | 301,938,219 | 1,232 | (7,800,772) | (28,015,350) | 266,123,329 | — | (319,021) | — | 28,431,979 |
| CTIVP® – Allspring Short Duration Government Fund, Class 1 Shares |
| | 528,197,882 | 3,777,080 | (541,961,257) | 9,986,295 | — | 2,633,725 | (31,032,309) | 1,143,355 | — |
| CTIVP® – American Century Diversified Bond Fund, Class 1 Shares |
| | 969,783,402 | 48,491 | (164,255,749) | (101,773,427) | 703,802,717 | — | 4,004,251 | — | 70,876,407 |
| CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares |
| | 116,034,362 | — | (9,829,389) | (20,696,411) | 85,508,562 | — | 465,891 | — | 10,440,606 |
| CTIVP® – MFS® Value Fund, Class 1 Shares |
| | 478,884,340 | — | (19,569,429) | (76,243,890) | 383,071,021 | — | 15,874,905 | — | 11,661,218 |
| CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares |
| | 411,595,124 | 21,779 | — | (162,858,751) | 248,758,152 | — | — | — | 6,860,401 |
| CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares |
| | 468,936,174 | 512 | (1,195,188) | (131,170,332) | 336,571,166 | — | 2,164,385 | — | 7,923,050 |
| CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares |
| | 476,570,024 | — | (18,387,864) | (78,228,229) | 379,953,931 | — | 35,762,052 | — | 12,535,597 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 26 | Portfolio Navigator Funds | Semiannual Report 2022 |
Portfolio of Investments (continued)
Variable Portfolio – Moderate Portfolio, June 30, 2022 (Unaudited)
Notes to Portfolio of Investments (continued)
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Capital gain
distributions($) | Realized gain
(loss)($) | Dividends —
affiliated
issuers ($) | End of
period shares |
| CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares |
| | 1,420,783,626 | 4,740 | (56,452,607) | (153,262,582) | 1,211,073,177 | — | (820,538) | — | 126,813,945 |
| CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares |
| | 101,650,599 | — | (2,469,341) | (18,969,706) | 80,211,552 | — | 8,861,775 | — | 2,085,584 |
| CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares |
| | 99,543,250 | — | (205,928) | (28,724,486) | 70,612,836 | — | 592,377 | — | 2,060,485 |
| Variable Portfolio – Partners Core Bond Fund, Class 1 Shares |
| | 2,303,149,525 | 13,041 | (28,900,845) | (242,365,885) | 2,031,895,836 | — | (1,469,824) | — | 204,416,080 |
| Variable Portfolio – Partners Core Equity Fund, Class 1 Shares |
| | 785,116,658 | — | (3,883,206) | (151,561,276) | 629,672,176 | — | 1,538,177 | — | 21,571,503 |
| Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares |
| | 449,583,842 | 271,232,433 | (53,031,345) | (212,865,594) | 454,919,336 | 82,897,735 | 480,055 | 7,598,969 | 53,964,334 |
| Variable Portfolio – Partners International Growth Fund, Class 1 Shares |
| | 415,466,803 | 18,528,933 | — | (139,402,649) | 294,593,087 | 18,500,854 | — | — | 30,276,782 |
| Variable Portfolio – Partners International Value Fund, Class 1 Shares |
| | 436,443,001 | 9,438,514 | — | (82,398,040) | 363,483,475 | — | — | 9,423,633 | 44,112,072 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares |
| | 110,281,291 | 2,218 | — | (33,715,121) | 76,568,388 | — | — | — | 2,891,555 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares |
| | 59,903,551 | 9,570 | — | (9,860,223) | 50,052,898 | — | — | — | 1,595,566 |
| Total | 17,763,415,325 | | | (3,014,585,274) | 14,245,609,525 | 182,464,506 | 98,404,769 | 30,071,458 | |
| (b) | Non-income producing investment. |
| (c) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
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.
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2022
| 27 |
Portfolio of Investments (continued)
Variable Portfolio – Moderate Portfolio, June 30, 2022 (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 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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) |
| Investments in Securities | | | | | |
| Alternative Strategies Funds | — | — | — | 47,437,215 | 47,437,215 |
| Equity Funds | — | — | — | 6,699,740,744 | 6,699,740,744 |
| Fixed Income Funds | — | — | — | 6,482,258,171 | 6,482,258,171 |
| Money Market Funds | 1,016,173,395 | — | — | — | 1,016,173,395 |
| Total Investments in Securities | 1,016,173,395 | — | — | 13,229,436,130 | 14,245,609,525 |
| Investments in Derivatives | | | | | |
| Liability | | | | | |
| Futures Contracts | (38,281,315) | — | — | — | (38,281,315) |
| Swap Contracts | — | (724,567) | — | — | (724,567) |
| Total | 977,892,080 | (724,567) | — | 13,229,436,130 | 14,206,603,643 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
Derivative instruments are valued at unrealized appreciation (depreciation).
The accompanying Notes to Financial Statements are an integral part of this statement.
| 28 | Portfolio Navigator Funds | Semiannual Report 2022 |
Portfolio of Investments
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Alternative Strategies Funds 0.4% |
| | Shares | Value ($) |
| Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 3,269,337 | 22,394,954 |
Total Alternative Strategies Funds
(Cost $15,734,137) | 22,394,954 |
|
| Equity Funds 62.7% |
| | |
| Global Real Estate 0.8% |
| CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 6,081,351 | 49,806,263 |
| International 18.4% |
| Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a),(b) | 1,305,014 | 12,267,134 |
| Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 38,605,918 | 429,297,812 |
| Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 31,614,689 | 266,511,829 |
| Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a),(b) | 17,744,313 | 172,652,170 |
| Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 24,499,318 | 201,874,376 |
| Total | 1,082,603,321 |
| U.S. Large Cap 39.6% |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 5,314,125 | 175,366,113 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 2,472,554 | 176,243,627 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 8,131,533 | 217,111,934 |
| Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 23,893,640 | 350,758,640 |
| Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 7,293,142 | 242,424,026 |
| CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 7,239,793 | 237,827,188 |
| CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 4,318,611 | 156,592,835 |
| CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 4,922,849 | 209,122,649 |
| CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 7,809,514 | 236,706,361 |
| Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 11,532,736 | 336,640,580 |
| Total | 2,338,793,953 |
| Equity Funds (continued) |
| | Shares | Value ($) |
| U.S. Mid Cap 1.5% |
| CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 1,213,055 | 46,654,091 |
| CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 1,194,035 | 40,919,577 |
| Total | 87,573,668 |
| U.S. Small Cap 2.4% |
| Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 2,574,829 | 44,802,027 |
| Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 2,125,987 | 31,698,475 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 1,540,701 | 40,797,759 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 763,559 | 23,952,837 |
| Total | 141,251,098 |
Total Equity Funds
(Cost $3,225,712,964) | 3,700,028,303 |
|
| Fixed Income Funds 31.2% |
| | |
| Emerging Markets 0.5% |
| Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 4,035,558 | 29,903,485 |
| Investment Grade 30.7% |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 45,990,145 | 412,531,598 |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 16,257,764 | 149,408,854 |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 10,162,463 | 88,616,680 |
| Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(a) | 10,395,194 | 97,299,014 |
| CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 32,259,405 | 320,335,886 |
| CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 26,965,153 | 257,517,212 |
| Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 48,786,516 | 484,937,972 |
| Total | 1,810,647,216 |
Total Fixed Income Funds
(Cost $2,082,223,121) | 1,840,550,701 |
|
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2022
| 29 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2022 (Unaudited)
| Money Market Funds 5.4% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(a),(c) | 320,454,748 | 320,262,476 |
Total Money Market Funds
(Cost $320,355,355) | 320,262,476 |
Total Investments in Securities
(Cost: $5,644,025,577) | 5,883,236,434 |
| Other Assets & Liabilities, Net | | 17,852,130 |
| Net Assets | 5,901,088,564 |
At June 30, 2022, securities and/or cash totaling $18,125,843 were pledged as collateral.
Investments in derivatives
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| EURO STOXX 50 Index | 933 | 09/2022 | EUR | 32,104,530 | — | (1,338,959) |
| Russell 2000 Index E-mini | 1,120 | 09/2022 | USD | 95,648,000 | — | (7,999,578) |
| S&P 500 Index E-mini | 355 | 09/2022 | USD | 67,263,625 | — | (4,046,105) |
| U.S. Treasury 10-Year Note | 1,689 | 09/2022 | USD | 200,199,281 | — | (1,138,428) |
| U.S. Ultra Treasury Bond | 173 | 09/2022 | USD | 26,701,469 | — | (278,811) |
| Total | | | | | — | (14,801,881) |
Notes to Portfolio of Investments
| (a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Capital gain
distributions($) | Realized gain
(loss)($) | Dividends —
affiliated
issuers ($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 497,839,691 | 223,177,446 | (400,710,773) | (43,888) | 320,262,476 | — | (102,952) | 800,637 | 320,454,748 |
| Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares |
| | 25,094,136 | — | (6,038,911) | 3,339,729 | 22,394,954 | — | 1,724,694 | — | 3,269,337 |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares |
| | 230,260,343 | — | (4,668,159) | (50,226,071) | 175,366,113 | — | 8,771,390 | — | 5,314,125 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares |
| | 233,251,063 | — | (5,983,791) | (51,023,645) | 176,243,627 | — | 7,268,732 | — | 2,472,554 |
| Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares |
| | 37,323,828 | 692,358 | (365,598) | (7,747,103) | 29,903,485 | — | (69,951) | 692,357 | 4,035,558 |
| Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares |
| | 17,490,304 | 3,848,746 | — | (9,071,916) | 12,267,134 | 3,839,099 | — | — | 1,305,014 |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares |
| | 494,574,681 | — | (20,416,289) | (61,626,794) | 412,531,598 | — | (1,266,270) | — | 45,990,145 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares |
| | 309,819,393 | 62,547 | (330,329) | (92,439,677) | 217,111,934 | — | 921,178 | — | 8,131,533 |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares |
| | 56,529,405 | 139,172,352 | (44,553,244) | (1,739,659) | 149,408,854 | — | (3,173,933) | — | 16,257,764 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 30 | Portfolio Navigator Funds | Semiannual Report 2022 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2022 (Unaudited)
Notes to Portfolio of Investments (continued)
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Capital gain
distributions($) | Realized gain
(loss)($) | Dividends —
affiliated
issuers ($) | End of
period shares |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares |
| | 114,561,334 | 9,958 | (768,269) | (25,186,343) | 88,616,680 | — | 34,885 | — | 10,162,463 |
| Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares |
| | 552,360,832 | 37,825,322 | (17,517,605) | (143,370,737) | 429,297,812 | 34,038,425 | 1,532,047 | 3,786,400 | 38,605,918 |
| Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares |
| | 463,186,674 | 862 | (13,178,344) | (99,250,552) | 350,758,640 | — | 8,800,453 | — | 23,893,640 |
| Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares |
| | 312,533,232 | — | (19,631,925) | (50,477,281) | 242,424,026 | — | 20,509,367 | — | 7,293,142 |
| Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares |
| | 57,670,939 | — | (3,398,890) | (9,470,022) | 44,802,027 | — | 725,128 | — | 2,574,829 |
| Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares |
| | 51,852,838 | — | — | (20,154,363) | 31,698,475 | — | — | — | 2,125,987 |
| Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares |
| | 112,544,076 | — | (5,100,889) | (10,144,173) | 97,299,014 | — | (310,987) | — | 10,395,194 |
| CTIVP® – Allspring Short Duration Government Fund, Class 1 Shares |
| | 151,702,567 | 1,077,055 | (157,012,412) | 4,232,790 | — | 751,021 | (10,250,375) | 326,034 | — |
| CTIVP® – American Century Diversified Bond Fund, Class 1 Shares |
| | 382,156,166 | — | (18,053,834) | (43,766,446) | 320,335,886 | — | (255,983) | — | 32,259,405 |
| CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares |
| | 66,979,071 | — | (5,171,996) | (12,000,812) | 49,806,263 | — | 240,574 | — | 6,081,351 |
| CTIVP® – MFS® Value Fund, Class 1 Shares |
| | 298,203,524 | — | (18,444,531) | (41,931,805) | 237,827,188 | — | 4,373,423 | — | 7,239,793 |
| CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares |
| | 258,705,725 | 258,511 | — | (102,371,401) | 156,592,835 | — | — | — | 4,318,611 |
| CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares |
| | 291,844,463 | 52,700 | (928,293) | (81,846,221) | 209,122,649 | — | 1,674,397 | — | 4,922,849 |
| CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares |
| | 296,852,311 | — | (15,101,104) | (45,044,846) | 236,706,361 | — | 18,532,388 | — | 7,809,514 |
| CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares |
| | 304,994,261 | — | (14,958,670) | (32,518,379) | 257,517,212 | — | (445,262) | — | 26,965,153 |
| CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares |
| | 58,887,441 | — | (1,748,278) | (10,485,072) | 46,654,091 | — | 4,610,064 | — | 1,213,055 |
| CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares |
| | 57,818,380 | 10,137 | (161,202) | (16,747,738) | 40,919,577 | — | 435,919 | — | 1,194,035 |
| Variable Portfolio – Partners Core Bond Fund, Class 1 Shares |
| | 572,991,919 | — | (30,321,366) | (57,732,581) | 484,937,972 | — | (1,522,803) | — | 48,786,516 |
| Variable Portfolio – Partners Core Equity Fund, Class 1 Shares |
| | 433,091,822 | 80 | (5,617,430) | (90,833,892) | 336,640,580 | — | 9,732,621 | — | 11,532,736 |
| Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares |
| | 269,598,733 | 156,050,521 | (29,103,836) | (130,033,589) | 266,511,829 | 48,422,640 | 4,573,652 | 4,526,881 | 31,614,689 |
| Variable Portfolio – Partners International Growth Fund, Class 1 Shares |
| | 243,163,338 | 11,095,792 | — | (81,606,960) | 172,652,170 | 10,842,796 | — | — | 17,744,313 |
| Variable Portfolio – Partners International Value Fund, Class 1 Shares |
| | 242,251,331 | 5,361,217 | — | (45,738,172) | 201,874,376 | — | — | 5,230,667 | 24,499,318 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2022
| 31 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2022 (Unaudited)
Notes to Portfolio of Investments (continued)
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Capital gain
distributions($) | Realized gain
(loss)($) | Dividends —
affiliated
issuers ($) | End of
period shares |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares |
| | 58,728,627 | 24,098 | — | (17,954,966) | 40,797,759 | — | — | — | 1,540,701 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares |
| | 28,563,644 | 92,664 | — | (4,703,471) | 23,952,837 | — | — | — | 763,559 |
| Total | 7,583,426,092 | | | (1,439,716,056) | 5,883,236,434 | 97,893,981 | 77,062,396 | 15,362,976 | |
| (b) | Non-income producing investment. |
| (c) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
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 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.
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.
| 32 | Portfolio Navigator Funds | Semiannual Report 2022 |
Portfolio of Investments (continued)
Variable Portfolio – Moderately Aggressive Portfolio, June 30, 2022 (Unaudited)
Fair value measurements (continued)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) |
| Investments in Securities | | | | | |
| Alternative Strategies Funds | — | — | — | 22,394,954 | 22,394,954 |
| Equity Funds | — | — | — | 3,700,028,303 | 3,700,028,303 |
| Fixed Income Funds | — | — | — | 1,840,550,701 | 1,840,550,701 |
| Money Market Funds | 320,262,476 | — | — | — | 320,262,476 |
| Total Investments in Securities | 320,262,476 | — | — | 5,562,973,958 | 5,883,236,434 |
| Investments in Derivatives | | | | | |
| Liability | | | | | |
| Futures Contracts | (14,801,881) | — | — | — | (14,801,881) |
| Total | 305,460,595 | — | — | 5,562,973,958 | 5,868,434,553 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
Derivative instruments are valued at unrealized appreciation (depreciation).
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2022
| 33 |
Portfolio of Investments
Variable Portfolio – Aggressive Portfolio, June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Alternative Strategies Funds 0.6% |
| | Shares | Value ($) |
| Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares(a) | 1,764,347 | 12,085,778 |
Total Alternative Strategies Funds
(Cost $8,750,587) | 12,085,778 |
|
| Equity Funds 79.7% |
| | |
| Global Real Estate 1.1% |
| CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares(a) | 2,761,115 | 22,613,533 |
| International 23.8% |
| Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares(a),(b) | 511,968 | 4,812,500 |
| Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(a) | 15,422,882 | 171,502,452 |
| Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(a) | 17,875,485 | 150,690,336 |
| Variable Portfolio – Partners International Growth Fund, Class 1 Shares(a),(b) | 8,105,897 | 78,870,382 |
| Variable Portfolio – Partners International Value Fund, Class 1 Shares(a) | 10,886,735 | 89,706,692 |
| Total | 495,582,362 |
| U.S. Large Cap 49.8% |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(a),(b) | 2,328,925 | 76,854,515 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(a),(b) | 1,091,784 | 77,822,377 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(a),(b) | 3,688,972 | 98,495,561 |
| Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(a),(b) | 10,521,584 | 154,456,863 |
| Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(a),(b) | 3,453,757 | 114,802,873 |
| CTIVP® – MFS® Value Fund, Class 1 Shares(a),(b) | 3,278,862 | 107,710,611 |
| CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(a),(b) | 1,954,060 | 70,854,207 |
| CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(a),(b) | 2,161,659 | 91,827,294 |
| CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(a),(b) | 3,596,956 | 109,023,726 |
| Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(a),(b) | 4,615,715 | 134,732,723 |
| Total | 1,036,580,750 |
| Equity Funds (continued) |
| | Shares | Value ($) |
| U.S. Mid Cap 1.9% |
| CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(a),(b) | 553,585 | 21,290,866 |
| CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(a),(b) | 511,012 | 17,512,377 |
| Total | 38,803,243 |
| U.S. Small Cap 3.1% |
| Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(a) | 1,166,292 | 20,293,479 |
| Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(a),(b) | 898,928 | 13,403,015 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(a),(b) | 687,730 | 18,211,107 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(a),(b) | 428,165 | 13,431,527 |
| Total | 65,339,128 |
Total Equity Funds
(Cost $1,433,248,941) | 1,658,919,016 |
|
| Fixed Income Funds 16.7% |
| | |
| Emerging Markets 0.5% |
| Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares(a) | 1,374,926 | 10,188,203 |
| Investment Grade 16.2% |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(a) | 7,533,183 | 67,572,652 |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(a) | 2,389,494 | 21,959,449 |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(a) | 4,784,118 | 41,717,507 |
| CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(a) | 6,926,393 | 68,779,083 |
| CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(a) | 4,819,388 | 46,025,155 |
| Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(a) | 9,115,462 | 90,607,691 |
| Total | 336,661,537 |
Total Fixed Income Funds
(Cost $396,342,396) | 346,849,740 |
|
The accompanying Notes to Financial Statements are an integral part of this statement.
| 34 | Portfolio Navigator Funds | Semiannual Report 2022 |
Portfolio of Investments (continued)
Variable Portfolio – Aggressive Portfolio, June 30, 2022 (Unaudited)
| Money Market Funds 2.8% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(a),(c) | 58,666,586 | 58,631,386 |
Total Money Market Funds
(Cost $58,648,922) | 58,631,386 |
Total Investments in Securities
(Cost: $1,896,990,846) | 2,076,485,920 |
| Other Assets & Liabilities, Net | | 3,589,086 |
| Net Assets | 2,080,075,006 |
At June 30, 2022, securities and/or cash totaling $4,124,721 were pledged as collateral.
Investments in derivatives
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| EURO STOXX 50 Index | 273 | 09/2022 | EUR | 9,393,930 | — | (391,785) |
| Russell 2000 Index E-mini | 434 | 09/2022 | USD | 37,063,600 | — | (3,099,836) |
| U.S. Ultra Treasury Bond | 54 | 09/2022 | USD | 8,334,562 | — | (87,028) |
| Total | | | | | — | (3,578,649) |
| Short futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| S&P 500 Index E-mini | (27) | 09/2022 | USD | (5,115,825) | 307,598 | — |
| Cleared credit default swap contracts - sell protection |
Reference
entity | Counterparty | Maturity
date | Receive
fixed
rate
(%) | Payment
frequency | Implied
credit
spread
(%)* | Notional
currency | Notional
amount | Value
($) | Upfront
payments
($) | Upfront
receipts
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Markit CDX North America Investment Grade Index, Series 38 | Morgan Stanley | 06/20/2027 | 1.000 | Quarterly | 1.010 | USD | 10,308,000 | (142,745) | — | — | — | (142,745) |
| * | 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.
Portfolio Navigator Funds | Semiannual Report 2022
| 35 |
Portfolio of Investments (continued)
Variable Portfolio – Aggressive Portfolio, June 30, 2022 (Unaudited)
Notes to Portfolio of Investments
| (a) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Capital gain
distributions($) | Realized gain
(loss)($) | Dividends —
affiliated
issuers ($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 119,218,990 | 58,979,748 | (119,561,337) | (6,015) | 58,631,386 | — | (22,620) | 161,713 | 58,666,586 |
| Columbia Variable Portfolio – Commodity Strategy Fund, Class 1 Shares |
| | 11,630,211 | — | (1,443,548) | 1,899,115 | 12,085,778 | — | 431,714 | — | 1,764,347 |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares |
| | 98,258,088 | — | (1,162,711) | (20,240,862) | 76,854,515 | — | 2,146,845 | — | 2,328,925 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares |
| | 100,930,601 | — | (1,766,797) | (21,341,427) | 77,822,377 | — | 2,112,392 | — | 1,091,784 |
| Columbia Variable Portfolio – Emerging Markets Bond Fund, Class 1 Shares |
| | 12,509,957 | 321,093 | (718) | (2,642,129) | 10,188,203 | — | (210) | 234,887 | 1,374,926 |
| Columbia Variable Portfolio – Emerging Markets Fund, Class 1 Shares |
| | 6,810,879 | 1,578,823 | (39,090) | (3,538,112) | 4,812,500 | 1,506,110 | 655 | — | 511,968 |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares |
| | 78,625,388 | 53,743 | (1,016,269) | (10,090,210) | 67,572,652 | — | (71,945) | — | 7,533,183 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares |
| | 140,511,251 | 580,717 | (321,317) | (42,275,090) | 98,495,561 | — | 920,519 | — | 3,688,972 |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares |
| | — | 24,767,758 | (2,545,464) | (262,845) | 21,959,449 | — | (7,187) | — | 2,389,494 |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares |
| | 53,452,752 | 236,977 | (181,202) | (11,791,020) | 41,717,507 | — | 6,881 | — | 4,784,118 |
| Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares |
| | 213,608,565 | 15,163,753 | (821,913) | (56,447,953) | 171,502,452 | 13,597,695 | 52,580 | 1,501,541 | 15,422,882 |
| Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares |
| | 201,512,524 | — | (4,416,277) | (42,639,384) | 154,456,863 | — | 2,865,656 | — | 10,521,584 |
| Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares |
| | 138,427,652 | — | (4,517,921) | (19,106,858) | 114,802,873 | — | 4,749,498 | — | 3,453,757 |
| Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares |
| | 25,815,747 | — | (1,149,704) | (4,372,564) | 20,293,479 | — | 414,323 | — | 1,166,292 |
| Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares |
| | 21,924,851 | — | - | (8,521,836) | 13,403,015 | — | — | — | 898,928 |
| CTIVP® – Allspring Short Duration Government Fund, Class 1 Shares |
| | 25,973,949 | 192,969 | (27,425,535) | 1,258,617 | — | 133,655 | (2,316,716) | 58,023 | — |
| CTIVP® – American Century Diversified Bond Fund, Class 1 Shares |
| | 79,430,954 | 17,763 | (1,413,490) | (9,256,144) | 68,779,083 | — | (49,471) | — | 6,926,393 |
| CTIVP® – CenterSquare Real Estate Fund, Class 1 Shares |
| | 29,628,863 | — | (1,636,392) | (5,378,938) | 22,613,533 | — | 51,995 | — | 2,761,115 |
| CTIVP® – MFS® Value Fund, Class 1 Shares |
| | 130,288,443 | — | (4,684,350) | (17,893,482) | 107,710,611 | — | 1,092,776 | — | 3,278,862 |
| CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares |
| | 109,104,829 | 5,598,225 | — | (43,848,847) | 70,854,207 | — | — | — | 1,954,060 |
| CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares |
| | 127,186,612 | 645,530 | (367,226) | (35,637,622) | 91,827,294 | — | 668,695 | — | 2,161,659 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 36 | Portfolio Navigator Funds | Semiannual Report 2022 |
Portfolio of Investments (continued)
Variable Portfolio – Aggressive Portfolio, June 30, 2022 (Unaudited)
Notes to Portfolio of Investments (continued)
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Capital gain
distributions($) | Realized gain
(loss)($) | Dividends —
affiliated
issuers ($) | End of
period shares |
| CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares |
| | 129,088,371 | — | (3,958,902) | (16,105,743) | 109,023,726 | — | 3,883,676 | — | 3,596,956 |
| CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares |
| | 52,664,172 | 13,676 | (882,552) | (5,770,141) | 46,025,155 | — | (22,561) | — | 4,819,388 |
| CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares |
| | 25,639,411 | — | (449,098) | (3,899,447) | 21,290,866 | — | 1,236,195 | — | 553,585 |
| CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares |
| | 24,388,496 | 143,744 | (26,144) | (6,993,719) | 17,512,377 | — | 71,842 | — | 511,012 |
| Variable Portfolio – Partners Core Bond Fund, Class 1 Shares |
| | 112,759,628 | — | (11,764,618) | (10,387,319) | 90,607,691 | — | (899,700) | — | 9,115,462 |
| Variable Portfolio – Partners Core Equity Fund, Class 1 Shares |
| | 165,584,059 | 1,049,654 | (1,153) | (31,899,837) | 134,732,723 | — | 1,367 | — | 4,615,715 |
| Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares |
| | 148,401,307 | 78,445,155 | (6,772,302) | (69,383,824) | 150,690,336 | 27,392,023 | (421,642) | 2,517,799 | 17,875,485 |
| Variable Portfolio – Partners International Growth Fund, Class 1 Shares |
| | 103,712,294 | 10,948,600 | — | (35,790,512) | 78,870,382 | 4,953,170 | — | — | 8,105,897 |
| Variable Portfolio – Partners International Value Fund, Class 1 Shares |
| | 103,960,342 | 5,766,628 | — | (20,020,278) | 89,706,692 | — | — | 2,275,954 | 10,886,735 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares |
| | 25,455,840 | 589,406 | — | (7,834,139) | 18,211,107 | — | — | — | 687,730 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares |
| | 13,986,653 | 1,913,862 | - | (2,468,988) | 13,431,527 | — | — | — | 428,165 |
| Total | 2,630,491,679 | | | (562,687,553) | 2,076,485,920 | 47,582,653 | 16,895,557 | 6,749,917 | |
| (b) | Non-income producing investment. |
| (c) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
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). |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2022
| 37 |
Portfolio of Investments (continued)
Variable Portfolio – Aggressive Portfolio, June 30, 2022 (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 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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) |
| Investments in Securities | | | | | |
| Alternative Strategies Funds | — | — | — | 12,085,778 | 12,085,778 |
| Equity Funds | — | — | — | 1,658,919,016 | 1,658,919,016 |
| Fixed Income Funds | — | — | — | 346,849,740 | 346,849,740 |
| Money Market Funds | 58,631,386 | — | — | — | 58,631,386 |
| Total Investments in Securities | 58,631,386 | — | — | 2,017,854,534 | 2,076,485,920 |
| Investments in Derivatives | | | | | |
| Asset | | | | | |
| Futures Contracts | 307,598 | — | — | — | 307,598 |
| Liability | | | | | |
| Futures Contracts | (3,578,649) | — | — | — | (3,578,649) |
| Swap Contracts | — | (142,745) | — | — | (142,745) |
| Total | 55,360,335 | (142,745) | — | 2,017,854,534 | 2,073,072,124 |
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.
| 38 | Portfolio Navigator Funds | Semiannual Report 2022 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| | Variable
Portfolio –
Conservative
Portfolio | Variable
Portfolio –
Moderately
Conservative
Portfolio | Variable
Portfolio –
Moderate
Portfolio |
| Assets | | | |
| Investments in securities, at value | | | |
| Affiliated issuers (cost $1,070,758,117, $2,458,857,073, $14,106,580,372, respectively) | $973,447,119 | $2,359,028,594 | $14,245,609,525 |
| Margin deposits on: | | | |
| Futures contracts | 2,944,135 | 6,628,337 | 42,256,547 |
| Swap contracts | — | — | 1,585,866 |
| Receivable for: | | | |
| Investments sold | 946,763 | 2,976,653 | 15,541,376 |
| Capital shares sold | 192 | — | 1,833 |
| Dividends | 58,724 | 82,275 | 861,141 |
| Variation margin for futures contracts | 407,735 | 344,531 | 1,455,469 |
| Prepaid expenses | 10,621 | 18,500 | 83,936 |
| Total assets | 977,815,289 | 2,369,078,890 | 14,307,395,693 |
| Liabilities | | | |
| Payable for: | | | |
| Capital shares purchased | 946,955 | 2,976,652 | 15,543,209 |
| Variation margin for futures contracts | 296,039 | 796,692 | 5,325,123 |
| Variation margin for swap contracts | — | — | 18,152 |
| Management services fees | 1,952 | 3,661 | 29,733 |
| Distribution and/or service fees | 6,667 | 16,213 | 97,984 |
| Service fees | 48,539 | 118,824 | 720,480 |
| Compensation of board members | 100,765 | 192,750 | 809,148 |
| Compensation of chief compliance officer | 111 | 270 | 1,618 |
| Other expenses | 26,333 | 36,825 | 124,727 |
| Total liabilities | 1,427,361 | 4,141,887 | 22,670,174 |
| Net assets applicable to outstanding capital stock | $976,387,928 | $2,364,937,003 | $14,284,725,519 |
| Represented by | | | |
| Trust capital | $976,387,928 | $2,364,937,003 | $14,284,725,519 |
| Total - representing net assets applicable to outstanding capital stock | $976,387,928 | $2,364,937,003 | $14,284,725,519 |
| Class 1 | | | |
| Net assets | $918,086 | $1,689,790 | $30,651,896 |
| Shares outstanding | 62,659 | 101,124 | 1,602,301 |
| Net asset value per share | $14.65 | $16.71 | $19.13 |
| Class 2 | | | |
| Net assets | $543,044,389 | $1,248,987,243 | $7,460,102,869 |
| Shares outstanding | 37,390,633 | 75,328,181 | 392,727,278 |
| Net asset value per share | $14.52 | $16.58 | $19.00 |
| Class 4 | | | |
| Net assets | $432,425,453 | $1,114,259,970 | $6,793,970,754 |
| Shares outstanding | 29,784,415 | 67,076,416 | 357,195,857 |
| Net asset value per share | $14.52 | $16.61 | $19.02 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2022
| 39 |
Statement of Assets and Liabilities (continued)
June 30, 2022 (Unaudited)
| | Variable
Portfolio –
Moderately
Aggressive Portfolio | Variable
Portfolio –
Aggressive
Portfolio |
| Assets | | |
| Investments in securities, at value | | |
| Affiliated issuers (cost $5,644,025,577, $1,896,990,846, respectively) | $5,883,236,434 | $2,076,485,920 |
| Margin deposits on: | | |
| Futures contracts | 18,125,843 | 3,812,294 |
| Swap contracts | — | 312,427 |
| Receivable for: | | |
| Investments sold | 3,771,805 | 1,899,941 |
| Capital shares sold | 44,515 | 1,063 |
| Dividends | 280,033 | 51,612 |
| Variation margin for futures contracts | 2,120,860 | 169,425 |
| Prepaid expenses | 39,157 | 15,983 |
| Total assets | 5,907,618,647 | 2,082,748,665 |
| Liabilities | | |
| Payable for: | | |
| Capital shares purchased | 3,816,321 | 1,901,004 |
| Variation margin for futures contracts | 1,881,050 | 456,712 |
| Variation margin for swap contracts | — | 3,576 |
| Management services fees | 11,566 | 3,249 |
| Distribution and/or service fees | 39,906 | 14,012 |
| Service fees | 299,016 | 105,640 |
| Compensation of board members | 416,907 | 155,589 |
| Compensation of chief compliance officer | 683 | 237 |
| Other expenses | 64,634 | 33,640 |
| Total liabilities | 6,530,083 | 2,673,659 |
| Net assets applicable to outstanding capital stock | $5,901,088,564 | $2,080,075,006 |
| Represented by | | |
| Trust capital | $5,901,088,564 | $2,080,075,006 |
| Total - representing net assets applicable to outstanding capital stock | $5,901,088,564 | $2,080,075,006 |
| Class 1 | | |
| Net assets | $102,232,845 | $49,290,713 |
| Shares outstanding | 4,785,491 | 2,080,923 |
| Net asset value per share | $21.36 | $23.69 |
| Class 2 | | |
| Net assets | $3,150,786,475 | $1,148,978,833 |
| Shares outstanding | 148,547,963 | 48,814,413 |
| Net asset value per share | $21.21 | $23.54 |
| Class 4 | | |
| Net assets | $2,648,069,244 | $881,805,460 |
| Shares outstanding | 124,652,317 | 37,404,291 |
| Net asset value per share | $21.24 | $23.57 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 40 | Portfolio Navigator Funds | Semiannual Report 2022 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| | Variable
Portfolio –
Conservative
Portfolio | Variable
Portfolio –
Moderately
Conservative
Portfolio | Variable
Portfolio –
Moderate
Portfolio |
| Net investment income | | | |
| Income: | | | |
| Dividends — affiliated issuers | $977,016 | $4,004,341 | $30,071,458 |
| Total income | 977,016 | 4,004,341 | 30,071,458 |
| Expenses: | | | |
| Management services fees | 371,005 | 649,988 | 5,395,596 |
| Distribution and/or service fees | | | |
| Class 2 | 734,719 | 1,727,095 | 10,279,240 |
| Class 4 | 594,047 | 1,555,513 | 9,529,677 |
| Service fees | 318,616 | 786,889 | 4,755,538 |
| Compensation of board members | 7,633 | 10,857 | 51,642 |
| Custodian fees | 6,513 | 6,731 | 9,274 |
| Printing and postage fees | 6,916 | 13,796 | 71,182 |
| Audit fees | 14,669 | 15,302 | 15,301 |
| Legal fees | 10,700 | 18,879 | 87,834 |
| Interest on collateral | 4,372 | 6,035 | 131,341 |
| Compensation of chief compliance officer | 68 | 171 | 1,052 |
| Other | 8,867 | 17,469 | 89,512 |
| Total expenses | 2,078,125 | 4,808,725 | 30,417,189 |
| Net investment loss | (1,101,109) | (804,384) | (345,731) |
| Realized and unrealized gain (loss) — net | | | |
| Net realized gain (loss) on: | | | |
| Investments — unaffiliated issuers | — | — | (3,845,299) |
| Investments — affiliated issuers | 2,267,771 | 9,468,814 | 98,404,769 |
| Capital gain distributions from underlying affiliated funds | 3,959,322 | 24,002,822 | 182,464,506 |
| Foreign currency translations | (62,537) | (133,389) | (1,956,016) |
| Futures contracts | (9,476,627) | (16,647,092) | (100,806,851) |
| Swap contracts | — | — | (208,793) |
| Net realized gain (loss) | (3,312,071) | 16,691,155 | 174,052,316 |
| Net change in unrealized appreciation (depreciation) on: | | | |
| Investments — affiliated issuers | (148,481,021) | (441,861,692) | (3,014,585,274) |
| Futures contracts | (3,388,676) | (7,953,498) | (53,260,481) |
| Swap contracts | — | — | (749,079) |
| Net change in unrealized appreciation (depreciation) | (151,869,697) | (449,815,190) | (3,068,594,834) |
| Net realized and unrealized loss | (155,181,768) | (433,124,035) | (2,894,542,518) |
| Net decrease in net assets resulting from operations | $(156,282,877) | $(433,928,419) | $(2,894,888,249) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2022
| 41 |
Statement of Operations (continued)
Six Months Ended June 30, 2022 (Unaudited)
| | Variable
Portfolio –
Moderately
Aggressive Portfolio | Variable
Portfolio –
Aggressive
Portfolio |
| Net investment income | | |
| Income: | | |
| Dividends — affiliated issuers | $15,362,976 | $6,749,917 |
| Interest | 111,916 | 51,280 |
| Total income | 15,474,892 | 6,801,197 |
| Expenses: | | |
| Management services fees | 2,173,711 | 572,983 |
| Distribution and/or service fees | | |
| Class 2 | 4,465,354 | 1,611,348 |
| Class 4 | 3,748,507 | 1,249,876 |
| Service fees | 1,997,214 | 699,544 |
| Compensation of board members | 20,421 | 11,464 |
| Custodian fees | 9,295 | 7,584 |
| Printing and postage fees | 31,989 | 11,655 |
| Audit fees | 15,302 | 15,302 |
| Legal fees | 40,171 | 17,397 |
| Interest on collateral | 63,389 | 28,674 |
| Compensation of chief compliance officer | 429 | 153 |
| Other | 39,971 | 15,290 |
| Total expenses | 12,605,753 | 4,241,270 |
| Net investment income | 2,869,139 | 2,559,927 |
| Realized and unrealized gain (loss) — net | | |
| Net realized gain (loss) on: | | |
| Investments — affiliated issuers | 77,062,396 | 16,895,557 |
| Capital gain distributions from underlying affiliated funds | 97,893,981 | 47,582,653 |
| Foreign currency translations | (854,714) | (367,232) |
| Futures contracts | (58,096,209) | (11,015,445) |
| Swap contracts | — | (42,254) |
| Net realized gain | 116,005,454 | 53,053,279 |
| Net change in unrealized appreciation (depreciation) on: | | |
| Investments — affiliated issuers | (1,439,716,056) | (562,687,553) |
| Futures contracts | (23,079,433) | (6,016,258) |
| Swap contracts | — | (146,454) |
| Net change in unrealized appreciation (depreciation) | (1,462,795,489) | (568,850,265) |
| Net realized and unrealized loss | (1,346,790,035) | (515,796,986) |
| Net decrease in net assets resulting from operations | $(1,343,920,896) | $(513,237,059) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 42 | Portfolio Navigator Funds | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Variable Portfolio –
Conservative Portfolio | Variable Portfolio –
Moderately Conservative Portfolio |
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | | | |
| Net investment income (loss) | $(1,101,109) | $15,586,006 | $(804,384) | $30,278,547 |
| Net realized gain (loss) | (3,312,071) | 122,645,112 | 16,691,155 | 293,023,686 |
| Net change in unrealized appreciation (depreciation) | (151,869,697) | (103,187,226) | (449,815,190) | (151,179,205) |
| Net increase (decrease) in net assets resulting from operations | (156,282,877) | 35,043,892 | (433,928,419) | 172,123,028 |
| Decrease in net assets from capital stock activity | (57,079,373) | (233,106,490) | (165,759,178) | (352,077,035) |
| Total decrease in net assets | (213,362,250) | (198,062,598) | (599,687,597) | (179,954,007) |
| Net assets at beginning of period | 1,189,750,178 | 1,387,812,776 | 2,964,624,600 | 3,144,578,607 |
| Net assets at end of period | $976,387,928 | $1,189,750,178 | $2,364,937,003 | $2,964,624,600 |
| | Variable Portfolio –
Conservative Portfolio | Variable Portfolio –
Moderately Conservative Portfolio |
| | Six Months Ended | Year Ended | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | | | | | |
| Subscriptions | 6,948 | 111,419 | 61,593 | 1,024,919 | 22,196 | 403,832 | 68,961 | 1,317,951 |
| Redemptions | (13,424) | (212,145) | (11,411) | (189,684) | (21,033) | (394,583) | (41,972) | (794,690) |
| Net increase (decrease) | (6,476) | (100,726) | 50,182 | 835,235 | 1,163 | 9,249 | 26,989 | 523,261 |
| Class 2 | | | | | | | | |
| Subscriptions | 1,536,801 | 23,576,465 | 2,944,854 | 48,663,645 | 452,425 | 8,010,564 | 1,568,795 | 29,847,265 |
| Redemptions | (3,109,255) | (48,287,663) | (9,710,378) | (160,288,681) | (4,565,963) | (81,758,193) | (9,118,849) | (173,584,537) |
| Net decrease | (1,572,454) | (24,711,198) | (6,765,524) | (111,625,036) | (4,113,538) | (73,747,629) | (7,550,054) | (143,737,272) |
| Class 4 | | | | | | | | |
| Subscriptions | 815,235 | 12,442,195 | 763,195 | 12,558,711 | 170,628 | 3,051,148 | 279,011 | 5,331,862 |
| Redemptions | (2,883,508) | (44,709,644) | (8,175,661) | (134,875,400) | (5,280,366) | (95,071,946) | (11,225,157) | (214,194,886) |
| Net decrease | (2,068,273) | (32,267,449) | (7,412,466) | (122,316,689) | (5,109,738) | (92,020,798) | (10,946,146) | (208,863,024) |
| Total net decrease | (3,647,203) | (57,079,373) | (14,127,808) | (233,106,490) | (9,222,113) | (165,759,178) | (18,469,211) | (352,077,035) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2022
| 43 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
Moderate
Portfolio | Variable Portfolio –
Moderately Aggressive Portfolio |
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | | | |
| Net investment income (loss) | $(345,731) | $151,857,458 | $2,869,139 | $46,188,798 |
| Net realized gain | 174,052,316 | 1,757,717,911 | 116,005,454 | 961,401,865 |
| Net change in unrealized appreciation (depreciation) | (3,068,594,834) | (364,624,123) | (1,462,795,489) | (105,291,966) |
| Net increase (decrease) in net assets resulting from operations | (2,894,888,249) | 1,544,951,246 | (1,343,920,896) | 902,298,697 |
| Decrease in net assets from capital stock activity | (629,072,046) | (1,335,156,447) | (363,196,311) | (955,214,164) |
| Total increase (decrease) in net assets | (3,523,960,295) | 209,794,799 | (1,707,117,207) | (52,915,467) |
| Net assets at beginning of period | 17,808,685,814 | 17,598,891,015 | 7,608,205,771 | 7,661,121,238 |
| Net assets at end of period | $14,284,725,519 | $17,808,685,814 | $5,901,088,564 | $7,608,205,771 |
| | Variable Portfolio –
Moderate
Portfolio | Variable Portfolio –
Moderately Aggressive Portfolio |
| | Six Months Ended | Year Ended | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | | | | | |
| Subscriptions | 455,590 | 9,555,144 | 799,378 | 17,852,828 | 1,135,028 | 26,906,265 | 2,112,806 | 53,145,081 |
| Redemptions | (44,034) | (927,418) | (61,143) | (1,351,310) | (22,337) | (514,522) | (63,855) | (1,553,693) |
| Net increase | 411,556 | 8,627,726 | 738,235 | 16,501,518 | 1,112,691 | 26,391,743 | 2,048,951 | 51,591,388 |
| Class 2 | | | | | | | | |
| Subscriptions | 1,351,006 | 28,253,821 | 4,673,442 | 102,545,690 | 432,528 | 9,732,086 | 702,217 | 17,565,831 |
| Redemptions | (10,810,914) | (223,509,462) | (19,243,186) | (424,611,786) | (10,069,427) | (239,046,027) | (24,659,087) | (614,123,878) |
| Net decrease | (9,459,908) | (195,255,641) | (14,569,744) | (322,066,096) | (9,636,899) | (229,313,941) | (23,956,870) | (596,558,047) |
| Class 4 | | | | | | | | |
| Subscriptions | 171,357 | 3,652,432 | 344,652 | 7,577,548 | 114,151 | 2,742,105 | 250,775 | 6,178,469 |
| Redemptions | (21,454,896) | (446,096,563) | (47,066,979) | (1,037,169,417) | (6,921,964) | (163,016,218) | (16,790,262) | (416,425,974) |
| Net decrease | (21,283,539) | (442,444,131) | (46,722,327) | (1,029,591,869) | (6,807,813) | (160,274,113) | (16,539,487) | (410,247,505) |
| Total net decrease | (30,331,891) | (629,072,046) | (60,553,836) | (1,335,156,447) | (15,332,021) | (363,196,311) | (38,447,406) | (955,214,164) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 44 | Portfolio Navigator Funds | Semiannual Report 2022 |
Statement of Changes in Net Assets (continued)
| | Variable Portfolio –
Aggressive Portfolio |
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $2,559,927 | $10,494,665 |
| Net realized gain | 53,053,279 | 294,280,543 |
| Net change in unrealized appreciation (depreciation) | (568,850,265) | 76,986,058 |
| Net increase (decrease) in net assets resulting from operations | (513,237,059) | 381,761,266 |
| Decrease in net assets from capital stock activity | (46,162,281) | (281,808,556) |
| Total increase (decrease) in net assets | (559,399,340) | 99,952,710 |
| Net assets at beginning of period | 2,639,474,346 | 2,539,521,636 |
| Net assets at end of period | $2,080,075,006 | $2,639,474,346 |
| | Variable Portfolio –
Aggressive Portfolio |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 621,587 | 16,450,469 | 941,828 | 26,469,369 |
| Redemptions | (18,592) | (495,893) | (34,531) | (967,321) |
| Net increase | 602,995 | 15,954,576 | 907,297 | 25,502,048 |
| Class 2 | | | | |
| Subscriptions | 913,865 | 23,785,831 | 755,347 | 21,342,634 |
| Redemptions | (1,894,006) | (50,835,575) | (7,414,346) | (204,604,175) |
| Net decrease | (980,141) | (27,049,744) | (6,658,999) | (183,261,541) |
| Class 4 | | | | |
| Subscriptions | 187,248 | 4,762,148 | 348,902 | 9,696,348 |
| Redemptions | (1,497,355) | (39,829,261) | (4,830,251) | (133,745,411) |
| Net decrease | (1,310,107) | (35,067,113) | (4,481,349) | (124,049,063) |
| Total net decrease | (1,687,253) | (46,162,281) | (10,233,051) | (281,808,556) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2022
| 45 |
Financial Highlights
Variable Portfolio – Conservative Portfolio
The following tables are intended to help you understand the Funds’ 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, a fund’s portfolio turnover rate may be higher.
| | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $16.91 | 0.00(c) | (2.26) | (2.26) |
| Year Ended 12/31/2021 | $16.41 | 0.28 | 0.22 | 0.50 |
| Year Ended 12/31/2020 | $14.98 | 0.15 | 1.28 | 1.43 |
| Year Ended 12/31/2019(f) | $13.95 | 0.13 | 0.90 | 1.03 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $16.79 | (0.02) | (2.25) | (2.27) |
| Year Ended 12/31/2021 | $16.33 | 0.20 | 0.26 | 0.46 |
| Year Ended 12/31/2020 | $14.94 | 0.23 | 1.16 | 1.39 |
| Year Ended 12/31/2019 | $13.49 | 0.27 | 1.18 | 1.45 |
| Year Ended 12/31/2018 | $13.90 | 0.22 | (0.63) | (0.41) |
| Year Ended 12/31/2017 | $12.94 | 0.22 | 0.74 | 0.96 |
| Class 4 |
| Six Months Ended 6/30/2022 (Unaudited) | $16.78 | (0.02) | (2.24) | (2.26) |
| Year Ended 12/31/2021 | $16.32 | 0.20 | 0.26 | 0.46 |
| Year Ended 12/31/2020 | $14.94 | 0.23 | 1.15 | 1.38 |
| Year Ended 12/31/2019 | $13.49 | 0.28 | 1.17 | 1.45 |
| Year Ended 12/31/2018 | $13.89 | 0.22 | (0.62) | (0.40) |
| Year Ended 12/31/2017 | $12.94 | 0.21 | 0.74 | 0.95 |
| 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) | Rounds to zero. |
| (d) | Annualized. |
| (e) | Ratios include interest on collateral expense which is less than 0.01%. |
| (f) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 46 | Portfolio Navigator Funds | Semiannual Report 2022 |
Financial Highlights (continued)
Variable Portfolio – Conservative Portfolio
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $14.65 | (13.36%) | 0.14%(d),(e) | 0.14%(d),(e) | 0.05%(d) | 6% | $918 |
| Year Ended 12/31/2021 | $16.91 | 3.05% | 0.12%(e) | 0.12%(e) | 1.70% | 22% | $1,169 |
| Year Ended 12/31/2020 | $16.41 | 9.55% | 0.12%(e) | 0.12%(e) | 1.00% | 25% | $311 |
| Year Ended 12/31/2019(f) | $14.98 | 7.38% | 0.13%(d) | 0.13%(d) | 1.10%(d) | 18% | $173 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $14.52 | (13.52%) | 0.39%(d),(e) | 0.39%(d),(e) | (0.21%)(d) | 6% | $543,044 |
| Year Ended 12/31/2021 | $16.79 | 2.82% | 0.37%(e) | 0.37%(e) | 1.22% | 22% | $654,063 |
| Year Ended 12/31/2020 | $16.33 | 9.30% | 0.37%(e) | 0.37%(e) | 1.51% | 25% | $746,628 |
| Year Ended 12/31/2019 | $14.94 | 10.75% | 0.38% | 0.38% | 1.90% | 18% | $520,608 |
| Year Ended 12/31/2018 | $13.49 | (2.95%) | 0.37% | 0.37% | 1.61% | 18% | $450,440 |
| Year Ended 12/31/2017 | $13.90 | 7.42% | 0.33% | 0.33% | 1.60% | 6% | $541,013 |
| Class 4 |
| Six Months Ended 6/30/2022 (Unaudited) | $14.52 | (13.47%) | 0.39%(d),(e) | 0.39%(d),(e) | (0.21%)(d) | 6% | $432,425 |
| Year Ended 12/31/2021 | $16.78 | 2.82% | 0.37%(e) | 0.37%(e) | 1.21% | 22% | $534,518 |
| Year Ended 12/31/2020 | $16.32 | 9.24% | 0.37%(e) | 0.37%(e) | 1.48% | 25% | $640,874 |
| Year Ended 12/31/2019 | $14.94 | 10.75% | 0.38% | 0.38% | 1.94% | 18% | $562,599 |
| Year Ended 12/31/2018 | $13.49 | (2.88%) | 0.37% | 0.37% | 1.60% | 18% | $570,600 |
| Year Ended 12/31/2017 | $13.89 | 7.34% | 0.33% | 0.33% | 1.59% | 6% | $725,015 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2022
| 47 |
Financial Highlights
Variable Portfolio – Moderately Conservative Portfolio
| | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $19.65 | 0.02 | (2.96) | (2.94) |
| Year Ended 12/31/2021 | $18.54 | 0.26 | 0.85 | 1.11 |
| Year Ended 12/31/2020 | $16.66 | 0.29 | 1.59 | 1.88 |
| Year Ended 12/31/2019(e) | $15.35 | 0.26 | 1.05 | 1.31 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $19.52 | (0.01) | (2.93) | (2.94) |
| Year Ended 12/31/2021 | $18.46 | 0.19 | 0.87 | 1.06 |
| Year Ended 12/31/2020 | $16.63 | 0.21 | 1.62 | 1.83 |
| Year Ended 12/31/2019 | $14.65 | 0.24 | 1.74 | 1.98 |
| Year Ended 12/31/2018 | $15.28 | 0.20 | (0.83) | (0.63) |
| Year Ended 12/31/2017 | $13.89 | 0.19 | 1.20 | 1.39 |
| Class 4 |
| Six Months Ended 6/30/2022 (Unaudited) | $19.56 | (0.01) | (2.94) | (2.95) |
| Year Ended 12/31/2021 | $18.49 | 0.19 | 0.88 | 1.07 |
| Year Ended 12/31/2020 | $16.66 | 0.21 | 1.62 | 1.83 |
| Year Ended 12/31/2019 | $14.68 | 0.25 | 1.73 | 1.98 |
| Year Ended 12/31/2018 | $15.30 | 0.20 | (0.82) | (0.62) |
| Year Ended 12/31/2017 | $13.92 | 0.19 | 1.19 | 1.38 |
| 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) | Annualized. |
| (d) | Ratios include interest on collateral expense which is less than 0.01%. |
| (e) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 48 | Portfolio Navigator Funds | Semiannual Report 2022 |
Financial Highlights (continued)
Variable Portfolio – Moderately Conservative Portfolio
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $16.71 | (14.96%) | 0.12%(c),(d) | 0.12%(c),(d) | 0.19%(c) | 4% | $1,690 |
| Year Ended 12/31/2021 | $19.65 | 5.99% | 0.12%(d) | 0.12%(d) | 1.33% | 18% | $1,964 |
| Year Ended 12/31/2020 | $18.54 | 11.28% | 0.13%(d) | 0.12%(d) | 1.70% | 23% | $1,353 |
| Year Ended 12/31/2019(e) | $16.66 | 8.53% | 0.12%(c) | 0.11%(c) | 1.91%(c) | 12% | $156 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $16.58 | (15.06%) | 0.37%(c),(d) | 0.37%(c),(d) | (0.06%)(c) | 4% | $1,248,987 |
| Year Ended 12/31/2021 | $19.52 | 5.74% | 0.37%(d) | 0.37%(d) | 0.99% | 18% | $1,550,825 |
| Year Ended 12/31/2020 | $18.46 | 11.00% | 0.37%(d) | 0.37%(d) | 1.26% | 23% | $1,605,788 |
| Year Ended 12/31/2019 | $16.63 | 13.51% | 0.37% | 0.36% | 1.54% | 12% | $1,463,901 |
| Year Ended 12/31/2018 | $14.65 | (4.12%) | 0.36% | 0.36% | 1.31% | 10% | $1,311,637 |
| Year Ended 12/31/2017 | $15.28 | 10.01% | 0.33% | 0.33% | 1.30% | 4% | $1,539,179 |
| Class 4 |
| Six Months Ended 6/30/2022 (Unaudited) | $16.61 | (15.08%) | 0.37%(c),(d) | 0.37%(c),(d) | (0.06%)(c) | 4% | $1,114,260 |
| Year Ended 12/31/2021 | $19.56 | 5.79% | 0.37%(d) | 0.37%(d) | 0.99% | 18% | $1,411,835 |
| Year Ended 12/31/2020 | $18.49 | 10.98% | 0.37%(d) | 0.37%(d) | 1.25% | 23% | $1,537,438 |
| Year Ended 12/31/2019 | $16.66 | 13.49% | 0.37% | 0.36% | 1.55% | 12% | $1,562,773 |
| Year Ended 12/31/2018 | $14.68 | (4.05%) | 0.36% | 0.36% | 1.31% | 10% | $1,578,450 |
| Year Ended 12/31/2017 | $15.30 | 9.91% | 0.33% | 0.33% | 1.30% | 4% | $2,000,352 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2022
| 49 |
Financial Highlights
Variable Portfolio – Moderate Portfolio
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $22.90 | 0.03 | (3.80) | (3.77) |
| Year Ended 12/31/2021 | $20.95 | 0.25 | 1.70 | 1.95 |
| Year Ended 12/31/2020 | $18.52 | 0.25 | 2.18 | 2.43 |
| Year Ended 12/31/2019(e) | $16.92 | 0.21 | 1.39 | 1.60 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $22.76 | (0.00)(f) | (3.76) | (3.76) |
| Year Ended 12/31/2021 | $20.88 | 0.19 | 1.69 | 1.88 |
| Year Ended 12/31/2020 | $18.50 | 0.19 | 2.19 | 2.38 |
| Year Ended 12/31/2019 | $15.93 | 0.22 | 2.35 | 2.57 |
| Year Ended 12/31/2018 | $16.87 | 0.18 | (1.12) | (0.94) |
| Year Ended 12/31/2017 | $14.90 | 0.16 | 1.81 | 1.97 |
| Class 4 |
| Six Months Ended 6/30/2022 (Unaudited) | $22.79 | (0.00)(f) | (3.77) | (3.77) |
| Year Ended 12/31/2021 | $20.90 | 0.19 | 1.70 | 1.89 |
| Year Ended 12/31/2020 | $18.53 | 0.19 | 2.18 | 2.37 |
| Year Ended 12/31/2019 | $15.95 | 0.22 | 2.36 | 2.58 |
| Year Ended 12/31/2018 | $16.89 | 0.18 | (1.12) | (0.94) |
| Year Ended 12/31/2017 | $14.92 | 0.16 | 1.81 | 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) | Annualized. |
| (d) | Ratios include interest on collateral expense which is less than 0.01%. |
| (e) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
| (f) | Rounds to zero. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 50 | Portfolio Navigator Funds | Semiannual Report 2022 |
Financial Highlights (continued)
Variable Portfolio – Moderate Portfolio
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $19.13 | (16.46%) | 0.13%(c),(d) | 0.13%(c),(d) | 0.25%(c) | 7% | $30,652 |
| Year Ended 12/31/2021 | $22.90 | 9.31% | 0.12%(d) | 0.12%(d) | 1.10% | 21% | $27,263 |
| Year Ended 12/31/2020 | $20.95 | 13.12% | 0.12%(d) | 0.12%(d) | 1.34% | 20% | $9,478 |
| Year Ended 12/31/2019(e) | $18.52 | 9.46% | 0.10%(c) | 0.10%(c) | 1.38%(c) | 9% | $3,412 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $19.00 | (16.52%) | 0.38%(c),(d) | 0.38%(c),(d) | (0.00%)(c),(f) | 7% | $7,460,103 |
| Year Ended 12/31/2021 | $22.76 | 9.00% | 0.37%(d) | 0.37%(d) | 0.85% | 21% | $9,154,944 |
| Year Ended 12/31/2020 | $20.88 | 12.86% | 0.36%(d) | 0.36%(d) | 1.02% | 20% | $8,700,781 |
| Year Ended 12/31/2019 | $18.50 | 16.13% | 0.35% | 0.35% | 1.23% | 9% | $8,144,403 |
| Year Ended 12/31/2018 | $15.93 | (5.57%) | 0.35% | 0.35% | 1.05% | 10% | $7,293,208 |
| Year Ended 12/31/2017 | $16.87 | 13.22% | 0.32% | 0.32% | 1.03% | 5% | $8,266,265 |
| Class 4 |
| Six Months Ended 6/30/2022 (Unaudited) | $19.02 | (16.54%) | 0.38%(c),(d) | 0.38%(c),(d) | (0.00%)(c),(f) | 7% | $6,793,971 |
| Year Ended 12/31/2021 | $22.79 | 9.04% | 0.37%(d) | 0.37%(d) | 0.85% | 21% | $8,626,480 |
| Year Ended 12/31/2020 | $20.90 | 12.79% | 0.36%(d) | 0.36%(d) | 1.01% | 20% | $8,888,631 |
| Year Ended 12/31/2019 | $18.53 | 16.18% | 0.35% | 0.35% | 1.23% | 9% | $9,035,588 |
| Year Ended 12/31/2018 | $15.95 | (5.56%) | 0.35% | 0.35% | 1.05% | 10% | $9,032,721 |
| Year Ended 12/31/2017 | $16.89 | 13.20% | 0.32% | 0.32% | 1.03% | 5% | $11,144,165 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2022
| 51 |
Financial Highlights
Variable Portfolio – Moderately Aggressive Portfolio
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $26.07 | 0.04 | (4.75) | (4.71) |
| Year Ended 12/31/2021 | $23.15 | 0.20 | 2.72 | 2.92 |
| Year Ended 12/31/2020 | $20.26 | 0.18 | 2.71 | 2.89 |
| Year Ended 12/31/2019(e) | $18.37 | 0.18 | 1.71 | 1.89 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $25.92 | 0.01 | (4.72) | (4.71) |
| Year Ended 12/31/2021 | $23.08 | 0.15 | 2.69 | 2.84 |
| Year Ended 12/31/2020 | $20.24 | 0.12 | 2.72 | 2.84 |
| Year Ended 12/31/2019 | $17.05 | 0.18 | 3.01 | 3.19 |
| Year Ended 12/31/2018 | $18.34 | 0.15 | (1.44) | (1.29) |
| Year Ended 12/31/2017 | $15.79 | 0.13 | 2.42 | 2.55 |
| Class 4 |
| Six Months Ended 6/30/2022 (Unaudited) | $25.96 | 0.01 | (4.73) | (4.72) |
| Year Ended 12/31/2021 | $23.11 | 0.15 | 2.70 | 2.85 |
| Year Ended 12/31/2020 | $20.27 | 0.12 | 2.72 | 2.84 |
| Year Ended 12/31/2019 | $17.07 | 0.18 | 3.02 | 3.20 |
| Year Ended 12/31/2018 | $18.37 | 0.15 | (1.45) | (1.30) |
| Year Ended 12/31/2017 | $15.81 | 0.13 | 2.43 | 2.56 |
| 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) | Annualized. |
| (d) | Ratios include interest on collateral expense which is less than 0.01%. |
| (e) | Class 1 shares are based on operations from February 20, 2019 (commencement of operations) through the stated period end. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 52 | Portfolio Navigator Funds | Semiannual Report 2022 |
Financial Highlights (continued)
Variable Portfolio – Moderately Aggressive Portfolio
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $21.36 | (18.07%) | 0.13%(c),(d) | 0.13%(c),(d) | 0.33%(c) | 6% | $102,233 |
| Year Ended 12/31/2021 | $26.07 | 12.61% | 0.13%(d) | 0.13%(d) | 0.81% | 20% | $95,758 |
| Year Ended 12/31/2020 | $23.15 | 14.26% | 0.14%(d) | 0.14%(d) | 0.89% | 21% | $37,600 |
| Year Ended 12/31/2019(e) | $20.26 | 10.29% | 0.12%(c) | 0.12%(c) | 1.11%(c) | 10% | $9,932 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $21.21 | (18.17%) | 0.38%(c),(d) | 0.38%(c),(d) | 0.08%(c) | 6% | $3,150,786 |
| Year Ended 12/31/2021 | $25.92 | 12.31% | 0.38%(d) | 0.38%(d) | 0.59% | 20% | $4,099,901 |
| Year Ended 12/31/2020 | $23.08 | 14.03% | 0.39%(d) | 0.39%(d) | 0.61% | 21% | $4,203,023 |
| Year Ended 12/31/2019 | $20.24 | 18.71% | 0.37% | 0.37% | 0.97% | 10% | $4,208,417 |
| Year Ended 12/31/2018 | $17.05 | (7.03%) | 0.36% | 0.36% | 0.80% | 10% | $4,016,103 |
| Year Ended 12/31/2017 | $18.34 | 16.15% | 0.33% | 0.33% | 0.79% | 6% | $4,764,394 |
| Class 4 |
| Six Months Ended 6/30/2022 (Unaudited) | $21.24 | (18.18%) | 0.38%(c),(d) | 0.38%(c),(d) | 0.08%(c) | 6% | $2,648,069 |
| Year Ended 12/31/2021 | $25.96 | 12.33% | 0.38%(d) | 0.38%(d) | 0.59% | 20% | $3,412,547 |
| Year Ended 12/31/2020 | $23.11 | 14.01% | 0.39%(d) | 0.39%(d) | 0.60% | 21% | $3,420,498 |
| Year Ended 12/31/2019 | $20.27 | 18.75% | 0.37% | 0.37% | 0.97% | 10% | $3,546,614 |
| Year Ended 12/31/2018 | $17.07 | (7.08%) | 0.36% | 0.36% | 0.80% | 10% | $3,625,919 |
| Year Ended 12/31/2017 | $18.37 | 16.19% | 0.33% | 0.33% | 0.78% | 6% | $4,658,189 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2022
| 53 |
Financial Highlights
Variable Portfolio – Aggressive Portfolio
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $29.46 | 0.06 | (5.83) | (5.77) |
| Year Ended 12/31/2021 | $25.39 | 0.16 | 3.91 | 4.07 |
| Year Ended 12/31/2020 | $22.02 | 0.13 | 3.24 | 3.37 |
| Year Ended 12/31/2019(e) | $19.79 | 0.14 | 2.09 | 2.23 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $29.31 | 0.03 | (5.80) | (5.77) |
| Year Ended 12/31/2021 | $25.32 | 0.11 | 3.88 | 3.99 |
| Year Ended 12/31/2020 | $22.02 | 0.07 | 3.23 | 3.30 |
| Year Ended 12/31/2019 | $18.11 | 0.13 | 3.78 | 3.91 |
| Year Ended 12/31/2018 | $19.81 | 0.11 | (1.81) | (1.70) |
| Year Ended 12/31/2017 | $16.66 | 0.10 | 3.05 | 3.15 |
| Class 4 |
| Six Months Ended 6/30/2022 (Unaudited) | $29.36 | 0.03 | (5.82) | (5.79) |
| Year Ended 12/31/2021 | $25.36 | 0.11 | 3.89 | 4.00 |
| Year Ended 12/31/2020 | $22.06 | 0.07 | 3.23 | 3.30 |
| Year Ended 12/31/2019 | $18.13 | 0.13 | 3.80 | 3.93 |
| Year Ended 12/31/2018 | $19.84 | 0.11 | (1.82) | (1.71) |
| Year Ended 12/31/2017 | $16.69 | 0.10 | 3.05 | 3.15 |
| 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) | Annualized. |
| (d) | Ratios include interest on collateral expense which is less than 0.01%. |
| (e) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 54 | Portfolio Navigator Funds | Semiannual Report 2022 |
Financial Highlights (continued)
Variable Portfolio – Aggressive Portfolio
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $23.69 | (19.59%) | 0.12%(c),(d) | 0.12%(c),(d) | 0.46%(c) | 4% | $49,291 |
| Year Ended 12/31/2021 | $29.46 | 16.03% | 0.13%(d) | 0.13%(d) | 0.58% | 22% | $43,538 |
| Year Ended 12/31/2020 | $25.39 | 15.30% | 0.13%(d) | 0.13%(d) | 0.58% | 21% | $14,487 |
| Year Ended 12/31/2019(e) | $22.02 | 11.27% | 0.11%(c) | 0.11%(c) | 0.78%(c) | 14% | $4,083 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $23.54 | (19.69%) | 0.37%(c),(d) | 0.37%(c),(d) | 0.21%(c) | 4% | $1,148,979 |
| Year Ended 12/31/2021 | $29.31 | 15.76% | 0.38%(d) | 0.38%(d) | 0.40% | 22% | $1,459,446 |
| Year Ended 12/31/2020 | $25.32 | 14.99% | 0.37%(d) | 0.37%(d) | 0.32% | 21% | $1,429,508 |
| Year Ended 12/31/2019 | $22.02 | 21.59% | 0.36% | 0.36% | 0.64% | 14% | $1,403,662 |
| Year Ended 12/31/2018 | $18.11 | (8.58%) | 0.36% | 0.36% | 0.53% | 10% | $1,301,923 |
| Year Ended 12/31/2017 | $19.81 | 18.91% | 0.33% | 0.33% | 0.53% | 9% | $1,529,935 |
| Class 4 |
| Six Months Ended 6/30/2022 (Unaudited) | $23.57 | (19.72%) | 0.37%(c),(d) | 0.37%(c),(d) | 0.21%(c) | 4% | $881,805 |
| Year Ended 12/31/2021 | $29.36 | 15.77% | 0.38%(d) | 0.38%(d) | 0.40% | 22% | $1,136,491 |
| Year Ended 12/31/2020 | $25.36 | 14.96% | 0.37%(d) | 0.37%(d) | 0.31% | 21% | $1,095,527 |
| Year Ended 12/31/2019 | $22.06 | 21.68% | 0.36% | 0.36% | 0.64% | 14% | $1,112,840 |
| Year Ended 12/31/2018 | $18.13 | (8.62%) | 0.36% | 0.36% | 0.53% | 10% | $1,079,305 |
| Year Ended 12/31/2017 | $19.84 | 18.87% | 0.33% | 0.33% | 0.53% | 9% | $1,384,255 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Portfolio Navigator Funds | Semiannual Report 2022
| 55 |
Notes to Financial Statements
June 30, 2022 (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), its affiliates, or third-party advised (unaffiliated) funds, including exchange-traded funds (collectively, Underlying Funds). Each Fund is exposed to the same risks as the Underlying Funds in direct proportion to the allocation of its assets among the Underlying Funds. For information on the investment strategies, operations and risks of the Underlying Funds, please refer to the Fund’s current prospectus as well as the prospectuses and shareholder reports of the Underlying Funds, which are available from the Securities and Exchange Commission’s website at www.sec.gov or on the Underlying Funds’ website at columbiathreadneedleus.com/investor/.
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, Class 2 and Class 4 shares. Class 1 shares are offered to separate accounts funding variable annuity contracts and variable life insurance policies (collectively, Contracts) issued by affiliated life insurance companies (Participating Insurance Companies) and other qualified institutional investors (Qualified Investors) authorized by Columbia Management Investment Distributors, Inc. (the Distributor). Class 2 shares are offered to 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
Investments in the Underlying Funds (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
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 a settlement price, 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.
| 56 | Portfolio Navigator Funds | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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 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
Each Fund invests in certain derivative instruments, as detailed below, in seeking 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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a clearing broker’s customer account. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing broker’s customers (including the Fund), potentially resulting in losses to the Fund.
Portfolio Navigator Funds | Semiannual Report 2022
| 57 |
Notes to Financial Statements (continued)
June 30, 2022 (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 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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as well. 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 may also pay interest expense on collateral to the broker and/or CCP. Any interest expense paid by the Fund is shown in the Statement of Operations. 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. Each 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 generally expects to earn interest income on its margin deposits. 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.
| 58 | Portfolio Navigator Funds | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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. For a bilateral swap contract, the Fund has credit exposure to the broker, but exchanges daily variation margin with the broker based on the mark-to-market value of the swap contract to minimize that exposure. 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, that 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
Certain Funds entered into credit default swap contracts as detailed below:
| Credit default swap contracts | Funds |
| To increase or decrease its credit exposure to an index | Variable Portfolio — Moderate Portfolio
Variable Portfolio — Aggressive Portfolio |
| To manage credit risk exposure | Variable Portfolio — Moderate Portfolio
Variable Portfolio — Aggressive Portfolio |
These instruments may be used for other purposes in future periods. Credit default swap contracts are transactions 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 typically 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
Portfolio Navigator Funds | Semiannual Report 2022
| 59 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
partially offset by any recovery values of the respective reference obligations or upfront receipts 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 upfront payment or receipt 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 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, 2022:
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 1,824,039* |
| Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 707,937* |
| Total | | 2,531,976 |
| * | 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. |
| 60 | Portfolio Navigator Funds | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | | | | | | Futures
contracts
($) |
| Equity risk | | | | | | (4,666,079) |
| Interest rate risk | | | | | | (4,810,548) |
| Total | | | | | | (9,476,627) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | | | | | | Futures
contracts
($) |
| Equity risk | | | | | | (2,572,081) |
| Interest rate risk | | | | | | (816,595) |
| Total | | | | | | (3,388,676) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average notional
amounts ($) |
| Futures contracts — long | 65,654,411* |
| Futures contracts — short | 602,624** |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
| ** | Based on the ending daily outstanding amounts for the six months ended June 30, 2022. |
Variable Portfolio – Moderately Conservative Portfolio
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2022:
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 5,071,518* |
| Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 661,829* |
| Total | | 5,733,347 |
| * | 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. |
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| 61 |
Notes to Financial Statements (continued)
June 30, 2022 (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, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | | | | | | Futures
contracts
($) |
| Equity risk | | | | | | (11,498,893) |
| Interest rate risk | | | | | | (5,148,199) |
| Total | | | | | | (16,647,092) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | | | | | | Futures
contracts
($) |
| Equity risk | | | | | | (7,250,455) |
| Interest rate risk | | | | | | (703,043) |
| Total | | | | | | (7,953,498) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 100,776,079 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
Variable Portfolio – Moderate Portfolio
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2022:
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Credit risk | Component of trust capital - unrealized depreciation on swap contracts | 724,567* |
| Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 35,302,917* |
| Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 2,978,398* |
| Total | | 39,005,882 |
| * | 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. |
| 62 | Portfolio Navigator Funds | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | | | | Futures
contracts
($) | Swap
contracts
($) | Total
($) |
| Credit risk | | | | — | (208,793) | (208,793) |
| Equity risk | | | | (81,161,532) | — | (81,161,532) |
| Interest rate risk | | | | (19,645,319) | — | (19,645,319) |
| Total | | | | (100,806,851) | (208,793) | (101,015,644) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | | | | Futures
contracts
($) | Swap
contracts
($) | Total
($) |
| Credit risk | | | | — | (749,079) | (749,079) |
| Equity risk | | | | (50,282,083) | — | (50,282,083) |
| Interest rate risk | | | | (2,978,398) | — | (2,978,398) |
| Total | | | | (53,260,481) | (749,079) | (54,009,560) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 679,473,512 |
| Credit default swap contracts — sell protection | 52,323,000 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
Variable Portfolio – Moderately Aggressive Portfolio
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2022:
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 13,384,642* |
| Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 1,417,239* |
| Total | | 14,801,881 |
| * | 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. |
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| 63 |
Notes to Financial Statements (continued)
June 30, 2022 (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, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | | | | | | Futures
contracts
($) |
| Equity risk | | | | | | (34,552,075) |
| Interest rate risk | | | | | | (23,544,134) |
| Total | | | | | | (58,096,209) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | | | | | | Futures
contracts
($) |
| Equity risk | | | | | | (20,944,122) |
| Interest rate risk | | | | | | (2,135,311) |
| Total | | | | | | (23,079,433) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 464,572,111 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
Variable Portfolio – Aggressive Portfolio
The following table is a summary of the fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) at June 30, 2022:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 307,598* |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Credit risk | Component of trust capital - unrealized depreciation on swap contracts | 142,745* |
| Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 3,491,621* |
| Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 87,028* |
| Total | | 3,721,394 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
| 64 | Portfolio Navigator Funds | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | | | | Futures
contracts
($) | Swap
contracts
($) | Total
($) |
| Credit risk | | | | — | (42,254) | (42,254) |
| Equity risk | | | | (9,374,688) | — | (9,374,688) |
| Interest rate risk | | | | (1,640,757) | — | (1,640,757) |
| Total | | | | (11,015,445) | (42,254) | (11,057,699) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | | | | Futures
contracts
($) | Swap
contracts
($) | Total
($) |
| Credit risk | | | | — | (146,454) | (146,454) |
| Equity risk | | | | (5,929,230) | — | (5,929,230) |
| Interest rate risk | | | | (87,028) | — | (87,028) |
| Total | | | | (6,016,258) | (146,454) | (6,162,712) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 81,885,820 |
| Futures contracts — short | 10,826,532 |
| Credit default swap contracts — sell protection | 10,308,000 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
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, 2022:
Variable Portfolio – Moderate Portfolio
| | | Morgan
Stanley ($) | | | | | | | |
| Liabilities | | | | | | | | | |
| Centrally cleared credit default swap contracts (a) | | 18,152 | | | | | | | |
| Total financial and derivative net assets | | (18,152) | | | | | | | |
| Total collateral received (pledged) (b) | | (18,152) | | | | | | | |
| Net amount (c) | | - | | | | | | | |
| (a) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
| (c) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
| (d) | Represents the net amount due from/(to) counterparties in the event of default. |
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| 65 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Variable Portfolio – Aggressive Portfolio
| | | Morgan
Stanley ($) | | | | | | | |
| Liabilities | | | | | | | | | |
| Centrally cleared credit default swap contracts (a) | | 3,576 | | | | | | | |
| Total financial and derivative net assets | | (3,576) | | | | | | | |
| Total collateral received (pledged) (b) | | (3,576) | | | | | | | |
| Net amount (c) | | - | | | | | | | |
| (a) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
| (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.
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.
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.
| 66 | Portfolio Navigator Funds | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 3. Fees and other transactions with affiliates
Management services fees and underlying fund fees
Each Fund has entered into a Management Agreement with Columbia Management Investment Advisers, LLC (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 fee (or investment 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 to the Investment Manager, 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, 2022 were as follows:
| | Effective management services fee rate (%) |
| Variable Portfolio – Conservative Portfolio | 0.07 |
| Variable Portfolio – Moderately Conservative Portfolio | 0.05 |
| Variable Portfolio – Moderate Portfolio | 0.07 |
| Variable Portfolio – Moderately Aggressive Portfolio | 0.07 |
| Variable Portfolio – Aggressive Portfolio | 0.05 |
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.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Funds. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Funds in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Funds, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
Each Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance
Portfolio Navigator Funds | Semiannual Report 2022
| 67 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in each Fund, up to a cap approved by the Board of Trustees from time to time.
For the six months ended June 30, 2022, each Fund’s annualized effective service fee rate as a percentage of the Fund’s average daily net assets was as follows:
| | Effective service fee rate (%) |
| Variable Portfolio – Conservative Portfolio | 0.06 |
| Variable Portfolio – Moderately Conservative Portfolio | 0.06 |
| Variable Portfolio – Moderate Portfolio | 0.06 |
| Variable Portfolio – Moderately Aggressive Portfolio | 0.06 |
| Variable Portfolio – Aggressive Portfolio | 0.06 |
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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. 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 classes’ average daily net assets:
| | May 1, 2022
through
April 30, 2023 | Prior to
May 1, 2022 |
| Fund | Class 1
(%) | Class 2
(%) | Class 4
(%) | Class 1
(%) | Class 2
(%) | Class 4
(%) |
| Variable Portfolio - Conservative Portfolio | 0.18 | 0.43 | 0.43 | 0.22 | 0.47 | 0.47 |
| Variable Portfolio - Moderately Conservative Portfolio | 0.20 | 0.45 | 0.45 | 0.22 | 0.47 | 0.47 |
| Variable Portfolio - Moderately Aggressive Portfolio | 0.18 | 0.43 | 0.43 | 0.18 | 0.43 | 0.43 |
| Variable Portfolio - Aggressive Portfolio | 0.18 | 0.43 | 0.43 | 0.18 | 0.43 | 0.43 |
| | Contractual
expense cap
July 1, 2022
through
April 30, 2023 | Voluntary
expense cap
May 1, 2022
through
June 30, 2022 | Contractual
expense cap
prior to
May 1, 2022 |
| Fund | Class 1
(%) | Class 2
(%) | Class 4
(%) | Class 1
(%) | Class 2
(%) | Class 4
(%) | Class 1
(%) | Class 2
(%) | Class 4
(%) |
| Variable Portfolio - Moderate Portfolio | 0.19 | 0.44 | 0.44 | 0.19 | 0.44 | 0.44 | 0.19 | 0.44 | 0.44 |
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
| 68 | Portfolio Navigator Funds | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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, 2022, 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 | 57,962,375 | 112,333,557 |
| Variable Portfolio – Moderately Conservative Portfolio | 108,380,438 | 251,159,232 |
| Variable Portfolio – Moderate Portfolio | 1,060,470,186 | 1,661,546,490 |
| Variable Portfolio – Moderately Aggressive Portfolio | 355,634,922 | 515,740,545 |
| Variable Portfolio – Aggressive Portfolio | 148,028,076 | 95,682,870 |
The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 5. 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. 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, each fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Funds did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
Note 7. Line of credit
Each Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured
Portfolio Navigator Funds | Semiannual Report 2022
| 69 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
No Fund had borrowings during the six months ended June 30, 2022.
Note 8. Significant risks
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing
| 70 | Portfolio Navigator Funds | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, the Investment Manager and affiliates owned 100% of Class 1, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. 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 and noted 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 are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. 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 or one or more of its affiliates that provides services to the Funds.
Portfolio Navigator Funds | Semiannual Report 2022
| 71 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, each Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Funds’ Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | each Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage each Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to each Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in each Fund may be subject.
| 72 | Portfolio Navigator Funds | Semiannual Report 2022 |
Approval of Management Agreements
(Unaudited)
Columbia Management Investment Advisers, LLC (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 - Moderate Portfolio, Variable Portfolio - Moderately Aggressive Portfolio, and Variable Portfolio - Moderately Conservative Portfolio (each, a Fund and collectively, the Funds). Under management agreements (the Management Agreements), the Investment Manager provides investment advice and other services to the Funds and other funds distributed by Columbia Management Investment Distributors, Inc. (collectively, the Columbia Funds).
On an annual basis, the Funds’ Board of Trustees (the Board), including the independent Board members (the Independent Trustees), considers renewal of the Management Agreements. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager provides and the Funds’ 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreements.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Management Agreements. Among other things, the information and factors considered included the following:
| • | Information on the investment performance of the Funds relative to the performance of a group of mutual funds determined to be comparable to the Funds by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Funds’ management fees and total expenses, including information comparing the Funds’ expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Funds so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Funds’ net assets; |
| • | Terms of the Management Agreements; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Funds, including agreements with respect to the provision of transfer agency and shareholder services to the Funds; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreements, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
Portfolio Navigator Funds | Semiannual Report 2022
| 73 |
Approval of Management Agreements (continued)
(Unaudited)
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Funds; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of each of the Management Agreements.
Nature, extent and quality of services provided by the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Funds, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Columbia Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Funds by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreements, the Board also took into account the organization and strength of the Funds’ and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreements and the Funds’ other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreements, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Funds under the Management Agreements.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Funds under the Management Agreements supported the continuation of each of the Management Agreements.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Funds, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Funds, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Funds among their comparison group, (iv) the Funds’ performance relative to peers and benchmarks and (v) the net assets of the Funds. With respect to the Variable Portfolio – Aggressive Portfolio and the Variable Portfolio – Moderately Conservative Portfolio, the Board observed that each Fund’s performance for certain periods ranked above median based on information provided by Broadridge. With respect to the Variable Portfolio – Moderate Portfolio, the Variable Portfolio – Moderately Aggressive Portfolio, and the Variable Portfolio – Conservative Portfolio, the Board observed that each Fund’s performance was well within the range of that of its peers.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Funds’ peer groups for purposes of performance and expense comparisons.
| 74 | Portfolio Navigator Funds | Semiannual Report 2022 |
Approval of Management Agreements (continued)
(Unaudited)
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Funds and the Investment Manager, in light of other considerations, supported the continuation of each of the Management Agreements.
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates from their relationships with the Funds
The Board reviewed comparative fees and the costs of services provided under the Management 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 Broadridge and JDL) showing a comparison of the Funds’ expenses with median expenses paid by funds in its comparative peer universe, as well as data showing the Funds’ contribution to the Investment Manager’s profitability.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Columbia Funds’ performance and expenses and the reasonableness of the Columbia Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that each Fund’s total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe. The Board took into account that each Fund’s total expense ratio (after considering proposed expense caps/waivers) approximated the peer universe’s median expense ratio.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Funds, in light of other considerations, supported the continuation of each of the Management Agreements.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Funds. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Columbia Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Columbia Funds. It also took into account the indirect economic benefits flowing to the Investment Manager or its affiliates in connection with managing or distributing the Columbia 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 Funds should permit the Investment Manager to offer competitive compensation to its personnel, make necessary investments in its business and earn an appropriate profit. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Funds supported the continuation of each of the Management Agreements.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Funds, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Funds through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as each Fund’s net asset level 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 each Fund’s assets exceed various breakpoints, all of which have not been surpassed. The Board observed that each of the Management Agreements provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as the Funds’ assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders.
Portfolio Navigator Funds | Semiannual Report 2022
| 75 |
Approval of Management Agreements (continued)
(Unaudited)
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of each of the Management Agreements. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreements were fair and reasonable in light of the extent and quality of services provided and approved the renewal of each of the Management Agreements.
| 76 | Portfolio Navigator Funds | Semiannual Report 2022 |
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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. Each Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. Each Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, are available oncolumbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
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Portfolio Navigator Funds
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For fund and other investment product prospectuses, and/or summary prospectuses which contain this and other 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
CTIVP® – Principal Blue Chip Growth Fund
(formerly CTIVP® - 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which CTIVP® – Principal Blue Chip Growth Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term capital growth.
Portfolio management
Principal Global Investors, LLC
K. William Nolin, CFA
Thomas Rozycki, CFA
Effective May 1, 2022, Principal Global Investors, LLC began serving as subadvisor to the Fund.
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/07/10 | -27.68 | -24.57 | 10.45 | 13.09 |
| Class 2 | 05/07/10 | -27.77 | -24.76 | 10.17 | 12.81 |
| Russell 1000 Growth Index | | -28.07 | -18.77 | 14.29 | 14.80 |
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 May 2022 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.
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Common Stocks | 99.4 |
| Money Market Funds | 0.6 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 12.6 |
| Consumer Discretionary | 11.6 |
| Consumer Staples | 1.0 |
| Financials | 16.0 |
| Health Care | 6.9 |
| Industrials | 11.6 |
| Information Technology | 32.8 |
| Materials | 2.0 |
| Real Estate | 5.5 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 723.20 | 1,021.37 | 2.95 | 3.46 | 0.69 |
| Class 2 | 1,000.00 | 1,000.00 | 722.30 | 1,020.13 | 4.01 | 4.71 | 0.94 |
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.
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 99.6% |
| Issuer | Shares | Value ($) |
| Communication Services 12.5% |
| Entertainment 1.5% |
| Netflix, Inc.(a) | 162,663 | 28,444,879 |
| Interactive Media & Services 9.6% |
| Alphabet, Inc., Class A(a) | 38,540 | 83,988,680 |
| Alphabet, Inc., Class C(a) | 21,464 | 46,951,427 |
| Meta Platforms, Inc., Class A(a) | 298,430 | 48,121,838 |
| Total | | 179,061,945 |
| Media 1.4% |
| Charter Communications, Inc., Class A(a) | 26,364 | 12,352,325 |
| Liberty Broadband Corp., Class C(a) | 118,347 | 13,685,647 |
| Total | | 26,037,972 |
| Total Communication Services | 233,544,796 |
| Consumer Discretionary 11.5% |
| Hotels, Restaurants & Leisure 1.8% |
| Hilton Worldwide Holdings, Inc. | 298,164 | 33,227,396 |
| Internet & Direct Marketing Retail 7.4% |
| Amazon.com, Inc.(a) | 1,306,767 | 138,791,723 |
| Specialty Retail 2.3% |
| CarMax, Inc.(a) | 201,170 | 18,201,862 |
| O’Reilly Automotive, Inc.(a) | 39,831 | 25,163,632 |
| Total | | 43,365,494 |
| Total Consumer Discretionary | 215,384,613 |
| Consumer Staples 1.1% |
| Food & Staples Retailing 1.1% |
| Costco Wholesale Corp. | 40,478 | 19,400,296 |
| Total Consumer Staples | 19,400,296 |
| Financials 15.9% |
| Capital Markets 13.0% |
| Brookfield Asset Management, Inc., Class A | 2,102,099 | 93,480,342 |
| Charles Schwab Corp. (The) | 431,659 | 27,272,216 |
| KKR & Co., Inc., Class A | 591,863 | 27,397,338 |
| Moody’s Corp. | 212,958 | 57,918,187 |
| S&P Global, Inc. | 109,612 | 36,945,821 |
| Total | | 243,013,904 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Insurance 2.9% |
| Progressive Corp. (The) | 469,248 | 54,559,465 |
| Total Financials | 297,573,369 |
| Health Care 6.9% |
| Health Care Equipment & Supplies 1.0% |
| IDEXX Laboratories, Inc.(a) | 21,559 | 7,561,388 |
| Intuitive Surgical, Inc.(a) | 56,473 | 11,334,696 |
| Total | | 18,896,084 |
| Life Sciences Tools & Services 4.0% |
| Danaher Corp. | 290,433 | 73,630,574 |
| Pharmaceuticals 1.9% |
| Zoetis, Inc. | 208,301 | 35,804,859 |
| Total Health Care | 128,331,517 |
| Industrials 11.5% |
| Aerospace & Defense 5.1% |
| TransDigm Group, Inc.(a) | 177,760 | 95,398,459 |
| Commercial Services & Supplies 1.2% |
| Copart, Inc.(a) | 202,308 | 21,982,787 |
| Professional Services 2.3% |
| CoStar Group, Inc.(a) | 723,098 | 43,682,350 |
| Road & Rail 2.9% |
| Union Pacific Corp. | 253,755 | 54,120,867 |
| Total Industrials | 215,184,463 |
| Information Technology 32.7% |
| IT Services 10.4% |
| MasterCard, Inc., Class A | 293,406 | 92,563,725 |
| PayPal Holdings, Inc.(a) | 103,111 | 7,201,272 |
| Snowflake, Inc., Class A(a) | 3,893 | 541,361 |
| Visa, Inc., Class A | 474,114 | 93,348,305 |
| Total | | 193,654,663 |
| Semiconductors & Semiconductor Equipment 0.4% |
| NVIDIA Corp. | 54,696 | 8,291,367 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Software 21.9% |
| Adobe, Inc.(a) | 239,307 | 87,600,720 |
| Intuit, Inc. | 156,281 | 60,236,949 |
| Microsoft Corp. | 756,651 | 194,330,676 |
| Roper Technologies, Inc. | 104,020 | 41,051,493 |
| Salesforce, Inc.(a) | 153,804 | 25,383,812 |
| Total | | 408,603,650 |
| Total Information Technology | 610,549,680 |
| Materials 2.0% |
| Chemicals 2.0% |
| Linde PLC | 78,162 | 22,473,920 |
| Sherwin-Williams Co. (The) | 61,700 | 13,815,247 |
| Total | | 36,289,167 |
| Total Materials | 36,289,167 |
| Real Estate 5.5% |
| Equity Real Estate Investment Trusts (REITS) 5.5% |
| American Tower Corp. | 372,575 | 95,226,444 |
| SBA Communications Corp. | 23,752 | 7,601,828 |
| Total | | 102,828,272 |
| Total Real Estate | 102,828,272 |
Total Common Stocks
(Cost $1,702,845,164) | 1,859,086,173 |
|
| Money Market Funds 0.6% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(b),(c) | 11,529,026 | 11,522,108 |
Total Money Market Funds
(Cost $11,520,955) | 11,522,108 |
Total Investments in Securities
(Cost: $1,714,366,119) | 1,870,608,281 |
| Other Assets & Liabilities, Net | | (3,016,724) |
| Net Assets | 1,867,591,557 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 48,635,987 | 218,164,039 | (255,280,421) | 2,503 | 11,522,108 | (16,191) | 41,507 | 11,529,026 |
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.
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 233,544,796 | — | — | 233,544,796 |
| Consumer Discretionary | 215,384,613 | — | — | 215,384,613 |
| Consumer Staples | 19,400,296 | — | — | 19,400,296 |
| Financials | 297,573,369 | — | — | 297,573,369 |
| Health Care | 128,331,517 | — | — | 128,331,517 |
| Industrials | 215,184,463 | — | — | 215,184,463 |
| Information Technology | 610,549,680 | — | — | 610,549,680 |
| Materials | 36,289,167 | — | — | 36,289,167 |
| Real Estate | 102,828,272 | — | — | 102,828,272 |
| Total Common Stocks | 1,859,086,173 | — | — | 1,859,086,173 |
| Money Market Funds | 11,522,108 | — | — | 11,522,108 |
| Total Investments in Securities | 1,870,608,281 | — | — | 1,870,608,281 |
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 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,702,845,164) | $1,859,086,173 |
| Affiliated issuers (cost $11,520,955) | 11,522,108 |
| Receivable for: | |
| Investments sold | 6,356,215 |
| Capital shares sold | 66,935 |
| Dividends | 633,247 |
| Foreign tax reclaims | 57,436 |
| Prepaid expenses | 15,950 |
| Total assets | 1,877,738,064 |
| Liabilities | |
| Due to custodian | 16,878 |
| Payable for: | |
| Investments purchased | 9,192,077 |
| Capital shares purchased | 595,859 |
| Management services fees | 35,115 |
| Distribution and/or service fees | 401 |
| Service fees | 24,807 |
| Compensation of board members | 237,368 |
| Compensation of chief compliance officer | 203 |
| Other expenses | 43,799 |
| Total liabilities | 10,146,507 |
| Net assets applicable to outstanding capital stock | $1,867,591,557 |
| Represented by | |
| Trust capital | $1,867,591,557 |
| Total - representing net assets applicable to outstanding capital stock | $1,867,591,557 |
| Class 1 | |
| Net assets | $1,809,623,174 |
| Shares outstanding | 42,597,137 |
| Net asset value per share | $42.48 |
| Class 2 | |
| Net assets | $57,968,383 |
| Shares outstanding | 1,405,961 |
| Net asset value per share | $41.23 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022
| 9 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $9,278,450 |
| Dividends — affiliated issuers | 41,507 |
| Interfund lending | 713 |
| Foreign taxes withheld | (1,481,130) |
| Total income | 7,839,540 |
| Expenses: | |
| Management services fees | 7,034,425 |
| Distribution and/or service fees | |
| Class 2 | 81,667 |
| Service fees | 99,071 |
| Compensation of board members | 5,450 |
| Custodian fees | 5,974 |
| Printing and postage fees | 14,780 |
| Audit fees | 14,669 |
| Legal fees | 16,485 |
| Compensation of chief compliance officer | 132 |
| Other | 63,371 |
| Total expenses | 7,336,024 |
| Net investment income | 503,516 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 437,986,166 |
| Investments — affiliated issuers | (16,191) |
| Net realized gain | 437,969,975 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (1,125,492,244) |
| Investments — affiliated issuers | 2,503 |
| Net change in unrealized appreciation (depreciation) | (1,125,489,741) |
| Net realized and unrealized loss | (687,519,766) |
| Net decrease in net assets resulting from operations | $(687,016,250) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income (loss) | $503,516 | $(2,436,206) |
| Net realized gain | 437,969,975 | 395,440,307 |
| Net change in unrealized appreciation (depreciation) | (1,125,489,741) | 46,713,222 |
| Net increase (decrease) in net assets resulting from operations | (687,016,250) | 439,717,323 |
| Increase (decrease) in net assets from capital stock activity | 74,298,495 | (507,045,549) |
| Total decrease in net assets | (612,717,755) | (67,328,226) |
| Net assets at beginning of period | 2,480,309,312 | 2,547,637,538 |
| Net assets at end of period | $1,867,591,557 | $2,480,309,312 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 2,114,030 | 94,422,022 | 2,327,217 | 115,966,646 |
| Redemptions | (438,265) | (22,843,407) | (11,463,880) | (619,559,044) |
| Net increase (decrease) | 1,675,765 | 71,578,615 | (9,136,663) | (503,592,398) |
| Class 2 | | | | |
| Subscriptions | 125,203 | 5,671,674 | 111,996 | 5,940,036 |
| Redemptions | (60,585) | (2,951,794) | (175,391) | (9,393,187) |
| Net increase (decrease) | 64,618 | 2,719,880 | (63,395) | (3,453,151) |
| Total net increase (decrease) | 1,740,383 | 74,298,495 | (9,200,058) | (507,045,549) |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $58.74 | 0.01 | (16.27) | (16.26) |
| Year Ended 12/31/2021 | $49.54 | (0.05) | 9.25 | 9.20 |
| Year Ended 12/31/2020 | $37.55 | 0.04 | 11.95 | 11.99 |
| Year Ended 12/31/2019 | $28.50 | 0.17 | 8.88 | 9.05 |
| Year Ended 12/31/2018 | $29.20 | 0.17 | (0.87) | (0.70) |
| Year Ended 12/31/2017 | $21.95 | 0.10 | 7.15 | 7.25 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $57.08 | (0.05) | (15.80) | (15.85) |
| Year Ended 12/31/2021 | $48.26 | (0.19) | 9.01 | 8.82 |
| Year Ended 12/31/2020 | $36.67 | (0.07) | 11.66 | 11.59 |
| Year Ended 12/31/2019 | $27.90 | 0.08 | 8.69 | 8.77 |
| Year Ended 12/31/2018 | $28.66 | 0.10 | (0.86) | (0.76) |
| Year Ended 12/31/2017 | $21.60 | 0.03 | 7.03 | 7.06 |
| 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) | Annualized. |
| (d) | Ratios include interfund lending expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $42.48 | (27.68%) | 0.69%(c) | 0.69%(c) | 0.06%(c) | 75% | $1,809,623 |
| Year Ended 12/31/2021 | $58.74 | 18.57% | 0.68%(d) | 0.68%(d) | (0.09%) | 6% | $2,403,745 |
| Year Ended 12/31/2020 | $49.54 | 31.93% | 0.69% | 0.69% | 0.09% | 22% | $2,479,845 |
| Year Ended 12/31/2019 | $37.55 | 31.76% | 0.69% | 0.69% | 0.50% | 7% | $2,504,948 |
| Year Ended 12/31/2018 | $28.50 | (2.40%) | 0.70% | 0.70% | 0.57% | 8% | $1,929,781 |
| Year Ended 12/31/2017 | $29.20 | 33.03% | 0.72% | 0.72% | 0.39% | 5% | $1,989,749 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $41.23 | (27.77%) | 0.94%(c) | 0.94%(c) | (0.20%)(c) | 75% | $57,968 |
| Year Ended 12/31/2021 | $57.08 | 18.28% | 0.93%(d) | 0.93%(d) | (0.35%) | 6% | $76,565 |
| Year Ended 12/31/2020 | $48.26 | 31.61% | 0.94% | 0.94% | (0.16%) | 22% | $67,793 |
| Year Ended 12/31/2019 | $36.67 | 31.43% | 0.94% | 0.94% | 0.25% | 7% | $55,206 |
| Year Ended 12/31/2018 | $27.90 | (2.65%) | 0.95% | 0.95% | 0.32% | 8% | $44,937 |
| Year Ended 12/31/2017 | $28.66 | 32.68% | 0.97% | 0.97% | 0.10% | 5% | $45,101 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022
| 13 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
CTIVP® – Principal Blue Chip Growth Fund (formerly known as CTIVP® – 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.
Effective 5/1/2022, CTIVP® – Loomis Sayles Growth Fund was renamed CTIVP® – Principal Blue Chip Growth Fund.
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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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.
| 14 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Investments in open-end investment companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
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, if available.
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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.
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements (continued)
June 30, 2022 (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 in 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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, 2022 was 0.67% of the Fund’s average daily net assets.
Subadvisory agreement
Effective May 1, 2022, the Investment Manager has entered into a Subadvisory Agreement with Principal Global Investors, LLC to serve as the subadviser to the Fund. Prior to May 1, 2022, Loomis, Sayles & Company, L.P. served as the subadviser to the Fund. The Investment Manager compensates the subadviser to manage the investment of the Fund’s assets.
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 Deferred 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
| 16 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
remains in the Fund until distributed in accordance with the Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.01% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | May 1, 2022
through
April 30, 2023 | Prior to
May 1, 2022 |
| Class 1 | 0.73% | 0.74% |
| Class 2 | 0.98 | 0.99 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 $1,713,387,296 and $1,599,301,316, respectively, for the six months ended June 30, 2022. 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended June 30, 2022 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Lender | 4,400,000 | 0.79 | 8 |
Interest income earned by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at June 30, 2022.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective
| 18 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 8. Significant risks
Information technology sector risk
The Fund is more susceptible to the particular risks that may affect companies in the information technology sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the information technology sector 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 information 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. Some companies in the information technology sector are facing increased government and regulatory scrutiny and may be subject to adverse government or regulatory action, which could negatively impact the value of their securities.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, affiliated shareholders of record owned 97.1% 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. 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 and noted 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 are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
| 20 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management and Subadvisory
Agreements
(Unaudited)
Columbia Management Investment Advisers, LLC (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 CTIVP® – Principal Blue Chip Growth Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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 the Investment Manager and Principal Global Investors, LLC (the Subadviser), the Subadviser provides 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). The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
The Board, at its March 11, 2022 Board meeting (the March Meeting), approved the engagement of Principal Global Investors, LLC (PGI) as a subadviser to the Fund for a two-year term. In addition, at the June 23, 2022 Board meeting (the June Meeting), the Board considered the renewal of the Management Agreement for an additional one-year term. At both the
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022
| 21 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
March and June Meetings, 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. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to continue or approve each of the Advisory Agreements. Among other things, the information and factors considered included the following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Advisory Agreements; |
| • | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager and the Subadviser under the Advisory Agreements, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager and the Subadviser, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager and the Subadviser with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement and entering into the Subadvisory Agreement.
Nature, extent and quality of services provided by the Investment Manager and the Subadviser
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager and the Subadviser, as well as their history, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers. With respect to the Investment Manager, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the
| 22 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
Investment Manager to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided or to be 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 the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by the Investment Manager in addition to monitoring the Subadviser), noting that no changes were proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
The Board 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 subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager. The Board took into account the Investment Manager’s representation that the Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Advisory Agreements supported the continuation of the Management Agreement and the approval of the Subadvisory Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) 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 Fund’s portfolio management teams) had been taken or were contemplated to help improve the Fund’s performance.
Additionally, the Board reviewed the Subadviser’s relevant performance results versus the Fund’s benchmark and versus peers over various periods and the Investment Manager’s process for monitoring the Subadviser’s performance. The Board considered, in particular, management’s rationale for recommending the engagement of the Subadviser and management’s representations that the Investment Manager’s profitability is not the key factor driving their recommendation to select the Subadviser.
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022
| 23 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s and Subadviser’s performance and reputation generally, and the Investment Manager’s willingness to take steps intended to improve performance. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadviser, in light of other considerations, supported the continuation of the Management Agreement and the approval of the Subadvisory Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates 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 Broadridge and JDL) 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 the Investment Manager’s profitability.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
Additionally, the Board reviewed the proposed level of subadvisory fees to be paid to the Subadviser, noting that the fees would be paid by the Investment Manager and would not impact the fees paid by the Fund.The Board also reviewed advisory fee rates charged by other comparable mutual funds employing the Subadviser to provide comparable subadvisory services. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees, subadvisory fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement and the approval of the Subadvisory Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund.Because the Subadvisory Agreement was negotiated at arms-length by the Investment Manager, which is responsible for payments to the Subadviser thereunder, the Board did not consider the expected profitability to the Subadviser from its relationship with the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement and the approval of the Subadvisory Agreement.
| 24 | CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. The Board also noted that the breakpoints in the Subadvisory Agreement did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the Subadvisory Agreement and approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On March 11, 2022 and June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under each of the Subadvisory Agreement and Management Agreement, respectively were fair and reasonable in light of the extent and quality of services provided (or proposed to be provided with respect to the Subadvisory Agreement), and approved the Subadvisory Agreement and the renewal of the Management Agreement.
CTIVP® – Principal Blue Chip Growth Fund | Semiannual Report 2022
| 25 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
CTIVP® – Principal Blue Chip Growth Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio - Government Money Market Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Monthly portfolio holdings
The Fund filed a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q for periods ended prior to and including March 31, 2019. The Fund’s Form N-Qs are available on the SEC’s website at sec.gov. 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.
The Fund’s portfolio holdings since March 31, 2019 are filed with the SEC monthly on Form N-MFP. The Fund’s portfolio holdings, as filed on Form N-MFP, are available on columbiathreadneedleus.com/investor/ or are available on the SEC’s website at sec.gov and can be obtained without a charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with maximum current income consistent with liquidity and stability of principal.
Portfolio management
John McColley
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/03/10 | 0.06 | 0.07 | 0.82 | 0.42 |
| Class 2 | 05/03/10 | 0.06 | 0.07 | 0.68 | 0.34 |
| Class 3 | 10/13/81 | 0.06 | 0.07 | 0.75 | 0.38 |
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.
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.
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Repurchase Agreements | 12.9 |
| Treasury Bills | 7.8 |
| U.S. Government & Agency Obligations | 75.3 |
| U.S. Treasury Obligations | 4.0 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 1,000.60 | 1,023.55 | 1.24 | 1.25 | 0.25 |
| Class 2 | 1,000.00 | 1,000.00 | 1,000.60 | 1,023.46 | 1.34 | 1.35 | 0.27 |
| Class 3 | 1,000.00 | 1,000.00 | 1,000.60 | 1,023.51 | 1.29 | 1.30 | 0.26 |
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, 2022, the annualized expense ratios would have been 0.45% for all classes. The actual expenses paid would have been $2.23 for all classes. The hypothetical expenses paid would have been $2.26 for all classes.
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Repurchase Agreements 12.7% |
| Issuer | Yield | | Principal
Amount ($) | Value ($) |
| Tri-party RBC Dominion Securities, Inc. |
| dated 06/30/2022, matures 07/01/2022 |
repurchase price $30,001,217
(collateralized by U.S. Treasury Securities, Market Value $30,600,006) |
| | 1.460% | | 30,000,000 | 30,000,000 |
| Tri-party TD Securities (USA) LLC |
| dated 06/30/2022, matures 07/01/2022 |
repurchase price $30,001,292
(collateralized by U.S. Treasury Securities, Market Value $30,600,083) |
| | 1.550% | | 30,000,000 | 30,000,000 |
Total Repurchase Agreements
(Cost $60,000,000) | 60,000,000 |
|
| Treasury Bills 7.6% |
| | | | |
| United States 7.6% |
| U.S. Treasury Bills |
| 07/07/2022 | 0.650% | | 10,000,000 | 9,998,753 |
| 07/19/2022 | 0.820% | | 11,000,000 | 10,995,328 |
| 08/02/2022 | 0.830% | | 7,000,000 | 6,994,770 |
| 08/16/2022 | 0.920% | | 8,000,000 | 7,990,540 |
| Total | 35,979,391 |
Total Treasury Bills
(Cost $35,979,391) | 35,979,391 |
|
| U.S. Government & Agency Obligations 74.2% |
| | | | |
| Federal Agricultural Mortgage Corp. |
| 11/17/2022 | 1.350% | | 5,000,000 | 5,000,000 |
| 05/12/2023 | 2.300% | | 3,500,000 | 3,500,000 |
| Federal Agricultural Mortgage Corp. Discount Notes |
| 10/31/2022 | 1.230% | | 1,000,000 | 995,867 |
| Federal Farm Credit Banks Discount Notes |
| 07/05/2022 | 1.040% | | 10,000,000 | 9,998,578 |
| 07/07/2022 | 1.130% | | 10,000,000 | 9,997,833 |
| 07/14/2022 | 0.830% | | 1,500,000 | 1,499,523 |
| 07/20/2022 | 1.350% | | 13,000,000 | 12,990,394 |
| 07/22/2022 | 1.320% | | 5,000,000 | 4,996,033 |
| Federal Farm Credit Banks Funding Corp. |
| 10/13/2022 | 0.090% | | 4,750,000 | 4,749,712 |
| 01/18/2023 | 0.460% | | 4,000,000 | 4,000,000 |
| Federal Home Loan Banks |
| 07/01/2022 | 0.780% | | 10,000,000 | 10,000,000 |
| 12/12/2022 | 0.210% | | 4,250,000 | 4,250,000 |
| 03/21/2023 | 1.250% | | 2,000,000 | 2,000,000 |
| 03/21/2023 | 1.300% | | 2,000,000 | 2,000,000 |
| U.S. Government & Agency Obligations (continued) |
| Issuer | Yield | | Principal
Amount ($) | Value ($) |
| Federal Home Loan Banks(a) |
SOFR + 0.000%
08/19/2022 | 1.510% | | 15,000,000 | 15,000,000 |
SOFR + 0.010%
09/21/2022 | 1.520% | | 9,000,000 | 9,000,000 |
SOFR + 0.020%
12/16/2022 | 1.530% | | 8,000,000 | 8,000,000 |
| Federal Home Loan Banks(b) |
| 03/30/2023 | 1.120% | | 2,750,000 | 2,750,000 |
| Federal Home Loan Banks Discount Notes |
| 07/05/2022 | 0.640% | | 11,000,000 | 10,999,041 |
| 07/08/2022 | 0.750% | | 7,000,000 | 6,998,853 |
| 07/12/2022 | 0.810% | | 12,000,000 | 11,996,810 |
| 07/13/2022 | 0.820% | | 3,000,000 | 2,999,125 |
| 07/14/2022 | 0.820% | | 6,000,000 | 5,998,104 |
| 07/15/2022 | 0.820% | | 9,000,000 | 8,996,955 |
| 07/20/2022 | 0.840% | | 16,000,000 | 15,992,651 |
| 07/21/2022 | 0.820% | | 9,500,000 | 9,495,514 |
| 07/22/2022 | 0.840% | | 26,000,000 | 25,986,843 |
| 08/05/2022 | 0.950% | | 10,000,000 | 9,990,667 |
| 08/08/2022 | 0.930% | | 10,000,000 | 9,990,078 |
| 08/12/2022 | 0.940% | | 3,000,000 | 2,996,692 |
| 08/17/2022 | 0.990% | | 10,000,000 | 9,987,010 |
| Federal Home Loan Mortgage Corp. |
| 07/25/2022 | 0.140% | | 4,030,000 | 4,029,956 |
| Federal Home Loan Mortgage Corp.(a) |
SOFR + 0.095%
08/19/2022 | 1.600% | | 5,000,000 | 5,000,639 |
SOFR + 0.100%
08/19/2022 | 1.610% | | 2,000,000 | 2,000,000 |
| Federal Home Loan Mortgage Corp.(b) |
| 04/05/2023 | 1.250% | | 2,750,000 | 2,750,000 |
| Federal Home Loan Mortgage Corp. Discount Notes |
| 08/17/2022 | 1.070% | | 9,000,000 | 8,987,310 |
| 08/24/2022 | 1.120% | | 8,000,000 | 7,986,560 |
| 08/29/2022 | 1.620% | | 5,000,000 | 4,986,725 |
| 09/01/2022 | 1.150% | | 5,000,000 | 4,990,097 |
| 09/06/2022 | 1.780% | | 18,272,000 | 18,211,545 |
| Federal National Mortgage Association Discount Notes |
| 08/10/2022 | 1.000% | | 19,000,000 | 18,978,761 |
| 08/17/2022 | 1.540% | | 1,100,000 | 1,097,774 |
| 08/31/2022 | 1.190% | | 16,000,000 | 15,967,839 |
| 09/07/2022 | 1.300% | | 10,000,000 | 9,975,444 |
| 09/21/2022 | 1.850% | | 1,741,000 | 1,733,703 |
Total U.S. Government & Agency Obligations
(Cost $349,852,636) | 349,852,636 |
|
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| U.S. Treasury Obligations 4.0% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| U.S. Treasury(a) |
3-month U.S. Treasury Index + 0.049%
01/31/2023 | 1.807% | | 12,500,000 | 12,500,149 |
3-month U.S. Treasury Index + 0.034%
04/30/2023 | 1.792% | | 6,250,000 | 6,250,210 |
Total U.S. Treasury Obligations
(Cost $18,750,359) | 18,750,359 |
Total Investments in Securities
(Cost: $464,582,386) | 464,582,386 |
| Other Assets & Liabilities, Net | | 7,263,310 |
| Net Assets | 471,845,696 |
Notes to Portfolio of Investments
| (a) | Variable rate security. The interest rate shown was the current rate as of June 30, 2022. |
| (b) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2022. |
Abbreviation Legend
| SOFR | Secured Overnight Financing Rate |
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.
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.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Fair value measurements (continued)
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Repurchase Agreements | — | 60,000,000 | — | 60,000,000 |
| Treasury Bills | — | 35,979,391 | — | 35,979,391 |
| U.S. Government & Agency Obligations | — | 349,852,636 | — | 349,852,636 |
| U.S. Treasury Obligations | — | 18,750,359 | — | 18,750,359 |
| Total Investments in Securities | — | 464,582,386 | — | 464,582,386 |
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.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $404,582,386) | $404,582,386 |
| Repurchase agreements (cost $60,000,000) | 60,000,000 |
| Cash | 7,847,188 |
| Receivable for: | |
| Capital shares sold | 187,241 |
| Interest | 141,953 |
| Expense reimbursement due from Investment Manager | 342 |
| Prepaid expenses | 6,364 |
| Trustees’ deferred compensation plan | 394 |
| Total assets | 472,765,868 |
| Liabilities | |
| Payable for: | |
| Capital shares purchased | 757,313 |
| Distributions to shareholders | 7,028 |
| Management services fees | 5,042 |
| Service fees | 26,590 |
| Compensation of board members | 98,013 |
| Compensation of chief compliance officer | 52 |
| Other expenses | 25,740 |
| Trustees’ deferred compensation plan | 394 |
| Total liabilities | 920,172 |
| Net assets applicable to outstanding capital stock | $471,845,696 |
| Represented by | |
| Paid in capital | 471,923,309 |
| Total distributable earnings (loss) | (77,613) |
| Total - representing net assets applicable to outstanding capital stock | $471,845,696 |
| Class 1 | |
| Net assets | $87,290,290 |
| Shares outstanding | 87,212,235 |
| Net asset value per share | $1.00 |
| Class 2 | |
| Net assets | $154,554,650 |
| Shares outstanding | 154,576,812 |
| Net asset value per share | $1.00 |
| Class 3 | |
| Net assets | $230,000,756 |
| Shares outstanding | 229,907,144 |
| 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 2022
| 9 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Interest | $848,892 |
| Total income | 848,892 |
| Expenses: | |
| Management services fees | 829,205 |
| Distribution and/or service fees | |
| Class 2 | 161,131 |
| Class 3 | 130,788 |
| Service fees | 132,979 |
| Compensation of board members | 4,051 |
| Custodian fees | 3,628 |
| Printing and postage fees | 13,389 |
| Audit fees | 14,669 |
| Legal fees | 7,179 |
| Compensation of chief compliance officer | 37 |
| Other | 4,953 |
| Total expenses | 1,302,009 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (461,061) |
| Fees waived by distributor | |
| Class 2 | (161,132) |
| Class 3 | (130,788) |
| Total net expenses | 549,028 |
| Net investment income | 299,864 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (2,905) |
| Net realized loss | (2,905) |
| Net realized and unrealized loss | (2,905) |
| Net increase in net assets resulting from operations | $296,959 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $299,864 | $42,075 |
| Net realized gain (loss) | (2,905) | 666 |
| Net increase in net assets resulting from operations | 296,959 | 42,741 |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class 1 | (55,950) | (18,204) |
| Class 2 | (96,484) | (23,376) |
| Class 3 | (144,894) | (43,000) |
| Total distributions to shareholders | (297,328) | (84,580) |
| Increase (decrease) in net assets from capital stock activity | 75,856,230 | (44,067,138) |
| Total increase (decrease) in net assets | 75,855,861 | (44,108,977) |
| Net assets at beginning of period | 395,989,835 | 440,098,812 |
| Net assets at end of period | $471,845,696 | $395,989,835 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 8,731,843 | 8,731,843 | 19,294,070 | 19,294,070 |
| Distributions reinvested | 54,678 | 54,678 | 18,178 | 18,178 |
| Redemptions | (9,613,159) | (9,613,159) | (26,248,081) | (26,248,081) |
| Net decrease | (826,638) | (826,638) | (6,935,833) | (6,935,833) |
| Class 2 | | | | |
| Subscriptions | 60,408,939 | 60,408,940 | 48,743,078 | 48,743,078 |
| Distributions reinvested | 94,214 | 94,214 | 23,376 | 23,376 |
| Redemptions | (15,108,602) | (15,108,602) | (46,839,328) | (46,839,328) |
| Net increase | 45,394,551 | 45,394,552 | 1,927,126 | 1,927,126 |
| Class 3 | | | | |
| Subscriptions | 48,889,151 | 48,889,150 | 22,252,578 | 22,252,578 |
| Distributions reinvested | 141,517 | 141,517 | 43,010 | 43,010 |
| Redemptions | (17,742,351) | (17,742,351) | (61,354,019) | (61,354,019) |
| Net increase (decrease) | 31,288,317 | 31,288,316 | (39,058,431) | (39,058,431) |
| Total net increase (decrease) | 75,856,230 | 75,856,230 | (44,067,138) | (44,067,138) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain | Total from
investment
operations | Distributions
from net
investment
income | Distributions
from net
realized
gains | Total
distributions to
shareholders |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $1.00 | 0.00(b) | (0.00)(b) | 0.00(b) | (0.00)(b) | — | (0.00)(b) |
| Year Ended 12/31/2021 | $1.00 | 0.00(b) | 0.00(b) | 0.00(b) | (0.00)(b) | (0.00)(b) | (0.00)(b) |
| Year Ended 12/31/2020 | $1.00 | 0.00(b) | 0.00(b) | 0.00(b) | (0.00)(b) | (0.00)(b) | (0.00)(b) |
| Year Ended 12/31/2019 | $1.00 | 0.02 | 0.00(b) | 0.02 | (0.02) | (0.00)(b) | (0.02) |
| Year Ended 12/31/2018 | $1.00 | 0.02 | 0.00(b) | 0.02 | (0.02) | — | (0.02) |
| Year Ended 12/31/2017 | $1.00 | 0.00(b) | 0.00 | 0.00(b) | (0.00)(b) | — | (0.00)(b) |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $1.00 | 0.00(b) | (0.00)(b) | 0.00(b) | (0.00)(b) | — | (0.00)(b) |
| Year Ended 12/31/2021 | $1.00 | 0.00(b) | 0.00(b) | 0.00(b) | (0.00)(b) | (0.00)(b) | (0.00)(b) |
| Year Ended 12/31/2020 | $1.00 | 0.00(b) | 0.00(b) | 0.00(b) | (0.00)(b) | (0.00)(b) | (0.00)(b) |
| Year Ended 12/31/2019 | $1.00 | 0.02 | 0.00(b) | 0.02 | (0.02) | (0.00)(b) | (0.02) |
| Year Ended 12/31/2018 | $1.00 | 0.01 | 0.00(b) | 0.01 | (0.01) | — | (0.01) |
| Year Ended 12/31/2017 | $1.00 | 0.00(b) | 0.00 | 0.00(b) | (0.00)(b) | — | (0.00)(b) |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $1.00 | 0.00(b) | (0.00)(b) | 0.00(b) | (0.00)(b) | — | (0.00)(b) |
| Year Ended 12/31/2021 | $1.00 | 0.00(b) | 0.00(b) | 0.00(b) | (0.00)(b) | (0.00)(b) | (0.00)(b) |
| Year Ended 12/31/2020 | $1.00 | 0.00(b) | 0.00(b) | 0.00(b) | (0.00)(b) | (0.00)(b) | (0.00)(b) |
| Year Ended 12/31/2019 | $1.00 | 0.02 | 0.00(b) | 0.02 | (0.02) | (0.00)(b) | (0.02) |
| Year Ended 12/31/2018 | $1.00 | 0.01 | 0.00(b) | 0.01 | (0.01) | — | (0.01) |
| Year Ended 12/31/2017 | $1.00 | 0.00(b) | 0.00 | 0.00(b) | (0.00)(b) | — | (0.00)(b) |
| 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) | Rounds to zero. |
| (c) | Annualized. |
| (d) | Ratios include the impact of voluntary waivers paid by the Investment Manager. For the periods indicated below, if the Investment Manager had not paid these voluntary waivers, the Fund’s net expense ratio would increase by: |
| | 6/30/2022 | 12/31/2021 | 12/31/2020 |
| Class 1 | 0.20% | 0.40% | 0.23% |
| Class 2 | 0.43% | 0.66% | 0.46% |
| Class 3 | 0.32% | 0.53% | 0.33% |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $1.00 | 0.06% | 0.47%(c) | 0.25%(c),(d) | 0.13%(c) | $87,290 |
| Year Ended 12/31/2021 | $1.00 | 0.02% | 0.48% | 0.05%(d) | 0.01% | $88,117 |
| Year Ended 12/31/2020 | $1.00 | 0.31% | 0.49% | 0.21%(d) | 0.23% | $95,062 |
| Year Ended 12/31/2019 | $1.00 | 1.89% | 0.47% | 0.36% | 1.87% | $86,841 |
| Year Ended 12/31/2018 | $1.00 | 1.51% | 0.46% | 0.32% | 1.77% | $301,167 |
| Year Ended 12/31/2017 | $1.00 | 0.43% | 0.50% | 0.45% | 0.42% | $44,578 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $1.00 | 0.06% | 0.73%(c) | 0.27%(c),(d) | 0.15%(c) | $154,555 |
| Year Ended 12/31/2021 | $1.00 | 0.02% | 0.73% | 0.04%(d) | 0.01% | $109,160 |
| Year Ended 12/31/2020 | $1.00 | 0.24% | 0.74% | 0.23%(d) | 0.13% | $107,245 |
| Year Ended 12/31/2019 | $1.00 | 1.64% | 0.72% | 0.62% | 1.60% | $61,083 |
| Year Ended 12/31/2018 | $1.00 | 1.26% | 0.72% | 0.59% | 1.36% | $67,341 |
| Year Ended 12/31/2017 | $1.00 | 0.18% | 0.75% | 0.70% | 0.17% | $32,860 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $1.00 | 0.06% | 0.60%(c) | 0.26%(c),(d) | 0.14%(c) | $230,001 |
| Year Ended 12/31/2021 | $1.00 | 0.02% | 0.61% | 0.05%(d) | 0.01% | $198,713 |
| Year Ended 12/31/2020 | $1.00 | 0.28% | 0.61% | 0.23%(d) | 0.20% | $237,792 |
| Year Ended 12/31/2019 | $1.00 | 1.77% | 0.60% | 0.49% | 1.72% | $181,970 |
| Year Ended 12/31/2018 | $1.00 | 1.38% | 0.60% | 0.48% | 1.36% | $209,931 |
| Year Ended 12/31/2017 | $1.00 | 0.30% | 0.62% | 0.57% | 0.29% | $224,799 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022
| 13 |
Notes to Financial Statements
June 30, 2022 (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 net investment income 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
Certain 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 $1.00 per share. In the event such deviation exceeds 1/2 of 1%, the Board of Trustees will promptly consider what action, if any, should be initiated.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Repurchase agreements
The Fund may invest in repurchase agreement transactions with institutions that management has determined are creditworthy. The Fund, through the custodian, receives delivery of the underlying securities collateralizing a repurchase agreement. Management is responsible for determining that the collateral is at least equal, at all times, to the value of the repurchase obligation including interest. A repurchase agreement transaction involves certain risks in the event of default or
| 14 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
insolvency of the counterparty. These risks include possible delays in or restrictions on the Fund’s ability to dispose of the underlying securities and a possible decline in the value of the underlying securities during the period while the Fund seeks to assert its rights.
Offsetting of assets and liabilities
The following table presents the Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of June 30, 2022:
| | RBC Dominion
Securities ($) | TD
Securities ($) | Total ($) |
| Assets | | | |
| Repurchase agreements | 30,000,000 | 30,000,000 | 60,000,000 |
| Total financial and derivative net assets | 30,000,000 | 30,000,000 | 60,000,000 |
| Total collateral received (pledged) (a) | 30,000,000 | 30,000,000 | 60,000,000 |
| 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 investment company taxable income and net capital gain, 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 gain 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 net asset value of $1.00 per share, unless such capital gains are 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 2022
| 15 |
Notes to Financial Statements (continued)
June 30, 2022 (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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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. Effective July 1, 2022, the management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.33% to 0.12% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2022 was 0.39% of the Fund’s average daily net assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.06% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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 - Government Money Market Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Distribution and/or service 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.
The Distributor has voluntarily agreed to waive the distribution fees for Class 2 and Class 3 shares, so that the Fund will not pay distribution fees for these share classes. This arrangement may be modified or terminated by the Distributor at any time. Effective at the close of business July 31, 2022, this arrangement will be terminated.
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 classes’ average daily net assets:
| | Fee rate(s) contractual
through
April 30, 2023 |
| 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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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 with the intent 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 to shareholders and, accordingly, any positive net yield resulting therefrom will cease. 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. Class 2 and Class 3 distribution fees waived by the Distributor, as discussed above, are in addition to the waiver/reimbursement commitment under the agreement. Effective at the close of business July 31, 2022, Class 2 and Class 3 distribution fee waivers will be terminated.
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, 2022, the cost of all investments for federal income tax purposes was approximately $464,582,000. Tax cost of investments may also include timing differences that do not constitute adjustments to tax basis.
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
As noted above, the Fund may only participate in the Interfund Program as a lending fund. The Fund did not lend money under the Interfund Program during the six months ended June 30, 2022.
Note 6. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 7. Significant risks
Credit risk
Credit risk is the risk that the value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower-rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
| 18 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Government 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 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.
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 instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise 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. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, affiliated shareholders of record owned 89.2% 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. 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 and noted 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 are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
| 20 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022
| 21 |
Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
| 22 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the percentage ranking of the Fund among its comparison group, and (iii) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe. The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was slightly below the peer universe’s median expense ratio shown in the reports. The Board also considered the benefits of the proposed reduction in the Fund’s management fees (the Proposed Reduction).
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment
Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022
| 23 |
Approval of Management Agreement (continued)
(Unaudited)
Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. In this regard, the Board noted the Proposed Reduction.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
| 24 | Columbia Variable Portfolio - Government Money Market Fund | Semiannual Report 2022 |
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Columbia Variable Portfolio - Government Money Market Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Overseas 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – Overseas Core Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with capital appreciation.
Portfolio management
Fred Copper, CFA
Co-Portfolio Manager
Managed Fund since 2018
Daisuke Nomoto, CMA (SAAJ)
Co-Portfolio Manager
Managed Fund since 2018
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/03/10 | -19.39 | -18.70 | 2.43 | 4.95 |
| Class 2 | 05/03/10 | -19.57 | -18.93 | 2.16 | 4.68 |
| Class 3 | 01/13/92 | -19.52 | -18.86 | 2.29 | 4.81 |
| MSCI EAFE Index (Net) | | -19.57 | -17.77 | 2.20 | 5.40 |
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 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 May 2018 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.
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 5.9 |
| Consumer Discretionary | 8.4 |
| Consumer Staples | 13.3 |
| Energy | 8.9 |
| Financials | 14.4 |
| Health Care | 13.5 |
| Industrials | 13.6 |
| Information Technology | 11.0 |
| Materials | 7.6 |
| Real Estate | 2.2 |
| Utilities | 1.2 |
| 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, 2022) |
| Australia | 2.9 |
| Austria | 0.5 |
| Brazil | 0.7 |
| Canada | 6.1 |
| China | 0.6 |
| Denmark | 1.1 |
| Finland | 1.7 |
| France | 4.6 |
| Country breakdown (%) (at June 30, 2022) |
| Germany | 4.2 |
| Hong Kong | 1.8 |
| Ireland | 1.3 |
| Israel | 2.3 |
| Japan | 20.7 |
| Netherlands | 8.9 |
| Norway | 2.2 |
| Pakistan | 0.1 |
| Russian Federation | 0.0(a) |
| Singapore | 2.1 |
| South Africa | 0.5 |
| South Korea | 2.3 |
| Spain | 1.2 |
| Sweden | 2.0 |
| Switzerland | 5.4 |
| Taiwan | 3.6 |
| United Kingdom | 15.5 |
| United States(b) | 7.7 |
| 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, excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 806.10 | 1,020.93 | 3.49 | 3.91 | 0.78 |
| Class 2 | 1,000.00 | 1,000.00 | 804.30 | 1,019.69 | 4.61 | 5.16 | 1.03 |
| Class 3 | 1,000.00 | 1,000.00 | 804.80 | 1,020.28 | 4.07 | 4.56 | 0.91 |
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.
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 98.2% |
| Issuer | Shares | Value ($) |
| Australia 2.9% |
| Ansell Ltd. | 1,643,510 | 25,262,268 |
| Paladin Energy Ltd.(a) | 30,034,606 | 12,052,959 |
| Santos Ltd. | 11,881,630 | 60,242,023 |
| Total | 97,557,250 |
| Austria 0.5% |
| Kontron AG | 1,179,725 | 17,467,824 |
| Brazil 0.7% |
| JBS SA | 4,136,239 | 25,014,468 |
| Canada 6.1% |
| Alimentation Couche-Tard, Inc. | 1,761,480 | 68,710,310 |
| Cameco Corp. | 2,234,504 | 46,969,274 |
| West Fraser Timber Co., Ltd. | 235,328 | 18,057,292 |
| Whitecap Resources, Inc. | 3,217,357 | 22,345,534 |
| Yamana Gold, Inc. | 11,334,183 | 52,703,951 |
| Total | 208,786,361 |
| China 0.6% |
| Li Ning Co., Ltd. | 2,088,500 | 19,446,218 |
| Denmark 1.1% |
| Novo Nordisk A/S, Class B | 334,122 | 37,054,930 |
| Finland 1.7% |
| UPM-Kymmene OYJ | 1,903,625 | 58,371,422 |
| France 4.6% |
| DBV Technologies SA, ADR(a) | 682,508 | 1,740,395 |
| Eiffage SA | 759,318 | 68,687,910 |
| Sanofi | 277,371 | 27,971,774 |
| TotalEnergies SE | 796,273 | 41,913,397 |
| Worldline SA(a) | 420,367 | 15,679,434 |
| Total | 155,992,910 |
| Germany 4.2% |
| Aroundtown SA | 5,632,204 | 18,014,035 |
| Covestro AG | 702,810 | 24,421,737 |
| Duerr AG | 765,927 | 17,759,826 |
| E.ON SE | 4,716,356 | 39,726,226 |
| KION Group AG | 578,094 | 24,200,301 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| TeamViewer AG(a) | 2,000,756 | 20,007,784 |
| Total | 144,129,909 |
| Hong Kong 1.8% |
| Hong Kong Exchanges and Clearing Ltd. | 765,000 | 37,834,044 |
| WH Group Ltd. | 30,620,750 | 23,700,019 |
| Total | 61,534,063 |
| Ireland 1.3% |
| Amarin Corp. PLC, ADR(a) | 511,857 | 762,667 |
| Flutter Entertainment PLC(a) | 438,075 | 44,411,074 |
| Total | 45,173,741 |
| Israel 2.3% |
| Bank Hapoalim BM | 4,313,898 | 36,224,783 |
| Check Point Software Technologies Ltd.(a) | 338,002 | 41,161,884 |
| Total | 77,386,667 |
| Japan 20.7% |
| Amano Corp. | 1,433,300 | 24,801,853 |
| BayCurrent Consulting, Inc. | 150,100 | 40,129,568 |
| COMSYS Holdings Corp. | 1,937,000 | 36,875,338 |
| Denso Corp. | 407,200 | 21,493,027 |
| ExaWizards, Inc.(a) | 1,067,100 | 4,129,086 |
| Invincible Investment Corp. | 87,348 | 25,729,215 |
| ITOCHU Corp. | 2,518,700 | 67,949,410 |
| JustSystems Corp. | 464,400 | 13,216,835 |
| Kinden Corp. | 1,459,900 | 16,849,937 |
| Koito Manufacturing Co., Ltd. | 883,200 | 28,052,086 |
| MatsukiyoCocokara & Co. | 1,736,500 | 70,223,112 |
| Meitec Corp. | 1,195,200 | 19,267,597 |
| Mitsubishi UFJ Financial Group, Inc. | 3,828,500 | 20,482,675 |
| Money Forward, Inc.(a) | 217,800 | 5,482,063 |
| Net Protections Holdings, Inc.(a) | 790,700 | 2,800,799 |
| Nihon M&A Center Holdings, Inc. | 2,631,800 | 28,055,393 |
| Nippon Telegraph & Telephone Corp. | 673,600 | 19,354,663 |
| ORIX Corp. | 3,254,600 | 54,546,607 |
| Round One Corp. | 3,200,000 | 35,982,214 |
| Shionogi & Co., Ltd. | 612,500 | 31,261,045 |
| Ship Healthcare Holdings, Inc. | 2,299,400 | 41,040,234 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Takeda Pharmaceutical Co., Ltd. | 2,029,385 | 57,002,080 |
| Takuma Co., Ltd. | 1,075,700 | 10,545,764 |
| Uchida Yoko Co., Ltd. | 402,700 | 14,874,813 |
| ValueCommerce Co., Ltd. | 609,700 | 14,181,203 |
| Total | 704,326,617 |
| Netherlands 8.9% |
| ABN AMRO Bank NV | 3,037,378 | 34,129,687 |
| ASR Nederland NV | 949,398 | 38,276,857 |
| ING Groep NV | 4,146,647 | 40,851,133 |
| Koninklijke Ahold Delhaize NV | 1,404,280 | 36,552,032 |
| Prosus NV(a) | 700,752 | 45,376,246 |
| Shell PLC | 3,141,175 | 81,505,769 |
| Signify NV | 791,320 | 26,105,881 |
| Total | 302,797,605 |
| Norway 2.2% |
| SalMar ASA | 673,609 | 47,688,966 |
| Yara International ASA | 639,782 | 26,807,521 |
| Total | 74,496,487 |
| Pakistan 0.1% |
| Lucky Cement Ltd.(a) | 1,879,752 | 4,216,891 |
| Russian Federation —% |
| Lukoil PJSC, ADR(b),(c),(d) | 133,228 | 0 |
| Singapore 2.1% |
| BW LPG Ltd. | 2,469,376 | 18,347,118 |
| Venture Corp., Ltd. | 4,326,900 | 51,829,737 |
| Total | 70,176,855 |
| South Africa 0.5% |
| Impala Platinum Holdings Ltd. | 1,650,101 | 18,306,947 |
| South Korea 2.3% |
| Hyundai Home Shopping Network Corp. | 275,018 | 10,745,048 |
| Samsung Electronics Co., Ltd. | 959,119 | 42,304,206 |
| Youngone Corp. | 877,091 | 26,038,582 |
| Total | 79,087,836 |
| Spain 1.1% |
| ACS Actividades de Construccion y Servicios SA | 1,214,142 | 29,590,661 |
| Tecnicas Reunidas SA(a) | 1,041,136 | 7,712,060 |
| Total | 37,302,721 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Sweden 2.0% |
| Granges AB | 1,491,468 | 11,204,426 |
| Samhallsbyggnadsbolaget i Norden AB | 16,951,249 | 28,333,277 |
| Sandvik AB | 1,059,730 | 17,270,534 |
| Stillfront Group AB(a) | 4,894,224 | 10,865,300 |
| Total | 67,673,537 |
| Switzerland 5.4% |
| Landis+Gyr Group AG(a) | 451,127 | 23,675,664 |
| Nestlé SA, Registered Shares | 342,138 | 39,986,612 |
| Roche Holding AG, Genusschein Shares | 155,397 | 51,949,194 |
| UBS AG | 4,182,145 | 67,611,610 |
| Total | 183,223,080 |
| Taiwan 3.6% |
| Fubon Financial Holding Co., Ltd. | 30,157,100 | 60,656,463 |
| Parade Technologies Ltd. | 1,121,000 | 43,641,275 |
| Tripod Technology Corp. | 4,802,000 | 18,016,408 |
| Total | 122,314,146 |
| United Kingdom 15.5% |
| AstraZeneca PLC, ADR | 1,949,379 | 128,795,470 |
| British American Tobacco PLC | 1,913,368 | 82,015,130 |
| Crest Nicholson Holdings PLC | 3,438,614 | 10,253,517 |
| DCC PLC | 810,026 | 50,397,033 |
| Intermediate Capital Group PLC | 1,097,795 | 17,551,065 |
| JD Sports Fashion PLC(a) | 27,594,504 | 38,881,138 |
| John Wood Group PLC(a) | 4,333,030 | 8,228,372 |
| Just Group PLC | 15,079,437 | 13,127,546 |
| Liberty Global PLC, Class C(a) | 3,022,338 | 66,763,446 |
| TP Icap Group PLC | 18,365,109 | 25,105,616 |
| Vodafone Group PLC | 56,690,848 | 88,148,180 |
| Total | 529,266,513 |
| United States 6.0% |
| ACADIA Pharmaceuticals, Inc.(a) | 115,625 | 1,629,156 |
| Aerie Pharmaceuticals, Inc.(a) | 540,033 | 4,050,248 |
| Broadcom, Inc. | 58,926 | 28,626,840 |
| Burford Capital Ltd. | 3,592,101 | 36,244,299 |
| Insmed, Inc.(a) | 398,596 | 7,860,313 |
| Jazz Pharmaceuticals PLC(a) | 197,820 | 30,861,898 |
| Livent Corp.(a) | 1,852,194 | 42,026,282 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Primo Water Corp. | 3,758,000 | 50,282,040 |
| Quotient Ltd.(a) | 1,569,377 | 376,650 |
| Sage Therapeutics, Inc.(a) | 139,739 | 4,513,570 |
| Total | 206,471,296 |
Total Common Stocks
(Cost $4,025,131,051) | 3,347,576,294 |
|
| Exchange-Traded Equity Funds 0.6% |
| | Shares | Value ($) |
| United States 0.6% |
| iShares MSCI EAFE ETF | 336,069 | 21,000,952 |
Total Exchange-Traded Equity Funds
(Cost $23,684,277) | 21,000,952 |
|
| Rights 0.1% |
| Issuer | Shares | Value ($) |
| Spain 0.1% |
| ACS Actividades de Construccion y Servicios SA(a),(d) | 1,214,142 | 1,838,560 |
Total Rights
(Cost $1,888,183) | 1,838,560 |
|
| Money Market Funds 1.0% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(e),(f) | 33,323,233 | 33,303,239 |
Total Money Market Funds
(Cost $33,300,277) | 33,303,239 |
Total Investments in Securities
(Cost $4,084,003,788) | 3,403,719,045 |
| Other Assets & Liabilities, Net | | 5,008,735 |
| Net Assets | $3,408,727,780 |
Investments in derivatives
| Forward foreign currency exchange contracts |
Currency to
be sold | Currency to
be purchased | Counterparty | Settlement
date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| 217,710,000 CAD | 170,155,728 USD | State Street | 07/14/2022 | 1,023,537 | — |
| 46,184,000 CHF | 47,476,277 USD | State Street | 07/14/2022 | — | (929,384) |
| 49,794,000 EUR | 52,661,692 USD | State Street | 07/14/2022 | 448,101 | — |
| 22,701,000 GBP | 27,558,801 USD | State Street | 07/14/2022 | — | (79,621) |
| 14,193,290,000 JPY | 108,586,219 USD | State Street | 07/14/2022 | 3,919,605 | — |
| 107,537,483,000 KRW | 84,648,523 USD | State Street | 07/14/2022 | 1,630,984 | — |
| 431,272,000 NOK | 44,280,964 USD | State Street | 07/14/2022 | 488,065 | — |
| 170,819,000 NOK | 17,114,417 USD | State Street | 07/14/2022 | — | (231,154) |
| 552,222,000 SEK | 56,243,870 USD | State Street | 07/14/2022 | 2,244,964 | — |
| 3,382,485,000 TWD | 114,447,132 USD | State Street | 07/14/2022 | 619,209 | — |
| 13,691,195 USD | 19,853,000 AUD | State Street | 07/14/2022 | 13,292 | — |
| 103,850,384 USD | 147,191,000 AUD | State Street | 07/14/2022 | — | (2,244,731) |
| 37,755,660 USD | 48,852,000 CAD | State Street | 07/14/2022 | 195,954 | — |
| 82,943,316 USD | 80,494,000 CHF | State Street | 07/14/2022 | 1,422,813 | — |
| 40,520,371 USD | 285,932,000 DKK | State Street | 07/14/2022 | — | (209,171) |
| 251,578,485 USD | 237,541,000 EUR | State Street | 07/14/2022 | — | (2,494,893) |
| 28,087,543 USD | 22,701,000 GBP | State Street | 07/14/2022 | — | (449,121) |
| 24,139,499 USD | 3,264,993,000 JPY | State Street | 07/14/2022 | — | (62,223) |
| 60,183,433 USD | 93,346,000 NZD | State Street | 07/14/2022 | — | (1,888,390) |
| 81,536,140 USD | 807,962,000 SEK | State Street | 07/14/2022 | — | (2,529,756) |
| 82,883,826 USD | 114,044,000 SGD | State Street | 07/14/2022 | — | (795,912) |
| Total | | | | 12,006,524 | (11,914,356) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
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, 2022, the total value of these securities amounted to $0, which represents less than 0.01% of total net assets. |
| (c) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. 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, 2022, the total market value of these securities amounted to $0, which represents less than 0.01% of total net assets. Additional information on these securities is as follows: |
| Security | Acquisition
Dates | Shares | Cost ($) | Value ($) |
| Lukoil PJSC, ADR | 01/25/2022-01/26/2022 | 133,228 | 10,912,642 | — |
| (d) | Valuation based on significant unobservable inputs. |
| (e) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (f) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 22,731,087 | 311,924,057 | (301,354,867) | 2,962 | 33,303,239 | (12,880) | 52,360 | 33,323,233 |
Abbreviation Legend
| ADR | American Depositary Receipt |
Currency Legend
| AUD | Australian Dollar |
| CAD | Canada Dollar |
| CHF | Swiss Franc |
| DKK | Danish Krone |
| EUR | Euro |
| GBP | British Pound |
| JPY | Japanese Yen |
| KRW | South Korean Won |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| SEK | Swedish Krona |
| SGD | Singapore Dollar |
| TWD | New Taiwan Dollar |
| 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:
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Fair value measurements (continued)
| ■ | 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 market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Australia | — | 97,557,250 | — | 97,557,250 |
| Austria | — | 17,467,824 | — | 17,467,824 |
| Brazil | 25,014,468 | — | — | 25,014,468 |
| Canada | 208,786,361 | — | — | 208,786,361 |
| China | — | 19,446,218 | — | 19,446,218 |
| Denmark | — | 37,054,930 | — | 37,054,930 |
| Finland | — | 58,371,422 | — | 58,371,422 |
| France | 1,740,395 | 154,252,515 | — | 155,992,910 |
| Germany | — | 144,129,909 | — | 144,129,909 |
| Hong Kong | — | 61,534,063 | — | 61,534,063 |
| Ireland | 762,667 | 44,411,074 | — | 45,173,741 |
| Israel | 41,161,884 | 36,224,783 | — | 77,386,667 |
| Japan | — | 704,326,617 | — | 704,326,617 |
| Netherlands | — | 302,797,605 | — | 302,797,605 |
| Norway | — | 74,496,487 | — | 74,496,487 |
| Pakistan | — | 4,216,891 | — | 4,216,891 |
| Russian Federation | — | — | 0* | 0* |
| Singapore | — | 70,176,855 | — | 70,176,855 |
| South Africa | — | 18,306,947 | — | 18,306,947 |
| South Korea | — | 79,087,836 | — | 79,087,836 |
| Spain | — | 37,302,721 | — | 37,302,721 |
| Sweden | — | 67,673,537 | — | 67,673,537 |
| Switzerland | — | 183,223,080 | — | 183,223,080 |
| Taiwan | — | 122,314,146 | — | 122,314,146 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Fair value measurements (continued)
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| United Kingdom | 195,558,916 | 333,707,597 | — | 529,266,513 |
| United States | 206,471,296 | — | — | 206,471,296 |
| Total Common Stocks | 679,495,987 | 2,668,080,307 | 0* | 3,347,576,294 |
| Exchange-Traded Equity Funds | 21,000,952 | — | — | 21,000,952 |
| Rights | | | | |
| Spain | — | — | 1,838,560 | 1,838,560 |
| Total Rights | — | — | 1,838,560 | 1,838,560 |
| Money Market Funds | 33,303,239 | — | — | 33,303,239 |
| Total Investments in Securities | 733,800,178 | 2,668,080,307 | 1,838,560 | 3,403,719,045 |
| Investments in Derivatives | | | | |
| Asset | | | | |
| Forward Foreign Currency Exchange Contracts | — | 12,006,524 | — | 12,006,524 |
| Liability | | | | |
| Forward Foreign Currency Exchange Contracts | — | (11,914,356) | — | (11,914,356) |
| Total | 733,800,178 | 2,668,172,475 | 1,838,560 | 3,403,811,213 |
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).
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022
| 11 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $4,050,703,511) | $3,370,415,806 |
| Affiliated issuers (cost $33,300,277) | 33,303,239 |
| Foreign currency (cost $3,907,972) | 3,907,993 |
| Unrealized appreciation on forward foreign currency exchange contracts | 12,006,524 |
| Receivable for: | |
| Investments sold | 731 |
| Capital shares sold | 82,776 |
| Dividends | 7,302,500 |
| Foreign tax reclaims | 6,329,726 |
| Prepaid expenses | 17,138 |
| Other assets | 10,808 |
| Total assets | 3,433,377,241 |
| Liabilities | |
| Due to custodian | 191 |
| Unrealized depreciation on forward foreign currency exchange contracts | 11,914,356 |
| Payable for: | |
| Investments purchased | 12,077,188 |
| Capital shares purchased | 231,517 |
| Foreign capital gains taxes deferred | 1,972 |
| Management services fees | 66,502 |
| Distribution and/or service fees | 1,051 |
| Service fees | 28,550 |
| Compensation of board members | 186,176 |
| Compensation of chief compliance officer | 403 |
| Other expenses | 141,555 |
| Total liabilities | 24,649,461 |
| Net assets applicable to outstanding capital stock | $3,408,727,780 |
| Represented by | |
| Paid in capital | 4,043,985,027 |
| Total distributable earnings (loss) | (635,257,247) |
| Total - representing net assets applicable to outstanding capital stock | $3,408,727,780 |
| Class 1 | |
| Net assets | $3,150,083,677 |
| Shares outstanding | 283,357,761 |
| Net asset value per share | $11.12 |
| Class 2 | |
| Net assets | $70,748,783 |
| Shares outstanding | 6,417,943 |
| Net asset value per share | $11.02 |
| Class 3 | |
| Net assets | $187,895,320 |
| Shares outstanding | 16,950,619 |
| Net asset value per share | $11.08 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $70,474,323 |
| Dividends — affiliated issuers | 52,360 |
| Foreign taxes withheld | (10,331,411) |
| Total income | 60,195,272 |
| Expenses: | |
| Management services fees | 14,592,874 |
| Distribution and/or service fees | |
| Class 2 | 100,969 |
| Class 3 | 135,480 |
| Service fees | 120,263 |
| Compensation of board members | 17,972 |
| Custodian fees | 268,777 |
| Printing and postage fees | 21,229 |
| Audit fees | 46,219 |
| Legal fees | 25,269 |
| Interest on interfund lending | 40 |
| Compensation of chief compliance officer | 249 |
| Other | 70,429 |
| Total expenses | 15,399,770 |
| Net investment income | 44,795,502 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 28,628,354 |
| Investments — affiliated issuers | (12,880) |
| Foreign currency translations | (1,583,843) |
| Forward foreign currency exchange contracts | (5,532,266) |
| Options purchased | 363,866 |
| Options contracts written | 2,387,455 |
| Net realized gain | 24,250,686 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (893,626,984) |
| Investments — affiliated issuers | 2,962 |
| Foreign currency translations | (542,361) |
| Forward foreign currency exchange contracts | (928,956) |
| Foreign capital gains tax | (1,972) |
| Net change in unrealized appreciation (depreciation) | (895,097,311) |
| Net realized and unrealized loss | (870,846,625) |
| Net decrease in net assets resulting from operations | $(826,051,123) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022
| 13 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $44,795,502 | $76,376,161 |
| Net realized gain | 24,250,686 | 257,831,908 |
| Net change in unrealized appreciation (depreciation) | (895,097,311) | (183,503) |
| Net increase (decrease) in net assets resulting from operations | (826,051,123) | 334,024,566 |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class 1 | (277,530,934) | (128,172,640) |
| Class 2 | (6,228,789) | (2,236,696) |
| Class 3 | (16,564,749) | (8,105,983) |
| Total distributions to shareholders | (300,324,472) | (138,515,319) |
| Increase in net assets from capital stock activity | 220,771,845 | 1,340,753,040 |
| Total increase (decrease) in net assets | (905,603,750) | 1,536,262,287 |
| Net assets at beginning of period | 4,314,331,530 | 2,778,069,243 |
| Net assets at end of period | $3,408,727,780 | $4,314,331,530 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 762,610 | 9,752,670 | 89,123,190 | 1,331,060,455 |
| Distributions reinvested | 24,165,063 | 277,530,934 | 8,495,689 | 128,172,640 |
| Redemptions | (5,559,081) | (79,232,430) | (8,246,594) | (129,386,621) |
| Net increase | 19,368,592 | 208,051,174 | 89,372,285 | 1,329,846,474 |
| Class 2 | | | | |
| Subscriptions | 316,803 | 4,286,670 | 2,178,116 | 32,619,525 |
| Distributions reinvested | 547,986 | 6,228,789 | 149,237 | 2,236,696 |
| Redemptions | (419,977) | (5,708,701) | (678,738) | (10,282,727) |
| Net increase | 444,812 | 4,806,758 | 1,648,615 | 24,573,494 |
| Class 3 | | | | |
| Subscriptions | 19,834 | 268,865 | 43,097 | 656,261 |
| Distributions reinvested | 1,448,223 | 16,564,749 | 538,351 | 8,105,983 |
| Redemptions | (651,770) | (8,919,701) | (1,484,276) | (22,429,172) |
| Net increase (decrease) | 816,287 | 7,913,913 | (902,828) | (13,666,928) |
| Total net increase | 20,629,691 | 220,771,845 | 90,118,072 | 1,340,753,040 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
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Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022
| 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.
| | 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 | Total
distributions to
shareholders |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $15.08 | 0.16 | (3.06) | (2.90) | (0.10) | (0.96) | (1.06) |
| Year Ended 12/31/2021 | $14.18 | 0.29 | 1.12 | 1.41 | (0.19) | (0.32) | (0.51) |
| Year Ended 12/31/2020 | $13.40 | 0.19 | 0.95 | 1.14 | (0.21) | (0.15) | (0.36) |
| Year Ended 12/31/2019 | $12.74 | 0.29 | 2.71 | 3.00 | (0.29) | (2.05) | (2.34) |
| Year Ended 12/31/2018 | $15.71 | 0.29 | (2.84) | (2.55) | (0.42) | — | (0.42) |
| Year Ended 12/31/2017 | $12.58 | 0.19 | 3.23 | 3.42 | (0.29) | — | (0.29) |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $14.98 | 0.14 | (3.05) | (2.91) | (0.09) | (0.96) | (1.05) |
| Year Ended 12/31/2021 | $14.09 | 0.23 | 1.14 | 1.37 | (0.16) | (0.32) | (0.48) |
| Year Ended 12/31/2020 | $13.32 | 0.17 | 0.93 | 1.10 | (0.18) | (0.15) | (0.33) |
| Year Ended 12/31/2019 | $12.67 | 0.26 | 2.69 | 2.95 | (0.25) | (2.05) | (2.30) |
| Year Ended 12/31/2018 | $15.62 | 0.26 | (2.83) | (2.57) | (0.38) | — | (0.38) |
| Year Ended 12/31/2017 | $12.52 | 0.16 | 3.20 | 3.36 | (0.26) | — | (0.26) |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $15.05 | 0.15 | (3.06) | (2.91) | (0.10) | (0.96) | (1.06) |
| Year Ended 12/31/2021 | $14.15 | 0.26 | 1.14 | 1.40 | (0.18) | (0.32) | (0.50) |
| Year Ended 12/31/2020 | $13.38 | 0.18 | 0.93 | 1.11 | (0.19) | (0.15) | (0.34) |
| Year Ended 12/31/2019 | $12.72 | 0.28 | 2.70 | 2.98 | (0.27) | (2.05) | (2.32) |
| Year Ended 12/31/2018 | $15.68 | 0.28 | (2.84) | (2.56) | (0.40) | — | (0.40) |
| Year Ended 12/31/2017 | $12.56 | 0.18 | 3.22 | 3.40 | (0.28) | — | (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) | Annualized. |
| (d) | Ratios include interfund lending expense which is less than 0.01%. |
| (e) | Ratios include interest on collateral expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $11.12 | (19.39%) | 0.78%(c),(d) | 0.78%(c),(d) | 2.32%(c) | 17% | $3,150,084 |
| Year Ended 12/31/2021 | $15.08 | 9.96% | 0.78%(e) | 0.78%(e) | 1.91% | 29% | $3,982,053 |
| Year Ended 12/31/2020 | $14.18 | 9.12% | 0.84% | 0.84% | 1.56% | 26% | $2,476,011 |
| Year Ended 12/31/2019 | $13.40 | 25.47% | 0.89% | 0.89% | 2.21% | 39% | $948,377 |
| Year Ended 12/31/2018 | $12.74 | (16.63%) | 0.89%(e) | 0.89%(e) | 1.96% | 113% | $706,469 |
| Year Ended 12/31/2017 | $15.71 | 27.52% | 0.91% | 0.90% | 1.38% | 41% | $792,289 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $11.02 | (19.57%) | 1.03%(c),(d) | 1.03%(c),(d) | 2.08%(c) | 17% | $70,749 |
| Year Ended 12/31/2021 | $14.98 | 9.74% | 1.03%(e) | 1.03%(e) | 1.55% | 29% | $89,465 |
| Year Ended 12/31/2020 | $14.09 | 8.83% | 1.10% | 1.10% | 1.39% | 26% | $60,936 |
| Year Ended 12/31/2019 | $13.32 | 25.15% | 1.14% | 1.14% | 1.95% | 39% | $59,746 |
| Year Ended 12/31/2018 | $12.67 | (16.81%) | 1.14%(e) | 1.14%(e) | 1.75% | 113% | $51,287 |
| Year Ended 12/31/2017 | $15.62 | 27.18% | 1.16% | 1.15% | 1.13% | 41% | $67,097 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $11.08 | (19.52%) | 0.91%(c),(d) | 0.91%(c),(d) | 2.19%(c) | 17% | $187,895 |
| Year Ended 12/31/2021 | $15.05 | 9.88% | 0.91%(e) | 0.91%(e) | 1.72% | 29% | $242,813 |
| Year Ended 12/31/2020 | $14.15 | 8.92% | 0.97% | 0.97% | 1.50% | 26% | $241,122 |
| Year Ended 12/31/2019 | $13.38 | 25.32% | 1.01% | 1.01% | 2.09% | 39% | $250,480 |
| Year Ended 12/31/2018 | $12.72 | (16.70%) | 1.02%(e) | 1.02%(e) | 1.88% | 113% | $228,786 |
| Year Ended 12/31/2017 | $15.68 | 27.37% | 1.04% | 1.03% | 1.26% | 41% | $312,588 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Overseas 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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 18 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Forward foreign currency exchange contracts are marked-to-market based upon foreign currency exchange rates provided by a pricing service.
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, if available.
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, in seeking 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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. 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 clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing 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 counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts and 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 instruments’ 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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as well. 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 may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in the Statement of Operations. 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 determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, 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 investment exposure from one currency to another and to shift U.S. dollar exposure to achieve a representative weighted mix of major currencies in its benchmark. 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. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without delivery of foreign currency.
| 20 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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.
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 has written option contracts to decrease the Fund’s exposure to equity market risk 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. Collateral may be collected or posted by the Fund to secure over-the-counter option contract trades. 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 realizes 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.
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, 2022:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 12,006,524 |
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| 21 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 11,914,356 |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Options
contracts
written
($) | Options
contracts
purchased
($) | Total
($) |
| Equity risk | — | 2,387,455 | 363,866 | 2,751,321 |
| Foreign exchange risk | (5,532,266) | — | — | (5,532,266) |
| Total | (5,532,266) | 2,387,455 | 363,866 | (2,780,945) |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) |
| Foreign exchange risk | (928,956) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average
value ($)* |
| Options contracts — purchased | 752,980 |
| Options contracts — written | (220,950) |
| Derivative instrument | Average unrealized
appreciation ($)* | Average unrealized
depreciation ($)* |
| Forward foreign currency exchange contracts | 17,687,093 | (15,314,836) |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
Offsetting of assets and liabilities
The following table presents the Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of June 30, 2022:
| | State
Street ($) |
| Assets | |
| Forward foreign currency exchange contracts | 12,006,524 |
| Liabilities | |
| Forward foreign currency exchange contracts | 11,914,356 |
| Total financial and derivative net assets | 92,168 |
| Total collateral received (pledged) (a) | - |
| Net amount (b) | 92,168 |
| 22 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
| (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
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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 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 investment company taxable income and net capital gain, 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 in the Statement of Assets and Liabilities.
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Notes to Financial Statements (continued)
June 30, 2022 (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 quarterly. 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 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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 0.88% to 0.62% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2022 was 0.75% of the Fund’s average daily net assets.
Subadvisory agreement
The Fund’s Board of Trustees has approved a Subadvisory Agreement between the Investment Manager and Threadneedle International Limited (Threadneedle), an affiliate of the Investment Manager and an indirect wholly-owned subsidiary of Ameriprise Financial. As of June 30, 2022, Threadneedle is not providing services to the Fund pursuant to the Subadvisory Agreement.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
| 24 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.01% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | May 1, 2022
through
April 30, 2023 | Prior to
May 1, 2022 |
| Class 1 | 0.86% | 0.89% |
| Class 2 | 1.11 | 1.14 |
| Class 3 | 0.985 | 1.015 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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.
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022
| 25 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
At June 30, 2022, the approximate cost of all 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) ($) | Net unrealized
(depreciation) ($) |
| 4,084,004,000 | 172,162,000 | (852,355,000) | (680,193,000) |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
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 $675,734,531 and $718,987,726, respectively, for the six months ended June 30, 2022. 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended June 30, 2022 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Borrower | 1,700,000 | 0.86 | 1 |
Interest expense incurred by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at June 30, 2022.
| 26 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 9. Significant risks
Foreign securities and emerging market countries risk
Investing in foreign securities may involve heightened risks relative to investments in U.S. securities. Investing in foreign securities subjects the Fund to the risks associated with the issuer’s country of organization and places of business operations, including risks associated with political, regulatory, economic, social, diplomatic and other conditions or events occurring in the country or region, which may result in significant market volatility. In addition, certain foreign securities may be more volatile and less liquid than U.S. securities. Investing in emerging markets may increase these risks and expose the Fund to elevated risks associated with increased inflation, deflation or currency devaluation. 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 risks associated with the conditions, events or other factors impacting those countries or regions and may, therefore, have a greater risk than that of a fund that is more geographically diversified. The financial information and disclosure made available by issuers of emerging market securities may be considerably less reliable than publicly available information about other foreign securities. The Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in certain foreign countries. Investors in foreign countries often have limited rights and few practical remedies to pursue shareholder claims, including class actions or fraud claims, and the ability of the U.S. Securities and Exchange Commission, the U.S. Department of Justice and other authorities to bring and enforce actions against foreign issuers or foreign persons is limited.
Geographic focus risk
The Fund may be particularly susceptible to risks related to economic, political, regulatory or other events or conditions affecting issuers and countries within the specific geographic regions in which the Fund invests. The Fund’s net asset value may be more volatile than the net asset value of a more geographically diversified fund.
Asia Pacific Region. The Fund is particularly susceptible to economic, political, regulatory or other events or conditions affecting issuers and countries in the Asia Pacific region. Many of the countries in the region are considered underdeveloped or developing, including from a political, economic and/or social perspective, and may have relatively unstable governments and economies based on limited business, industries and/or natural resources or commodities. Events in any one country within the region may impact other countries in the region or the region as a whole. As a result, events in the region will generally have a greater effect on the Fund than if the Fund were more geographically diversified. This could result in increased volatility in the value of the Fund’s investments and losses for the Fund. Also, securities of some companies in the region can be less liquid than U.S. or other foreign securities, potentially making it difficult for the Fund to sell such securities at a desirable time and price.
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022
| 27 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Europe. The Fund is particularly susceptible to risks related to economic, political, regulatory or other events or conditions, including acts of war or other conflicts in the region, affecting issuers and countries in Europe. Countries in Europe are often closely connected and interdependent, and events in one European country can have an adverse impact on, and potentially spread to, other European countries. In addition, private and public sectors’ significant debt problems of a single European Union (EU) country can pose economic risks to the EU as a whole. As a result, the Fund’s net asset value may be more volatile than the net asset value of a more geographically diversified fund. If securities of issuers in Europe fall out of favor, it may cause the Fund to underperform other funds that do not focus their investments in this region of the world. The departure of the United Kingdom (UK) from the EU single market became effective January 1, 2021 with the end of the Brexit transition period and the post-Brexit trade deal between the UK and EU taking effect on December 31, 2020. The impact of Brexit on the UK and European economies and the broader global economy could be significant, resulting in negative impacts on currency and financial markets generally, such as increased volatility and illiquidity, and potentially lower economic growth in markets in Europe, which may adversely affect the value of your investment in the Fund.
Japan. The Fund is particularly susceptible to the social, political, economic, regulatory and other conditions or events that may affect Japan’s economy. The Japanese economy is heavily dependent upon international trade, including, among other things, the export of finished goods and the import of oil and other commodities and raw materials. Because of its trade dependence, the Japanese economy is particularly exposed to the risks of currency fluctuation, foreign trade policy and regional and global economic disruption, including the risk of increased tariffs, embargoes, and other trade limitations or factors. Strained relationships between Japan and its neighboring countries, including China, South Korea and North Korea, based on historical grievances, territorial disputes, and defense concerns, may also cause uncertainty in Japanese markets. As a result, additional tariffs, other trade barriers, or boycotts may have an adverse impact on the Japanese economy. Japanese government policy has been characterized by economic regulation, intervention, protectionism and large government deficits. The Japanese economy is also challenged by an unstable financial services sector, highly leveraged corporate balance sheets and extensive cross-ownership among major corporations. Structural social and labor market changes, including an aging workforce, population decline and traditional aversion to labor mobility may adversely affect Japan’s economic competitiveness and growth potential. The potential for natural disasters, such as earthquakes, volcanic eruptions, typhoons and tsunamis, could also have significant negative effects on Japan’s economy. As a result of the Fund’s investment in Japanese securities, the Fund’s net asset value may be more volatile than the net asset value of a more geographically diversified fund. If securities of issuers in Japan fall out of favor, it may cause the Fund to underperform other funds that do not focus their investments in Japan.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced
| 28 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, affiliated shareholders of record owned 98.7% 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. 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 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022
| 29 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management and Subadvisory
Agreements
(Unaudited)
Columbia Management Investment Advisers, LLC (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 – Overseas Core Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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 the Investment Manager and Threadneedle International Limited (the Subadviser), an affiliate of the Investment Manager, the Investment Manager has retained the Subadviser to perform portfolio management and related services for the Fund. Although the Subadviser is not currently providing such services, the Investment Manager may in the future reallocate Fund assets to be managed by the Subadviser.
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). The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
| 30 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board, at its June 23, 2022 Board meeting (the June Meeting), considered the renewal of each 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. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Advisory Agreements; |
| • | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager and the Subadviser under the Advisory Agreements, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager and the Subadviser, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager and the Subadviser with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement and the Subadvisory Agreement.
Nature, extent and quality of services provided by the Investment Manager and the Subadviser
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager and the Subadviser, as well as their history, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers. With respect to the Investment Manager, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022
| 31 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. 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 the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by the Investment Manager in addition to monitoring the Subadviser), noting that no changes were proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
The Board 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 subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no changes were recommended to the Subadvisory Agreement. The Board took into account the Investment Manager’s representation that the Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Advisory Agreements supported the continuation of the Management Agreement and the Subadvisory Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
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.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
| 32 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board also considered the Investment Manager’s and Subadviser’s performance and reputation generally, and the Investment Manager’s evaluation of the Subadviser’s contribution to the Fund’s broader investment mandate. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadviser, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates 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 Broadridge and JDL) 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 the Investment Manager’s profitability.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees, subadvisory fees and expenses of the Fund, in light of other considerations, supported the continuation of each of the Management Agreement and the Subadvisory Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. The Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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.
Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022
| 33 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement and the Subadvisory Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under each of the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided and approved the renewal of each of the Advisory Agreements.
| 34 | Columbia Variable Portfolio – Overseas Core Fund | Semiannual Report 2022 |
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Columbia Variable Portfolio – Overseas Core Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – High Yield Bond Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
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
Lead Portfolio Manager
Managed Fund since 2010
Daniel DeYoung
Portfolio Manager
Managed Fund since 2019
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/03/10 | -13.72 | -12.24 | 2.09 | 4.32 |
| Class 2 | 05/03/10 | -13.74 | -12.44 | 1.82 | 4.05 |
| Class 3 | 05/01/96 | -13.76 | -12.38 | 1.93 | 4.17 |
| ICE BofA US Cash Pay High Yield Constrained Index | | -13.99 | -12.58 | 1.93 | 4.38 |
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 ICE BofA 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.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Convertible Bonds | 0.8 |
| Corporate Bonds & Notes | 93.9 |
| Foreign Government Obligations | 0.6 |
| Money Market Funds | 2.0 |
| Senior Loans | 2.7 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at June 30, 2022) |
| BBB rating | 1.3 |
| BB rating | 42.5 |
| B rating | 41.3 |
| CCC rating | 14.8 |
| CC rating | 0.1 |
| C rating | 0.0(a) |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments.
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.
| 4 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 862.80 | 1,021.47 | 3.09 | 3.36 | 0.67 |
| Class 2 | 1,000.00 | 1,000.00 | 862.60 | 1,020.23 | 4.25 | 4.61 | 0.92 |
| Class 3 | 1,000.00 | 1,000.00 | 862.40 | 1,020.88 | 3.65 | 3.96 | 0.79 |
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.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Convertible Bonds 0.8% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Cable and Satellite 0.8% |
| DISH Network Corp. |
| Subordinated |
| 08/15/2026 | 3.375% | | 3,194,000 | 2,157,547 |
Total Convertible Bonds
(Cost $2,837,813) | 2,157,547 |
|
| Corporate Bonds & Notes 92.7% |
| | | | |
| Aerospace & Defense 2.2% |
| Bombardier, Inc.(a) |
| 04/15/2027 | 7.875% | | 657,000 | 546,834 |
| 02/15/2028 | 6.000% | | 439,000 | 329,369 |
| Moog, Inc.(a) |
| 12/15/2027 | 4.250% | | 440,000 | 381,834 |
| TransDigm, Inc.(a) |
| 12/15/2025 | 8.000% | | 688,000 | 696,951 |
| 03/15/2026 | 6.250% | | 2,101,000 | 2,030,209 |
| TransDigm, Inc. |
| 11/15/2027 | 5.500% | | 1,619,000 | 1,378,659 |
| 01/15/2029 | 4.625% | | 631,000 | 508,000 |
| Total | 5,871,856 |
| Airlines 2.1% |
| Air Canada(a) |
| 08/15/2026 | 3.875% | | 718,000 | 609,430 |
| American Airlines, Inc.(a) |
| 07/15/2025 | 11.750% | | 170,000 | 175,948 |
| American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) |
| 04/20/2026 | 5.500% | | 2,834,603 | 2,611,539 |
| 04/20/2029 | 5.750% | | 54,529 | 46,557 |
| Delta Air Lines, Inc./SkyMiles IP Ltd.(a) |
| 10/20/2025 | 4.500% | | 523,000 | 507,999 |
| Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(a) |
| 01/20/2026 | 5.750% | | 960,154 | 860,416 |
| Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(a) |
| 06/20/2027 | 6.500% | | 1,002,402 | 984,469 |
| Total | 5,796,358 |
| Automotive 3.8% |
| American Axle & Manufacturing, Inc. |
| 03/15/2026 | 6.250% | | 306,000 | 280,375 |
| 04/01/2027 | 6.500% | | 44,000 | 38,957 |
| Clarios Global LP(a) |
| 05/15/2025 | 6.750% | | 700,000 | 693,256 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Ford Motor Co. |
| 02/12/2032 | 3.250% | | 573,000 | 428,306 |
| 01/15/2043 | 4.750% | | 790,000 | 563,127 |
| Ford Motor Credit Co. LLC |
| 11/01/2024 | 4.063% | | 400,000 | 380,132 |
| 06/16/2025 | 5.125% | | 414,000 | 395,616 |
| 11/13/2025 | 3.375% | | 728,000 | 655,439 |
| 05/28/2027 | 4.950% | | 256,000 | 237,582 |
| 08/17/2027 | 4.125% | | 689,000 | 606,645 |
| 02/16/2028 | 2.900% | | 410,000 | 330,606 |
| 02/10/2029 | 2.900% | | 657,000 | 515,091 |
| 11/13/2030 | 4.000% | | 838,000 | 679,401 |
| Goodyear Tire & Rubber Co. (The) |
| 07/15/2029 | 5.000% | | 278,000 | 231,714 |
| IAA Spinco, Inc.(a) |
| 06/15/2027 | 5.500% | | 747,000 | 695,639 |
| Jaguar Land Rover Automotive PLC(a) |
| 07/15/2029 | 5.500% | | 342,000 | 254,076 |
| KAR Auction Services, Inc.(a) |
| 06/01/2025 | 5.125% | | 1,875,000 | 1,764,320 |
| Panther BF Aggregator 2 LP/Finance Co., Inc.(a) |
| 05/15/2027 | 8.500% | | 761,000 | 736,125 |
| Tenneco, Inc.(a) |
| 01/15/2029 | 7.875% | | 679,000 | 657,633 |
| Total | 10,144,040 |
| Brokerage/Asset Managers/Exchanges 1.1% |
| AG Issuer LLC(a) |
| 03/01/2028 | 6.250% | | 243,000 | 210,055 |
| Hightower Holding LLC(a) |
| 04/15/2029 | 6.750% | | 736,000 | 554,091 |
| NFP Corp.(a) |
| 08/15/2028 | 4.875% | | 744,000 | 637,814 |
| 08/15/2028 | 6.875% | | 2,036,000 | 1,693,112 |
| Total | 3,095,072 |
| Building Materials 1.2% |
| American Builders & Contractors Supply Co., Inc.(a) |
| 01/15/2028 | 4.000% | | 1,259,000 | 1,086,428 |
| Beacon Roofing Supply, Inc.(a) |
| 11/15/2026 | 4.500% | | 514,000 | 467,727 |
| Interface, Inc.(a) |
| 12/01/2028 | 5.500% | | 119,000 | 101,760 |
| SRS Distribution, Inc.(a) |
| 07/01/2028 | 4.625% | | 1,022,000 | 892,671 |
| 12/01/2029 | 6.000% | | 686,000 | 538,123 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| White Cap Buyer LLC(a) |
| 10/15/2028 | 6.875% | | 316,000 | 253,157 |
| Total | 3,339,866 |
| Cable and Satellite 6.6% |
| CCO Holdings LLC/Capital Corp.(a) |
| 02/01/2028 | 5.000% | | 666,000 | 612,393 |
| 06/01/2029 | 5.375% | | 749,000 | 682,425 |
| 03/01/2030 | 4.750% | | 1,876,000 | 1,604,572 |
| 08/15/2030 | 4.500% | | 1,354,000 | 1,131,538 |
| 02/01/2032 | 4.750% | | 764,000 | 629,020 |
| CSC Holdings LLC(a) |
| 02/01/2028 | 5.375% | | 829,000 | 724,547 |
| 02/01/2029 | 6.500% | | 2,867,000 | 2,607,966 |
| 02/15/2031 | 3.375% | | 731,000 | 542,436 |
| DIRECTV Holdings LLC/Financing Co., Inc.(a) |
| 08/15/2027 | 5.875% | | 386,000 | 329,313 |
| DISH DBS Corp.(a) |
| 12/01/2028 | 5.750% | | 909,000 | 672,779 |
| DISH DBS Corp. |
| 06/01/2029 | 5.125% | | 1,232,000 | 748,661 |
| Radiate Holdco LLC/Finance, Inc.(a) |
| 09/15/2026 | 4.500% | | 1,742,000 | 1,504,401 |
| 09/15/2028 | 6.500% | | 942,000 | 728,853 |
| Sirius XM Radio, Inc.(a) |
| 09/01/2026 | 3.125% | | 607,000 | 542,687 |
| 08/01/2027 | 5.000% | | 299,000 | 277,373 |
| 07/01/2030 | 4.125% | | 1,100,000 | 918,609 |
| Videotron Ltd.(a) |
| 06/15/2029 | 3.625% | | 676,000 | 558,023 |
| VZ Secured Financing BV(a) |
| 01/15/2032 | 5.000% | | 1,426,000 | 1,183,587 |
| Ziggo BV(a) |
| 01/15/2030 | 4.875% | | 2,067,000 | 1,752,185 |
| Total | 17,751,368 |
| Chemicals 2.9% |
| Axalta Coating Systems LLC(a) |
| 02/15/2029 | 3.375% | | 509,000 | 415,739 |
| Axalta Coating Systems LLC/Dutch Holding B BV(a) |
| 06/15/2027 | 4.750% | | 642,000 | 572,825 |
| Element Solutions, Inc.(a) |
| 09/01/2028 | 3.875% | | 1,110,000 | 917,928 |
| HB Fuller Co. |
| 10/15/2028 | 4.250% | | 596,000 | 500,711 |
| Herens Holdco Sarl(a) |
| 05/15/2028 | 4.750% | | 740,000 | 617,091 |
| Ingevity Corp.(a) |
| 11/01/2028 | 3.875% | | 781,000 | 654,006 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Innophos Holdings, Inc.(a) |
| 02/15/2028 | 9.375% | | 755,000 | 687,940 |
| Iris Holdings, Inc.(a),(b) |
| 02/15/2026 | 8.750% | | 353,000 | 289,418 |
| Olympus Water US Holding Corp.(a) |
| 10/01/2028 | 4.250% | | 504,000 | 395,281 |
| SPCM SA(a) |
| 03/15/2027 | 3.125% | | 301,000 | 253,980 |
| Unifrax Escrow Issuer Corp.(a) |
| 09/30/2028 | 5.250% | | 303,000 | 242,105 |
| 09/30/2029 | 7.500% | | 170,000 | 118,618 |
| WR Grace Holdings LLC(a) |
| 06/15/2027 | 4.875% | | 1,688,000 | 1,468,656 |
| 08/15/2029 | 5.625% | | 803,000 | 592,440 |
| Total | 7,726,738 |
| Construction Machinery 1.0% |
| H&E Equipment Services, Inc.(a) |
| 12/15/2028 | 3.875% | | 1,962,000 | 1,585,636 |
| Herc Holdings, Inc.(a) |
| 07/15/2027 | 5.500% | | 782,000 | 715,716 |
| Ritchie Bros. Auctioneers, Inc.(a) |
| 01/15/2025 | 5.375% | | 364,000 | 356,504 |
| Total | 2,657,856 |
| Consumer Cyclical Services 2.4% |
| APX Group, Inc.(a) |
| 02/15/2027 | 6.750% | | 466,000 | 437,650 |
| Arches Buyer, Inc.(a) |
| 06/01/2028 | 4.250% | | 737,000 | 601,487 |
| 12/01/2028 | 6.125% | | 142,000 | 115,907 |
| Match Group, Inc.(a) |
| 06/01/2028 | 4.625% | | 511,000 | 463,246 |
| Prime Security Services Borrower LLC/Finance, Inc.(a) |
| 04/15/2026 | 5.750% | | 454,000 | 425,651 |
| Staples, Inc.(a) |
| 04/15/2026 | 7.500% | | 1,329,000 | 1,102,066 |
| 04/15/2027 | 10.750% | | 176,000 | 116,501 |
| Uber Technologies, Inc.(a) |
| 05/15/2025 | 7.500% | | 647,000 | 645,063 |
| 08/15/2029 | 4.500% | | 3,193,000 | 2,626,637 |
| Total | 6,534,208 |
| Consumer Products 1.0% |
| CD&R Smokey Buyer, Inc.(a) |
| 07/15/2025 | 6.750% | | 837,000 | 743,039 |
| Mattel, Inc.(a) |
| 12/15/2027 | 5.875% | | 671,000 | 655,939 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Prestige Brands, Inc.(a) |
| 01/15/2028 | 5.125% | | 335,000 | 311,684 |
| Spectrum Brands, Inc. |
| 07/15/2025 | 5.750% | | 511,000 | 505,679 |
| Tempur Sealy International, Inc.(a) |
| 10/15/2031 | 3.875% | | 488,000 | 365,835 |
| Total | 2,582,176 |
| Diversified Manufacturing 1.5% |
| Madison IAQ LLC(a) |
| 06/30/2028 | 4.125% | | 998,000 | 826,788 |
| 06/30/2029 | 5.875% | | 333,000 | 253,987 |
| Resideo Funding, Inc.(a) |
| 09/01/2029 | 4.000% | | 569,000 | 444,339 |
| Vertical US Newco, Inc.(a) |
| 07/15/2027 | 5.250% | | 257,000 | 229,516 |
| Welbilt, Inc. |
| 02/15/2024 | 9.500% | | 308,000 | 308,279 |
| WESCO Distribution, Inc.(a) |
| 06/15/2025 | 7.125% | | 740,000 | 738,282 |
| 06/15/2028 | 7.250% | | 1,357,000 | 1,341,710 |
| Total | 4,142,901 |
| Electric 4.9% |
| Atlantica Sustainable Infrastructure PLC(a) |
| 06/15/2028 | 4.125% | | 470,000 | 410,848 |
| Clearway Energy Operating LLC(a) |
| 03/15/2028 | 4.750% | | 1,228,000 | 1,111,902 |
| 02/15/2031 | 3.750% | | 1,770,000 | 1,435,355 |
| 01/15/2032 | 3.750% | | 1,003,000 | 793,268 |
| FirstEnergy Corp. |
| 11/15/2031 | 7.375% | | 225,000 | 252,492 |
| FirstEnergy Corp.(c) |
| 07/15/2047 | 5.100% | | 338,000 | 285,644 |
| Leeward Renewable Energy Operations LLC(a) |
| 07/01/2029 | 4.250% | | 943,000 | 762,838 |
| NextEra Energy Operating Partners LP(a) |
| 07/15/2024 | 4.250% | | 495,000 | 474,056 |
| 09/15/2027 | 4.500% | | 2,263,000 | 2,095,913 |
| NRG Energy, Inc. |
| 01/15/2028 | 5.750% | | 440,000 | 404,456 |
| NRG Energy, Inc.(a) |
| 06/15/2029 | 5.250% | | 1,846,000 | 1,649,149 |
| 02/15/2031 | 3.625% | | 677,000 | 532,743 |
| Pattern Energy Operations LP/Inc.(a) |
| 08/15/2028 | 4.500% | | 259,000 | 225,306 |
| PG&E Corp. |
| 07/01/2028 | 5.000% | | 360,000 | 309,422 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| TerraForm Power Operating LLC(a) |
| 01/31/2028 | 5.000% | | 604,000 | 548,352 |
| 01/15/2030 | 4.750% | | 624,000 | 534,749 |
| Vistra Operations Co. LLC(a) |
| 02/15/2027 | 5.625% | | 653,000 | 613,964 |
| 07/31/2027 | 5.000% | | 277,000 | 251,079 |
| 05/01/2029 | 4.375% | | 495,000 | 415,827 |
| Total | 13,107,363 |
| Environmental 1.2% |
| GFL Environmental, Inc.(a) |
| 06/01/2025 | 4.250% | | 1,195,000 | 1,127,683 |
| 08/01/2025 | 3.750% | | 633,000 | 586,897 |
| 12/15/2026 | 5.125% | | 405,000 | 386,691 |
| Waste Pro USA, Inc.(a) |
| 02/15/2026 | 5.500% | | 1,386,000 | 1,229,338 |
| Total | 3,330,609 |
| Finance Companies 1.8% |
| Navient Corp. |
| 03/25/2024 | 6.125% | | 437,000 | 414,040 |
| 06/25/2025 | 6.750% | | 445,000 | 406,820 |
| Provident Funding Associates LP/Finance Corp.(a) |
| 06/15/2025 | 6.375% | | 1,140,000 | 1,021,700 |
| Quicken Loans LLC/Co-Issuer, Inc.(a) |
| 03/01/2031 | 3.875% | | 869,000 | 653,986 |
| Rocket Mortgage LLC/Co-Issuer, Inc.(a) |
| 10/15/2033 | 4.000% | | 2,121,000 | 1,513,261 |
| Springleaf Finance Corp. |
| 03/15/2024 | 6.125% | | 974,000 | 930,395 |
| Total | 4,940,202 |
| Food and Beverage 2.5% |
| Darling Ingredients, Inc.(a) |
| 04/15/2027 | 5.250% | | 683,000 | 662,311 |
| FAGE International SA/USA Dairy Industry, Inc.(a) |
| 08/15/2026 | 5.625% | | 2,257,000 | 1,974,752 |
| Lamb Weston Holdings, Inc.(a) |
| 01/31/2032 | 4.375% | | 424,000 | 368,716 |
| Performance Food Group, Inc.(a) |
| 05/01/2025 | 6.875% | | 170,000 | 169,293 |
| Pilgrim’s Pride Corp.(a) |
| 04/15/2031 | 4.250% | | 549,000 | 458,007 |
| 03/01/2032 | 3.500% | | 167,000 | 130,923 |
| Post Holdings, Inc.(a) |
| 03/01/2027 | 5.750% | | 591,000 | 572,595 |
| 01/15/2028 | 5.625% | | 440,000 | 417,579 |
| 04/15/2030 | 4.625% | | 324,000 | 273,343 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Primo Water Holdings, Inc.(a) |
| 04/30/2029 | 4.375% | | 498,000 | 406,563 |
| Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) |
| 03/01/2029 | 4.625% | | 649,000 | 548,530 |
| Triton Water Holdings, Inc.(a) |
| 04/01/2029 | 6.250% | | 366,000 | 260,125 |
| US Foods, Inc.(a) |
| 06/01/2030 | 4.625% | | 502,000 | 427,979 |
| Total | 6,670,716 |
| Gaming 3.6% |
| Boyd Gaming Corp. |
| 12/01/2027 | 4.750% | | 675,000 | 610,972 |
| Boyd Gaming Corp.(a) |
| 06/15/2031 | 4.750% | | 157,000 | 132,861 |
| Caesars Entertainment, Inc.(a) |
| 10/15/2029 | 4.625% | | 808,000 | 630,574 |
| Colt Merger Sub, Inc.(a) |
| 07/01/2025 | 5.750% | | 308,000 | 295,163 |
| 07/01/2025 | 6.250% | | 918,000 | 884,769 |
| 07/01/2027 | 8.125% | | 1,394,000 | 1,344,173 |
| International Game Technology PLC(a) |
| 02/15/2025 | 6.500% | | 1,139,000 | 1,132,207 |
| 04/15/2026 | 4.125% | | 339,000 | 307,647 |
| Midwest Gaming Borrower LLC(a) |
| 05/01/2029 | 4.875% | | 1,001,000 | 817,339 |
| Penn National Gaming, Inc.(a) |
| 07/01/2029 | 4.125% | | 376,000 | 287,527 |
| Scientific Games Holdings LP/US FinCo, Inc.(a) |
| 03/01/2030 | 6.625% | | 845,000 | 718,646 |
| Scientific Games International, Inc.(a) |
| 05/15/2028 | 7.000% | | 369,000 | 348,362 |
| VICI Properties LP/Note Co., Inc.(a) |
| 05/01/2024 | 5.625% | | 480,000 | 474,333 |
| 06/15/2025 | 4.625% | | 400,000 | 381,134 |
| 12/01/2026 | 4.250% | | 561,000 | 514,977 |
| Wynn Las Vegas LLC/Capital Corp.(a) |
| 03/01/2025 | 5.500% | | 874,000 | 799,988 |
| Wynn Resorts Finance LLC/Capital Corp.(a) |
| 04/15/2025 | 7.750% | | 159,000 | 154,674 |
| Total | 9,835,346 |
| Health Care 6.5% |
| 180 Medical, Inc.(a) |
| 10/15/2029 | 3.875% | | 200,000 | 173,407 |
| Acadia Healthcare Co., Inc.(a) |
| 07/01/2028 | 5.500% | | 138,000 | 129,106 |
| 04/15/2029 | 5.000% | | 184,000 | 166,243 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| AdaptHealth LLC(a) |
| 08/01/2029 | 4.625% | | 170,000 | 139,759 |
| 03/01/2030 | 5.125% | | 989,000 | 831,499 |
| Avantor Funding, Inc.(a) |
| 07/15/2028 | 4.625% | | 764,000 | 699,485 |
| 11/01/2029 | 3.875% | | 1,334,000 | 1,167,134 |
| Catalent Pharma Solutions, Inc.(a) |
| 07/15/2027 | 5.000% | | 178,000 | 167,528 |
| 04/01/2030 | 3.500% | | 403,000 | 330,727 |
| Change Healthcare Holdings LLC/Finance, Inc.(a) |
| 03/01/2025 | 5.750% | | 319,000 | 311,014 |
| Charles River Laboratories International, Inc.(a) |
| 05/01/2028 | 4.250% | | 249,000 | 223,917 |
| 03/15/2029 | 3.750% | | 249,000 | 216,091 |
| 03/15/2031 | 4.000% | | 291,000 | 249,190 |
| CHS/Community Health Systems, Inc.(a) |
| 03/15/2026 | 8.000% | | 375,000 | 341,469 |
| 03/15/2027 | 5.625% | | 767,000 | 649,120 |
| 04/15/2029 | 6.875% | | 654,000 | 418,669 |
| 05/15/2030 | 5.250% | | 1,433,000 | 1,093,801 |
| Indigo Merger Sub, Inc.(a) |
| 07/15/2026 | 2.875% | | 297,000 | 264,398 |
| Mozart Debt Merger Sub, Inc.(a) |
| 10/01/2029 | 5.250% | | 303,000 | 251,844 |
| Owens & Minor, Inc.(a) |
| 03/31/2029 | 4.500% | | 345,000 | 281,608 |
| 04/01/2030 | 6.625% | | 544,000 | 496,074 |
| Radiology Partners, Inc.(a) |
| 02/01/2028 | 9.250% | | 308,000 | 231,468 |
| RP Escrow Issuer LLC(a) |
| 12/15/2025 | 5.250% | | 2,050,000 | 1,776,364 |
| Select Medical Corp.(a) |
| 08/15/2026 | 6.250% | | 1,190,000 | 1,113,266 |
| Surgery Center Holdings, Inc.(a) |
| 07/01/2025 | 6.750% | | 86,000 | 78,838 |
| 04/15/2027 | 10.000% | | 376,000 | 368,331 |
| Syneos Health, Inc.(a) |
| 01/15/2029 | 3.625% | | 244,000 | 207,615 |
| Teleflex, Inc. |
| 11/15/2027 | 4.625% | | 693,000 | 649,219 |
| Teleflex, Inc.(a) |
| 06/01/2028 | 4.250% | | 223,000 | 201,851 |
| Tenet Healthcare Corp.(a) |
| 02/01/2027 | 6.250% | | 886,000 | 818,864 |
| 11/01/2027 | 5.125% | | 1,522,000 | 1,375,114 |
| 10/01/2028 | 6.125% | | 834,000 | 717,651 |
| 01/15/2030 | 4.375% | | 328,000 | 278,662 |
| 06/15/2030 | 6.125% | | 446,000 | 418,082 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| US Acute Care Solutions LLC(a) |
| 03/01/2026 | 6.375% | | 750,000 | 672,940 |
| Total | 17,510,348 |
| Healthcare Insurance 0.5% |
| Centene Corp. |
| 10/15/2030 | 3.000% | | 1,123,000 | 930,788 |
| 03/01/2031 | 2.500% | | 352,000 | 281,014 |
| 08/01/2031 | 2.625% | | 319,000 | 255,998 |
| Total | 1,467,800 |
| Home Construction 0.7% |
| Meritage Homes Corp.(a) |
| 04/15/2029 | 3.875% | | 349,000 | 289,494 |
| Shea Homes LP/Funding Corp.(a) |
| 02/15/2028 | 4.750% | | 385,000 | 310,081 |
| 04/01/2029 | 4.750% | | 102,000 | 79,878 |
| Taylor Morrison Communities, Inc./Holdings II(a) |
| 04/15/2023 | 5.875% | | 513,000 | 511,223 |
| 03/01/2024 | 5.625% | | 848,000 | 827,441 |
| Total | 2,018,117 |
| Independent Energy 5.1% |
| Apache Corp. |
| 01/15/2030 | 4.250% | | 341,000 | 304,030 |
| 09/01/2040 | 5.100% | | 500,000 | 422,285 |
| 02/01/2042 | 5.250% | | 171,000 | 142,363 |
| 04/15/2043 | 4.750% | | 571,000 | 446,253 |
| 01/15/2044 | 4.250% | | 123,000 | 91,718 |
| Callon Petroleum Co. |
| 07/01/2026 | 6.375% | | 1,002,000 | 922,743 |
| Callon Petroleum Co.(a) |
| 06/15/2030 | 7.500% | | 287,000 | 265,218 |
| CNX Resources Corp.(a) |
| 03/14/2027 | 7.250% | | 771,000 | 756,638 |
| 01/15/2029 | 6.000% | | 342,000 | 318,061 |
| Colgate Energy Partners III LLC(a) |
| 07/01/2029 | 5.875% | | 740,000 | 648,307 |
| Comstock Resources, Inc.(a) |
| 03/01/2029 | 6.750% | | 336,000 | 301,711 |
| CrownRock LP/Finance, Inc.(a) |
| 05/01/2029 | 5.000% | | 249,000 | 223,493 |
| Hilcorp Energy I LP/Finance Co.(a) |
| 11/01/2028 | 6.250% | | 1,936,000 | 1,800,452 |
| 04/15/2030 | 6.000% | | 268,000 | 235,968 |
| 04/15/2032 | 6.250% | | 418,000 | 365,446 |
| Matador Resources Co. |
| 09/15/2026 | 5.875% | | 1,155,000 | 1,112,917 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Occidental Petroleum Corp. |
| 09/01/2030 | 6.625% | | 1,099,000 | 1,132,208 |
| 01/01/2031 | 6.125% | | 1,520,000 | 1,542,254 |
| 09/15/2036 | 6.450% | | 346,000 | 360,395 |
| SM Energy Co. |
| 07/15/2028 | 6.500% | | 663,000 | 614,724 |
| Southwestern Energy Co. |
| 02/01/2032 | 4.750% | | 1,922,000 | 1,644,072 |
| Total | 13,651,256 |
| Leisure 3.2% |
| Carnival Corp.(a) |
| 03/01/2026 | 7.625% | | 2,681,000 | 2,092,885 |
| 03/01/2027 | 5.750% | | 1,062,000 | 767,176 |
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) |
| 05/01/2025 | 5.500% | | 464,000 | 451,081 |
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC |
| 10/01/2028 | 6.500% | | 265,000 | 252,575 |
| Cinemark USA, Inc.(a) |
| 03/15/2026 | 5.875% | | 1,092,000 | 974,824 |
| 07/15/2028 | 5.250% | | 446,000 | 358,036 |
| Live Nation Entertainment, Inc.(a) |
| 10/15/2027 | 4.750% | | 297,000 | 264,279 |
| 01/15/2028 | 3.750% | | 480,000 | 415,569 |
| NCL Corp., Ltd.(a) |
| 03/15/2026 | 5.875% | | 452,000 | 354,624 |
| Royal Caribbean Cruises Ltd.(a) |
| 06/01/2025 | 11.500% | | 524,000 | 538,190 |
| 07/01/2026 | 4.250% | | 1,167,000 | 828,814 |
| 08/31/2026 | 5.500% | | 1,475,000 | 1,084,088 |
| 07/15/2027 | 5.375% | | 325,000 | 236,061 |
| Total | 8,618,202 |
| Lodging 0.1% |
| Hilton Domestic Operating Co., Inc.(a) |
| 05/01/2025 | 5.375% | | 310,000 | 304,417 |
| Media and Entertainment 3.1% |
| Cengage Learning, Inc.(a) |
| 06/15/2024 | 9.500% | | 2,194,000 | 2,029,884 |
| Clear Channel International BV(a) |
| 08/01/2025 | 6.625% | | 625,000 | 580,749 |
| Clear Channel Outdoor Holdings, Inc.(a) |
| 04/15/2028 | 7.750% | | 1,585,000 | 1,153,308 |
| 06/01/2029 | 7.500% | | 435,000 | 314,287 |
| Clear Channel Worldwide Holdings, Inc.(a) |
| 08/15/2027 | 5.125% | | 1,039,000 | 877,371 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| iHeartCommunications, Inc. |
| 05/01/2026 | 6.375% | | 435,000 | 403,079 |
| 05/01/2027 | 8.375% | | 603,672 | 482,396 |
| Outfront Media Capital LLC/Corp.(a) |
| 08/15/2027 | 5.000% | | 239,000 | 209,058 |
| 01/15/2029 | 4.250% | | 278,000 | 221,755 |
| 03/15/2030 | 4.625% | | 877,000 | 703,878 |
| Playtika Holding Corp.(a) |
| 03/15/2029 | 4.250% | | 672,000 | 558,576 |
| Roblox Corp.(a) |
| 05/01/2030 | 3.875% | | 736,000 | 596,359 |
| Univision Communications, Inc.(a) |
| 06/30/2030 | 7.375% | | 123,000 | 120,231 |
| Total | 8,250,931 |
| Metals and Mining 3.1% |
| Allegheny Technologies, Inc. |
| 10/01/2029 | 4.875% | | 212,000 | 171,374 |
| 10/01/2031 | 5.125% | | 886,000 | 694,747 |
| Constellium NV(a) |
| 02/15/2026 | 5.875% | | 438,000 | 409,208 |
| Constellium SE(a) |
| 06/15/2028 | 5.625% | | 303,000 | 274,201 |
| 04/15/2029 | 3.750% | | 2,339,000 | 1,863,054 |
| Hudbay Minerals, Inc.(a) |
| 04/01/2026 | 4.500% | | 595,000 | 498,013 |
| 04/01/2029 | 6.125% | | 2,376,000 | 1,926,638 |
| Kaiser Aluminum Corp.(a) |
| 03/01/2028 | 4.625% | | 116,000 | 97,106 |
| 06/01/2031 | 4.500% | | 1,265,000 | 968,580 |
| Novelis Corp.(a) |
| 11/15/2026 | 3.250% | | 421,000 | 356,914 |
| 01/30/2030 | 4.750% | | 1,043,000 | 867,340 |
| 08/15/2031 | 3.875% | | 267,000 | 205,664 |
| Total | 8,332,839 |
| Midstream 5.7% |
| Cheniere Energy Partners LP |
| 03/01/2031 | 4.000% | | 387,000 | 329,934 |
| Cheniere Energy Partners LP(a) |
| 01/31/2032 | 3.250% | | 1,599,000 | 1,260,421 |
| Cheniere Energy, Inc. |
| 10/15/2028 | 4.625% | | 734,000 | 664,056 |
| CNX Midstream Partners LP(a) |
| 04/15/2030 | 4.750% | | 651,000 | 545,903 |
| DCP Midstream Operating LP |
| 04/01/2044 | 5.600% | | 729,000 | 589,879 |
| Delek Logistics Partners LP/Finance Corp. |
| 05/15/2025 | 6.750% | | 885,000 | 823,754 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| DT Midstream, Inc.(a) |
| 06/15/2029 | 4.125% | | 501,000 | 426,008 |
| EQM Midstream Partners LP |
| 08/01/2024 | 4.000% | | 170,000 | 159,790 |
| 07/15/2048 | 6.500% | | 439,000 | 327,133 |
| EQM Midstream Partners LP(a) |
| 07/01/2025 | 6.000% | | 590,000 | 567,463 |
| 06/01/2027 | 7.500% | | 226,000 | 217,724 |
| 07/01/2027 | 6.500% | | 503,000 | 467,898 |
| 06/01/2030 | 7.500% | | 270,000 | 259,685 |
| 01/15/2031 | 4.750% | | 2,263,000 | 1,805,166 |
| Holly Energy Partners LP/Finance Corp.(a) |
| 04/15/2027 | 6.375% | | 330,000 | 311,193 |
| 02/01/2028 | 5.000% | | 861,000 | 738,339 |
| NuStar Logistics LP |
| 10/01/2025 | 5.750% | | 880,000 | 822,921 |
| 06/01/2026 | 6.000% | | 522,000 | 483,356 |
| 04/28/2027 | 5.625% | | 124,000 | 110,555 |
| Rockpoint Gas Storage Canada Ltd.(a) |
| 03/31/2023 | 7.000% | | 916,000 | 904,713 |
| TransMontaigne Partners LP/TLP Finance Corp. |
| 02/15/2026 | 6.125% | | 1,096,000 | 968,649 |
| Venture Global Calcasieu Pass LLC(a) |
| 08/15/2029 | 3.875% | | 902,000 | 790,804 |
| 08/15/2031 | 4.125% | | 1,415,000 | 1,215,319 |
| 11/01/2033 | 3.875% | | 769,000 | 634,269 |
| Total | 15,424,932 |
| Oil Field Services 0.7% |
| Nabors Industries Ltd.(a) |
| 01/15/2028 | 7.500% | | 284,000 | 244,748 |
| Transocean Sentry Ltd.(a) |
| 05/15/2023 | 5.375% | | 1,836,975 | 1,746,853 |
| Total | 1,991,601 |
| Other REIT 1.7% |
| Blackstone Mortgage Trust, Inc.(a) |
| 01/15/2027 | 3.750% | | 869,000 | 715,622 |
| Ladder Capital Finance Holdings LLLP/Corp.(a) |
| 02/01/2027 | 4.250% | | 2,141,000 | 1,733,659 |
| 06/15/2029 | 4.750% | | 322,000 | 248,529 |
| Park Intermediate Holdings LLC/Domestic Property/Finance Co-Issuer(a) |
| 10/01/2028 | 5.875% | | 632,000 | 577,287 |
| Park Intermediate Holdings LLC/PK Domestic Property LLC/Finance Co-Issuer(a) |
| 05/15/2029 | 4.875% | | 501,000 | 430,916 |
| RLJ Lodging Trust LP(a) |
| 07/01/2026 | 3.750% | | 346,000 | 304,088 |
| 09/15/2029 | 4.000% | | 167,000 | 138,066 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022
| 11 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Service Properties Trust |
| 03/15/2024 | 4.650% | | 326,000 | 282,331 |
| 10/01/2024 | 4.350% | | 152,000 | 123,471 |
| Total | 4,553,969 |
| Packaging 2.1% |
| Ardagh Metal Packaging Finance USA LLC/PLC(a) |
| 06/15/2027 | 6.000% | | 249,000 | 246,344 |
| 09/01/2029 | 4.000% | | 1,314,000 | 1,053,700 |
| Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) |
| 04/30/2025 | 5.250% | | 368,000 | 341,330 |
| 08/15/2026 | 4.125% | | 641,000 | 543,078 |
| 08/15/2027 | 5.250% | | 634,000 | 444,668 |
| 08/15/2027 | 5.250% | | 258,000 | 180,743 |
| BWAY Holding Co.(a) |
| 04/15/2024 | 5.500% | | 1,038,000 | 991,479 |
| Canpack SA/US LLC(a) |
| 11/15/2029 | 3.875% | | 1,139,000 | 900,212 |
| Trivium Packaging Finance BV(a) |
| 08/15/2026 | 5.500% | | 623,000 | 587,288 |
| 08/15/2027 | 8.500% | | 530,000 | 499,323 |
| Total | 5,788,165 |
| Pharmaceuticals 1.7% |
| Bausch Health Companies, Inc.(a) |
| 02/01/2027 | 6.125% | | 574,000 | 489,199 |
| 01/15/2028 | 7.000% | | 351,000 | 200,948 |
| 06/01/2028 | 4.875% | | 241,000 | 188,608 |
| 01/30/2030 | 5.250% | | 605,000 | 314,988 |
| Endo Dac/Finance LLC/Finco, Inc.(a) |
| 06/30/2028 | 6.000% | | 302,000 | 24,008 |
| Grifols Escrow Issuer SA(a) |
| 10/15/2028 | 4.750% | | 478,000 | 414,583 |
| Jazz Securities DAC(a) |
| 01/15/2029 | 4.375% | | 363,000 | 324,095 |
| Organon Finance 1 LLC(a) |
| 04/30/2028 | 4.125% | | 1,508,000 | 1,334,501 |
| 04/30/2031 | 5.125% | | 1,216,000 | 1,049,468 |
| Par Pharmaceutical, Inc.(a) |
| 04/01/2027 | 7.500% | | 172,000 | 130,722 |
| Total | 4,471,120 |
| Property & Casualty 2.6% |
| Alliant Holdings Intermediate LLC/Co-Issuer(a) |
| 10/15/2027 | 4.250% | | 567,000 | 495,118 |
| 10/15/2027 | 6.750% | | 1,234,000 | 1,094,085 |
| 11/01/2029 | 5.875% | | 471,000 | 390,890 |
| AssuredPartners, Inc.(a) |
| 08/15/2025 | 7.000% | | 291,000 | 274,918 |
| 01/15/2029 | 5.625% | | 686,000 | 554,764 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| BroadStreet Partners, Inc.(a) |
| 04/15/2029 | 5.875% | | 1,106,000 | 862,613 |
| GTCR AP Finance, Inc.(a) |
| 05/15/2027 | 8.000% | | 186,000 | 174,736 |
| HUB International Ltd.(a) |
| 05/01/2026 | 7.000% | | 1,374,000 | 1,297,352 |
| 12/01/2029 | 5.625% | | 882,000 | 738,987 |
| MGIC Investment Corp. |
| 08/15/2028 | 5.250% | | 101,000 | 90,466 |
| Radian Group, Inc. |
| 03/15/2025 | 6.625% | | 40,000 | 39,364 |
| 03/15/2027 | 4.875% | | 235,000 | 212,017 |
| USI, Inc.(a) |
| 05/01/2025 | 6.875% | | 738,000 | 712,741 |
| Total | 6,938,051 |
| Restaurants 0.8% |
| 1011778 BC ULC/New Red Finance, Inc.(a) |
| 04/15/2025 | 5.750% | | 551,000 | 554,955 |
| Fertitta Entertainment LLC/Finance Co., Inc.(a) |
| 01/15/2030 | 6.750% | | 635,000 | 487,805 |
| IRB Holding Corp.(a) |
| 06/15/2025 | 7.000% | | 650,000 | 634,348 |
| Yum! Brands, Inc. |
| 04/01/2032 | 5.375% | | 660,000 | 608,897 |
| Total | 2,286,005 |
| Retailers 1.2% |
| Asbury Automotive Group, Inc.(a) |
| 11/15/2029 | 4.625% | | 201,000 | 166,034 |
| 02/15/2032 | 5.000% | | 201,000 | 164,410 |
| Group 1 Automotive, Inc.(a) |
| 08/15/2028 | 4.000% | | 440,000 | 372,620 |
| L Brands, Inc.(a) |
| 10/01/2030 | 6.625% | | 719,000 | 621,033 |
| LCM Investments Holdings II LLC(a) |
| 05/01/2029 | 4.875% | | 814,000 | 622,980 |
| PetSmart, Inc./Finance Corp.(a) |
| 02/15/2028 | 4.750% | | 662,000 | 571,996 |
| 02/15/2029 | 7.750% | | 770,000 | 694,689 |
| Total | 3,213,762 |
| Supermarkets 0.4% |
| Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) |
| 03/15/2026 | 7.500% | | 420,000 | 417,787 |
| Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) |
| 01/15/2027 | 4.625% | | 708,000 | 633,306 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| SEG Holding LLC/Finance Corp.(a) |
| 10/15/2028 | 5.625% | | 169,000 | 151,524 |
| Total | 1,202,617 |
| Technology 8.0% |
| Black Knight InfoServ LLC(a) |
| 09/01/2028 | 3.625% | | 1,480,000 | 1,285,324 |
| Boxer Parent Co., Inc.(a) |
| 10/02/2025 | 7.125% | | 212,000 | 203,061 |
| 03/01/2026 | 9.125% | | 129,000 | 120,361 |
| Camelot Finance SA(a) |
| 11/01/2026 | 4.500% | | 501,000 | 459,218 |
| CDK Global, Inc. |
| 06/01/2027 | 4.875% | | 497,000 | 492,679 |
| Clarivate Science Holdings Corp.(a) |
| 07/01/2028 | 3.875% | | 401,000 | 337,120 |
| 07/01/2029 | 4.875% | | 963,000 | 790,528 |
| Condor Merger Sub, Inc.(a) |
| 02/15/2030 | 7.375% | | 308,000 | 250,361 |
| Entegris Escrow Corp.(a) |
| 04/15/2029 | 4.750% | | 224,000 | 208,800 |
| 06/15/2030 | 5.950% | | 787,000 | 749,921 |
| Everi Holdings, Inc.(a) |
| 07/15/2029 | 5.000% | | 86,000 | 72,883 |
| Gartner, Inc.(a) |
| 07/01/2028 | 4.500% | | 637,000 | 579,606 |
| 06/15/2029 | 3.625% | | 304,000 | 262,146 |
| HealthEquity, Inc.(a) |
| 10/01/2029 | 4.500% | | 823,000 | 720,408 |
| Helios Software Holdings, Inc.(a) |
| 05/01/2028 | 4.625% | | 765,000 | 614,742 |
| ION Trading Technologies Sarl(a) |
| 05/15/2028 | 5.750% | | 798,000 | 634,841 |
| Iron Mountain, Inc.(a) |
| 09/15/2027 | 4.875% | | 912,000 | 825,367 |
| Logan Merger Sub, Inc.(a) |
| 09/01/2027 | 5.500% | | 1,684,000 | 1,152,539 |
| Minerva Merger Sub, Inc.(a) |
| 02/15/2030 | 6.500% | | 1,223,000 | 1,020,494 |
| NCR Corp.(a) |
| 10/01/2028 | 5.000% | | 582,000 | 495,755 |
| 04/15/2029 | 5.125% | | 1,350,000 | 1,144,577 |
| Nielsen Finance LLC/Co.(a) |
| 10/01/2028 | 5.625% | | 852,000 | 790,982 |
| 07/15/2029 | 4.500% | | 402,000 | 363,983 |
| 10/01/2030 | 5.875% | | 120,000 | 110,240 |
| 07/15/2031 | 4.750% | | 502,000 | 452,973 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Plantronics, Inc.(a) |
| 03/01/2029 | 4.750% | | 1,720,000 | 1,714,571 |
| PTC, Inc.(a) |
| 02/15/2025 | 3.625% | | 178,000 | 169,277 |
| 02/15/2028 | 4.000% | | 256,000 | 236,595 |
| Sabre GLBL, Inc.(a) |
| 04/15/2025 | 9.250% | | 163,000 | 157,390 |
| 09/01/2025 | 7.375% | | 251,000 | 232,871 |
| Shift4 Payments LLC/Finance Sub, Inc.(a) |
| 11/01/2026 | 4.625% | | 1,177,000 | 1,045,254 |
| Square, Inc.(a) |
| 06/01/2031 | 3.500% | | 318,000 | 255,279 |
| Switch Ltd.(a) |
| 09/15/2028 | 3.750% | | 277,000 | 274,068 |
| 06/15/2029 | 4.125% | | 769,000 | 763,036 |
| Tempo Acquisition LLC/Finance Corp.(a) |
| 06/01/2025 | 5.750% | | 344,000 | 328,379 |
| Verscend Escrow Corp.(a) |
| 08/15/2026 | 9.750% | | 1,020,000 | 991,756 |
| ZoomInfo Technologies LLC/Finance Corp.(a) |
| 02/01/2029 | 3.875% | | 1,475,000 | 1,235,310 |
| Total | 21,542,695 |
| Wireless 4.0% |
| Altice France Holding SA(a) |
| 05/15/2027 | 10.500% | | 954,000 | 798,722 |
| 02/15/2028 | 6.000% | | 1,327,000 | 915,210 |
| Altice France SA(a) |
| 02/01/2027 | 8.125% | | 1,292,000 | 1,190,501 |
| 07/15/2029 | 5.125% | | 806,000 | 608,146 |
| 10/15/2029 | 5.500% | | 653,000 | 500,237 |
| Sprint Capital Corp. |
| 11/15/2028 | 6.875% | | 2,101,000 | 2,213,897 |
| 03/15/2032 | 8.750% | | 346,000 | 417,047 |
| T-Mobile USA, Inc. |
| 02/15/2029 | 2.625% | | 893,000 | 750,914 |
| 02/15/2031 | 2.875% | | 496,000 | 411,743 |
| 04/15/2031 | 3.500% | | 159,000 | 137,657 |
| T-Mobile USA, Inc.(a) |
| 04/15/2031 | 3.500% | | 850,000 | 730,060 |
| Vmed O2 UK Financing I PLC(a) |
| 01/31/2031 | 4.250% | | 1,539,000 | 1,256,450 |
| 07/15/2031 | 4.750% | | 1,182,000 | 970,761 |
| Total | 10,901,345 |
| Wirelines 1.7% |
| CenturyLink, Inc. |
| 04/01/2024 | 7.500% | | 545,000 | 540,430 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022
| 13 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CenturyLink, Inc.(a) |
| 12/15/2026 | 5.125% | | 220,000 | 185,451 |
| 02/15/2027 | 4.000% | | 330,000 | 278,991 |
| Front Range BidCo, Inc.(a) |
| 03/01/2027 | 4.000% | | 944,000 | 783,103 |
| Frontier Communications Holdings LLC(a) |
| 05/15/2030 | 8.750% | | 227,000 | 229,652 |
| Iliad Holding SAS(a) |
| 10/15/2026 | 6.500% | | 1,596,000 | 1,435,897 |
| 10/15/2028 | 7.000% | | 1,173,000 | 1,025,281 |
| Total | 4,478,805 |
Total Corporate Bonds & Notes
(Cost $287,637,053) | 250,473,652 |
|
| Foreign Government Obligations(d) 0.6% |
| | | | |
| Canada 0.6% |
| NOVA Chemicals Corp.(a) |
| 06/01/2027 | 5.250% | | 1,514,000 | 1,300,832 |
| 05/15/2029 | 4.250% | | 225,000 | 176,495 |
| Total | 1,477,327 |
Total Foreign Government Obligations
(Cost $1,717,577) | 1,477,327 |
|
| Senior Loans 2.7% |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Consumer Cyclical Services 0.6% |
| 8th Avenue Food & Provisions, Inc.(e),(f) |
| 1st Lien Term Loan |
1-month USD LIBOR + 3.750%
10/01/2025 | 5.416% | | 1,133,008 | 950,107 |
| 2nd Lien Term Loan |
1-month USD LIBOR + 7.750%
10/01/2026 | 9.416% | | 752,935 | 622,677 |
| Total | 1,572,784 |
| Consumer Products 0.3% |
| SWF Holdings I Corp.(e),(f) |
| 1st Lien Term Loan |
1-month USD LIBOR + 4.000%
Floor 0.750%
10/06/2028 | 5.595% | | 994,000 | 813,837 |
| Health Care 0.2% |
| Surgery Center Holdings, Inc.(e),(f) |
| Term Loan |
1-month USD LIBOR + 3.750%
Floor 0.750%
08/31/2026 | 4.950% | | 637,850 | 593,003 |
| Senior Loans (continued) |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Media and Entertainment 0.3% |
| Cengage Learning, Inc.(e),(f) |
| Tranche B 1st Lien Term Loan |
1-month USD LIBOR + 4.750%
Floor 1.000%
07/14/2026 | 5.750% | | 719,228 | 646,967 |
| Technology 1.3% |
| Applied Systems, Inc.(e),(f) |
| 1st Lien Term Loan |
3-month USD LIBOR + 3.000%
Floor 1.000%
09/19/2024 | 2.000% | | 382,271 | 366,024 |
| Ascend Learning LLC(e),(f) |
| 1st Lien Term Loan |
1-month USD LIBOR + 3.500%
Floor 0.500%
12/11/2028 | 2.500% | | 583,537 | 537,584 |
| 2nd Lien Term Loan |
1-month USD LIBOR + 5.750%
Floor 0.500%
12/10/2029 | 4.750% | | 348,000 | 318,420 |
| DCert Buyer, Inc.(e),(f),(g) |
| 2nd Lien Term Loan |
1-month USD LIBOR + 7.000%
02/19/2029 | 8.666% | | 478,000 | 442,150 |
| Epicore Software Corp.(e),(f) |
| 2nd Lien Term Loan |
1-month USD LIBOR + 7.750%
Floor 1.000%
07/31/2028 | 9.416% | | 228,000 | 220,704 |
| Loyalty Ventures, Inc.(e),(f) |
| Tranche B Term Loan |
1-month USD LIBOR + 4.500%
Floor 0.500%
11/03/2027 | 6.166% | | 490,875 | 381,410 |
| UKG, Inc.(e),(f) |
| 1st Lien Term Loan |
3-month USD LIBOR + 3.750%
05/04/2026 | 5.416% | | 425,955 | 401,518 |
1-month USD LIBOR + 3.250%
Floor 0.500%
05/04/2026 | 4.212% | | 349,316 | 326,394 |
| 2nd Lien Term Loan |
1-month USD LIBOR + 5.250%
Floor 0.500%
05/03/2027 | 6.212% | | 677,000 | 622,840 |
| Total | 3,617,044 |
Total Senior Loans
(Cost $8,130,083) | 7,243,635 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Money Market Funds 2.0% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(h),(i) | 5,388,925 | 5,385,691 |
Total Money Market Funds
(Cost $5,385,912) | 5,385,691 |
Total Investments in Securities
(Cost: $305,708,438) | 266,737,852 |
| Other Assets & Liabilities, Net | | 3,337,435 |
| Net Assets | 270,075,287 |
Notes to Portfolio of Investments
| (a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2022, the total value of these securities amounted to $214,585,666, which represents 79.45% of total net assets. |
| (b) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
| (c) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2022. |
| (d) | Principal and interest may not be guaranteed by a governmental entity. |
| (e) | The stated interest rate represents the weighted average interest rate at June 30, 2022 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
| (f) | Variable rate security. The interest rate shown was the current rate as of June 30, 2022. |
| (g) | Valuation based on significant unobservable inputs. |
| (h) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (i) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 8,638,506 | 50,997,841 | (54,250,845) | 189 | 5,385,691 | (5,178) | 13,635 | 5,388,925 |
Abbreviation Legend
| LIBOR | London Interbank Offered Rate |
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 – High Yield Bond Fund | Semiannual Report 2022
| 15 |
Portfolio of Investments (continued)
June 30, 2022 (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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Convertible Bonds | — | 2,157,547 | — | 2,157,547 |
| Corporate Bonds & Notes | — | 250,473,652 | — | 250,473,652 |
| Foreign Government Obligations | — | 1,477,327 | — | 1,477,327 |
| Senior Loans | — | 6,801,485 | 442,150 | 7,243,635 |
| Money Market Funds | 5,385,691 | — | — | 5,385,691 |
| Total Investments in Securities | 5,385,691 | 260,910,011 | 442,150 | 266,737,852 |
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.
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $300,322,526) | $261,352,161 |
| Affiliated issuers (cost $5,385,912) | 5,385,691 |
| Cash | 41,393 |
| Receivable for: | |
| Investments sold | 68,870 |
| Capital shares sold | 34,147 |
| Dividends | 6,203 |
| Interest | 4,366,637 |
| Foreign tax reclaims | 4,522 |
| Expense reimbursement due from Investment Manager | 870 |
| Prepaid expenses | 5,864 |
| Total assets | 271,266,358 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 723,663 |
| Capital shares purchased | 316,717 |
| Management services fees | 4,895 |
| Distribution and/or service fees | 1,168 |
| Service fees | 23,975 |
| Compensation of board members | 87,886 |
| Compensation of chief compliance officer | 31 |
| Other expenses | 32,736 |
| Total liabilities | 1,191,071 |
| Net assets applicable to outstanding capital stock | $270,075,287 |
| Represented by | |
| Paid in capital | 288,190,751 |
| Total distributable earnings (loss) | (18,115,464) |
| Total - representing net assets applicable to outstanding capital stock | $270,075,287 |
| Class 1 | |
| Net assets | $1,750,142 |
| Shares outstanding | 296,102 |
| Net asset value per share | $5.91 |
| Class 2 | |
| Net assets | $71,423,338 |
| Shares outstanding | 12,236,221 |
| Net asset value per share | $5.84 |
| Class 3 | |
| Net assets | $196,901,807 |
| Shares outstanding | 33,436,847 |
| Net asset value per share | $5.89 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022
| 17 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $13,635 |
| Interest | 8,207,351 |
| Total income | 8,220,986 |
| Expenses: | |
| Management services fees | 990,775 |
| Distribution and/or service fees | |
| Class 2 | 98,663 |
| Class 3 | 138,089 |
| Service fees | 106,402 |
| Compensation of board members | 4,194 |
| Custodian fees | 5,161 |
| Printing and postage fees | 17,454 |
| Audit fees | 19,642 |
| Legal fees | 6,727 |
| Compensation of chief compliance officer | 20 |
| Other | 4,432 |
| Total expenses | 1,391,559 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (149,742) |
| Total net expenses | 1,241,817 |
| Net investment income | 6,979,169 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (2,271,999) |
| Investments — affiliated issuers | (5,178) |
| Net realized loss | (2,277,177) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (49,120,762) |
| Investments — affiliated issuers | 189 |
| Net change in unrealized appreciation (depreciation) | (49,120,573) |
| Net realized and unrealized loss | (51,397,750) |
| Net decrease in net assets resulting from operations | $(44,418,581) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $6,979,169 | $14,467,850 |
| Net realized gain (loss) | (2,277,177) | 9,024,608 |
| Net change in unrealized appreciation (depreciation) | (49,120,573) | (7,795,917) |
| Net increase (decrease) in net assets resulting from operations | (44,418,581) | 15,696,541 |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class 1 | — | (43,812) |
| Class 2 | — | (3,984,203) |
| Class 3 | — | (12,275,701) |
| Total distributions to shareholders | — | (16,303,716) |
| Increase (decrease) in net assets from capital stock activity | (16,495,178) | 5,203,256 |
| Total increase (decrease) in net assets | (60,913,759) | 4,596,081 |
| Net assets at beginning of period | 330,989,046 | 326,392,965 |
| Net assets at end of period | $270,075,287 | $330,989,046 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 110,609 | 714,949 | 123,916 | 849,744 |
| Distributions reinvested | — | — | 6,491 | 43,812 |
| Redemptions | (11,510) | (76,119) | (15,366) | (106,146) |
| Net increase | 99,099 | 638,830 | 115,041 | 787,410 |
| Class 2 | | | | |
| Subscriptions | 4,045,243 | 25,381,224 | 3,193,456 | 21,722,428 |
| Distributions reinvested | — | — | 596,437 | 3,984,203 |
| Redemptions | (4,507,323) | (28,192,441) | (1,688,700) | (11,489,599) |
| Net increase (decrease) | (462,080) | (2,811,217) | 2,101,193 | 14,217,032 |
| Class 3 | | | | |
| Subscriptions | 28,163 | 184,305 | 364,124 | 2,504,478 |
| Distributions reinvested | — | — | 1,821,321 | 12,275,701 |
| Redemptions | (2,277,000) | (14,507,096) | (3,582,683) | (24,581,365) |
| Net decrease | (2,248,837) | (14,322,791) | (1,397,238) | (9,801,186) |
| Total net increase (decrease) | (2,611,818) | (16,495,178) | 818,996 | 5,203,256 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income | Total
distributions to
shareholders |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $6.85 | 0.15 | (1.09) | (0.94) | — | — |
| Year Ended 12/31/2021 | $6.87 | 0.31 | 0.03 | 0.34 | (0.36) | (0.36) |
| Year Ended 12/31/2020 | $6.83 | 0.34 | 0.09 | 0.43 | (0.39) | (0.39) |
| Year Ended 12/31/2019 | $6.20 | 0.34 | 0.70 | 1.04 | (0.41) | (0.41) |
| Year Ended 12/31/2018 | $6.84 | 0.35 | (0.60) | (0.25) | (0.39) | (0.39) |
| Year Ended 12/31/2017 | $6.79 | 0.36 | 0.08 | 0.44 | (0.39) | (0.39) |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $6.77 | 0.14 | (1.07) | (0.93) | — | — |
| Year Ended 12/31/2021 | $6.79 | 0.29 | 0.03 | 0.32 | (0.34) | (0.34) |
| Year Ended 12/31/2020 | $6.76 | 0.32 | 0.09 | 0.41 | (0.38) | (0.38) |
| Year Ended 12/31/2019 | $6.15 | 0.33 | 0.67 | 1.00 | (0.39) | (0.39) |
| Year Ended 12/31/2018 | $6.78 | 0.33 | (0.59) | (0.26) | (0.37) | (0.37) |
| Year Ended 12/31/2017 | $6.74 | 0.32 | 0.09 | 0.41 | (0.37) | (0.37) |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $6.83 | 0.15 | (1.09) | (0.94) | — | — |
| Year Ended 12/31/2021 | $6.85 | 0.30 | 0.03 | 0.33 | (0.35) | (0.35) |
| Year Ended 12/31/2020 | $6.81 | 0.33 | 0.09 | 0.42 | (0.38) | (0.38) |
| Year Ended 12/31/2019 | $6.19 | 0.34 | 0.68 | 1.02 | (0.40) | (0.40) |
| Year Ended 12/31/2018 | $6.83 | 0.34 | (0.60) | (0.26) | (0.38) | (0.38) |
| Year Ended 12/31/2017 | $6.78 | 0.34 | 0.09 | 0.43 | (0.38) | (0.38) |
| 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) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $5.91 | (13.72%) | 0.77%(c) | 0.67%(c) | 4.84%(c) | 24% | $1,750 |
| Year Ended 12/31/2021 | $6.85 | 4.98% | 0.77% | 0.67% | 4.52% | 60% | $1,349 |
| Year Ended 12/31/2020 | $6.87 | 6.67% | 0.78% | 0.67% | 5.17% | 59% | $563 |
| Year Ended 12/31/2019 | $6.83 | 17.00% | 0.80% | 0.67% | 5.21% | 49% | $227 |
| Year Ended 12/31/2018 | $6.20 | (3.86%) | 0.77% | 0.73% | 5.31% | 39% | $11 |
| Year Ended 12/31/2017 | $6.84 | 6.53% | 0.75% | 0.75% | 5.12% | 51% | $12 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $5.84 | (13.74%) | 1.02%(c) | 0.92%(c) | 4.54%(c) | 24% | $71,423 |
| Year Ended 12/31/2021 | $6.77 | 4.79% | 1.02% | 0.92% | 4.28% | 60% | $85,990 |
| Year Ended 12/31/2020 | $6.79 | 6.31% | 1.02% | 0.92% | 4.89% | 59% | $71,989 |
| Year Ended 12/31/2019 | $6.76 | 16.52% | 1.02% | 0.94% | 5.04% | 49% | $74,825 |
| Year Ended 12/31/2018 | $6.15 | (4.00%) | 1.01% | 0.98% | 5.06% | 39% | $54,532 |
| Year Ended 12/31/2017 | $6.78 | 6.17% | 1.01% | 1.01% | 4.76% | 51% | $59,098 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $5.89 | (13.76%) | 0.89%(c) | 0.79%(c) | 4.66%(c) | 24% | $196,902 |
| Year Ended 12/31/2021 | $6.83 | 4.86% | 0.89% | 0.80% | 4.42% | 60% | $243,649 |
| Year Ended 12/31/2020 | $6.85 | 6.55% | 0.89% | 0.80% | 5.03% | 59% | $253,841 |
| Year Ended 12/31/2019 | $6.81 | 16.72% | 0.89% | 0.81% | 5.18% | 49% | $280,814 |
| Year Ended 12/31/2018 | $6.19 | (4.00%) | 0.89% | 0.86% | 5.18% | 39% | $279,157 |
| Year Ended 12/31/2017 | $6.83 | 6.41% | 0.89% | 0.89% | 4.89% | 51% | $364,733 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements
June 30, 2022 (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 net investment income 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 market value, unless this method results in a valuation that management believes does not approximate fair 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
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, if available.
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.
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Notes to Financial Statements (continued)
June 30, 2022 (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.
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, if any, 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.
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. For convertible securities, premiums attributable to the conversion feature are not amortized.
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 collectability of interest is reasonably assured.
Dividend income is recorded on the ex-dividend date.
The value of additional securities received as an income payment through a payment in kind, if any, is recorded as interest 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.
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Notes to Financial Statements (continued)
June 30, 2022 (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 investment company taxable income and net capital gain, 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 in 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 annually. 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 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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, 2022 was 0.66% of the Fund’s average daily net assets.
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Notes to Financial Statements (continued)
June 30, 2022 (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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.07% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | May 1, 2022
through
April 30, 2023 | Prior to
May 1, 2022 |
| Class 1 | 0.66% | 0.67% |
| Class 2 | 0.91 | 0.92 |
| Class 3 | 0.785 | 0.795 |
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Notes to Financial Statements (continued)
June 30, 2022 (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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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, 2022, the approximate cost of all 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) ($) |
| 305,708,000 | 125,000 | (39,095,000) | (38,970,000) |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
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 $72,028,847 and $78,307,663, respectively, for the six months ended June 30, 2022. 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 9. Significant risks
Credit risk
Credit risk is the risk that the value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower-rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
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 debt instruments. 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 instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise 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. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
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Notes to Financial Statements (continued)
June 30, 2022 (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.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Shareholder concentration risk
At June 30, 2022, affiliated shareholders of record owned 92.2% 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. 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 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
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Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
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Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
| • | Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022
| 31 |
Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Manager and discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had
| 32 | Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
Columbia Variable Portfolio – High Yield Bond Fund | Semiannual Report 2022
| 33 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – High Yield Bond Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – Large Cap Growth Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term capital growth.
Portfolio management
Melda Mergen, CFA, CAIA
Co-Portfolio Manager
Managed Fund since 2019
Tiffany Wade
Co-Portfolio Manager
Managed Fund since 2021
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/03/10 | -29.65 | -22.92 | 11.77 | 13.61 |
| Class 2 | 05/03/10 | -29.72 | -23.12 | 11.48 | 13.33 |
| Class 3 | 09/15/99 | -29.68 | -23.04 | 11.62 | 13.47 |
| Russell 1000 Growth Index | | -28.07 | -18.77 | 14.29 | 14.80 |
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 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.
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Common Stocks | 98.5 |
| Money Market Funds | 1.5 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 11.3 |
| Consumer Discretionary | 15.3 |
| Consumer Staples | 4.5 |
| Energy | 1.2 |
| Financials | 1.7 |
| Health Care | 14.9 |
| Industrials | 8.6 |
| Information Technology | 41.2 |
| Real Estate | 1.3 |
| 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, 2022) |
| Information Technology | |
| Application Software | 4.3 |
| Data Processing & Outsourced Services | 3.6 |
| Electronic Equipment & Instruments | 1.2 |
| Electronic Manufacturing Services | 1.2 |
| Semiconductor Equipment | 1.6 |
| Semiconductors | 5.3 |
| Systems Software | 14.5 |
| Technology Hardware, Storage & Peripherals | 9.5 |
| Total | 41.2 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 703.50 | 1,021.22 | 3.04 | 3.61 | 0.72 |
| Class 2 | 1,000.00 | 1,000.00 | 702.80 | 1,019.98 | 4.10 | 4.86 | 0.97 |
| Class 3 | 1,000.00 | 1,000.00 | 703.20 | 1,020.63 | 3.55 | 4.21 | 0.84 |
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.
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 98.4% |
| Issuer | Shares | Value ($) |
| Communication Services 11.1% |
| Entertainment 1.2% |
| Electronic Arts, Inc. | 202,164 | 24,593,250 |
| Interactive Media & Services 9.9% |
| Alphabet, Inc., Class A(a) | 28,727 | 62,603,602 |
| Alphabet, Inc., Class C(a) | 39,711 | 86,865,827 |
| Meta Platforms, Inc., Class A(a) | 159,966 | 25,794,518 |
| ZoomInfo Technologies, Inc., Class A(a) | 497,972 | 16,552,589 |
| Total | | 191,816,536 |
| Total Communication Services | 216,409,786 |
| Consumer Discretionary 15.0% |
| Automobiles 3.0% |
| Tesla Motors, Inc.(a) | 85,662 | 57,686,504 |
| Hotels, Restaurants & Leisure 1.1% |
| Hilton Worldwide Holdings, Inc. | 199,511 | 22,233,506 |
| Internet & Direct Marketing Retail 6.0% |
| Amazon.com, Inc.(a) | 1,098,780 | 116,701,424 |
| Multiline Retail 1.1% |
| Target Corp. | 153,910 | 21,736,709 |
| Specialty Retail 2.0% |
| Home Depot, Inc. (The) | 145,394 | 39,877,212 |
| Textiles, Apparel & Luxury Goods 1.8% |
| NIKE, Inc., Class B | 333,598 | 34,093,716 |
| Total Consumer Discretionary | 292,329,071 |
| Consumer Staples 4.4% |
| Beverages 2.3% |
| Coca-Cola Co. (The) | 717,848 | 45,159,818 |
| Household Products 2.1% |
| Procter & Gamble Co. (The) | 283,572 | 40,774,818 |
| Total Consumer Staples | 85,934,636 |
| Energy 1.2% |
| Oil, Gas & Consumable Fuels 1.2% |
| Pioneer Natural Resources Co. | 101,792 | 22,707,759 |
| Total Energy | 22,707,759 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Financials 1.7% |
| Capital Markets 1.7% |
| S&P Global, Inc. | 98,101 | 33,065,923 |
| Total Financials | 33,065,923 |
| Health Care 14.7% |
| Biotechnology 2.8% |
| BioMarin Pharmaceutical, Inc.(a) | 122,031 | 10,112,709 |
| Exact Sciences Corp.(a) | 224,012 | 8,823,833 |
| Horizon Therapeutics PLC(a) | 135,285 | 10,790,331 |
| Vertex Pharmaceuticals, Inc.(a) | 90,058 | 25,377,444 |
| Total | | 55,104,317 |
| Health Care Equipment & Supplies 2.4% |
| Boston Scientific Corp.(a) | 569,871 | 21,239,092 |
| Stryker Corp. | 122,489 | 24,366,737 |
| Total | | 45,605,829 |
| Health Care Providers & Services 3.5% |
| UnitedHealth Group, Inc. | 133,675 | 68,659,490 |
| Life Sciences Tools & Services 2.5% |
| Danaher Corp. | 86,321 | 21,884,100 |
| IQVIA Holdings, Inc.(a) | 120,745 | 26,200,457 |
| Total | | 48,084,557 |
| Pharmaceuticals 3.5% |
| Eli Lilly & Co. | 142,364 | 46,158,680 |
| Johnson & Johnson | 122,633 | 21,768,584 |
| Total | | 67,927,264 |
| Total Health Care | 285,381,457 |
| Industrials 8.5% |
| Aerospace & Defense 1.3% |
| Raytheon Technologies Corp. | 256,165 | 24,620,018 |
| Building Products 1.4% |
| Trane Technologies PLC | 206,294 | 26,791,402 |
| Commercial Services & Supplies 1.5% |
| Cintas Corp. | 77,118 | 28,805,886 |
| Construction & Engineering 1.2% |
| MasTec, Inc.(a) | 320,768 | 22,986,235 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Electrical Equipment 1.2% |
| AMETEK, Inc. | 218,929 | 24,058,108 |
| Road & Rail 1.9% |
| Union Pacific Corp. | 178,653 | 38,103,112 |
| Total Industrials | 165,364,761 |
| Information Technology 40.5% |
| Electronic Equipment, Instruments & Components 2.4% |
| TE Connectivity Ltd. | 206,159 | 23,326,891 |
| Zebra Technologies Corp., Class A(a) | 80,063 | 23,534,519 |
| Total | | 46,861,410 |
| IT Services 3.6% |
| Visa, Inc., Class A | 353,207 | 69,542,926 |
| Semiconductors & Semiconductor Equipment 6.8% |
| Applied Materials, Inc. | 331,514 | 30,161,144 |
| Broadcom, Inc. | 82,199 | 39,933,096 |
| NVIDIA Corp. | 409,941 | 62,142,956 |
| Total | | 132,237,196 |
| Software 18.4% |
| Adobe, Inc.(a) | 119,180 | 43,627,031 |
| Fortinet, Inc.(a) | 508,615 | 28,777,436 |
| Intuit, Inc. | 97,543 | 37,596,974 |
| Microsoft Corp. | 696,484 | 178,877,986 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Palo Alto Networks, Inc.(a) | 61,152 | 30,205,419 |
| ServiceNow, Inc.(a) | 81,652 | 38,827,159 |
| Total | | 357,912,005 |
| Technology Hardware, Storage & Peripherals 9.3% |
| Apple, Inc. | 1,328,838 | 181,678,732 |
| Total Information Technology | 788,232,269 |
| Real Estate 1.3% |
| Equity Real Estate Investment Trusts (REITS) 1.3% |
| Prologis, Inc. | 206,809 | 24,331,079 |
| Total Real Estate | 24,331,079 |
Total Common Stocks
(Cost $1,410,678,148) | 1,913,756,741 |
|
| Money Market Funds 1.6% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(b),(c) | 30,015,729 | 29,997,720 |
Total Money Market Funds
(Cost $29,994,719) | 29,997,720 |
Total Investments in Securities
(Cost: $1,440,672,867) | 1,943,754,461 |
| Other Assets & Liabilities, Net | | 306,508 |
| Net Assets | 1,944,060,969 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 11,791,414 | 154,403,389 | (136,200,084) | 3,001 | 29,997,720 | (11,757) | 71,936 | 30,015,729 |
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.
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 216,409,786 | — | — | 216,409,786 |
| Consumer Discretionary | 292,329,071 | — | — | 292,329,071 |
| Consumer Staples | 85,934,636 | — | — | 85,934,636 |
| Energy | 22,707,759 | — | — | 22,707,759 |
| Financials | 33,065,923 | — | — | 33,065,923 |
| Health Care | 285,381,457 | — | — | 285,381,457 |
| Industrials | 165,364,761 | — | — | 165,364,761 |
| Information Technology | 788,232,269 | — | — | 788,232,269 |
| Real Estate | 24,331,079 | — | — | 24,331,079 |
| Total Common Stocks | 1,913,756,741 | — | — | 1,913,756,741 |
| Money Market Funds | 29,997,720 | — | — | 29,997,720 |
| Total Investments in Securities | 1,943,754,461 | — | — | 1,943,754,461 |
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 – Large Cap Growth Fund | Semiannual Report 2022 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,410,678,148) | $1,913,756,741 |
| Affiliated issuers (cost $29,994,719) | 29,997,720 |
| Receivable for: | |
| Capital shares sold | 502,785 |
| Dividends | 543,328 |
| Prepaid expenses | 15,384 |
| Total assets | 1,944,815,958 |
| Liabilities | |
| Payable for: | |
| Capital shares purchased | 369,872 |
| Management services fees | 37,463 |
| Distribution and/or service fees | 1,748 |
| Service fees | 54,564 |
| Compensation of board members | 261,220 |
| Compensation of chief compliance officer | 219 |
| Other expenses | 29,903 |
| Total liabilities | 754,989 |
| Net assets applicable to outstanding capital stock | $1,944,060,969 |
| Represented by | |
| Trust capital | $1,944,060,969 |
| Total - representing net assets applicable to outstanding capital stock | $1,944,060,969 |
| Class 1 | |
| Net assets | $1,584,141,585 |
| Shares outstanding | 59,332,906 |
| Net asset value per share | $26.70 |
| Class 2 | |
| Net assets | $145,181,129 |
| Shares outstanding | 5,606,109 |
| Net asset value per share | $25.90 |
| Class 3 | |
| Net assets | $214,738,255 |
| Shares outstanding | 8,158,333 |
| Net asset value per share | $26.32 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022
| 9 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $7,665,188 |
| Dividends — affiliated issuers | 71,936 |
| Interfund lending | 146 |
| Total income | 7,737,270 |
| Expenses: | |
| Management services fees | 7,739,522 |
| Distribution and/or service fees | |
| Class 2 | 210,232 |
| Class 3 | 164,332 |
| Service fees | 273,199 |
| Compensation of board members | 4,936 |
| Custodian fees | 9,183 |
| Printing and postage fees | 17,124 |
| Audit fees | 15,799 |
| Legal fees | 17,393 |
| Compensation of chief compliance officer | 145 |
| Other | 17,507 |
| Total expenses | 8,469,372 |
| Net investment loss | (732,102) |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (75,594,771) |
| Investments — affiliated issuers | (11,757) |
| Net realized loss | (75,606,528) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (731,045,038) |
| Investments — affiliated issuers | 3,001 |
| Net change in unrealized appreciation (depreciation) | (731,042,037) |
| Net realized and unrealized loss | (806,648,565) |
| Net decrease in net assets resulting from operations | $(807,380,667) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment loss | $(732,102) | $(27,507) |
| Net realized gain (loss) | (75,606,528) | 408,554,718 |
| Net change in unrealized appreciation (depreciation) | (731,042,037) | 271,550,109 |
| Net increase (decrease) in net assets resulting from operations | (807,380,667) | 680,077,320 |
| Increase (decrease) in net assets from capital stock activity | 16,629,861 | (335,520,007) |
| Total increase (decrease) in net assets | (790,750,806) | 344,557,313 |
| Net assets at beginning of period | 2,734,811,775 | 2,390,254,462 |
| Net assets at end of period | $1,944,060,969 | $2,734,811,775 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 1,679,371 | 47,354,499 | 3,662,272 | 110,089,652 |
| Redemptions | (468,315) | (15,657,069) | (11,469,683) | (405,470,939) |
| Net increase (decrease) | 1,211,056 | 31,697,430 | (7,807,411) | (295,381,287) |
| Class 2 | | | | |
| Subscriptions | 570,135 | 16,767,451 | 729,388 | 24,141,618 |
| Redemptions | (428,579) | (13,105,418) | (896,164) | (29,713,741) |
| Net increase (decrease) | 141,556 | 3,662,033 | (166,776) | (5,572,123) |
| Class 3 | | | | |
| Subscriptions | 19,015 | 587,412 | 79,093 | 2,449,173 |
| Redemptions | (617,314) | (19,317,014) | (1,100,569) | (37,015,770) |
| Net decrease | (598,299) | (18,729,602) | (1,021,476) | (34,566,597) |
| Total net increase (decrease) | 754,313 | 16,629,861 | (8,995,663) | (335,520,007) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $37.95 | (0.00)(c) | (11.25) | (11.25) |
| Year Ended 12/31/2021 | $29.48 | 0.01 | 8.46 | 8.47 |
| Year Ended 12/31/2020 | $21.88 | 0.06 | 7.54 | 7.60 |
| Year Ended 12/31/2019 | $16.10 | 0.04 | 5.74 | 5.78 |
| Year Ended 12/31/2018 | $16.76 | 0.03 | (0.69) | (0.66) |
| Year Ended 12/31/2017 | $13.08 | 0.05 | 3.63 | 3.68 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $36.85 | (0.04) | (10.91) | (10.95) |
| Year Ended 12/31/2021 | $28.71 | (0.07) | 8.21 | 8.14 |
| Year Ended 12/31/2020 | $21.36 | 0.00(c) | 7.35 | 7.35 |
| Year Ended 12/31/2019 | $15.76 | (0.01) | 5.61 | 5.60 |
| Year Ended 12/31/2018 | $16.44 | (0.02) | (0.66) | (0.68) |
| Year Ended 12/31/2017 | $12.86 | 0.02 | 3.56 | 3.58 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $37.43 | (0.02) | (11.09) | (11.11) |
| Year Ended 12/31/2021 | $29.12 | (0.03) | 8.34 | 8.31 |
| Year Ended 12/31/2020 | $21.64 | 0.03 | 7.45 | 7.48 |
| Year Ended 12/31/2019 | $15.94 | 0.01 | 5.69 | 5.70 |
| Year Ended 12/31/2018 | $16.62 | 0.01 | (0.69) | (0.68) |
| Year Ended 12/31/2017 | $12.99 | 0.04 | 3.59 | 3.63 |
| 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) | Rounds to zero. |
| (d) | Annualized. |
| (e) | Ratios include interfund lending expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $26.70 | (29.65%) | 0.72%(d) | 0.72%(d) | (0.03%)(d) | 26% | $1,584,142 |
| Year Ended 12/31/2021 | $37.95 | 28.73% | 0.71%(e) | 0.71%(e) | 0.03% | 46% | $2,205,624 |
| Year Ended 12/31/2020 | $29.48 | 34.74% | 0.73% | 0.73% | 0.26% | 57% | $1,943,859 |
| Year Ended 12/31/2019 | $21.88 | 35.90% | 0.73% | 0.73% | 0.19% | 39% | $1,700,174 |
| Year Ended 12/31/2018 | $16.10 | (3.94%) | 0.74% | 0.74% | 0.16% | 27% | $1,312,513 |
| Year Ended 12/31/2017 | $16.76 | 28.14% | 0.77% | 0.76% | 0.36% | 35% | $1,408,054 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $25.90 | (29.72%) | 0.97%(d) | 0.97%(d) | (0.28%)(d) | 26% | $145,181 |
| Year Ended 12/31/2021 | $36.85 | 28.35% | 0.96%(e) | 0.96%(e) | (0.21%) | 46% | $201,389 |
| Year Ended 12/31/2020 | $28.71 | 34.41% | 0.98% | 0.98% | 0.02% | 57% | $161,648 |
| Year Ended 12/31/2019 | $21.36 | 35.53% | 0.98% | 0.98% | (0.06%) | 39% | $131,133 |
| Year Ended 12/31/2018 | $15.76 | (4.14%) | 0.99% | 0.99% | (0.09%) | 27% | $108,782 |
| Year Ended 12/31/2017 | $16.44 | 27.84% | 1.02% | 1.01% | 0.11% | 35% | $121,608 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $26.32 | (29.68%) | 0.84%(d) | 0.84%(d) | (0.16%)(d) | 26% | $214,738 |
| Year Ended 12/31/2021 | $37.43 | 28.54% | 0.83%(e) | 0.83%(e) | (0.09%) | 46% | $327,799 |
| Year Ended 12/31/2020 | $29.12 | 34.57% | 0.85% | 0.85% | 0.14% | 57% | $284,747 |
| Year Ended 12/31/2019 | $21.64 | 35.76% | 0.86% | 0.86% | 0.06% | 39% | $230,850 |
| Year Ended 12/31/2018 | $15.94 | (4.09%) | 0.86% | 0.86% | 0.04% | 27% | $196,874 |
| Year Ended 12/31/2017 | $16.62 | 27.94% | 0.89% | 0.88% | 0.23% | 35% | $232,010 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022
| 13 |
Notes to Financial Statements
June 30, 2022 (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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 14 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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 – Large Cap Growth Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements (continued)
June 30, 2022 (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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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, 2022 was 0.69% of the Fund’s average daily net assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.02% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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 – Large Cap Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Distribution and/or service 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 classes’ average daily net assets:
| | Contractual
expense cap
July 1, 2022
through
April 30, 2023 | Voluntary
expense cap
May 1, 2022
through
June 30, 2022 | Contractual
expense cap
prior to
May 1, 2022 |
| Class 1 | 0.75% | 0.75% | 0.75% |
| Class 2 | 1.00 | 1.00 | 1.00 |
| Class 3 | 0.875 | 0.875 | 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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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 $598,877,824 and $605,650,939, respectively, for the six months ended June 30, 2022. 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 – Large Cap Growth Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 6. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended June 30, 2022 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Lender | 2,800,000 | 0.69 | 3 |
Interest income earned by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at June 30, 2022.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 8. Significant risks
Information technology sector risk
The Fund is more susceptible to the particular risks that may affect companies in the information technology sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the information technology sector 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 information technology sector companies have limited operating histories and prices of these companies’ securities historically have been more volatile than other
| 18 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
securities, especially over the short term. Some companies in the information technology sector are facing increased government and regulatory scrutiny and may be subject to adverse government or regulatory action, which could negatively impact the value of their securities.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, affiliated shareholders of record owned 91.6% 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 9. 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 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
| 20 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022
| 21 |
Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
| 22 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Manager and discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had
Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022
| 23 |
Approval of Management Agreement (continued)
(Unaudited)
considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
| 24 | Columbia Variable Portfolio – Large Cap Growth Fund | Semiannual Report 2022 |
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Columbia Variable Portfolio – Large Cap Growth Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – Dividend Opportunity Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with a high level of current income and, as a secondary objective, steady growth of capital.
Portfolio management
David King, CFA
Lead Portfolio Manager
Managed Fund since 2018
Yan Jin
Portfolio Manager
Managed Fund since 2018
Grace Lee, CAIA
Portfolio Manager
Managed Fund since 2020
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/03/10 | -6.54 | 1.26 | 8.70 | 10.04 |
| Class 2 | 05/03/10 | -6.68 | 1.01 | 8.43 | 9.77 |
| Class 3 | 09/15/99 | -6.61 | 1.14 | 8.57 | 9.90 |
| MSCI USA High Dividend Yield Index (Net) | | -9.23 | -1.69 | 7.42 | 10.12 |
| Russell 1000 Value Index | | -12.86 | -6.82 | 7.17 | 10.50 |
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 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.
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Common Stocks | 93.4 |
| Convertible Preferred Stocks | 6.3 |
| Money Market Funds | 0.3 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 5.0 |
| Consumer Discretionary | 6.3 |
| Consumer Staples | 13.7 |
| Energy | 9.8 |
| Financials | 16.4 |
| Health Care | 16.7 |
| Industrials | 5.9 |
| Information Technology | 9.7 |
| Materials | 2.5 |
| Real Estate | 7.0 |
| Utilities | 7.0 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 934.60 | 1,021.47 | 3.21 | 3.36 | 0.67 |
| Class 2 | 1,000.00 | 1,000.00 | 933.20 | 1,020.23 | 4.41 | 4.61 | 0.92 |
| Class 3 | 1,000.00 | 1,000.00 | 933.90 | 1,020.88 | 3.79 | 3.96 | 0.79 |
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.
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 93.4% |
| Issuer | Shares | Value ($) |
| Communication Services 5.0% |
| Diversified Telecommunication Services 3.9% |
| AT&T, Inc. | 725,000 | 15,196,000 |
| Verizon Communications, Inc. | 365,000 | 18,523,750 |
| Total | | 33,719,750 |
| Media 1.1% |
| Comcast Corp., Class A | 250,000 | 9,810,000 |
| Total Communication Services | 43,529,750 |
| Consumer Discretionary 5.8% |
| Hotels, Restaurants & Leisure 2.4% |
| Darden Restaurants, Inc. | 37,500 | 4,242,000 |
| McDonald’s Corp. | 67,500 | 16,664,400 |
| Total | | 20,906,400 |
| Household Durables 0.5% |
| Newell Brands, Inc. | 235,000 | 4,474,400 |
| Specialty Retail 2.4% |
| Home Depot, Inc. (The) | 77,500 | 21,255,925 |
| Textiles, Apparel & Luxury Goods 0.5% |
| Tapestry, Inc. | 137,500 | 4,196,500 |
| Total Consumer Discretionary | 50,833,225 |
| Consumer Staples 13.7% |
| Beverages 5.7% |
| Coca-Cola Co. (The) | 415,000 | 26,107,650 |
| PepsiCo, Inc. | 142,500 | 23,749,050 |
| Total | | 49,856,700 |
| Food & Staples Retailing 0.5% |
| Walgreens Boots Alliance, Inc. | 115,000 | 4,358,500 |
| Food Products 2.2% |
| Bunge Ltd. | 62,500 | 5,668,125 |
| JM Smucker Co. (The) | 32,500 | 4,160,325 |
| Kraft Heinz Co. (The) | 235,000 | 8,962,900 |
| Total | | 18,791,350 |
| Household Products 3.1% |
| Procter & Gamble Co. (The) | 190,000 | 27,320,100 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Tobacco 2.2% |
| Altria Group, Inc. | 140,000 | 5,847,800 |
| Philip Morris International, Inc. | 135,000 | 13,329,900 |
| Total | | 19,177,700 |
| Total Consumer Staples | 119,504,350 |
| Energy 9.8% |
| Oil, Gas & Consumable Fuels 9.8% |
| Chevron Corp. | 162,500 | 23,526,750 |
| Devon Energy Corp. | 62,500 | 3,444,375 |
| Exxon Mobil Corp. | 435,000 | 37,253,400 |
| Pioneer Natural Resources Co. | 35,000 | 7,807,800 |
| Shell PLC, ADR | 80,000 | 4,183,200 |
| Valero Energy Corp. | 87,500 | 9,299,500 |
| Total | | 85,515,025 |
| Total Energy | 85,515,025 |
| Financials 16.3% |
| Banks 7.9% |
| Bank of America Corp. | 200,000 | 6,226,000 |
| JPMorgan Chase & Co. | 250,000 | 28,152,500 |
| M&T Bank Corp. | 55,000 | 8,766,450 |
| PNC Financial Services Group, Inc. (The) | 65,000 | 10,255,050 |
| Truist Financial Corp. | 200,000 | 9,486,000 |
| U.S. Bancorp | 140,000 | 6,442,800 |
| Total | | 69,328,800 |
| Capital Markets 4.9% |
| Ares Capital Corp. | 250,000 | 4,482,500 |
| BlackRock, Inc. | 14,000 | 8,526,560 |
| Blackstone, Inc. | 65,000 | 5,929,950 |
| Morgan Stanley | 200,000 | 15,212,000 |
| State Street Corp. | 137,500 | 8,476,875 |
| Total | | 42,627,885 |
| Consumer Finance 0.4% |
| OneMain Holdings, Inc. | 100,000 | 3,738,000 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Insurance 2.6% |
| MetLife, Inc. | 140,000 | 8,790,600 |
| Principal Financial Group, Inc. | 100,000 | 6,679,000 |
| Progressive Corp. (The) | 62,500 | 7,266,875 |
| Total | | 22,736,475 |
| Mortgage Real Estate Investment Trusts (REITS) 0.5% |
| Starwood Property Trust, Inc. | 205,000 | 4,282,450 |
| Total Financials | 142,713,610 |
| Health Care 14.6% |
| Biotechnology 2.8% |
| AbbVie, Inc. | 160,000 | 24,505,600 |
| Health Care Providers & Services 1.1% |
| CVS Health Corp. | 100,000 | 9,266,000 |
| Pharmaceuticals 10.7% |
| Bristol-Myers Squibb Co. | 200,000 | 15,400,000 |
| Johnson & Johnson | 200,000 | 35,502,000 |
| Merck & Co., Inc. | 215,000 | 19,601,550 |
| Pfizer, Inc. | 450,000 | 23,593,500 |
| Total | | 94,097,050 |
| Total Health Care | 127,868,650 |
| Industrials 5.4% |
| Aerospace & Defense 1.4% |
| Huntington Ingalls Industries, Inc. | 22,500 | 4,900,950 |
| Raytheon Technologies Corp. | 70,000 | 6,727,700 |
| Total | | 11,628,650 |
| Air Freight & Logistics 2.4% |
| CH Robinson Worldwide, Inc. | 45,000 | 4,561,650 |
| United Parcel Service, Inc., Class B | 90,000 | 16,428,600 |
| Total | | 20,990,250 |
| Electrical Equipment 0.7% |
| Eaton Corp. PLC | 47,500 | 5,984,525 |
| Machinery 0.4% |
| AGCO Corp. | 37,500 | 3,701,250 |
| Road & Rail 0.5% |
| Union Pacific Corp. | 21,500 | 4,585,520 |
| Total Industrials | 46,890,195 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Information Technology 9.7% |
| Communications Equipment 2.4% |
| Cisco Systems, Inc. | 380,000 | 16,203,200 |
| Juniper Networks, Inc. | 155,000 | 4,417,500 |
| Total | | 20,620,700 |
| Electronic Equipment, Instruments & Components 0.5% |
| Corning, Inc. | 140,000 | 4,411,400 |
| IT Services 1.5% |
| International Business Machines Corp. | 90,000 | 12,707,100 |
| Semiconductors & Semiconductor Equipment 3.9% |
| Broadcom, Inc. | 35,000 | 17,003,350 |
| QUALCOMM, Inc. | 50,000 | 6,387,000 |
| Texas Instruments, Inc. | 70,000 | 10,755,500 |
| Total | | 34,145,850 |
| Technology Hardware, Storage & Peripherals 1.4% |
| HP, Inc. | 245,000 | 8,031,100 |
| Seagate Technology Holdings PLC | 65,000 | 4,643,600 |
| Total | | 12,674,700 |
| Total Information Technology | 84,559,750 |
| Materials 2.5% |
| Chemicals 2.0% |
| Dow, Inc. | 140,000 | 7,225,400 |
| International Flavors & Fragrances, Inc. | 37,500 | 4,467,000 |
| Nutrien Ltd. | 80,000 | 6,375,200 |
| Total | | 18,067,600 |
| Metals & Mining 0.5% |
| Newmont Corp. | 70,000 | 4,176,900 |
| Total Materials | 22,244,500 |
| Real Estate 6.9% |
| Equity Real Estate Investment Trusts (REITS) 6.9% |
| Alexandria Real Estate Equities, Inc. | 31,500 | 4,568,445 |
| AvalonBay Communities, Inc. | 35,000 | 6,798,750 |
| Crown Castle International Corp. | 67,500 | 11,365,650 |
| Kimco Realty Corp. | 315,000 | 6,227,550 |
| Life Storage, Inc. | 52,500 | 5,862,150 |
| Medical Properties Trust, Inc. | 300,000 | 4,581,000 |
| Simon Property Group, Inc. | 85,000 | 8,068,200 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| VICI Properties, Inc. | 225,000 | 6,702,750 |
| Welltower, Inc. | 80,000 | 6,588,000 |
| Total | | 60,762,495 |
| Total Real Estate | 60,762,495 |
| Utilities 3.7% |
| Electric Utilities 3.7% |
| American Electric Power Co., Inc. | 92,500 | 8,874,450 |
| Duke Energy Corp. | 85,000 | 9,112,850 |
| Entergy Corp. | 67,500 | 7,603,200 |
| FirstEnergy Corp. | 175,000 | 6,718,250 |
| Total | | 32,308,750 |
| Total Utilities | 32,308,750 |
Total Common Stocks
(Cost $745,506,753) | 816,730,300 |
| Convertible Preferred Stocks 6.2% |
| Issuer | | Shares | Value ($) |
| Consumer Discretionary 0.5% |
| Auto Components 0.5% |
| Aptiv PLC | 5.500% | 42,500 | 4,473,125 |
| Total Consumer Discretionary | 4,473,125 |
| Health Care 2.0% |
| Health Care Equipment & Supplies 1.3% |
| Becton Dickinson and Co. | 6.000% | 90,000 | 4,473,900 |
| Boston Scientific Corp. | 5.500% | 65,000 | 6,600,100 |
| Total | | | 11,074,000 |
| Life Sciences Tools & Services 0.7% |
| Danaher Corp. | 5.000% | 4,700 | 6,276,850 |
| Total Health Care | 17,350,850 |
| Convertible Preferred Stocks (continued) |
| Issuer | | Shares | Value ($) |
| Industrials 0.5% |
| Professional Services 0.5% |
| Clarivate PLC | 5.250% | 75,000 | 4,291,057 |
| Total Industrials | 4,291,057 |
| Utilities 3.2% |
| Electric Utilities 0.5% |
| NextEra Energy, Inc. | 6.219% | 100,000 | 4,913,000 |
| Multi-Utilities 2.7% |
| DTE Energy Co. | 6.250% | 285,000 | 14,651,850 |
| NiSource, Inc. | 7.750% | 80,000 | 9,097,600 |
| Total | | | 23,749,450 |
| Total Utilities | 28,662,450 |
Total Convertible Preferred Stocks
(Cost $54,477,605) | 54,777,482 |
| Money Market Funds 0.3% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(a),(b) | 2,741,325 | 2,739,680 |
Total Money Market Funds
(Cost $2,739,406) | 2,739,680 |
Total Investments in Securities
(Cost: $802,723,764) | 874,247,462 |
| Other Assets & Liabilities, Net | | 550,601 |
| Net Assets | 874,798,063 |
Notes to Portfolio of Investments
| (a) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (b) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 4,104,527 | 73,204,432 | (74,569,553) | 274 | 2,739,680 | (1,153) | 6,523 | 2,741,325 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 43,529,750 | — | — | 43,529,750 |
| Consumer Discretionary | 50,833,225 | — | — | 50,833,225 |
| Consumer Staples | 119,504,350 | — | — | 119,504,350 |
| Energy | 85,515,025 | — | — | 85,515,025 |
| Financials | 142,713,610 | — | — | 142,713,610 |
| Health Care | 127,868,650 | — | — | 127,868,650 |
| Industrials | 46,890,195 | — | — | 46,890,195 |
| Information Technology | 84,559,750 | — | — | 84,559,750 |
| Materials | 22,244,500 | — | — | 22,244,500 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Fair value measurements (continued)
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Real Estate | 60,762,495 | — | — | 60,762,495 |
| Utilities | 32,308,750 | — | — | 32,308,750 |
| Total Common Stocks | 816,730,300 | — | — | 816,730,300 |
| Convertible Preferred Stocks | | | | |
| Consumer Discretionary | — | 4,473,125 | — | 4,473,125 |
| Health Care | — | 17,350,850 | — | 17,350,850 |
| Industrials | — | 4,291,057 | — | 4,291,057 |
| Utilities | — | 28,662,450 | — | 28,662,450 |
| Total Convertible Preferred Stocks | — | 54,777,482 | — | 54,777,482 |
| Money Market Funds | 2,739,680 | — | — | 2,739,680 |
| Total Investments in Securities | 819,469,980 | 54,777,482 | — | 874,247,462 |
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.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $799,984,358) | $871,507,782 |
| Affiliated issuers (cost $2,739,406) | 2,739,680 |
| Cash | 450 |
| Receivable for: | |
| Investments sold | 5,100,053 |
| Capital shares sold | 73,244 |
| Dividends | 1,576,329 |
| Foreign tax reclaims | 159,663 |
| Expense reimbursement due from Investment Manager | 2,715 |
| Prepaid expenses | 9,643 |
| Total assets | 881,169,559 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 5,052,746 |
| Capital shares purchased | 928,121 |
| Management services fees | 16,860 |
| Distribution and/or service fees | 3,230 |
| Service fees | 53,737 |
| Compensation of board members | 281,010 |
| Compensation of chief compliance officer | 95 |
| Other expenses | 35,697 |
| Total liabilities | 6,371,496 |
| Net assets applicable to outstanding capital stock | $874,798,063 |
| Represented by | |
| Trust capital | $874,798,063 |
| Total - representing net assets applicable to outstanding capital stock | $874,798,063 |
| Class 1 | |
| Net assets | $45,555,676 |
| Shares outstanding | 1,291,002 |
| Net asset value per share | $35.29 |
| Class 2 | |
| Net assets | $107,030,425 |
| Shares outstanding | 3,128,603 |
| Net asset value per share | $34.21 |
| Class 3 | |
| Net assets | $722,211,962 |
| Shares outstanding | 20,787,898 |
| Net asset value per share | $34.74 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022
| 11 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $17,746,879 |
| Dividends — affiliated issuers | 6,523 |
| Foreign taxes withheld | (11,663) |
| Total income | 17,741,739 |
| Expenses: | |
| Management services fees | 3,244,323 |
| Distribution and/or service fees | |
| Class 2 | 131,453 |
| Class 3 | 485,532 |
| Service fees | 308,358 |
| Compensation of board members | (4,010) |
| Custodian fees | 3,590 |
| Printing and postage fees | 26,490 |
| Audit fees | 16,106 |
| Legal fees | 9,847 |
| Interest on interfund lending | 7 |
| Compensation of chief compliance officer | 69 |
| Other | 9,299 |
| Total expenses | 4,231,064 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (493,440) |
| Total net expenses | 3,737,624 |
| Net investment income | 14,004,115 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 29,371,087 |
| Investments — affiliated issuers | (1,153) |
| Foreign currency translations | (3,420) |
| Net realized gain | 29,366,514 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (105,329,367) |
| Investments — affiliated issuers | 274 |
| Foreign currency translations | (12,481) |
| Net change in unrealized appreciation (depreciation) | (105,341,574) |
| Net realized and unrealized loss | (75,975,060) |
| Net decrease in net assets resulting from operations | $(61,970,945) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $14,004,115 | $26,564,140 |
| Net realized gain | 29,366,514 | 169,833,120 |
| Net change in unrealized appreciation (depreciation) | (105,341,574) | 26,514,573 |
| Net increase (decrease) in net assets resulting from operations | (61,970,945) | 222,911,833 |
| Decrease in net assets from capital stock activity | (21,108,617) | (689,576,334) |
| Total decrease in net assets | (83,079,562) | (466,664,501) |
| Net assets at beginning of period | 957,877,625 | 1,424,542,126 |
| Net assets at end of period | $874,798,063 | $957,877,625 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 46,280 | 1,738,250 | 112,523 | 3,955,037 |
| Redemptions | (114,464) | (4,307,487) | (19,847,962) | (609,516,543) |
| Net decrease | (68,184) | (2,569,237) | (19,735,439) | (605,561,506) |
| Class 2 | | | | |
| Subscriptions | 407,255 | 14,686,822 | 349,447 | 11,713,774 |
| Redemptions | (80,905) | (2,943,560) | (204,566) | (6,771,182) |
| Net increase | 326,350 | 11,743,262 | 144,881 | 4,942,592 |
| Class 3 | | | | |
| Subscriptions | 32,570 | 1,198,772 | 19,959 | 681,359 |
| Redemptions | (850,294) | (31,481,414) | (2,663,937) | (89,638,779) |
| Net decrease | (817,724) | (30,282,642) | (2,643,978) | (88,957,420) |
| Total net decrease | (559,558) | (21,108,617) | (22,234,536) | (689,576,334) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $37.76 | 0.58 | (3.05) | (2.47) |
| Year Ended 12/31/2021 | $29.93 | 0.97 | 6.86 | 7.83 |
| Year Ended 12/31/2020 | $29.59 | 1.04 | (0.70) | 0.34 |
| Year Ended 12/31/2019 | $23.85 | 0.85 | 4.89 | 5.74 |
| Year Ended 12/31/2018 | $25.30 | 0.85 | (2.30) | (1.45) |
| Year Ended 12/31/2017 | $22.12 | 0.89 | 2.29 | 3.18 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $36.66 | 0.52 | (2.97) | (2.45) |
| Year Ended 12/31/2021 | $29.12 | 0.89 | 6.65 | 7.54 |
| Year Ended 12/31/2020 | $28.86 | 0.95 | (0.69) | 0.26 |
| Year Ended 12/31/2019 | $23.32 | 0.77 | 4.77 | 5.54 |
| Year Ended 12/31/2018 | $24.81 | 0.75 | (2.24) | (1.49) |
| Year Ended 12/31/2017 | $21.74 | 0.82 | 2.25 | 3.07 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $37.20 | 0.55 | (3.01) | (2.46) |
| Year Ended 12/31/2021 | $29.52 | 0.94 | 6.74 | 7.68 |
| Year Ended 12/31/2020 | $29.22 | 1.00 | (0.70) | 0.30 |
| Year Ended 12/31/2019 | $23.58 | 0.81 | 4.83 | 5.64 |
| Year Ended 12/31/2018 | $25.05 | 0.79 | (2.26) | (1.47) |
| Year Ended 12/31/2017 | $21.92 | 0.86 | 2.27 | 3.13 |
| 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) | Annualized. |
| (d) | Ratios include interfund lending expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $35.29 | (6.54%) | 0.78%(c),(d) | 0.67%(c),(d) | 3.14%(c) | 19% | $45,556 |
| Year Ended 12/31/2021 | $37.76 | 26.16% | 0.76%(d) | 0.71%(d) | 2.92% | 38% | $51,329 |
| Year Ended 12/31/2020 | $29.93 | 1.15% | 0.74% | 0.73% | 3.88% | 54% | $631,347 |
| Year Ended 12/31/2019 | $29.59 | 24.07% | 0.74% | 0.72% | 3.13% | 46% | $632,898 |
| Year Ended 12/31/2018 | $23.85 | (5.73%) | 0.72% | 0.72% | 3.31% | 87% | $537,062 |
| Year Ended 12/31/2017 | $25.30 | 14.38% | 0.73% | 0.73% | 3.82% | 62% | $832,599 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $34.21 | (6.68%) | 1.03%(c),(d) | 0.92%(c),(d) | 2.91%(c) | 19% | $107,030 |
| Year Ended 12/31/2021 | $36.66 | 25.89% | 1.04%(d) | 0.94%(d) | 2.66% | 38% | $102,724 |
| Year Ended 12/31/2020 | $29.12 | 0.90% | 0.99% | 0.98% | 3.64% | 54% | $77,386 |
| Year Ended 12/31/2019 | $28.86 | 23.76% | 0.99% | 0.97% | 2.88% | 46% | $81,504 |
| Year Ended 12/31/2018 | $23.32 | (6.01%) | 0.97% | 0.97% | 2.99% | 87% | $61,764 |
| Year Ended 12/31/2017 | $24.81 | 14.12% | 0.98% | 0.98% | 3.58% | 62% | $69,367 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $34.74 | (6.61%) | 0.90%(c),(d) | 0.79%(c),(d) | 3.01%(c) | 19% | $722,212 |
| Year Ended 12/31/2021 | $37.20 | 26.02% | 0.92%(d) | 0.82%(d) | 2.78% | 38% | $803,825 |
| Year Ended 12/31/2020 | $29.52 | 1.03% | 0.86% | 0.85% | 3.77% | 54% | $715,809 |
| Year Ended 12/31/2019 | $29.22 | 23.92% | 0.86% | 0.84% | 3.00% | 46% | $810,575 |
| Year Ended 12/31/2018 | $23.58 | (5.87%) | 0.85% | 0.84% | 3.11% | 87% | $749,273 |
| Year Ended 12/31/2017 | $25.05 | 14.28% | 0.86% | 0.86% | 3.71% | 62% | $939,770 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements
June 30, 2022 (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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 16 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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 – Dividend Opportunity Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (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.
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 in 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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, 2022 was 0.70% of the Fund’s average daily net assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan
| 18 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.07% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | | | Fee rate(s) contractrual
through
April 30, 2023 |
| Class 1 | | | 0.67% |
| Class 2 | | | 0.92 |
| Class 3 | | | 0.795 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 $172,468,462 and $178,876,808, respectively, for the six months ended June 30, 2022. 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended June 30, 2022 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Borrower | 300,000 | 0.85 | 1 |
Interest expense incurred by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at June 30, 2022.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective
| 20 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 8. Significant risks
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, affiliated shareholders of record owned 93.7% 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
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. 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 and noted 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 are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
| 22 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022
| 23 |
Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
| 24 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Manager and discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had
Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022
| 25 |
Approval of Management Agreement (continued)
(Unaudited)
considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
| 26 | Columbia Variable Portfolio – Dividend Opportunity Fund | Semiannual Report 2022 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – Dividend Opportunity Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – U.S. Government Mortgage Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
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-Portfolio Manager
Managed Fund since 2012
Tom Heuer, CFA
Co-Portfolio Manager
Managed Fund since 2012
Ryan Osborn, CFA
Co-Portfolio Manager
Managed Fund since 2019
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/03/10 | -9.48 | -10.83 | 0.67 | 1.48 |
| Class 2 | 05/03/10 | -9.60 | -11.02 | 0.43 | 1.22 |
| Class 3 | 09/15/99 | -9.57 | -10.95 | 0.55 | 1.34 |
| Bloomberg U.S. Mortgage-Backed Securities Index | | -8.78 | -9.03 | 0.36 | 1.18 |
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 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 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). Effective August 24, 2021, the Bloomberg Barclays U.S. Mortgage-Backed Securities Index was re-branded as the Bloomberg U.S. Mortgage-Backed Securities 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.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Asset-Backed Securities — Non-Agency | 3.5 |
| Commercial Mortgage-Backed Securities - Agency | 4.0 |
| Commercial Mortgage-Backed Securities - Non-Agency | 4.5 |
| Money Market Funds | 6.0 |
| Options Purchased Calls | 0.1 |
| Residential Mortgage-Backed Securities - Agency | 73.5 |
| Residential Mortgage-Backed Securities - Non-Agency | 8.4 |
| Total | 100.0 |
Percentages indicated are based upon total investments including options purchased and excluding all other investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at June 30, 2022) |
| AAA rating | 84.1 |
| AA rating | 2.9 |
| A rating | 3.6 |
| BBB rating | 4.6 |
| BB rating | 1.6 |
| B rating | 1.0 |
| Not rated | 2.2 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments.
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. If a security is not rated but has a rating by Kroll and/or DBRS, the same methodology is applied to those bonds that would otherwise be not rated. 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.
| 4 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 905.20 | 1,022.56 | 2.13 | 2.26 | 0.45 |
| Class 2 | 1,000.00 | 1,000.00 | 904.00 | 1,021.32 | 3.30 | 3.51 | 0.70 |
| Class 3 | 1,000.00 | 1,000.00 | 904.30 | 1,021.92 | 2.74 | 2.91 | 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.
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.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Asset-Backed Securities — Non-Agency 4.4% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Apidos CLO XXVIII(a),(b) |
| Series 2017-28A Class B |
3-month USD LIBOR + 1.700%
Floor 1.700%
01/20/2031 | 2.763% | | 4,125,000 | 3,850,275 |
| Carlyle Global Market Strategies CLO Ltd.(a),(b) |
| Series 2013-3A Class BR |
3-month USD LIBOR + 1.700%
10/15/2030 | 2.744% | | 2,750,000 | 2,557,780 |
| Series 2013-4A Class BRR |
3-month USD LIBOR + 1.420%
Floor 1.420%
01/15/2031 | 2.464% | | 6,500,000 | 6,169,247 |
| Madison Park Funding XVIII Ltd.(a),(b) |
| Series 2015-18A Class CRR |
3-month USD LIBOR + 1.900%
Floor 1.900%
10/21/2030 | 2.998% | | 8,000,000 | 7,543,976 |
| OZLM Funding IV Ltd.(a),(b) |
| Series 2013-4A Class D2R |
3-month USD LIBOR + 7.250%
Floor 7.250%
10/22/2030 | 8.386% | | 2,000,000 | 1,675,666 |
| OZLM XI Ltd.(a),(b) |
| Series 2015-11A Class A2R |
3-month USD LIBOR + 1.750%
10/30/2030 | 3.036% | | 3,000,000 | 2,887,137 |
| Pagaya AI Debt Selection Trust(a) |
| Series 2019-3 Class A |
| 11/16/2026 | 3.821% | | 55,090 | 55,084 |
| Series 2021-5 Class A |
| 08/15/2029 | 1.530% | | 3,538,499 | 3,425,355 |
| Palmer Square Loan Funding Ltd.(a),(b) |
| Series 2021-4A Class B |
3-month USD LIBOR + 1.750%
Floor 1.750%
10/15/2029 | 2.794% | | 5,250,000 | 4,887,136 |
| RR 3 Ltd.(a),(b) |
| Series 2014-14A Class A2R2 |
3-month USD LIBOR + 1.400%
Floor 1.400%
01/15/2030 | 2.444% | | 3,750,000 | 3,601,755 |
| Sound Point IV-R CLO Ltd.(a),(b) |
| Series 2013-3RA Class B |
3-month USD LIBOR + 1.750%
Floor 1.750%
04/18/2031 | 2.794% | | 5,000,000 | 4,755,425 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Upstart Pass-Through Trust(a) |
| Series 2021-ST2 Class A |
| 04/20/2027 | 2.500% | | 1,006,508 | 966,372 |
Total Asset-Backed Securities — Non-Agency
(Cost $44,975,097) | 42,375,208 |
|
| Commercial Mortgage-Backed Securities - Agency 4.9% |
| | | | |
| Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(c) |
| Series K063 Class A2 |
| 01/25/2027 | 3.430% | | 4,362,000 | 4,354,930 |
| Federal National Mortgage Association(c) |
| Series 2017-M15 Class ATS2 |
| 11/25/2027 | 3.209% | | 6,614,004 | 6,506,278 |
| Series 2018-M7 Class A2 |
| 03/25/2028 | 3.143% | | 24,383,439 | 23,909,228 |
| Federal National Mortgage Association |
| Series 2017-T1 Class A |
| 06/25/2027 | 2.898% | | 3,978,846 | 3,876,272 |
| FRESB Mortgage Trust(c) |
| Series 2018-SB45 Class A10F (FHLMC) |
| 11/25/2027 | 3.160% | | 4,075,295 | 3,984,640 |
| Government National Mortgage Association(c),(d) |
| Series 2019-102 Class IB |
| 03/16/2060 | 0.828% | | 6,894,413 | 432,676 |
| Series 2019-109 Class IO |
| 04/16/2060 | 0.804% | | 12,346,438 | 764,542 |
| Series 2019-118 Class IO |
| 06/16/2061 | 0.821% | | 9,944,651 | 530,393 |
| Series 2019-131 Class IO |
| 07/16/2061 | 0.802% | | 13,108,853 | 792,986 |
| Series 2019-134 Class IO |
| 08/16/2061 | 0.653% | | 8,806,721 | 439,258 |
| Series 2019-139 Class IO |
| 11/16/2061 | 0.654% | | 10,392,108 | 521,491 |
| Series 2020-19 Class IO |
| 12/16/2061 | 0.699% | | 9,714,675 | 576,731 |
| Series 2020-3 Class IO |
| 02/16/2062 | 0.627% | | 10,149,675 | 544,275 |
Total Commercial Mortgage-Backed Securities - Agency
(Cost $54,739,073) | 47,233,700 |
|
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Commercial Mortgage-Backed Securities - Non-Agency 5.6% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| BAMLL Commercial Mortgage Securities Trust(a),(b) |
| Series 2018-DSNY Class A |
1-month USD LIBOR + 0.850%
Floor 0.850%
09/15/2034 | 2.174% | | 4,000,000 | 3,899,425 |
| Braemar Hotels & Resorts Trust(a),(b) |
| Subordinated Series 2018-PRME Class D |
1-month USD LIBOR + 1.800%
Floor 1.925%
06/15/2035 | 3.124% | | 3,500,000 | 3,355,859 |
| Credit Suisse Mortgage Capital Certificates OA LLC(a) |
| Subordinated Series 2014-USA Class D |
| 09/15/2037 | 4.373% | | 2,970,000 | 2,495,511 |
| Subordinated Series 2014-USA Class E |
| 09/15/2037 | 4.373% | | 4,200,000 | 3,294,031 |
| Hilton USA Trust(a),(c) |
| Series 2016-HHV Class F |
| 11/05/2038 | 4.333% | | 7,500,000 | 6,564,502 |
| Hilton USA Trust(a) |
| Subordinated Series 2016-SFP Class E |
| 11/05/2035 | 5.519% | | 1,000,000 | 963,896 |
| Subordinated Series 2016-SFP Class F |
| 11/05/2035 | 6.155% | | 2,000,000 | 1,915,035 |
| Home Partners of America Trust(a) |
| Subordinated Series 2021-2 Class B |
| 12/17/2026 | 2.302% | | 8,836,150 | 7,956,054 |
| Morgan Stanley Capital I Trust(a),(c) |
| Series 2019-MEAD Class D |
| 11/10/2036 | 3.283% | | 2,917,500 | 2,659,564 |
| Progress Residential Trust(a) |
| Series 2020-SFR1 Class E |
| 04/17/2037 | 3.032% | | 4,000,000 | 3,733,098 |
| Series 2020-SFR3 Class B |
| 10/17/2027 | 1.495% | | 3,000,000 | 2,719,139 |
| Series 2022-SFR1 Class A |
| 02/17/2041 | 2.709% | | 5,000,000 | 4,454,190 |
| SFO Commercial Mortgage Trust(a),(b) |
| Series 2021-555 Class A |
1-month USD LIBOR + 1.150%
Floor 1.150%
05/15/2038 | 2.474% | | 5,000,000 | 4,774,333 |
| UBS Commercial Mortgage Trust(a),(b) |
| Series 2018-NYCH Class C |
1-month USD LIBOR + 1.500%
Floor 1.500%
02/15/2032 | 2.824% | | 2,500,000 | 2,427,109 |
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Wells Fargo Commercial Mortgage Trust(a),(b) |
| Subordinated Series 2017-SMP Class D |
1-month USD LIBOR + 1.775%
Floor 1.650%
12/15/2034 | 3.099% | | 3,000,000 | 2,948,142 |
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $57,364,572) | 54,159,888 |
|
| Residential Mortgage-Backed Securities - Agency 91.4% |
| | | | |
| Federal Home Loan Mortgage Corp. |
10/01/2023-
06/01/2039 | 5.000% | | 1,490,724 | 1,571,868 |
08/01/2035-
08/01/2051 | 2.000% | | 38,967,454 | 35,198,989 |
08/01/2041-
06/01/2048 | 4.500% | | 6,466,742 | 6,595,325 |
10/01/2041-
11/01/2048 | 4.000% | | 27,252,449 | 27,517,389 |
07/01/2042-
04/01/2047 | 3.500% | | 34,213,595 | 33,713,710 |
11/01/2042-
01/01/2052 | 3.000% | | 56,148,068 | 52,894,068 |
02/01/2051-
03/01/2052 | 2.500% | | 36,749,246 | 33,262,634 |
| Federal Home Loan Mortgage Corp.(b) |
12-month USD LIBOR + 1.618%
Cap 10.990%
01/01/2037 | 1.868% | | 39,900 | 40,548 |
12-month USD LIBOR + 1.910%
Cap 10.449%
09/01/2037 | 2.627% | | 56,315 | 57,985 |
| Federal Home Loan Mortgage Corp.(b),(d) |
| CMO Series 264 Class S1 |
-1.0 x 1-month USD LIBOR + 5.950%
Cap 5.950%
07/15/2042 | 4.626% | | 3,789,125 | 448,573 |
| CMO Series 318 Class S1 |
-1.0 x 1-month USD LIBOR + 5.950%
Cap 5.950%
11/15/2043 | 4.626% | | 8,088,726 | 1,070,443 |
| CMO Series 4183 Class AS |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
04/15/2039 | 4.826% | | 10,487 | 19 |
| CMO Series 4286 Class NS |
-1.0 x 1-month USD LIBOR + 5.900%
Cap 5.900%
12/15/2043 | 4.576% | | 2,585,701 | 421,015 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 4594 Class SA |
-1.0 x 1-month USD LIBOR + 5.950%
Cap 5.950%
06/15/2046 | 4.626% | | 6,058,636 | 940,345 |
| CMO Series 4965 Class KS |
1-month USD LIBOR + 5.850%
Cap 5.850%
04/25/2050 | 4.226% | | 3,417,305 | 468,142 |
| CMO Series 4987 Class KS |
-1.0 x 1-month USD LIBOR + 6.080%
Cap 6.080%
06/25/2050 | 4.456% | | 6,959,993 | 1,325,998 |
| CMO Series 4993 Class MS |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
07/25/2050 | 4.426% | | 8,323,301 | 1,640,529 |
| CMO STRIPS Series 309 Class S4 |
-1.0 x 1-month USD LIBOR + 5.970%
Cap 5.970%
08/15/2043 | 4.646% | | 2,250,502 | 289,668 |
| CMO STRIPS Series 326 Class S1 |
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
03/15/2044 | 4.676% | | 927,681 | 119,094 |
| Federal Home Loan Mortgage Corp.(d) |
| CMO Series 266 |
| 07/15/2042 | 4.000% | | 2,263,639 | 377,619 |
| CMO Series 267 |
| 08/15/2042 | 4.000% | | 1,750,761 | 291,924 |
| CMO Series 4122 Class JI |
| 12/15/2040 | 4.000% | | 329,703 | 10,263 |
| CMO Series 4139 Class CI |
| 05/15/2042 | 3.500% | | 1,321,626 | 134,295 |
| CMO Series 4147 Class CI |
| 01/15/2041 | 3.500% | | 1,665,621 | 89,145 |
| CMO Series 4148 Class BI |
| 02/15/2041 | 4.000% | | 63,121 | 490 |
| CMO Series 4177 Class IY |
| 03/15/2043 | 4.000% | | 4,518,436 | 755,060 |
| Federal Home Loan Mortgage Corp.(c),(d) |
| CMO Series 4068 Class GI |
| 09/15/2036 | 1.119% | | 2,046,920 | 97,054 |
| Federal Home Loan Mortgage Corp. REMICS(d) |
| CMO Series 5105 Class ID |
| 05/25/2051 | 3.000% | | 10,712,491 | 2,116,732 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal National Mortgage Association |
| 08/01/2022 | 6.000% | | 3 | 3 |
09/01/2023-
11/01/2023 | 5.500% | | 197,004 | 198,347 |
03/01/2027-
01/01/2052 | 2.500% | | 98,877,105 | 90,541,084 |
03/01/2027-
07/01/2048 | 3.500% | | 59,835,212 | 59,009,771 |
05/01/2027-
11/01/2050 | 3.000% | | 83,549,367 | 79,219,614 |
06/01/2036-
05/01/2051 | 2.000% | | 68,989,583 | 61,227,349 |
| 12/01/2037 | 5.000% | | 3,717,231 | 3,916,958 |
05/01/2039-
08/01/2047 | 4.500% | | 3,620,426 | 3,715,520 |
11/01/2043-
06/01/2048 | 4.000% | | 25,389,160 | 25,515,851 |
| CMO Series 2017-72 Class B |
| 09/25/2047 | 3.000% | | 2,823,877 | 2,698,973 |
| Federal National Mortgage Association(b) |
6-month USD LIBOR + 1.383%
Floor 1.383%, Cap 9.383%
02/01/2033 | 1.758% | | 10,217 | 10,171 |
12-month USD LIBOR + 1.715%
Floor 1.715%, Cap 9.167%
12/01/2033 | 2.090% | | 2,320 | 2,349 |
12-month USD LIBOR + 1.588%
Floor 1.588%, Cap 9.161%
06/01/2034 | 3.338% | | 14,390 | 14,281 |
| Federal National Mortgage Association(c) |
| CMO Series 2003-W11 Class A1 |
| 06/25/2033 | 3.447% | | 622 | 638 |
| Federal National Mortgage Association(c),(d) |
| CMO Series 2006-5 Class N1 |
| 08/25/2034 | 0.000% | | 2,043,325 | 4 |
| Federal National Mortgage Association(d) |
| CMO Series 2012-129 Class IC |
| 01/25/2041 | 3.500% | | 1,215,743 | 61,697 |
| CMO Series 2012-133 Class EI |
| 07/25/2031 | 3.500% | | 364,088 | 10,089 |
| CMO Series 2012-134 Class AI |
| 07/25/2040 | 3.500% | | 752,002 | 22,726 |
| CMO Series 2012-144 Class HI |
| 07/25/2042 | 3.500% | | 1,211,947 | 130,601 |
| CMO Series 2012-40 Class IP |
| 09/25/2040 | 4.000% | | 3,123,598 | 214,329 |
| CMO Series 2013-1 Class AI |
| 02/25/2043 | 3.500% | | 1,095,716 | 153,719 |
| CMO Series 2013-1 Class BI |
| 02/25/2040 | 3.500% | | 235,367 | 1,210 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2013-10 Class AI |
| 11/25/2041 | 3.500% | | 4,461,688 | 315,375 |
| CMO Series 2013-16 |
| 01/25/2040 | 3.500% | | 1,134,352 | 51,374 |
| CMO Series 2013-41 Class IY |
| 05/25/2040 | 3.500% | | 500,802 | 3,164 |
| CMO Series 2013-6 Class MI |
| 02/25/2040 | 3.500% | | 312,644 | 2,623 |
| CMO Series 2020-55 Class MI |
| 08/25/2050 | 2.500% | | 11,712,154 | 1,973,470 |
| CMO Series 2021-3 Class TI |
| 02/25/2051 | 2.500% | | 22,759,805 | 3,976,286 |
| Federal National Mortgage Association(b),(d) |
| CMO Series 2012-99 Class SL |
-1.0 x 1-month USD LIBOR + 6.620%
Cap 6.620%
09/25/2042 | 4.996% | | 5,025,922 | 947,900 |
| CMO Series 2014-93 Class ES |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
01/25/2045 | 4.526% | | 2,699,707 | 426,499 |
| CMO Series 2016-37 Class SA |
-1.0 x 1-month USD LIBOR + 5.850%
Cap 5.850%
06/25/2046 | 4.226% | | 3,721,986 | 594,264 |
| CMO Series 2016-42 Class SB |
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
07/25/2046 | 4.376% | | 9,507,987 | 1,518,243 |
| CMO Series 2017-3 Class SA |
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
02/25/2047 | 4.376% | | 6,419,554 | 997,604 |
| CMO Series 2017-51 Class SC |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
07/25/2047 | 4.526% | | 7,280,103 | 1,107,780 |
| CMO Series 2017-72 Class S |
-1.0 x 1-month USD LIBOR + 3.950%
Cap 2.750%
09/25/2047 | 2.326% | | 15,973,927 | 1,332,371 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2017-90 Class SP |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
11/25/2047 | 4.526% | | 3,904,633 | 573,584 |
| CMO Series 2019-33 Class SB |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
07/25/2049 | 4.426% | | 11,386,697 | 1,649,960 |
| CMO Series 2019-34 Class SM |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
07/25/2049 | 4.426% | | 9,709,673 | 1,730,897 |
| CMO Series 2020-40 Class LS |
-1.0 x 1-month USD LIBOR + 6.080%
Cap 6.080%
06/25/2050 | 4.456% | | 9,829,754 | 1,943,648 |
| Federal National Mortgage Association REMICS(d) |
| CMO Series 2021-13 Class IO |
| 03/25/2051 | 3.000% | | 7,424,830 | 1,394,422 |
| CMO Series 2021-54 Class LI |
| 04/25/2049 | 2.500% | | 11,782,591 | 1,717,244 |
| Government National Mortgage Association |
| 08/20/2040 | 5.000% | | 1,930,514 | 2,053,101 |
| 07/20/2041 | 4.500% | | 2,609,378 | 2,730,173 |
04/20/2051-
05/20/2051 | 2.500% | | 24,437,373 | 22,125,950 |
| Government National Mortgage Association(e) |
| 04/20/2048 | 4.500% | | 4,829,902 | 4,957,457 |
| Government National Mortgage Association(d) |
| CMO Series 2012-121 Class PI |
| 09/16/2042 | 4.500% | | 1,934,160 | 316,408 |
| CMO Series 2012-129 Class AI |
| 08/20/2037 | 3.000% | | 782,327 | 15,294 |
| CMO Series 2014-131 Class EI |
| 09/16/2039 | 4.000% | | 2,542,937 | 178,089 |
| CMO Series 2019-129 Class AI |
| 10/20/2049 | 3.500% | | 6,254,574 | 1,035,839 |
| CMO Series 2020-104 Class IY |
| 07/20/2050 | 3.000% | | 11,070,505 | 1,645,935 |
| CMO Series 2020-138 Class IN |
| 09/20/2050 | 2.500% | | 6,796,256 | 1,059,065 |
| CMO Series 2020-138 Class JI |
| 09/20/2050 | 2.500% | | 19,089,122 | 2,685,481 |
| CMO Series 2020-142 Class GI |
| 09/20/2050 | 3.000% | | 4,592,331 | 658,308 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2020-144 Class KI |
| 09/20/2050 | 2.500% | | 8,383,616 | 1,086,232 |
| CMO Series 2020-175 Class KI |
| 11/20/2050 | 2.500% | | 13,322,845 | 1,927,999 |
| CMO Series 2020-185 Class KI |
| 12/20/2050 | 2.500% | | 19,882,594 | 2,577,410 |
| CMO Series 2020-191 Class UC |
| 12/20/2050 | 4.000% | | 12,307,633 | 1,967,221 |
| CMO Series 2021-1 Class IB |
| 01/20/2051 | 2.500% | | 12,244,950 | 1,608,188 |
| CMO Series 2021-1 Class QI |
| 01/20/2051 | 2.500% | | 13,879,721 | 2,065,929 |
| CMO Series 2021-122 Class HI |
| 11/20/2050 | 2.500% | | 9,674,371 | 1,409,237 |
| CMO Series 2021-142 Class IX |
| 08/20/2051 | 2.500% | | 13,349,096 | 1,975,817 |
| CMO Series 2021-146 Class IK |
| 08/20/2051 | 3.500% | | 11,836,835 | 2,069,259 |
| CMO Series 2021-158 Class IO |
| 09/20/2051 | 3.000% | | 8,609,704 | 1,303,296 |
| CMO Series 2021-158 Class VI |
| 09/20/2051 | 3.000% | | 9,677,479 | 1,574,906 |
| CMO Series 2021-159 Class IP |
| 09/20/2051 | 3.000% | | 7,502,191 | 1,141,530 |
| CMO Series 2021-175 Class IJ |
| 10/20/2051 | 3.000% | | 12,982,159 | 2,042,120 |
| CMO Series 2021-228 Class IJ |
| 12/20/2051 | 2.500% | | 15,178,141 | 2,302,412 |
| CMO Series 2021-27 Class IN |
| 02/20/2051 | 2.500% | | 8,041,709 | 1,060,487 |
| CMO Series 2021-67 Class GI |
| 04/20/2051 | 3.000% | | 12,546,446 | 1,898,063 |
| CMO Series 2021-8 Class IO |
| 01/20/2051 | 3.000% | | 22,814,323 | 3,594,691 |
| CMO Series 2021-9 Class MI |
| 01/20/2051 | 2.500% | | 14,301,184 | 1,871,889 |
| Government National Mortgage Association(b),(d) |
| CMO Series 2014-131 Class BS |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
09/16/2044 | 4.691% | | 2,117,256 | 333,882 |
| CMO Series 2017-170 Class QS |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
11/20/2047 | 4.605% | | 3,807,112 | 482,905 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2018-1 Class SA |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
01/20/2048 | 4.605% | | 2,589,111 | 342,258 |
| CMO Series 2018-105 Class SA |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
08/20/2048 | 4.605% | | 3,277,304 | 384,267 |
| CMO Series 2018-139 Class KS |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
10/20/2048 | 4.555% | | 5,462,961 | 676,959 |
| CMO Series 2018-155 Class LS |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
11/20/2048 | 4.555% | | 4,715,045 | 574,950 |
| CMO Series 2018-21 Class WS |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
02/20/2048 | 4.605% | | 4,154,256 | 553,015 |
| CMO Series 2018-40 Class SC |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
03/20/2048 | 4.605% | | 2,259,748 | 277,834 |
| CMO Series 2018-63 Class HS |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
04/20/2048 | 4.605% | | 3,162,905 | 396,048 |
| CMO Series 2018-94 Class SA |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
05/20/2048 | 4.605% | | 4,316,527 | 581,261 |
| CMO Series 2018-97 Class MS |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
07/20/2048 | 4.605% | | 3,722,211 | 444,279 |
| CMO Series 2019-23 Class SQ |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
02/20/2049 | 4.455% | | 3,681,393 | 585,242 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2019-43 Class SE |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
04/20/2049 | 4.505% | | 7,540,361 | 885,433 |
| CMO Series 2019-52 Class AS |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
04/16/2049 | 4.541% | | 8,431,435 | 1,785,479 |
| CMO Series 2019-92 Class SD |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
07/20/2049 | 4.505% | | 18,562,498 | 2,260,671 |
| CMO Series 2020-104 Class SA |
-1.0 x 1-month USD LIBOR + 6.200%
07/20/2050 | 4.605% | | 7,920,816 | 952,455 |
| CMO Series 2020-125 Class SD |
-1.0 x 1-month USD LIBOR + 6.250%
Cap 6.250%
08/20/2050 | 4.655% | | 9,482,517 | 1,443,267 |
| CMO Series 2020-133 Class SK |
-1.0 x 1-month USD LIBOR + 6.300%
Cap 6.300%
09/20/2050 | 4.705% | | 16,544,621 | 2,709,342 |
| CMO Series 2021-193 Class ES |
30-day Average SOFR + 1.700%
11/20/2051 | 0.929% | | 83,885,371 | 600,418 |
| Government National Mortgage Association TBA(f) |
| 08/18/2052 | 3.000% | | 35,000,000 | 32,975,879 |
| Uniform Mortgage-Backed Security TBA(f) |
| 08/16/2037 | 2.500% | | 40,000,000 | 38,205,373 |
| 08/11/2052 | 3.000% | | 33,000,000 | 30,733,183 |
| 08/11/2052 | 3.500% | | 50,000,000 | 48,095,595 |
| 08/11/2052 | 4.000% | | 91,000,000 | 89,674,102 |
Total Residential Mortgage-Backed Securities - Agency
(Cost $949,564,147) | 879,262,799 |
|
| Residential Mortgage-Backed Securities - Non-Agency 10.5% |
| | | | |
| American Mortgage Trust(c),(g),(h) |
| CMO Series 2093-3 Class 3A |
| 07/27/2023 | 8.188% | | 10 | 6 |
| Bellemeade Re Ltd.(a),(b) |
| CMO Series 2018-3A Class M1B |
1-month USD LIBOR + 1.850%
Floor 1.850%
10/25/2028 | 2.856% | | 3,261,697 | 3,248,840 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2022-1 Class M1A |
30-day Average SOFR + 1.750%
Floor 1.750%
01/26/2032 | 2.352% | | 4,550,000 | 4,522,124 |
| BVRT Financing Trust(a),(b),(g),(h) |
| CMO Series 2021-CRT1 Class M3 |
1-month USD LIBOR + 2.750%
Floor 3.000%
01/10/2033 | 3.000% | | 6,251,904 | 6,111,236 |
| CHL GMSR Issuer Trust(a),(b) |
| CMO Series 2018-GT1 Class A |
1-month USD LIBOR + 1.000%
05/25/2023 | 4.374% | | 4,000,000 | 3,959,472 |
| CHNGE Mortgage Trust(a),(c) |
| CMO Series 2022-1 Class A1 |
| 01/25/2067 | 3.007% | | 4,048,547 | 3,793,183 |
| CMO Series 2022-2 Class A1 |
| 03/25/2067 | 3.757% | | 4,243,633 | 4,032,393 |
| Citigroup Mortgage Loan Trust, Inc.(a),(c) |
| CMO Series 2014-A Class B2 |
| 01/25/2035 | 5.478% | | 1,044,753 | 1,021,222 |
| Citigroup Mortgage Loan Trust, Inc.(a) |
| CMO Series 2015-RP2 Class B2 |
| 01/25/2053 | 4.250% | | 2,294,082 | 2,219,929 |
| Connecticut Avenue Securities Trust(a),(b) |
| CMO Series 2022-R01 Class 1M2 |
30-day Average SOFR + 1.900%
12/25/2041 | 2.826% | | 5,500,000 | 4,938,681 |
| Credit Suisse Mortgage Trust(a),(c) |
| CMO Series 2021-NQM1 Class A2 |
| 05/25/2065 | 0.994% | | 1,394,855 | 1,337,524 |
| Ellington Financial Mortgage Trust(a),(c) |
| CMO Series 2019-2 Class M1 |
| 11/25/2059 | 3.469% | | 1,200,000 | 1,141,411 |
| Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes(b) |
| CMO Series 2014-DN3 Class M3 |
1-month USD LIBOR + 4.000%
08/25/2024 | 5.624% | | 2,169,608 | 2,186,032 |
| Freddie Mac Structured Agency Credit Risk Debt Notes(b) |
| CMO Series 2014-DN4 Class M3 |
1-month USD LIBOR + 4.550%
10/25/2024 | 6.174% | | 2,911,356 | 2,946,338 |
| Freddie Mac Structured Agency Credit Risk Debt Notes(a),(c) |
| CMO Series 2022-DNA2 Class M1B |
| 02/25/2042 | 3.326% | | 3,500,000 | 3,234,666 |
| GCAT LLC(a),(c) |
| CMO Series 2021-CM1 Class A1 |
| 04/25/2065 | 1.469% | | 1,175,594 | 1,134,866 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022
| 11 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| GCAT Trust(a),(c) |
| CMO Series 2022-NQM2 Class A3 |
| 02/25/2067 | 4.210% | | 3,476,798 | 3,327,619 |
| Home Re Ltd.(a),(b) |
| Subordinated CMO Series 2022-1 Class M1A |
30-day Average SOFR + 2.850%
10/25/2034 | 3.776% | | 2,600,000 | 2,594,303 |
| Legacy Mortgage Asset Trust(a),(c) |
| CMO Series 2021-GS1 Class A1 |
| 10/25/2066 | 1.892% | | 4,181,862 | 3,992,155 |
| Loan Revolving Advance Investment Trust(a),(b),(g),(h) |
| CMO Series 2021-2 Class A1X |
1-month USD LIBOR + 2.750%
Floor 2.750%
06/30/2023 | 3.625% | | 7,500,000 | 7,500,000 |
| New Residential Mortgage Loan Trust(a),(c),(d) |
| CMO Series 2014-1A Class AIO |
| 01/25/2054 | 2.302% | | 10,813,922 | 498,423 |
| PNMAC GMSR Issuer Trust(a),(b) |
| CMO Series 2018-GT1 Class A |
1-month USD LIBOR + 2.850%
Floor 2.850%
02/25/2023 | 4.474% | | 11,500,000 | 11,428,818 |
| CMO Series 2018-GT2 Class A |
1-month USD LIBOR + 2.650%
08/25/2025 | 4.274% | | 10,500,000 | 10,361,228 |
| Pretium Mortgage Credit Partners(a),(c) |
| CMO Series 2022-NPL1 Class A1 |
| 01/25/2052 | 2.981% | | 2,641,920 | 2,461,808 |
| Radnor Re Ltd.(a),(b) |
| CMO Series 2019-2 Class M1B |
1-month USD LIBOR + 1.750%
Floor 1.750%
06/25/2029 | 3.374% | | 1,135,657 | 1,121,442 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2020-1 Class M1B |
1-month USD LIBOR + 1.450%
Floor 1.450%
02/25/2030 | 2.456% | | 3,750,000 | 3,532,109 |
| SG Residential Mortgage Trust(a),(c) |
| CMO Series 2019-3 Class M1 |
| 09/25/2059 | 3.526% | | 2,200,000 | 2,188,658 |
| Stanwich Mortgage Loan Co. LLC(a),(c) |
| CMO Series 2021-NPB1 Class A1 |
| 10/16/2026 | 2.735% | | 2,165,405 | 2,085,056 |
| VCAT LLC(a),(c) |
| CMO Series 2021-NPL1 Class A1 |
| 12/26/2050 | 2.289% | | 3,960,987 | 3,800,386 |
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $102,544,581) | 100,719,928 |
| Options Purchased Calls 0.1% |
| | | | | Value ($) |
| (Cost $1,693,250) | 1,117,315 |
| Money Market Funds 7.5% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(i),(j) | 71,782,446 | 71,739,377 |
Total Money Market Funds
(Cost $71,743,866) | 71,739,377 |
Total Investments in Securities
(Cost: $1,282,624,586) | 1,196,608,215 |
| Other Assets & Liabilities, Net | | (234,956,486) |
| Net Assets | 961,651,729 |
At June 30, 2022, securities and/or cash totaling $13,292,854 were pledged as collateral.
Investments in derivatives
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| U.S. Treasury 10-Year Note | 414 | 09/2022 | USD | 49,071,938 | — | (280,538) |
| U.S. Treasury 2-Year Note | 7 | 09/2022 | USD | 1,470,109 | — | (4,060) |
| U.S. Ultra Treasury Bond | 90 | 09/2022 | USD | 13,890,938 | — | (381,352) |
| Total | | | | | — | (665,950) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Short futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| U.S. Long Bond | (12) | 09/2022 | USD | (1,663,500) | 8,880 | — |
| U.S. Treasury 5-Year Note | (521) | 09/2022 | USD | (58,482,250) | 303,776 | — |
| Total | | | | | 312,656 | — |
| Call option contracts purchased |
| Description | Counterparty | Trading
currency | Notional
amount | Number of
contracts | Exercise
price/Rate | Expiration
date | Cost ($) | Value ($) |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 28,750,000 | 28,750,000 | 1.00 | 07/08/2022 | 293,250 | 3 |
| 10-Year OTC interest rate swap with JPMorgan to receive exercise rate and pay SOFR | JPMorgan | USD | 70,000,000 | 70,000,000 | 2.25 | 05/26/2023 | 1,400,000 | 1,117,312 |
| Total | | | | | | | 1,693,250 | 1,117,315 |
| Put option contracts written |
| Description | Counterparty | Trading
currency | Notional
amount | Number of
contracts | Exercise
price/Rate | Expiration
date | Premium
received ($) | Value ($) |
| 5-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (47,400,000) | (47,400,000) | 1.75 | 07/05/2022 | (367,350) | (2,836,881) |
| Credit default swap contracts - sell protection |
Reference
entity | Counterparty | Maturity
date | Receive
fixed
rate
(%) | Payment
frequency | Implied
credit
spread
(%)* | Notional
currency | Notional
amount | Value
($) | Periodic
payments
receivable
(payable)
($) | Upfront
payments
($) | Upfront
receipts
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 5,000,000 | (878,125) | 2,500 | — | (930,126) | 54,501 | — |
| Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 5,000,000 | (878,125) | 2,500 | — | (857,661) | — | (17,964) |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 3,000,000 | (526,875) | 1,500 | — | (675,965) | 150,590 | — |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 2,500,000 | (439,062) | 1,250 | — | (408,397) | — | (29,415) |
| Markit CMBX North America Index, Series 11 BBB- | Morgan Stanley | 11/18/2054 | 3.000 | Monthly | 6.953 | USD | 10,000,000 | (1,615,625) | 5,000 | — | (1,907,194) | 296,569 | — |
| Markit CMBX North America Index, Series 7 BBB- | Morgan Stanley | 01/17/2047 | 3.000 | Monthly | 20.016 | USD | 2,500,000 | (464,453) | 1,250 | — | (136,424) | — | (326,779) |
| Total | | | | | | | | (4,802,265) | 14,000 | — | (4,915,767) | 501,660 | (374,158) |
| * | 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.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022
| 13 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Notes to Portfolio of Investments
| (a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2022, the total value of these securities amounted to $192,122,648, which represents 19.98% of total net assets. |
| (b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2022. |
| (c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of June 30, 2022. |
| (d) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (e) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (f) | Represents a security purchased on a when-issued basis. |
| (g) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2022, the total value of these securities amounted to $13,611,242, which represents 1.42% of total net assets. |
| (h) | Valuation based on significant unobservable inputs. |
| (i) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (j) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 81,664,439 | 141,503,011 | (151,428,925) | 852 | 71,739,377 | (20,456) | 110,115 | 71,782,446 |
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
| FHLMC | Federal Home Loan Mortgage Corporation |
| LIBOR | London Interbank Offered Rate |
| SOFR | Secured Overnight Financing Rate |
| STRIPS | Separate Trading of Registered Interest and Principal Securities |
| TBA | To Be Announced |
Currency Legend
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.
| 14 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (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.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Asset-Backed Securities — Non-Agency | — | 42,375,208 | — | 42,375,208 |
| Commercial Mortgage-Backed Securities - Agency | — | 47,233,700 | — | 47,233,700 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 54,159,888 | — | 54,159,888 |
| Residential Mortgage-Backed Securities - Agency | — | 879,262,799 | — | 879,262,799 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 87,108,686 | 13,611,242 | 100,719,928 |
| Options Purchased Calls | — | 1,117,315 | — | 1,117,315 |
| Money Market Funds | 71,739,377 | — | — | 71,739,377 |
| Total Investments in Securities | 71,739,377 | 1,111,257,596 | 13,611,242 | 1,196,608,215 |
| Investments in Derivatives | | | | |
| Asset | | | | |
| Futures Contracts | 312,656 | — | — | 312,656 |
| Swap Contracts | — | 501,660 | — | 501,660 |
| Liability | | | | |
| Futures Contracts | (665,950) | — | — | (665,950) |
| Options Contracts Written | — | (2,836,881) | — | (2,836,881) |
| Swap Contracts | — | (374,158) | — | (374,158) |
| Total | 71,386,083 | 1,108,548,217 | 13,611,242 | 1,193,545,542 |
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).
The following table is a reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
| | Balance
as of
12/31/2021
($) | Increase
(decrease)
in accrued
discounts/
premiums
($) | Realized
gain (loss)
($) | Change
in unrealized
appreciation
(depreciation)(a)
($) | Purchases
($) | Sales
($) | Transfers
into
Level 3
($) | Transfers
out of
Level 3
($) | Balance
as of
06/30/2022
($) |
| Asset-Backed Securities — Non-Agency | 4,506,003 | — | — | — | — | — | — | (4,506,003) | — |
| Residential Mortgage-Backed Securities — Agency | 2,138,935 | — | — | — | — | — | — | (2,138,935) | — |
| Residential Mortgage-Backed Securities — Non-Agency | 21,136,006 | — | 19,984 | (196,660) | — | (7,348,088) | — | — | 13,611,242 |
| Total | 27,780,944 | — | 19,984 | (196,660) | — | (7,348,088) | — | (6,644,938) | 13,611,242 |
(a) Change in unrealized appreciation (depreciation) relating to securities held at June 30, 2022 was $(196,660), which is comprised of Residential Mortgage-Backed Securities — Non-Agency.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022
| 15 |
Portfolio of Investments (continued)
June 30, 2022 (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 mortgage 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 have resulted in a significantly higher (lower) fair value 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.
| 16 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,209,187,470) | $1,123,751,523 |
| Affiliated issuers (cost $71,743,866) | 71,739,377 |
| Options purchased (cost $1,693,250) | 1,117,315 |
| Cash | 2,217 |
| Cash collateral held at broker for: | |
| Swap contracts | 4,432,000 |
| Options contracts written | 3,333,000 |
| TBA | 4,291,070 |
| Unrealized appreciation on swap contracts | 501,660 |
| Receivable for: | |
| Investments sold | 807 |
| Investments sold on a delayed delivery basis | 238,363,132 |
| Capital shares sold | 10,597 |
| Dividends | 49,872 |
| Interest | 3,571,488 |
| Variation margin for futures contracts | 635,344 |
| Prepaid expenses | 9,471 |
| Total assets | 1,451,808,873 |
| Liabilities | |
| Option contracts written, at value (premiums received $367,350) | 2,836,881 |
| Unrealized depreciation on swap contracts | 374,158 |
| Upfront receipts on swap contracts | 4,915,767 |
| Payable for: | |
| Investments purchased | 189,215 |
| Investments purchased on a delayed delivery basis | 479,504,964 |
| Capital shares purchased | 1,765,439 |
| Variation margin for futures contracts | 386,578 |
| Management services fees | 11,201 |
| Distribution and/or service fees | 410 |
| Service fees | 8,081 |
| Compensation of board members | 129,822 |
| Compensation of chief compliance officer | 106 |
| Other expenses | 34,522 |
| Total liabilities | 490,157,144 |
| Net assets applicable to outstanding capital stock | $961,651,729 |
| Represented by | |
| Paid in capital | 1,062,271,580 |
| Total distributable earnings (loss) | (100,619,851) |
| Total - representing net assets applicable to outstanding capital stock | $961,651,729 |
| Class 1 | |
| Net assets | $864,378,263 |
| Shares outstanding | 92,393,811 |
| Net asset value per share | $9.36 |
| Class 2 | |
| Net assets | $23,126,853 |
| Shares outstanding | 2,482,646 |
| Net asset value per share | $9.32 |
| Class 3 | |
| Net assets | $74,146,613 |
| Shares outstanding | 7,931,533 |
| Net asset value per share | $9.35 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022
| 17 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $110,115 |
| Interest | 13,730,922 |
| Total income | 13,841,037 |
| Expenses: | |
| Management services fees | 2,175,943 |
| Distribution and/or service fees | |
| Class 2 | 32,705 |
| Class 3 | 49,864 |
| Service fees | 44,539 |
| Compensation of board members | 5,587 |
| Custodian fees | 14,391 |
| Printing and postage fees | 9,399 |
| Audit fees | 19,642 |
| Legal fees | 10,390 |
| Interest on collateral | 4,228 |
| Compensation of chief compliance officer | 69 |
| Other | 9,127 |
| Total expenses | 2,375,884 |
| Net investment income | 11,465,153 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (21,809,710) |
| Investments — affiliated issuers | (20,456) |
| Foreign currency translations | (67) |
| Futures contracts | (9,788,739) |
| Options purchased | 5,153,110 |
| Options contracts written | (6,048,700) |
| Swap contracts | 518,595 |
| Net realized loss | (31,995,967) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (78,174,396) |
| Investments — affiliated issuers | 852 |
| Futures contracts | (1,035,689) |
| Options purchased | 1,450,160 |
| Options contracts written | (2,969,090) |
| Swap contracts | (2,651,243) |
| Net change in unrealized appreciation (depreciation) | (83,379,406) |
| Net realized and unrealized loss | (115,375,373) |
| Net decrease in net assets resulting from operations | $(103,910,220) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $11,465,153 | $20,895,270 |
| Net realized loss | (31,995,967) | (5,154,315) |
| Net change in unrealized appreciation (depreciation) | (83,379,406) | (27,409,738) |
| Net decrease in net assets resulting from operations | (103,910,220) | (11,668,783) |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class 1 | — | (36,370,983) |
| Class 2 | — | (1,010,883) |
| Class 3 | — | (3,261,776) |
| Total distributions to shareholders | — | (40,643,642) |
| Increase (decrease) in net assets from capital stock activity | (41,298,003) | 128,396,410 |
| Total increase (decrease) in net assets | (145,208,223) | 76,083,985 |
| Net assets at beginning of period | 1,106,859,952 | 1,030,775,967 |
| Net assets at end of period | $961,651,729 | $1,106,859,952 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 168,841 | 1,639,598 | 11,577,438 | 125,938,508 |
| Distributions reinvested | — | — | 3,454,035 | 36,370,983 |
| Redemptions | (3,504,243) | (33,991,995) | (2,905,221) | (31,442,584) |
| Net increase (decrease) | (3,335,402) | (32,352,397) | 12,126,252 | 130,866,907 |
| Class 2 | | | | |
| Subscriptions | 173,398 | 1,711,724 | 860,971 | 9,250,188 |
| Distributions reinvested | — | — | 96,183 | 1,010,883 |
| Redemptions | (518,891) | (4,989,189) | (736,889) | (7,881,802) |
| Net increase (decrease) | (345,493) | (3,277,465) | 220,265 | 2,379,269 |
| Class 3 | | | | |
| Subscriptions | 106,429 | 1,059,030 | 476,822 | 5,134,602 |
| Distributions reinvested | — | — | 309,760 | 3,261,776 |
| Redemptions | (690,648) | (6,727,171) | (1,234,747) | (13,246,144) |
| Net decrease | (584,219) | (5,668,141) | (448,165) | (4,849,766) |
| Total net increase (decrease) | (4,265,114) | (41,298,003) | 11,898,352 | 128,396,410 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022
| 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.
| | 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 | Total
distributions to
shareholders |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $10.34 | 0.11 | (1.09) | (0.98) | — | — | — |
| Year Ended 12/31/2021 | $10.83 | 0.20 | (0.30) | (0.10) | (0.22) | (0.17) | (0.39) |
| Year Ended 12/31/2020 | $10.62 | 0.25 | 0.29 | 0.54 | (0.29) | (0.04) | (0.33) |
| Year Ended 12/31/2019 | $10.23 | 0.30 | 0.38 | 0.68 | (0.29) | — | (0.29) |
| Year Ended 12/31/2018 | $10.35 | 0.30 | (0.11) | 0.19 | (0.30) | (0.01) | (0.31) |
| Year Ended 12/31/2017 | $10.32 | 0.29 | 0.05 | 0.34 | (0.30) | (0.01) | (0.31) |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $10.31 | 0.10 | (1.09) | (0.99) | — | — | — |
| Year Ended 12/31/2021 | $10.80 | 0.17 | (0.29) | (0.12) | (0.20) | (0.17) | (0.37) |
| Year Ended 12/31/2020 | $10.59 | 0.22 | 0.29 | 0.51 | (0.26) | (0.04) | (0.30) |
| Year Ended 12/31/2019 | $10.20 | 0.27 | 0.39 | 0.66 | (0.27) | — | (0.27) |
| Year Ended 12/31/2018 | $10.32 | 0.27 | (0.11) | 0.16 | (0.27) | (0.01) | (0.28) |
| Year Ended 12/31/2017 | $10.30 | 0.26 | 0.05 | 0.31 | (0.28) | (0.01) | (0.29) |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $10.34 | 0.10 | (1.09) | (0.99) | — | — | — |
| Year Ended 12/31/2021 | $10.83 | 0.19 | (0.30) | (0.11) | (0.21) | (0.17) | (0.38) |
| Year Ended 12/31/2020 | $10.62 | 0.24 | 0.28 | 0.52 | (0.27) | (0.04) | (0.31) |
| Year Ended 12/31/2019 | $10.23 | 0.28 | 0.39 | 0.67 | (0.28) | — | (0.28) |
| Year Ended 12/31/2018 | $10.35 | 0.28 | (0.11) | 0.17 | (0.28) | (0.01) | (0.29) |
| Year Ended 12/31/2017 | $10.32 | 0.27 | 0.06 | 0.33 | (0.29) | (0.01) | (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) | Annualized. |
| (d) | Ratios include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by: |
| Class | 6/30/2022 | 12/31/2021 | 12/31/2020 | 12/31/2019 | 12/31/2018 |
| Class 1 | less than 0.01% | less than 0.01% | less than 0.01% | 0.01% | less than 0.01% |
| Class 2 | less than 0.01% | less than 0.01% | less than 0.01% | 0.01% | less than 0.01% |
| Class 3 | less than 0.01% | less than 0.01% | less than 0.01% | 0.01% | less than 0.01% |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $9.36 | (9.48%) | 0.45%(c),(d) | 0.45%(c),(d) | 2.27%(c) | 156% | $864,378 |
| Year Ended 12/31/2021 | $10.34 | (0.95%) | 0.45%(d) | 0.45%(d) | 1.88% | 302% | $989,683 |
| Year Ended 12/31/2020 | $10.83 | 5.09% | 0.46%(d) | 0.46%(d) | 2.32% | 332% | $905,531 |
| Year Ended 12/31/2019 | $10.62 | 6.73% | 0.46%(d) | 0.46%(d) | 2.83% | 335% | $888,047 |
| Year Ended 12/31/2018 | $10.23 | 1.85% | 0.46%(d) | 0.46%(d) | 2.91% | 286% | $847,752 |
| Year Ended 12/31/2017 | $10.35 | 3.34% | 0.48% | 0.48% | 2.77% | 320% | $898,922 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $9.32 | (9.60%) | 0.70%(c),(d) | 0.70%(c),(d) | 2.01%(c) | 156% | $23,127 |
| Year Ended 12/31/2021 | $10.31 | (1.20%) | 0.70%(d) | 0.70%(d) | 1.62% | 302% | $29,150 |
| Year Ended 12/31/2020 | $10.80 | 4.85% | 0.71%(d) | 0.71%(d) | 2.07% | 332% | $28,163 |
| Year Ended 12/31/2019 | $10.59 | 6.50% | 0.71%(d) | 0.71%(d) | 2.57% | 335% | $25,616 |
| Year Ended 12/31/2018 | $10.20 | 1.60% | 0.71%(d) | 0.71%(d) | 2.66% | 286% | $22,932 |
| Year Ended 12/31/2017 | $10.32 | 2.99% | 0.73% | 0.73% | 2.52% | 320% | $24,782 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $9.35 | (9.57%) | 0.58%(c),(d) | 0.58%(c),(d) | 2.14%(c) | 156% | $74,147 |
| Year Ended 12/31/2021 | $10.34 | (1.07%) | 0.58%(d) | 0.58%(d) | 1.74% | 302% | $88,027 |
| Year Ended 12/31/2020 | $10.83 | 4.96% | 0.58%(d) | 0.58%(d) | 2.20% | 332% | $97,082 |
| Year Ended 12/31/2019 | $10.62 | 6.61% | 0.59%(d) | 0.59%(d) | 2.71% | 335% | $94,876 |
| Year Ended 12/31/2018 | $10.23 | 1.72% | 0.58%(d) | 0.58%(d) | 2.78% | 286% | $99,204 |
| Year Ended 12/31/2017 | $10.35 | 3.22% | 0.61% | 0.61% | 2.65% | 320% | $120,079 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements
June 30, 2022 (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 net investment income 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
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. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management believes does not approximate fair value.
Investments in open-end investment companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
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 a settlement price, 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 mid-market evaluations from independent third-party vendors.
Swap transactions are valued through an independent pricing service or broker, or if neither is available, through an internal model based upon observable inputs.
| 22 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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, in seeking 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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. 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 clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing broker’s customers (including the Fund), potentially resulting in losses to the Fund.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022
| 23 |
Notes to Financial Statements (continued)
June 30, 2022 (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 counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts and 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 instruments’ 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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as well. 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 may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in the Statement of Operations. 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 determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, 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 generally expects to earn interest income on its margin deposits. 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.
| 24 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 has written option contracts to manage exposure to fluctuations in interest rates and to hedge the fair value of the Fund’s 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. Collateral may be collected or posted by the Fund to secure over-the-counter option contract trades. 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 realizes 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 contract 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.
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
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022
| 25 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
of Investments and cash deposited is recorded in the Statement of Assets and Liabilities as margin deposits. For a bilateral swap contract, the Fund has credit exposure to the broker, but exchanges daily variation margin with the broker based on the mark-to-market value of the swap contract to minimize that exposure. 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, that 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 transactions 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 typically 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 upfront receipts 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 upfront payment or receipt 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.
| 26 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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.
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, 2022:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 501,660* |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 312,656* |
| Interest rate risk | Investments, at value — Options purchased | 1,117,315 |
| Total | | 1,931,631 |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 374,158* |
| Credit risk | Upfront receipts on swap contracts | 4,915,767 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 665,950* |
| Interest rate risk | Options contracts written, at value | 2,836,881 |
| Total | | 8,792,756 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) | Options
contracts
written
($) | Options
contracts
purchased
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | — | — | 518,595 | 518,595 |
| Interest rate risk | (9,788,739) | (6,048,700) | 5,153,110 | — | (10,684,329) |
| Total | (9,788,739) | (6,048,700) | 5,153,110 | 518,595 | (10,165,734) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) | Options
contracts
written
($) | Options
contracts
purchased
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | — | — | (2,651,243) | (2,651,243) |
| Interest rate risk | (1,035,689) | (2,969,090) | 1,450,160 | — | (2,554,619) |
| Total | (1,035,689) | (2,969,090) | 1,450,160 | (2,651,243) | (5,205,862) |
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022
| 27 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 72,982,305 |
| Futures contracts — short | 47,832,313 |
| Credit default swap contracts — sell protection | 28,650,000 |
| Derivative instrument | Average
value ($)* |
| Options contracts — purchased | 2,921,666 |
| Options contracts — written | (5,203,555) |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
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.
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 may 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 may 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.
| 28 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 in 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 in 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, 2022:
| | Citi ($)(a) | Citi ($)(a) | JPMorgan ($)(a) | JPMorgan ($)(a) | Morgan
Stanley ($) | Total ($) |
| Assets | | | | | | |
| Options purchased calls | 3 | - | 1,117,312 | - | - | 1,117,315 |
| OTC credit default swap contracts (b) | - | 54,501 | - | - | 447,159 | 501,660 |
| Total assets | 3 | 54,501 | 1,117,312 | - | 447,159 | 1,618,975 |
| Liabilities | | | | | | |
| Options contracts written | 2,836,881 | - | - | - | - | 2,836,881 |
| OTC credit default swap contracts (b) | - | 930,126 | - | 875,625 | 3,484,174 | 5,289,925 |
| Total liabilities | 2,836,881 | 930,126 | - | 875,625 | 3,484,174 | 8,126,806 |
| Total financial and derivative net assets | (2,836,878) | (875,625) | 1,117,312 | (875,625) | (3,037,015) | (6,507,831) |
| Total collateral received (pledged) (c) | (2,836,878) | (825,000) | 1,060,000 | (780,000) | (2,827,000) | (6,208,878) |
| Net amount (d) | - | (50,625) | 57,312 | (95,625) | (210,015) | (298,953) |
| (a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
| (b) | Over-the-Counter (OTC) swap contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
| (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.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022
| 29 |
Notes to Financial Statements (continued)
June 30, 2022 (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 collectability 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 investment company taxable income and net capital gain, 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 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 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.
| 30 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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, 2022 was 0.43% of the Fund’s average daily net assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.01% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 – U.S. Government Mortgage Fund | Semiannual Report 2022
| 31 |
Notes to Financial Statements (continued)
June 30, 2022 (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 classes’ average daily net assets:
| | May 1, 2022
through
April 30, 2023 | Prior to
May 1, 2022 |
| Class 1 | 0.57% | 0.58% |
| Class 2 | 0.82 | 0.83 |
| Class 3 | 0.695 | 0.705 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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, 2022, the approximate cost of all 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) ($) |
| 1,277,341,000 | 11,860,000 | (100,571,000) | (88,711,000) |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss carryforwards, determined at December 31, 2021, may be available to reduce future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code.
No expiration
short-term ($) | No expiration
long-term ($) | Total ($) |
| — | (7,535,407) | (7,535,407) |
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.
| 32 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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 $1,879,944,304 and $1,916,014,251, respectively, for the six months ended June 30, 2022, of which $1,839,573,173 and $1,847,762,832, 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022
| 33 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 9. Significant risks
Credit risk
Credit risk is the risk that the value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower-rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
Derivatives risk
Losses involving derivative instruments may be substantial, because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency, 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, liquidity risk and pricing 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 instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise 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. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
LIBOR replacement risk
The elimination of London Inter-Bank Offered Rate (LIBOR), among other "inter-bank offered" reference rates, may adversely affect the interest rates on, and value of, certain Fund investments for which the value is tied to LIBOR. The U.K. Financial Conduct Authority and the ICE Benchmark Administration have announced that a majority of U.S. dollar LIBOR settings will cease publication after June 30, 2023. A subset of non-U.S. dollar LIBOR settings is continuing to be published on a “synthetic” basis and it is possible that a subset of U.S. dollar LIBOR settings will also be published after June 30, 2023 on a “synthetic” basis. Any such publications are, or would be considered, non-representative of the underlying market. Markets are slowly developing in response to the elimination of LIBOR. Uncertainty related to the liquidity impact of the change in rates, and how to appropriately adjust these rates at the time of transition, poses risks for the Fund. These risks are likely to persist until new reference rates and fallbacks for both legacy and new instruments and contracts are commercially accepted and market practices become more settled. Alternatives to LIBOR have been established or are in development in most major currencies, including the Secured Overnight Financing Rate (SOFR), which the U.S. Federal Reserve is promoting as the alternative reference rate to U.S. dollar LIBOR.
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.
| 34 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Mortgage- and other asset-backed securities risk
The value of any mortgage-backed and other asset-backed securities including collateralized debt obligations, if any, 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 liquidity risk and prepayment risk. A decline or flattening of housing values may cause delinquencies in mortgages (especially sub-prime or
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022
| 35 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
non-prime mortgages) underlying mortgage-backed securities and thereby adversely affect the ability of the mortgage-backed securities issuer to make principal and/or interest payments to mortgage-backed securities holders, including the Fund. 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, 2022, affiliated shareholders of record owned 98.7% 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. 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 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
| 36 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022
| 37 |
Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
| 38 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Managerand discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had
Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022
| 39 |
Approval of Management Agreement (continued)
(Unaudited)
considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
| 40 | Columbia Variable Portfolio – U.S. Government Mortgage Fund | Semiannual Report 2022 |
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Columbia Variable Portfolio – U.S. Government Mortgage Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – Large Cap Index Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term capital appreciation.
Portfolio management
Christopher Lo, CFA
Lead Portfolio Manager
Managed Fund since 2014
Kaiyu Zhao
Portfolio Manager
Managed Fund since 2020
Christopher Rowe
Portfolio Manager
Managed Fund since 2020
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 04/25/11 | -20.08 | -10.86 | 10.98 | 12.61 |
| Class 2 | 04/25/11 | -20.19 | -11.10 | 10.71 | 12.33 |
| Class 3 | 05/01/00 | -20.12 | -10.96 | 10.85 | 12.47 |
| S&P 500 Index | | -19.96 | -10.62 | 11.31 | 12.96 |
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 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.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Common Stocks | 98.9 |
| Money Market Funds | 1.1 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 8.9 |
| Consumer Discretionary | 10.5 |
| Consumer Staples | 7.0 |
| Energy | 4.4 |
| Financials | 10.8 |
| Health Care | 15.2 |
| Industrials | 7.8 |
| Information Technology | 26.8 |
| Materials | 2.6 |
| Real Estate | 2.9 |
| Utilities | 3.1 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 799.20 | 1,023.55 | 1.12 | 1.25 | 0.25 |
| Class 2 | 1,000.00 | 1,000.00 | 798.10 | 1,022.32 | 2.23 | 2.51 | 0.50 |
| Class 3 | 1,000.00 | 1,000.00 | 798.80 | 1,022.96 | 1.65 | 1.86 | 0.37 |
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.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 98.9% |
| Issuer | Shares | Value ($) |
| Communication Services 8.8% |
| Diversified Telecommunication Services 1.2% |
| AT&T, Inc. | 331,817 | 6,954,884 |
| Lumen Technologies, Inc. | 43,094 | 470,156 |
| Verizon Communications, Inc. | 194,652 | 9,878,589 |
| Total | | 17,303,629 |
| Entertainment 1.3% |
| Activision Blizzard, Inc. | 36,240 | 2,821,647 |
| Electronic Arts, Inc. | 13,035 | 1,585,708 |
| Live Nation Entertainment, Inc.(a) | 6,347 | 524,135 |
| Netflix, Inc.(a) | 20,592 | 3,600,923 |
| Take-Two Interactive Software, Inc.(a) | 7,327 | 897,777 |
| Walt Disney Co. (The)(a) | 84,425 | 7,969,720 |
| Warner Bros Discovery, Inc.(a) | 102,360 | 1,373,671 |
| Total | | 18,773,581 |
| Interactive Media & Services 5.2% |
| Alphabet, Inc., Class A(a) | 13,940 | 30,378,884 |
| Alphabet, Inc., Class C(a) | 12,782 | 27,959,986 |
| Match Group, Inc.(a) | 13,237 | 922,487 |
| Meta Platforms, Inc., Class A(a) | 106,304 | 17,141,520 |
| Twitter, Inc.(a) | 35,355 | 1,321,923 |
| Total | | 77,724,800 |
| Media 0.9% |
| Charter Communications, Inc., Class A(a) | 5,368 | 2,515,069 |
| Comcast Corp., Class A | 207,209 | 8,130,881 |
| DISH Network Corp., Class A(a) | 11,622 | 208,383 |
| Fox Corp., Class A | 14,446 | 464,583 |
| Fox Corp., Class B | 6,702 | 199,049 |
| Interpublic Group of Companies, Inc. (The) | 18,246 | 502,312 |
| News Corp., Class A | 18,005 | 280,518 |
| News Corp., Class B | 5,578 | 88,635 |
| Omnicom Group, Inc. | 9,536 | 606,585 |
| Paramount Global, Class B | 28,199 | 695,951 |
| Total | | 13,691,966 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Wireless Telecommunication Services 0.2% |
| T-Mobile USA, Inc.(a) | 27,309 | 3,674,153 |
| Total Communication Services | 131,168,129 |
| Consumer Discretionary 10.4% |
| Auto Components 0.1% |
| Aptiv PLC(a) | 12,558 | 1,118,541 |
| BorgWarner, Inc. | 11,104 | 370,541 |
| Total | | 1,489,082 |
| Automobiles 2.0% |
| Ford Motor Co. | 183,031 | 2,037,135 |
| General Motors Co.(a) | 67,579 | 2,146,309 |
| Tesla Motors, Inc.(a) | 38,895 | 26,192,671 |
| Total | | 30,376,115 |
| Distributors 0.1% |
| Genuine Parts Co. | 6,563 | 872,879 |
| LKQ Corp. | 12,060 | 592,025 |
| Pool Corp. | 1,857 | 652,234 |
| Total | | 2,117,138 |
| Hotels, Restaurants & Leisure 1.8% |
| Booking Holdings, Inc.(a) | 1,883 | 3,293,348 |
| Caesars Entertainment, Inc.(a) | 9,936 | 380,549 |
| Carnival Corp.(a) | 37,615 | 325,370 |
| Chipotle Mexican Grill, Inc.(a) | 1,296 | 1,694,209 |
| Darden Restaurants, Inc. | 5,781 | 653,947 |
| Domino’s Pizza, Inc. | 1,671 | 651,205 |
| Expedia Group, Inc.(a) | 7,025 | 666,181 |
| Hilton Worldwide Holdings, Inc. | 12,901 | 1,437,687 |
| Las Vegas Sands Corp.(a) | 15,937 | 535,324 |
| Marriott International, Inc., Class A | 12,743 | 1,733,175 |
| McDonald’s Corp. | 34,278 | 8,462,553 |
| MGM Resorts International | 16,390 | 474,490 |
| Norwegian Cruise Line Holdings Ltd.(a) | 19,425 | 216,006 |
| Penn National Gaming, Inc.(a) | 7,577 | 230,492 |
| Royal Caribbean Cruises Ltd.(a) | 10,399 | 363,029 |
| Starbucks Corp. | 53,158 | 4,060,740 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Wynn Resorts Ltd.(a) | 4,891 | 278,689 |
| Yum! Brands, Inc. | 13,217 | 1,500,262 |
| Total | | 26,957,256 |
| Household Durables 0.3% |
| D.R. Horton, Inc. | 14,848 | 982,789 |
| Garmin Ltd. | 7,072 | 694,824 |
| Lennar Corp., Class A | 11,987 | 845,923 |
| Mohawk Industries, Inc.(a) | 2,385 | 295,955 |
| Newell Brands, Inc. | 17,057 | 324,765 |
| NVR, Inc.(a) | 143 | 572,592 |
| PulteGroup, Inc. | 11,014 | 436,485 |
| Whirlpool Corp. | 2,605 | 403,436 |
| Total | | 4,556,769 |
| Internet & Direct Marketing Retail 3.0% |
| Amazon.com, Inc.(a) | 405,559 | 43,074,422 |
| eBay, Inc. | 25,948 | 1,081,253 |
| Etsy, Inc.(a) | 5,892 | 431,353 |
| Total | | 44,587,028 |
| Leisure Products 0.0% |
| Hasbro, Inc. | 6,075 | 497,421 |
| Multiline Retail 0.5% |
| Dollar General Corp. | 10,604 | 2,602,646 |
| Dollar Tree, Inc.(a) | 10,434 | 1,626,139 |
| Target Corp. | 21,433 | 3,026,982 |
| Total | | 7,255,767 |
| Specialty Retail 2.1% |
| Advance Auto Parts, Inc. | 2,832 | 490,191 |
| AutoZone, Inc.(a) | 920 | 1,977,190 |
| Bath & Body Works, Inc. | 11,054 | 297,574 |
| Best Buy Co., Inc. | 9,384 | 611,743 |
| CarMax, Inc.(a) | 7,441 | 673,261 |
| Home Depot, Inc. (The) | 47,896 | 13,136,436 |
| Lowe’s Companies, Inc. | 30,643 | 5,352,413 |
| O’Reilly Automotive, Inc.(a) | 3,046 | 1,924,341 |
| Ross Stores, Inc. | 16,287 | 1,143,836 |
| TJX Companies, Inc. (The) | 54,435 | 3,040,195 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Tractor Supply Co. | 5,186 | 1,005,306 |
| Ulta Beauty, Inc.(a) | 2,421 | 933,247 |
| Total | | 30,585,733 |
| Textiles, Apparel & Luxury Goods 0.5% |
| NIKE, Inc., Class B | 58,807 | 6,010,076 |
| PVH Corp. | 3,130 | 178,097 |
| Ralph Lauren Corp. | 2,145 | 192,299 |
| Tapestry, Inc. | 11,671 | 356,199 |
| VF Corp. | 14,961 | 660,827 |
| Total | | 7,397,498 |
| Total Consumer Discretionary | 155,819,807 |
| Consumer Staples 6.9% |
| Beverages 1.9% |
| Brown-Forman Corp., Class B | 8,472 | 594,395 |
| Coca-Cola Co. (The) | 180,834 | 11,376,267 |
| Constellation Brands, Inc., Class A | 7,544 | 1,758,205 |
| Keurig Dr. Pepper, Inc. | 34,190 | 1,209,984 |
| Molson Coors Beverage Co., Class B | 8,729 | 475,818 |
| Monster Beverage Corp.(a) | 17,431 | 1,615,854 |
| PepsiCo, Inc. | 64,087 | 10,680,739 |
| Total | | 27,711,262 |
| Food & Staples Retailing 1.5% |
| Costco Wholesale Corp. | 20,543 | 9,845,849 |
| Kroger Co. (The) | 30,408 | 1,439,211 |
| Sysco Corp. | 23,614 | 2,000,342 |
| Walgreens Boots Alliance, Inc. | 33,230 | 1,259,417 |
| Walmart, Inc. | 65,071 | 7,911,332 |
| Total | | 22,456,151 |
| Food Products 1.1% |
| Archer-Daniels-Midland Co. | 26,081 | 2,023,886 |
| Campbell Soup Co. | 9,369 | 450,180 |
| ConAgra Foods, Inc. | 22,242 | 761,566 |
| General Mills, Inc. | 27,912 | 2,105,960 |
| Hershey Co. (The) | 6,767 | 1,455,988 |
| Hormel Foods Corp. | 13,135 | 622,074 |
| JM Smucker Co. (The) | 5,027 | 643,506 |
| Kellogg Co. | 11,745 | 837,888 |
| Kraft Heinz Co. (The) | 32,903 | 1,254,920 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Lamb Weston Holdings, Inc. | 6,695 | 478,425 |
| McCormick & Co., Inc. | 11,598 | 965,534 |
| Mondelez International, Inc., Class A | 64,144 | 3,982,701 |
| Tyson Foods, Inc., Class A | 13,513 | 1,162,929 |
| Total | | 16,745,557 |
| Household Products 1.5% |
| Church & Dwight Co., Inc. | 11,252 | 1,042,610 |
| Clorox Co. (The) | 5,705 | 804,291 |
| Colgate-Palmolive Co. | 38,838 | 3,112,477 |
| Kimberly-Clark Corp. | 15,616 | 2,110,502 |
| Procter & Gamble Co. (The) | 111,207 | 15,990,455 |
| Total | | 23,060,335 |
| Personal Products 0.2% |
| Estee Lauder Companies, Inc. (The), Class A | 10,744 | 2,736,175 |
| Tobacco 0.7% |
| Altria Group, Inc. | 83,919 | 3,505,296 |
| Philip Morris International, Inc. | 71,847 | 7,094,173 |
| Total | | 10,599,469 |
| Total Consumer Staples | 103,308,949 |
| Energy 4.3% |
| Energy Equipment & Services 0.3% |
| Baker Hughes Co. | 43,353 | 1,251,601 |
| Halliburton Co. | 41,806 | 1,311,036 |
| Schlumberger NV | 65,513 | 2,342,745 |
| Total | | 4,905,382 |
| Oil, Gas & Consumable Fuels 4.0% |
| APA Corp. | 15,677 | 547,127 |
| Chevron Corp. | 91,068 | 13,184,825 |
| ConocoPhillips Co. | 59,951 | 5,384,199 |
| Coterra Energy, Inc. | 37,349 | 963,231 |
| Devon Energy Corp. | 28,449 | 1,567,824 |
| Diamondback Energy, Inc. | 7,733 | 936,853 |
| EOG Resources, Inc. | 27,148 | 2,998,225 |
| Exxon Mobil Corp. | 195,250 | 16,721,210 |
| Hess Corp. | 12,840 | 1,360,270 |
| Kinder Morgan, Inc. | 90,383 | 1,514,819 |
| Marathon Oil Corp. | 32,801 | 737,367 |
| Marathon Petroleum Corp. | 25,075 | 2,061,416 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Occidental Petroleum Corp. | 41,267 | 2,429,801 |
| ONEOK, Inc. | 20,700 | 1,148,850 |
| Phillips 66 | 22,299 | 1,828,295 |
| Pioneer Natural Resources Co. | 10,430 | 2,326,725 |
| Valero Energy Corp. | 18,915 | 2,010,286 |
| Williams Companies, Inc. (The) | 56,454 | 1,761,929 |
| Total | | 59,483,252 |
| Total Energy | 64,388,634 |
| Financials 10.7% |
| Banks 3.7% |
| Bank of America Corp. | 328,621 | 10,229,972 |
| Citigroup, Inc. | 90,007 | 4,139,422 |
| Citizens Financial Group, Inc. | 22,734 | 811,376 |
| Comerica, Inc. | 6,061 | 444,756 |
| Fifth Third Bancorp | 31,800 | 1,068,480 |
| First Republic Bank | 8,319 | 1,199,600 |
| Huntington Bancshares, Inc. | 66,705 | 802,461 |
| JPMorgan Chase & Co. | 136,131 | 15,329,712 |
| KeyCorp | 43,220 | 744,681 |
| M&T Bank Corp. | 8,316 | 1,325,487 |
| PNC Financial Services Group, Inc. (The) | 19,169 | 3,024,293 |
| Regions Financial Corp. | 43,314 | 812,137 |
| Signature Bank | 2,917 | 522,756 |
| SVB Financial Group(a) | 2,728 | 1,077,533 |
| Truist Financial Corp. | 61,711 | 2,926,953 |
| U.S. Bancorp | 62,666 | 2,883,889 |
| Wells Fargo & Co. | 175,681 | 6,881,425 |
| Zions Bancorp | 7,015 | 357,063 |
| Total | | 54,581,996 |
| Capital Markets 2.8% |
| Ameriprise Financial, Inc.(b) | 5,094 | 1,210,742 |
| Bank of New York Mellon Corp. (The) | 34,446 | 1,436,743 |
| BlackRock, Inc. | 6,601 | 4,020,273 |
| Cboe Global Markets, Inc. | 4,922 | 557,121 |
| Charles Schwab Corp. (The) | 69,903 | 4,416,472 |
| CME Group, Inc. | 16,659 | 3,410,097 |
| Factset Research Systems, Inc. | 1,757 | 675,690 |
| Franklin Resources, Inc. | 12,976 | 302,471 |
| Goldman Sachs Group, Inc. (The) | 15,919 | 4,728,261 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Intercontinental Exchange, Inc. | 25,875 | 2,433,285 |
| Invesco Ltd. | 15,607 | 251,741 |
| MarketAxess Holdings, Inc. | 1,749 | 447,761 |
| Moody’s Corp. | 7,440 | 2,023,457 |
| Morgan Stanley | 64,863 | 4,933,480 |
| MSCI, Inc. | 3,760 | 1,549,684 |
| Nasdaq, Inc. | 5,343 | 815,021 |
| Northern Trust Corp. | 9,658 | 931,804 |
| Raymond James Financial, Inc. | 9,010 | 805,584 |
| S&P Global, Inc. | 16,088 | 5,422,621 |
| State Street Corp. | 17,016 | 1,049,036 |
| T. Rowe Price Group, Inc. | 10,535 | 1,196,881 |
| Total | | 42,618,225 |
| Consumer Finance 0.5% |
| American Express Co. | 28,272 | 3,919,065 |
| Capital One Financial Corp. | 18,218 | 1,898,134 |
| Discover Financial Services | 13,023 | 1,231,715 |
| Synchrony Financial | 23,244 | 641,999 |
| Total | | 7,690,913 |
| Diversified Financial Services 1.5% |
| Berkshire Hathaway, Inc., Class B(a) | 83,855 | 22,894,092 |
| Insurance 2.2% |
| Aflac, Inc. | 27,468 | 1,519,804 |
| Allstate Corp. (The) | 12,745 | 1,615,174 |
| American International Group, Inc. | 36,718 | 1,877,391 |
| Aon PLC, Class A | 9,844 | 2,654,730 |
| Arthur J Gallagher & Co. | 9,737 | 1,587,520 |
| Assurant, Inc. | 2,507 | 433,335 |
| Brown & Brown, Inc. | 10,859 | 633,514 |
| Chubb Ltd. | 19,639 | 3,860,635 |
| Cincinnati Financial Corp. | 6,912 | 822,390 |
| Everest Re Group Ltd. | 1,828 | 512,352 |
| Globe Life, Inc. | 4,204 | 409,764 |
| Hartford Financial Services Group, Inc. (The) | 15,243 | 997,350 |
| Lincoln National Corp. | 7,492 | 350,401 |
| Loews Corp. | 9,012 | 534,051 |
| Marsh & McLennan Companies, Inc. | 23,264 | 3,611,736 |
| MetLife, Inc. | 32,038 | 2,011,666 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Principal Financial Group, Inc. | 10,892 | 727,477 |
| Progressive Corp. (The) | 27,109 | 3,151,963 |
| Prudential Financial, Inc. | 17,381 | 1,663,014 |
| Travelers Companies, Inc. (The) | 11,122 | 1,881,064 |
| Willis Towers Watson PLC | 5,167 | 1,019,914 |
| WR Berkley Corp. | 9,710 | 662,805 |
| Total | | 32,538,050 |
| Total Financials | 160,323,276 |
| Health Care 15.0% |
| Biotechnology 2.2% |
| AbbVie, Inc. | 81,905 | 12,544,570 |
| Amgen, Inc. | 24,760 | 6,024,108 |
| Biogen, Inc.(a) | 6,788 | 1,384,345 |
| Gilead Sciences, Inc. | 58,137 | 3,593,448 |
| Incyte Corp.(a) | 8,727 | 662,990 |
| Moderna, Inc.(a) | 16,039 | 2,291,171 |
| Regeneron Pharmaceuticals, Inc.(a) | 5,007 | 2,959,788 |
| Vertex Pharmaceuticals, Inc.(a) | 11,854 | 3,340,338 |
| Total | | 32,800,758 |
| Health Care Equipment & Supplies 2.7% |
| Abbott Laboratories | 81,156 | 8,817,599 |
| ABIOMED, Inc.(a) | 2,112 | 522,741 |
| Align Technology, Inc.(a) | 3,397 | 803,968 |
| Baxter International, Inc. | 23,338 | 1,499,000 |
| Becton Dickinson and Co. | 13,213 | 3,257,401 |
| Boston Scientific Corp.(a) | 66,260 | 2,469,510 |
| Cooper Companies, Inc. (The) | 2,285 | 715,479 |
| Dentsply Sirona, Inc. | 9,986 | 356,800 |
| DexCom, Inc.(a) | 18,192 | 1,355,850 |
| Edwards Lifesciences Corp.(a) | 28,818 | 2,740,303 |
| Hologic, Inc.(a) | 11,559 | 801,039 |
| IDEXX Laboratories, Inc.(a) | 3,894 | 1,365,743 |
| Intuitive Surgical, Inc.(a) | 16,638 | 3,339,413 |
| Medtronic PLC | 62,180 | 5,580,655 |
| ResMed, Inc. | 6,780 | 1,421,291 |
| STERIS PLC | 4,641 | 956,742 |
| Stryker Corp. | 15,599 | 3,103,109 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Teleflex, Inc. | 2,174 | 534,478 |
| Zimmer Biomet Holdings, Inc. | 9,714 | 1,020,553 |
| Total | | 40,661,674 |
| Health Care Providers & Services 3.4% |
| AmerisourceBergen Corp. | 6,990 | 988,945 |
| Cardinal Health, Inc. | 12,627 | 660,013 |
| Centene Corp.(a) | 27,109 | 2,293,693 |
| Cigna Corp. | 14,705 | 3,875,062 |
| CVS Health Corp. | 60,779 | 5,631,782 |
| DaVita, Inc.(a) | 2,806 | 224,368 |
| Elevance Health, Inc. | 11,174 | 5,392,349 |
| HCA Healthcare, Inc. | 10,546 | 1,772,361 |
| Henry Schein, Inc.(a) | 6,399 | 491,059 |
| Humana, Inc. | 5,863 | 2,744,294 |
| Laboratory Corp. of America Holdings | 4,297 | 1,007,045 |
| McKesson Corp. | 6,738 | 2,198,003 |
| Molina Healthcare, Inc.(a) | 2,721 | 760,819 |
| Quest Diagnostics, Inc. | 5,440 | 723,411 |
| UnitedHealth Group, Inc. | 43,484 | 22,334,687 |
| Universal Health Services, Inc., Class B | 3,111 | 313,309 |
| Total | | 51,411,200 |
| Life Sciences Tools & Services 1.9% |
| Agilent Technologies, Inc. | 13,910 | 1,652,091 |
| Bio-Rad Laboratories, Inc., Class A(a) | 1,003 | 496,485 |
| Bio-Techne Corp. | 1,818 | 630,192 |
| Charles River Laboratories International, Inc.(a) | 2,355 | 503,899 |
| Danaher Corp. | 29,993 | 7,603,826 |
| Illumina, Inc.(a) | 7,282 | 1,342,510 |
| IQVIA Holdings, Inc.(a) | 8,773 | 1,903,653 |
| Mettler-Toledo International, Inc.(a) | 1,051 | 1,207,357 |
| PerkinElmer, Inc. | 5,847 | 831,560 |
| Thermo Fisher Scientific, Inc. | 18,144 | 9,857,272 |
| Waters Corp.(a) | 2,792 | 924,096 |
| West Pharmaceutical Services, Inc. | 3,433 | 1,038,036 |
| Total | | 27,990,977 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Pharmaceuticals 4.8% |
| Bristol-Myers Squibb Co. | 98,681 | 7,598,437 |
| Catalent, Inc.(a) | 8,306 | 891,151 |
| Eli Lilly & Co. | 36,553 | 11,851,579 |
| Johnson & Johnson | 121,965 | 21,650,007 |
| Merck & Co., Inc. | 117,209 | 10,685,944 |
| Organon & Co. | 11,756 | 396,765 |
| Pfizer, Inc. | 260,063 | 13,635,103 |
| Viatris, Inc. | 56,191 | 588,320 |
| Zoetis, Inc. | 21,813 | 3,749,437 |
| Total | | 71,046,743 |
| Total Health Care | 223,911,352 |
| Industrials 7.7% |
| Aerospace & Defense 1.7% |
| Boeing Co. (The)(a) | 25,777 | 3,524,231 |
| General Dynamics Corp. | 10,683 | 2,363,614 |
| Howmet Aerospace, Inc. | 17,433 | 548,268 |
| Huntington Ingalls Industries, Inc. | 1,856 | 404,274 |
| L3Harris Technologies, Inc. | 8,940 | 2,160,798 |
| Lockheed Martin Corp. | 10,977 | 4,719,671 |
| Northrop Grumman Corp. | 6,773 | 3,241,355 |
| Raytheon Technologies Corp. | 68,932 | 6,625,054 |
| Textron, Inc. | 9,969 | 608,807 |
| TransDigm Group, Inc.(a) | 2,403 | 1,289,618 |
| Total | | 25,485,690 |
| Air Freight & Logistics 0.7% |
| CH Robinson Worldwide, Inc. | 5,899 | 597,982 |
| Expeditors International of Washington, Inc. | 7,775 | 757,751 |
| FedEx Corp. | 11,052 | 2,505,599 |
| United Parcel Service, Inc., Class B | 34,041 | 6,213,844 |
| Total | | 10,075,176 |
| Airlines 0.2% |
| Alaska Air Group, Inc.(a) | 5,844 | 234,052 |
| American Airlines Group, Inc.(a) | 30,105 | 381,731 |
| Delta Air Lines, Inc.(a) | 29,713 | 860,786 |
| Southwest Airlines Co.(a) | 27,483 | 992,686 |
| United Airlines Holdings, Inc.(a) | 15,144 | 536,401 |
| Total | | 3,005,656 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Building Products 0.4% |
| Allegion PLC | 4,070 | 398,453 |
| AO Smith Corp. | 6,027 | 329,556 |
| Carrier Global Corp. | 39,316 | 1,402,009 |
| Fortune Brands Home & Security, Inc. | 6,063 | 363,052 |
| Johnson Controls International PLC | 32,244 | 1,543,843 |
| Masco Corp. | 10,936 | 553,362 |
| Trane Technologies PLC | 10,839 | 1,407,661 |
| Total | | 5,997,936 |
| Commercial Services & Supplies 0.5% |
| Cintas Corp. | 4,031 | 1,505,699 |
| Copart, Inc.(a) | 9,907 | 1,076,495 |
| Republic Services, Inc. | 9,663 | 1,264,597 |
| Rollins, Inc. | 10,500 | 366,660 |
| Waste Management, Inc. | 17,705 | 2,708,511 |
| Total | | 6,921,962 |
| Construction & Engineering 0.0% |
| Quanta Services, Inc. | 6,661 | 834,890 |
| Electrical Equipment 0.5% |
| AMETEK, Inc. | 10,703 | 1,176,153 |
| Eaton Corp. PLC | 18,494 | 2,330,059 |
| Emerson Electric Co. | 27,532 | 2,189,895 |
| Generac Holdings, Inc.(a) | 2,958 | 622,896 |
| Rockwell Automation, Inc. | 5,389 | 1,074,081 |
| Total | | 7,393,084 |
| Industrial Conglomerates 0.8% |
| 3M Co. | 26,376 | 3,413,318 |
| General Electric Co. | 51,015 | 3,248,125 |
| Honeywell International, Inc. | 31,552 | 5,484,053 |
| Total | | 12,145,496 |
| Machinery 1.5% |
| Caterpillar, Inc. | 24,722 | 4,419,305 |
| Cummins, Inc. | 6,540 | 1,265,686 |
| Deere & Co. | 12,940 | 3,875,142 |
| Dover Corp. | 6,682 | 810,660 |
| Fortive Corp. | 16,614 | 903,469 |
| IDEX Corp. | 3,523 | 639,883 |
| Illinois Tool Works, Inc. | 13,136 | 2,394,036 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Ingersoll Rand, Inc. | 18,815 | 791,735 |
| Nordson Corp. | 2,498 | 505,695 |
| Otis Worldwide Corp. | 19,596 | 1,384,849 |
| PACCAR, Inc. | 16,115 | 1,326,909 |
| Parker-Hannifin Corp. | 5,950 | 1,463,998 |
| Pentair PLC | 7,666 | 350,873 |
| Snap-On, Inc. | 2,474 | 487,452 |
| Stanley Black & Decker, Inc. | 6,997 | 733,705 |
| Westinghouse Air Brake Technologies Corp. | 8,466 | 694,889 |
| Xylem, Inc. | 8,347 | 652,569 |
| Total | | 22,700,855 |
| Professional Services 0.3% |
| Equifax, Inc. | 5,670 | 1,036,363 |
| Jacobs Engineering Group, Inc. | 5,962 | 757,949 |
| Leidos Holdings, Inc. | 6,334 | 637,897 |
| Nielsen Holdings PLC | 16,672 | 387,124 |
| Robert Half International, Inc. | 5,122 | 383,586 |
| Verisk Analytics, Inc. | 7,319 | 1,266,846 |
| Total | | 4,469,765 |
| Road & Rail 0.9% |
| CSX Corp. | 100,776 | 2,928,550 |
| JB Hunt Transport Services, Inc. | 3,885 | 611,771 |
| Norfolk Southern Corp. | 11,047 | 2,510,873 |
| Old Dominion Freight Line, Inc. | 4,256 | 1,090,728 |
| Union Pacific Corp. | 29,109 | 6,208,367 |
| Total | | 13,350,289 |
| Trading Companies & Distributors 0.2% |
| Fastenal Co. | 26,679 | 1,331,816 |
| United Rentals, Inc.(a) | 3,319 | 806,218 |
| W.W. Grainger, Inc. | 1,990 | 904,316 |
| Total | | 3,042,350 |
| Total Industrials | 115,423,149 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022
| 11 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Information Technology 26.5% |
| Communications Equipment 0.8% |
| Arista Networks, Inc.(a) | 10,430 | 977,708 |
| Cisco Systems, Inc. | 192,544 | 8,210,076 |
| F5, Inc.(a) | 2,803 | 428,971 |
| Juniper Networks, Inc. | 14,975 | 426,788 |
| Motorola Solutions, Inc. | 7,754 | 1,625,238 |
| Total | | 11,668,781 |
| Electronic Equipment, Instruments & Components 0.6% |
| Amphenol Corp., Class A | 27,677 | 1,781,845 |
| CDW Corp. | 6,263 | 986,798 |
| Corning, Inc. | 35,233 | 1,110,192 |
| Keysight Technologies, Inc.(a) | 8,434 | 1,162,627 |
| TE Connectivity Ltd. | 14,933 | 1,689,669 |
| Teledyne Technologies, Inc.(a) | 2,171 | 814,364 |
| Trimble Navigation Ltd.(a) | 11,594 | 675,119 |
| Zebra Technologies Corp., Class A(a) | 2,434 | 715,474 |
| Total | | 8,936,088 |
| IT Services 4.3% |
| Accenture PLC, Class A | 29,358 | 8,151,249 |
| Akamai Technologies, Inc.(a) | 7,430 | 678,582 |
| Automatic Data Processing, Inc. | 19,362 | 4,066,795 |
| Broadridge Financial Solutions, Inc. | 5,433 | 774,474 |
| Cognizant Technology Solutions Corp., Class A | 24,156 | 1,630,288 |
| DXC Technology Co.(a) | 11,331 | 343,443 |
| EPAM Systems, Inc.(a) | 2,649 | 780,872 |
| Fidelity National Information Services, Inc. | 28,309 | 2,595,086 |
| Fiserv, Inc.(a) | 26,964 | 2,398,987 |
| FleetCor Technologies, Inc.(a) | 3,585 | 753,244 |
| Gartner, Inc.(a) | 3,733 | 902,751 |
| Global Payments, Inc. | 13,049 | 1,443,741 |
| International Business Machines Corp. | 41,688 | 5,885,929 |
| Jack Henry & Associates, Inc. | 3,377 | 607,928 |
| MasterCard, Inc., Class A | 39,804 | 12,557,366 |
| Paychex, Inc. | 14,892 | 1,695,752 |
| PayPal Holdings, Inc.(a) | 53,675 | 3,748,662 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| VeriSign, Inc.(a) | 4,417 | 739,097 |
| Visa, Inc., Class A | 76,278 | 15,018,375 |
| Total | | 64,772,621 |
| Semiconductors & Semiconductor Equipment 5.1% |
| Advanced Micro Devices, Inc.(a) | 75,110 | 5,743,662 |
| Analog Devices, Inc. | 24,255 | 3,543,413 |
| Applied Materials, Inc. | 40,945 | 3,725,176 |
| Broadcom, Inc. | 18,924 | 9,193,468 |
| Enphase Energy, Inc.(a) | 6,258 | 1,221,812 |
| Intel Corp. | 189,524 | 7,090,093 |
| KLA Corp. | 6,917 | 2,207,076 |
| Lam Research Corp. | 6,429 | 2,739,718 |
| Microchip Technology, Inc. | 25,770 | 1,496,722 |
| Micron Technology, Inc. | 51,757 | 2,861,127 |
| Monolithic Power Systems, Inc. | 2,032 | 780,369 |
| NVIDIA Corp. | 116,060 | 17,593,535 |
| NXP Semiconductors NV | 12,170 | 1,801,525 |
| ON Semiconductor Corp.(a) | 20,139 | 1,013,193 |
| Qorvo, Inc.(a) | 5,026 | 474,052 |
| QUALCOMM, Inc. | 51,912 | 6,631,239 |
| Skyworks Solutions, Inc. | 7,459 | 691,002 |
| SolarEdge Technologies, Inc.(a) | 2,567 | 702,537 |
| Teradyne, Inc. | 7,425 | 664,909 |
| Texas Instruments, Inc. | 42,741 | 6,567,155 |
| Total | | 76,741,783 |
| Software 8.9% |
| Adobe, Inc.(a) | 21,900 | 8,016,714 |
| ANSYS, Inc.(a) | 4,032 | 964,817 |
| Autodesk, Inc.(a) | 10,082 | 1,733,701 |
| Cadence Design Systems, Inc.(a) | 12,781 | 1,917,533 |
| Ceridian HCM Holding, Inc.(a) | 6,368 | 299,805 |
| Citrix Systems, Inc. | 5,781 | 561,740 |
| Fortinet, Inc.(a) | 30,878 | 1,747,077 |
| Intuit, Inc. | 13,108 | 5,052,348 |
| Microsoft Corp. | 346,650 | 89,030,120 |
| NortonLifeLock, Inc. | 26,969 | 592,239 |
| Oracle Corp. | 72,964 | 5,097,995 |
| Paycom Software, Inc.(a) | 2,232 | 625,228 |
| PTC, Inc.(a) | 4,880 | 518,939 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Roper Technologies, Inc. | 4,909 | 1,937,337 |
| Salesforce, Inc.(a) | 46,050 | 7,600,092 |
| ServiceNow, Inc.(a) | 9,291 | 4,418,056 |
| Synopsys, Inc.(a) | 7,096 | 2,155,055 |
| Tyler Technologies, Inc.(a) | 1,922 | 639,027 |
| Total | | 132,907,823 |
| Technology Hardware, Storage & Peripherals 6.8% |
| Apple, Inc.(c) | 712,668 | 97,435,969 |
| Hewlett Packard Enterprise Co. | 60,261 | 799,061 |
| HP, Inc. | 48,823 | 1,600,418 |
| NetApp, Inc. | 10,314 | 672,885 |
| Seagate Technology Holdings PLC | 9,161 | 654,462 |
| Western Digital Corp.(a) | 14,515 | 650,708 |
| Total | | 101,813,503 |
| Total Information Technology | 396,840,599 |
| Materials 2.6% |
| Chemicals 1.8% |
| Air Products & Chemicals, Inc. | 10,279 | 2,471,894 |
| Albemarle Corp. | 5,428 | 1,134,343 |
| Celanese Corp., Class A | 5,020 | 590,402 |
| CF Industries Holdings, Inc. | 9,669 | 828,923 |
| Corteva, Inc. | 33,543 | 1,816,018 |
| Dow, Inc. | 33,747 | 1,741,683 |
| DuPont de Nemours, Inc. | 23,570 | 1,310,021 |
| Eastman Chemical Co. | 5,974 | 536,286 |
| Ecolab, Inc. | 11,519 | 1,771,162 |
| FMC Corp. | 5,837 | 624,617 |
| International Flavors & Fragrances, Inc. | 11,812 | 1,407,046 |
| Linde PLC | 23,327 | 6,707,212 |
| LyondellBasell Industries NV, Class A | 11,996 | 1,049,170 |
| Mosaic Co. (The) | 16,778 | 792,425 |
| PPG Industries, Inc. | 10,948 | 1,251,794 |
| Sherwin-Williams Co. (The) | 11,092 | 2,483,610 |
| Total | | 26,516,606 |
| Construction Materials 0.1% |
| Martin Marietta Materials, Inc. | 2,891 | 865,103 |
| Vulcan Materials Co. | 6,160 | 875,336 |
| Total | | 1,740,439 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Containers & Packaging 0.3% |
| Amcor PLC | 69,653 | 865,787 |
| Avery Dennison Corp. | 3,787 | 613,002 |
| Ball Corp. | 14,822 | 1,019,309 |
| International Paper Co. | 17,179 | 718,597 |
| Packaging Corp. of America | 4,343 | 597,162 |
| Sealed Air Corp. | 6,771 | 390,822 |
| WestRock Co. | 11,812 | 470,590 |
| Total | | 4,675,269 |
| Metals & Mining 0.4% |
| Freeport-McMoRan, Inc. | 67,173 | 1,965,482 |
| Newmont Corp. | 36,785 | 2,194,961 |
| Nucor Corp. | 12,332 | 1,287,584 |
| Total | | 5,448,027 |
| Total Materials | 38,380,341 |
| Real Estate 2.9% |
| Equity Real Estate Investment Trusts (REITS) 2.8% |
| Alexandria Real Estate Equities, Inc. | 6,884 | 998,387 |
| American Tower Corp. | 21,539 | 5,505,153 |
| AvalonBay Communities, Inc. | 6,481 | 1,258,934 |
| Boston Properties, Inc. | 6,610 | 588,158 |
| Camden Property Trust | 4,937 | 663,928 |
| Crown Castle International Corp. | 20,071 | 3,379,555 |
| Digital Realty Trust, Inc. | 13,194 | 1,712,977 |
| Duke Realty Corp. | 17,819 | 979,154 |
| Equinix, Inc. | 4,219 | 2,771,967 |
| Equity Residential | 15,861 | 1,145,481 |
| Essex Property Trust, Inc. | 3,028 | 791,852 |
| Extra Space Storage, Inc. | 6,224 | 1,058,827 |
| Federal Realty OP LP | 3,313 | 317,187 |
| Healthpeak Properties, Inc. | 25,008 | 647,957 |
| Host Hotels & Resorts, Inc. | 33,130 | 519,478 |
| Iron Mountain, Inc. | 13,467 | 655,708 |
| Kimco Realty Corp. | 28,644 | 566,292 |
| Mid-America Apartment Communities, Inc. | 5,350 | 934,485 |
| Prologis, Inc. | 34,311 | 4,036,689 |
| Public Storage | 7,078 | 2,213,078 |
| Realty Income Corp. | 27,884 | 1,903,362 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022
| 13 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Regency Centers Corp. | 7,190 | 426,439 |
| SBA Communications Corp. | 4,998 | 1,599,610 |
| Simon Property Group, Inc. | 15,219 | 1,444,588 |
| UDR, Inc. | 13,872 | 638,667 |
| Ventas, Inc. | 18,526 | 952,792 |
| VICI Properties, Inc. | 44,635 | 1,329,677 |
| Vornado Realty Trust | 7,376 | 210,880 |
| Welltower, Inc. | 21,041 | 1,732,726 |
| Weyerhaeuser Co. | 34,507 | 1,142,872 |
| Total | | 42,126,860 |
| Real Estate Management & Development 0.1% |
| CBRE Group, Inc., Class A(a) | 15,150 | 1,115,191 |
| Total Real Estate | 43,242,051 |
| Utilities 3.1% |
| Electric Utilities 1.9% |
| Alliant Energy Corp. | 11,625 | 681,341 |
| American Electric Power Co., Inc. | 23,803 | 2,283,660 |
| Constellation Energy Corp. | 15,142 | 867,031 |
| Duke Energy Corp. | 35,685 | 3,825,789 |
| Edison International | 17,668 | 1,117,324 |
| Entergy Corp. | 9,426 | 1,061,745 |
| Evergy, Inc. | 10,636 | 693,999 |
| Eversource Energy | 15,985 | 1,350,253 |
| Exelon Corp. | 45,432 | 2,058,978 |
| FirstEnergy Corp. | 26,463 | 1,015,914 |
| NextEra Energy, Inc. | 91,054 | 7,053,043 |
| NRG Energy, Inc. | 10,998 | 419,794 |
| Pinnacle West Capital Corp. | 5,238 | 383,003 |
| PPL Corp. | 34,109 | 925,377 |
| Southern Co. (The) | 49,248 | 3,511,875 |
| Xcel Energy, Inc. | 25,244 | 1,786,265 |
| Total | | 29,035,391 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Gas Utilities 0.1% |
| Atmos Energy Corp. | 6,443 | 722,260 |
| Independent Power and Renewable Electricity Producers 0.0% |
| AES Corp. (The) | 30,955 | 650,365 |
| Multi-Utilities 1.0% |
| Ameren Corp. | 11,969 | 1,081,519 |
| CenterPoint Energy, Inc. | 29,175 | 862,997 |
| CMS Energy Corp. | 13,447 | 907,672 |
| Consolidated Edison, Inc. | 16,421 | 1,561,637 |
| Dominion Energy, Inc. | 37,602 | 3,001,016 |
| DTE Energy Co. | 8,980 | 1,138,215 |
| NiSource, Inc. | 18,809 | 554,677 |
| Public Service Enterprise Group, Inc. | 23,140 | 1,464,299 |
| Sempra Energy | 14,568 | 2,189,133 |
| WEC Energy Group, Inc. | 14,620 | 1,471,357 |
| Total | | 14,232,522 |
| Water Utilities 0.1% |
| American Water Works Co., Inc. | 8,424 | 1,253,239 |
| Total Utilities | 45,893,777 |
Total Common Stocks
(Cost $966,871,227) | 1,478,700,064 |
|
| Money Market Funds 1.1% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(b),(d) | 16,123,887 | 16,114,212 |
Total Money Market Funds
(Cost $16,112,600) | 16,114,212 |
Total Investments in Securities
(Cost: $982,983,827) | 1,494,814,276 |
| Other Assets & Liabilities, Net | | 175,540 |
| Net Assets | 1,494,989,816 |
At June 30, 2022, securities and/or cash totaling $2,004,315 were pledged as collateral.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Investments in derivatives
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| S&P 500 Index E-mini | 85 | 09/2022 | USD | 16,105,375 | — | (488,894) |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Ameriprise Financial, Inc. |
| | 1,530,924 | 19,258 | (1,817) | (337,623) | 1,210,742 | 14,392 | 12,039 | 5,094 |
| Columbia Short-Term Cash Fund, 1.247% |
| | 20,253,872 | 46,184,508 | (50,327,299) | 3,131 | 16,114,212 | (9,921) | 40,631 | 16,123,887 |
| Total | 21,784,796 | | | (334,492) | 17,324,954 | 4,471 | 52,670 | |
| (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, 2022. |
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.
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.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022
| 15 |
Portfolio of Investments (continued)
June 30, 2022 (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.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 131,168,129 | — | — | 131,168,129 |
| Consumer Discretionary | 155,819,807 | — | — | 155,819,807 |
| Consumer Staples | 103,308,949 | — | — | 103,308,949 |
| Energy | 64,388,634 | — | — | 64,388,634 |
| Financials | 160,323,276 | — | — | 160,323,276 |
| Health Care | 223,911,352 | — | — | 223,911,352 |
| Industrials | 115,423,149 | — | — | 115,423,149 |
| Information Technology | 396,840,599 | — | — | 396,840,599 |
| Materials | 38,380,341 | — | — | 38,380,341 |
| Real Estate | 43,242,051 | — | — | 43,242,051 |
| Utilities | 45,893,777 | — | — | 45,893,777 |
| Total Common Stocks | 1,478,700,064 | — | — | 1,478,700,064 |
| Money Market Funds | 16,114,212 | — | — | 16,114,212 |
| Total Investments in Securities | 1,494,814,276 | — | — | 1,494,814,276 |
| Investments in Derivatives | | | | |
| Liability | | | | |
| Futures Contracts | (488,894) | — | — | (488,894) |
| Total | 1,494,325,382 | — | — | 1,494,325,382 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
Derivative instruments are valued at unrealized appreciation (depreciation).
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $966,298,088) | $1,477,489,322 |
| Affiliated issuers (cost $16,685,739) | 17,324,954 |
| Receivable for: | |
| Capital shares sold | 105,804 |
| Dividends | 1,155,991 |
| Foreign tax reclaims | 18,037 |
| Prepaid expenses | 11,260 |
| Total assets | 1,496,105,368 |
| Liabilities | |
| Due to custodian | 2,197 |
| Payable for: | |
| Capital shares purchased | 787,967 |
| Variation margin for futures contracts | 134,937 |
| Management services fees | 8,266 |
| Distribution and/or service fees | 2,678 |
| Service fees | 37,252 |
| Compensation of board members | 82,013 |
| Compensation of chief compliance officer | 159 |
| Other expenses | 60,083 |
| Total liabilities | 1,115,552 |
| Net assets applicable to outstanding capital stock | $1,494,989,816 |
| Represented by | |
| Trust capital | $1,494,989,816 |
| Total - representing net assets applicable to outstanding capital stock | $1,494,989,816 |
| Class 1 | |
| Net assets | $775,174,406 |
| Shares outstanding | 24,712,539 |
| Net asset value per share | $31.37 |
| Class 2 | |
| Net assets | $55,486,410 |
| Shares outstanding | 1,817,781 |
| Net asset value per share | $30.52 |
| Class 3 | |
| Net assets | $664,329,000 |
| Shares outstanding | 21,458,467 |
| Net asset value per share | $30.96 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022
| 17 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $12,742,769 |
| Dividends — affiliated issuers | 52,670 |
| Foreign taxes withheld | (3,062) |
| Total income | 12,792,377 |
| Expenses: | |
| Management services fees | 1,656,792 |
| Distribution and/or service fees | |
| Class 2 | 62,563 |
| Class 3 | 474,057 |
| Service fees | 250,273 |
| Compensation of board members | 11,974 |
| Custodian fees | 8,821 |
| Printing and postage fees | 13,251 |
| Licensing fees and expenses | 87,940 |
| Audit fees | 14,669 |
| Legal fees | 13,816 |
| Interest on collateral | 199 |
| Compensation of chief compliance officer | 120 |
| Other | 12,138 |
| Total expenses | 2,606,613 |
| Net investment income | 10,185,764 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 7,337,475 |
| Investments — affiliated issuers | 4,471 |
| Foreign currency translations | (42) |
| Futures contracts | (4,205,414) |
| Net realized gain | 3,136,490 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (384,301,913) |
| Investments — affiliated issuers | (334,492) |
| Futures contracts | (869,408) |
| Net change in unrealized appreciation (depreciation) | (385,505,813) |
| Net realized and unrealized loss | (382,369,323) |
| Net decrease in net assets resulting from operations | $(372,183,559) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $10,185,764 | $17,924,858 |
| Net realized gain | 3,136,490 | 55,971,736 |
| Net change in unrealized appreciation (depreciation) | (385,505,813) | 339,448,712 |
| Net increase (decrease) in net assets resulting from operations | (372,183,559) | 413,345,306 |
| Increase (decrease) in net assets from capital stock activity | 17,235,597 | (7,697,181) |
| Total increase (decrease) in net assets | (354,947,962) | 405,648,125 |
| Net assets at beginning of period | 1,849,937,778 | 1,444,289,653 |
| Net assets at end of period | $1,494,989,816 | $1,849,937,778 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 839,756 | 27,659,923 | 2,105,624 | 67,315,819 |
| Redemptions | (282,222) | (10,088,375) | (2,253,317) | (77,945,667) |
| Net increase (decrease) | 557,534 | 17,571,548 | (147,693) | (10,629,848) |
| Class 2 | | | | |
| Subscriptions | 738,793 | 25,422,280 | 809,905 | 29,060,982 |
| Redemptions | (50,682) | (1,714,957) | (60,643) | (2,064,383) |
| Net increase | 688,111 | 23,707,323 | 749,262 | 26,996,599 |
| Class 3 | | | | |
| Subscriptions | 190,218 | 6,741,056 | 1,028,836 | 34,349,923 |
| Redemptions | (889,017) | (30,784,330) | (1,695,529) | (58,413,855) |
| Net decrease | (698,799) | (24,043,274) | (666,693) | (24,063,932) |
| Total net increase (decrease) | 546,846 | 17,235,597 | (65,124) | (7,697,181) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $39.25 | 0.23 | (8.11) | (7.88) |
| Year Ended 12/31/2021 | $30.57 | 0.40 | 8.28 | 8.68 |
| Year Ended 12/31/2020 | $25.90 | 0.45 | 4.22 | 4.67 |
| Year Ended 12/31/2019 | $19.75 | 0.44 | 5.71 | 6.15 |
| Year Ended 12/31/2018 | $20.72 | 0.42 | (1.39) | (0.97) |
| Year Ended 12/31/2017 | $17.06 | 0.33 | 3.33 | 3.66 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $38.24 | 0.18 | (7.90) | (7.72) |
| Year Ended 12/31/2021 | $29.86 | 0.31 | 8.07 | 8.38 |
| Year Ended 12/31/2020 | $25.36 | 0.37 | 4.13 | 4.50 |
| Year Ended 12/31/2019 | $19.39 | 0.37 | 5.60 | 5.97 |
| Year Ended 12/31/2018 | $20.40 | 0.34 | (1.35) | (1.01) |
| Year Ended 12/31/2017 | $16.83 | 0.28 | 3.29 | 3.57 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $38.76 | 0.20 | (8.00) | (7.80) |
| Year Ended 12/31/2021 | $30.23 | 0.35 | 8.18 | 8.53 |
| Year Ended 12/31/2020 | $25.65 | 0.41 | 4.17 | 4.58 |
| Year Ended 12/31/2019 | $19.58 | 0.40 | 5.67 | 6.07 |
| Year Ended 12/31/2018 | $20.57 | 0.37 | (1.36) | (0.99) |
| Year Ended 12/31/2017 | $16.96 | 0.30 | 3.31 | 3.61 |
| 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) | Annualized. |
| (d) | Ratios include interest on collateral expense which is less than 0.01%. |
| (e) | Ratios include interfund lending expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $31.37 | (20.08%) | 0.25%(c),(d) | 0.25%(c),(d) | 1.30%(c) | 1% | $775,174 |
| Year Ended 12/31/2021 | $39.25 | 28.39% | 0.25%(d) | 0.25%(d) | 1.14% | 5% | $947,973 |
| Year Ended 12/31/2020 | $30.57 | 18.03% | 0.26%(e) | 0.26%(e) | 1.72% | 9% | $742,971 |
| Year Ended 12/31/2019 | $25.90 | 31.14% | 0.26% | 0.26% | 1.91% | 2% | $599,584 |
| Year Ended 12/31/2018 | $19.75 | (4.68%) | 0.28% | 0.28% | 1.94% | 3% | $332,816 |
| Year Ended 12/31/2017 | $20.72 | 21.45% | 0.29% | 0.29% | 1.75% | 2% | $203,887 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $30.52 | (20.19%) | 0.50%(c),(d) | 0.50%(c),(d) | 1.07%(c) | 1% | $55,486 |
| Year Ended 12/31/2021 | $38.24 | 28.07% | 0.50%(d) | 0.50%(d) | 0.89% | 5% | $43,195 |
| Year Ended 12/31/2020 | $29.86 | 17.74% | 0.51%(e) | 0.51%(e) | 1.48% | 9% | $11,359 |
| Year Ended 12/31/2019 | $25.36 | 30.79% | 0.51% | 0.51% | 1.63% | 2% | $11,354 |
| Year Ended 12/31/2018 | $19.39 | (4.95%) | 0.53% | 0.53% | 1.61% | 3% | $10,146 |
| Year Ended 12/31/2017 | $20.40 | 21.21% | 0.55% | 0.55% | 1.50% | 2% | $11,777 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $30.96 | (20.12%) | 0.37%(c),(d) | 0.37%(c),(d) | 1.17%(c) | 1% | $664,329 |
| Year Ended 12/31/2021 | $38.76 | 28.22% | 0.38%(d) | 0.38%(d) | 1.01% | 5% | $858,770 |
| Year Ended 12/31/2020 | $30.23 | 17.85% | 0.38%(e) | 0.38%(e) | 1.59% | 9% | $689,960 |
| Year Ended 12/31/2019 | $25.65 | 31.00% | 0.39% | 0.39% | 1.76% | 2% | $599,751 |
| Year Ended 12/31/2018 | $19.58 | (4.81%) | 0.40% | 0.40% | 1.75% | 3% | $442,813 |
| Year Ended 12/31/2017 | $20.57 | 21.28% | 0.42% | 0.42% | 1.62% | 2% | $452,967 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements
June 30, 2022 (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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 a settlement price, 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, if available.
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, in seeking 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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. 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 clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing 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 counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts and 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 instruments’ 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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as well. 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 may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in the Statement of Operations. 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 determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, 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
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
unrealized gains or losses. The Fund generally expects to earn interest income on its margin deposits. 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, 2022:
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 488,894* |
| * | 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, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Equity risk | (4,205,414) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Equity risk | (869,408) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 12,572,831 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
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 an ex-dividend notification in the case of certain foreign securities.
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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 in the Statement of Assets and Liabilities.
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Notes to Financial Statements (continued)
June 30, 2022 (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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.03% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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.
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Notes to Financial Statements (continued)
June 30, 2022 (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 classes’ average daily net assets:
| | Fee rate(s) contractual
through
April 30, 2023 |
| Class 1 | 0.26% |
| Class 2 | 0.51 |
| Class 3 | 0.385 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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 $38,929,183 and $13,355,236, respectively, for the six months ended June 30, 2022. 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 8. Significant risks
Information technology sector risk
The Fund is more susceptible to the particular risks that may affect companies in the information technology sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the information technology sector 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 information 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. Some companies in the information technology sector are facing increased government and regulatory scrutiny and may be subject to adverse government or regulatory action, which could negatively impact the value of their securities.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Passive investment risk
The Fund is not “actively” managed and may be affected by a general decline in market segments related to its tracking index. The Fund invests in securities or instruments included in, or believed by the Investment Manager to be representative of, its tracking index, regardless of their investment merits. The Fund does not seek temporary defensive positions when markets decline or appear overvalued. The decision of whether to remove a security from the tracking index is made by an independent index provider who is not affiliated with the Fund or the Investment Manager.
Shareholder concentration risk
At June 30, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. 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 and noted 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 are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual
| 30 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
(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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022
| 31 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
| 32 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022
| 33 |
Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that Fund performance was well within the range of that of its peers.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Manager and discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had
| 34 | Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board considered the economies of scale that might be realized as the Fund’s net asset level grows and took note of the extent to which Fund shareholders might also benefit from such growth. The Board took into account, however, 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 advice, as well as administrative, accounting and other services to the Fund.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
Columbia Variable Portfolio – Large Cap Index Fund | Semiannual Report 2022
| 35 |
Columbia Variable Portfolio – Large Cap Index Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Select 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – Select Mid Cap Growth Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with growth of capital.
Portfolio management
Daniel Cole, CFA
Co-Portfolio Manager
Managed Fund since 2021
Erika Maschmeyer, CFA
Co-Portfolio Manager
Managed Fund since 2018
John Emerson, CFA
Co-Portfolio Manager
Managed Fund since 2018
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/03/10 | -34.75 | -32.68 | 7.84 | 9.93 |
| Class 2 | 05/03/10 | -34.84 | -32.85 | 7.57 | 9.65 |
| Class 3 | 05/01/01 | -34.79 | -32.76 | 7.70 | 9.79 |
| Russell Midcap Growth Index | | -31.00 | -29.57 | 8.88 | 11.50 |
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 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.
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Common Stocks | 94.1 |
| Money Market Funds | 5.9 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 3.1 |
| Consumer Discretionary | 15.6 |
| Energy | 2.3 |
| Financials | 5.0 |
| Health Care | 22.3 |
| Industrials | 19.3 |
| Information Technology | 30.5 |
| Materials | 1.9 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 652.50 | 1,020.63 | 3.44 | 4.21 | 0.84 |
| Class 2 | 1,000.00 | 1,000.00 | 651.60 | 1,019.39 | 4.46 | 5.46 | 1.09 |
| Class 3 | 1,000.00 | 1,000.00 | 652.10 | 1,020.03 | 3.93 | 4.81 | 0.96 |
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.
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 99.2% |
| Issuer | Shares | Value ($) |
| Communication Services 3.1% |
| Entertainment 3.1% |
| Roblox Corp., Class A(a) | 113,065 | 3,715,316 |
| Take-Two Interactive Software, Inc.(a) | 70,694 | 8,662,136 |
| Total | | 12,377,452 |
| Total Communication Services | 12,377,452 |
| Consumer Discretionary 15.5% |
| Diversified Consumer Services 1.2% |
| Bright Horizons Family Solutions, Inc.(a) | 58,640 | 4,956,253 |
| Hotels, Restaurants & Leisure 7.5% |
| Chipotle Mexican Grill, Inc.(a) | 9,753 | 12,749,707 |
| Churchill Downs, Inc. | 34,083 | 6,527,917 |
| Planet Fitness, Inc., Class A(a) | 157,807 | 10,732,454 |
| Total | | 30,010,078 |
| Internet & Direct Marketing Retail 1.4% |
| Etsy, Inc.(a) | 74,683 | 5,467,542 |
| Specialty Retail 5.4% |
| Five Below, Inc.(a) | 67,211 | 7,623,744 |
| Floor & Decor Holdings, Inc.(a) | 43,699 | 2,751,289 |
| O’Reilly Automotive, Inc.(a) | 13,553 | 8,562,243 |
| Williams-Sonoma, Inc. | 26,728 | 2,965,471 |
| Total | | 21,902,747 |
| Total Consumer Discretionary | 62,336,620 |
| Energy 2.2% |
| Oil, Gas & Consumable Fuels 2.2% |
| Devon Energy Corp. | 162,536 | 8,957,359 |
| Total Energy | 8,957,359 |
| Financials 5.0% |
| Banks 0.8% |
| Western Alliance Bancorp | 47,478 | 3,351,947 |
| Capital Markets 4.2% |
| Ares Management Corp., Class A | 147,850 | 8,406,751 |
| MSCI, Inc. | 20,100 | 8,284,215 |
| Total | | 16,690,966 |
| Total Financials | 20,042,913 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Health Care 22.1% |
| Health Care Equipment & Supplies 9.2% |
| DexCom, Inc.(a) | 93,428 | 6,963,189 |
| Edwards Lifesciences Corp.(a) | 109,736 | 10,434,796 |
| Insulet Corp.(a) | 46,631 | 10,162,760 |
| Intuitive Surgical, Inc.(a) | 47,474 | 9,528,507 |
| Total | | 37,089,252 |
| Health Care Providers & Services 1.7% |
| Amedisys, Inc.(a) | 66,457 | 6,985,960 |
| Health Care Technology 1.3% |
| Doximity, Inc., Class A(a) | 145,295 | 5,059,172 |
| Life Sciences Tools & Services 9.9% |
| Bio-Techne Corp. | 41,378 | 14,343,270 |
| IQVIA Holdings, Inc.(a) | 56,232 | 12,201,781 |
| Repligen Corp.(a) | 83,090 | 13,493,816 |
| Total | | 40,038,867 |
| Total Health Care | 89,173,251 |
| Industrials 19.2% |
| Commercial Services & Supplies 4.9% |
| Cintas Corp. | 30,668 | 11,455,418 |
| Rollins, Inc. | 239,017 | 8,346,474 |
| Total | | 19,801,892 |
| Electrical Equipment 3.7% |
| AMETEK, Inc. | 73,885 | 8,119,222 |
| Generac Holdings, Inc.(a) | 31,681 | 6,671,385 |
| Total | | 14,790,607 |
| Machinery 3.3% |
| Ingersoll Rand, Inc. | 188,031 | 7,912,344 |
| Kornit Digital Ltd.(a) | 53,304 | 1,689,737 |
| Middleby Corp. (The)(a) | 29,949 | 3,754,407 |
| Total | | 13,356,488 |
| Professional Services 5.7% |
| Booz Allen Hamilton Holdings Corp. | 99,448 | 8,986,121 |
| CoStar Group, Inc.(a) | 233,255 | 14,090,935 |
| Total | | 23,077,056 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Trading Companies & Distributors 1.6% |
| SiteOne Landscape Supply, Inc.(a) | 52,163 | 6,200,616 |
| Total Industrials | 77,226,659 |
| Information Technology 30.2% |
| Electronic Equipment, Instruments & Components 5.4% |
| Amphenol Corp., Class A | 143,964 | 9,268,402 |
| CDW Corp. | 78,512 | 12,370,351 |
| Total | | 21,638,753 |
| IT Services 4.9% |
| EPAM Systems, Inc.(a) | 28,941 | 8,531,228 |
| MongoDB, Inc.(a) | 18,788 | 4,875,486 |
| VeriSign, Inc.(a) | 37,072 | 6,203,258 |
| Total | | 19,609,972 |
| Semiconductors & Semiconductor Equipment 3.3% |
| Marvell Technology, Inc. | 93,623 | 4,075,409 |
| Teradyne, Inc. | 102,906 | 9,215,232 |
| Total | | 13,290,641 |
| Software 16.6% |
| ANSYS, Inc.(a) | 26,019 | 6,226,087 |
| Bill.com Holdings, Inc.(a) | 31,666 | 3,481,360 |
| Cadence Design Systems, Inc.(a) | 98,872 | 14,833,766 |
| Crowdstrike Holdings, Inc., Class A(a) | 49,702 | 8,377,769 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| HubSpot, Inc.(a) | 27,002 | 8,118,151 |
| Paycom Software, Inc.(a) | 18,380 | 5,148,606 |
| ServiceNow, Inc.(a) | 19,454 | 9,250,766 |
| Trade Desk, Inc. (The), Class A(a) | 157,702 | 6,606,137 |
| Zscaler, Inc.(a) | 33,341 | 4,984,813 |
| Total | | 67,027,455 |
| Total Information Technology | 121,566,821 |
| Materials 1.9% |
| Chemicals 1.9% |
| Albemarle Corp. | 36,872 | 7,705,510 |
| Total Materials | 7,705,510 |
Total Common Stocks
(Cost $464,601,687) | 399,386,585 |
|
| Money Market Funds 6.2% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(b),(c) | 24,977,285 | 24,962,299 |
Total Money Market Funds
(Cost $24,959,893) | 24,962,299 |
Total Investments in Securities
(Cost: $489,561,580) | 424,348,884 |
| Other Assets & Liabilities, Net | | (21,842,111) |
| Net Assets | 402,506,773 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 19,792,615 | 86,823,291 | (81,656,013) | 2,406 | 24,962,299 | (3,369) | 24,436 | 24,977,285 |
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.
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 12,377,452 | — | — | 12,377,452 |
| Consumer Discretionary | 62,336,620 | — | — | 62,336,620 |
| Energy | 8,957,359 | — | — | 8,957,359 |
| Financials | 20,042,913 | — | — | 20,042,913 |
| Health Care | 89,173,251 | — | — | 89,173,251 |
| Industrials | 77,226,659 | — | — | 77,226,659 |
| Information Technology | 121,566,821 | — | — | 121,566,821 |
| Materials | 7,705,510 | — | — | 7,705,510 |
| Total Common Stocks | 399,386,585 | — | — | 399,386,585 |
| Money Market Funds | 24,962,299 | — | — | 24,962,299 |
| Total Investments in Securities | 424,348,884 | — | — | 424,348,884 |
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 – Select Mid Cap Growth Fund | Semiannual Report 2022 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $464,601,687) | $399,386,585 |
| Affiliated issuers (cost $24,959,893) | 24,962,299 |
| Receivable for: | |
| Capital shares sold | 12,194 |
| Dividends | 48,039 |
| Expense reimbursement due from Investment Manager | 563 |
| Prepaid expenses | 7,288 |
| Total assets | 424,416,968 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 21,201,919 |
| Capital shares purchased | 538,147 |
| Management services fees | 8,793 |
| Distribution and/or service fees | 966 |
| Service fees | 14,658 |
| Compensation of board members | 119,261 |
| Compensation of chief compliance officer | 48 |
| Other expenses | 26,403 |
| Total liabilities | 21,910,195 |
| Net assets applicable to outstanding capital stock | $402,506,773 |
| Represented by | |
| Trust capital | $402,506,773 |
| Total - representing net assets applicable to outstanding capital stock | $402,506,773 |
| Class 1 | |
| Net assets | $157,504,617 |
| Shares outstanding | 4,605,623 |
| Net asset value per share | $34.20 |
| Class 2 | |
| Net assets | $32,790,737 |
| Shares outstanding | 987,683 |
| Net asset value per share | $33.20 |
| Class 3 | |
| Net assets | $212,211,419 |
| Shares outstanding | 6,300,436 |
| Net asset value per share | $33.68 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022
| 9 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $897,898 |
| Dividends — affiliated issuers | 24,436 |
| Interfund lending | 32 |
| Total income | 922,366 |
| Expenses: | |
| Management services fees | 1,915,010 |
| Distribution and/or service fees | |
| Class 2 | 48,982 |
| Class 3 | 162,903 |
| Service fees | 93,605 |
| Compensation of board members | 3,345 |
| Custodian fees | 4,630 |
| Printing and postage fees | 17,316 |
| Audit fees | 14,669 |
| Legal fees | 7,776 |
| Compensation of chief compliance officer | 26 |
| Other | 6,623 |
| Total expenses | 2,274,885 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (98,734) |
| Total net expenses | 2,176,151 |
| Net investment loss | (1,253,785) |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (15,190,041) |
| Investments — affiliated issuers | (3,369) |
| Net realized loss | (15,193,410) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (193,377,458) |
| Investments — affiliated issuers | 2,406 |
| Net change in unrealized appreciation (depreciation) | (193,375,052) |
| Net realized and unrealized loss | (208,568,462) |
| Net decrease in net assets resulting from operations | $(209,822,247) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment loss | $(1,253,785) | $(3,856,061) |
| Net realized gain (loss) | (15,193,410) | 132,462,791 |
| Net change in unrealized appreciation (depreciation) | (193,375,052) | (34,316,298) |
| Net increase (decrease) in net assets resulting from operations | (209,822,247) | 94,290,432 |
| Increase (decrease) in net assets from capital stock activity | 3,246,572 | (99,809,027) |
| Total decrease in net assets | (206,575,675) | (5,518,595) |
| Net assets at beginning of period | 609,082,448 | 614,601,043 |
| Net assets at end of period | $402,506,773 | $609,082,448 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 522,554 | 18,288,165 | 59,863 | 3,034,482 |
| Redemptions | (29,062) | (1,212,097) | (1,402,981) | (68,652,519) |
| Net increase (decrease) | 493,492 | 17,076,068 | (1,343,118) | (65,618,037) |
| Class 2 | | | | |
| Subscriptions | 91,611 | 3,613,069 | 191,146 | 9,305,333 |
| Redemptions | (81,030) | (3,137,874) | (144,156) | (6,877,414) |
| Net increase | 10,581 | 475,195 | 46,990 | 2,427,919 |
| Class 3 | | | | |
| Subscriptions | 7,608 | 285,784 | 15,003 | 734,550 |
| Redemptions | (362,797) | (14,590,475) | (764,385) | (37,353,459) |
| Net decrease | (355,189) | (14,304,691) | (749,382) | (36,618,909) |
| Total net increase (decrease) | 148,884 | 3,246,572 | (2,045,510) | (99,809,027) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $52.41 | (0.09) | (18.12) | (18.21) |
| Year Ended 12/31/2021 | $44.96 | (0.27) | 7.72 | 7.45 |
| Year Ended 12/31/2020 | $33.20 | (0.11) | 11.87 | 11.76 |
| Year Ended 12/31/2019 | $24.56 | 0.02 | 8.62 | 8.64 |
| Year Ended 12/31/2018 | $25.79 | 0.03 | (1.26) | (1.23) |
| Year Ended 12/31/2017 | $20.97 | 0.03 | 4.79 | 4.82 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $50.95 | (0.14) | (17.61) | (17.75) |
| Year Ended 12/31/2021 | $43.82 | (0.38) | 7.51 | 7.13 |
| Year Ended 12/31/2020 | $32.44 | (0.20) | 11.58 | 11.38 |
| Year Ended 12/31/2019 | $24.06 | (0.06) | 8.44 | 8.38 |
| Year Ended 12/31/2018 | $25.32 | (0.03) | (1.23) | (1.26) |
| Year Ended 12/31/2017 | $20.64 | (0.03) | 4.71 | 4.68 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $51.65 | (0.12) | (17.85) | (17.97) |
| Year Ended 12/31/2021 | $44.37 | (0.33) | 7.61 | 7.28 |
| Year Ended 12/31/2020 | $32.80 | (0.16) | 11.73 | 11.57 |
| Year Ended 12/31/2019 | $24.30 | (0.02) | 8.52 | 8.50 |
| Year Ended 12/31/2018 | $25.54 | (0.00)(e) | (1.24) | (1.24) |
| Year Ended 12/31/2017 | $20.80 | 0.00(e) | 4.74 | 4.74 |
| 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) | Annualized. |
| (d) | Ratios include interfund lending expense which is less than 0.01%. |
| (e) | Rounds to zero. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $34.20 | (34.75%) | 0.88%(c) | 0.84%(c) | (0.44%)(c) | 38% | $157,505 |
| Year Ended 12/31/2021 | $52.41 | 16.57% | 0.88% | 0.82% | (0.54%) | 75% | $215,521 |
| Year Ended 12/31/2020 | $44.96 | 35.42% | 0.88%(d) | 0.77%(d) | (0.32%) | 84% | $245,292 |
| Year Ended 12/31/2019 | $33.20 | 35.18% | 0.88% | 0.73% | 0.06% | 70% | $231,471 |
| Year Ended 12/31/2018 | $24.56 | (4.77%) | 0.89% | 0.74% | 0.12% | 150% | $183,546 |
| Year Ended 12/31/2017 | $25.79 | 22.98% | 0.91% | 0.74% | 0.14% | 115% | $198,617 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $33.20 | (34.84%) | 1.13%(c) | 1.09%(c) | (0.69%)(c) | 38% | $32,791 |
| Year Ended 12/31/2021 | $50.95 | 16.27% | 1.13% | 1.07% | (0.79%) | 75% | $49,778 |
| Year Ended 12/31/2020 | $43.82 | 35.08% | 1.13%(d) | 1.02%(d) | (0.58%) | 84% | $40,754 |
| Year Ended 12/31/2019 | $32.44 | 34.83% | 1.13% | 0.98% | (0.19%) | 70% | $28,169 |
| Year Ended 12/31/2018 | $24.06 | (4.98%) | 1.14% | 0.99% | (0.12%) | 150% | $19,966 |
| Year Ended 12/31/2017 | $25.32 | 22.68% | 1.16% | 0.99% | (0.11%) | 115% | $18,148 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $33.68 | (34.79%) | 1.01%(c) | 0.96%(c) | (0.57%)(c) | 38% | $212,211 |
| Year Ended 12/31/2021 | $51.65 | 16.41% | 1.00% | 0.94% | (0.66%) | 75% | $343,782 |
| Year Ended 12/31/2020 | $44.37 | 35.28% | 1.01%(d) | 0.90%(d) | (0.45%) | 84% | $328,556 |
| Year Ended 12/31/2019 | $32.80 | 34.98% | 1.01% | 0.85% | (0.07%) | 70% | $269,172 |
| Year Ended 12/31/2018 | $24.30 | (4.86%) | 1.01% | 0.86% | (0.01%) | 150% | $227,630 |
| Year Ended 12/31/2017 | $25.54 | 22.79% | 1.03% | 0.86% | 0.01% | 115% | $268,941 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022
| 13 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Select Mid Cap Growth Fund (formerly known as 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.
Effective May 1, 2022, Columbia Variable Portfolio - Mid Cap Growth Fund was renamed Columbia Variable Portfolio – Select Mid Cap Growth Fund.
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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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
| 14 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
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, if available.
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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 – Select Mid Cap Growth Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements (continued)
June 30, 2022 (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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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, 2022 was 0.82% of the Fund’s average daily net assets.
Participating Affiliates
The Investment Manager and its investment advisory affiliates (Affiliates) may coordinate in providing services to their clients. From time to time, the Investment Manager may engage its 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 Affiliates provide services to the Investment Manager pursuant to personnel-sharing agreements or other inter-company arrangements and the Fund pays no additional fees and expenses as a result of any such arrangements.
These Affiliates, like the Investment Manager, are direct or indirect subsidiaries of Ameriprise Financial and are registered with the appropriate respective regulators and, where required, the Securities and Exchange Commission and the Commodity Futures Trading Commission in the United States. Pursuant to such arrangements, employees of Affiliates may serve as “associated persons” of the Investment Manager and, in this capacity, may provide such services to the Fund on behalf of the Investment Manager 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 SAI, and the Investment Manager’s and the Fund’s compliance policies and procedures.
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 Deferred 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
| 16 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
remains in the Fund until distributed in accordance with the Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.04% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | Fee rate(s) contractual
through
April 30, 2023 |
| Class 1 | 0.84% |
| Class 2 | 1.09 |
| Class 3 | 0.965 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is
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| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 $197,338,907 and $179,104,503, respectively, for the six months ended June 30, 2022. 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended June 30, 2022 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Lender | 566,667 | 0.69 | 3 |
Interest income earned by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at June 30, 2022.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective
| 18 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 8. Significant risks
Health care sector risk
The Fund is 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.
Information technology sector risk
The Fund is more susceptible to the particular risks that may affect companies in the information technology sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the information technology sector 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 information 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. Some companies in the information technology sector are facing increased government and regulatory scrutiny and may be subject to adverse government or regulatory action, which could negatively impact the value of their securities.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, affiliated shareholders of record owned 96.3% 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
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.
Note 9. 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 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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.
| 20 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022
| 21 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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 Mid Cap Growth Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
| 22 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022
| 23 |
Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Manager and discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had
| 24 | Columbia Variable Portfolio – Select Mid Cap Growth Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
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| 25 |
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Columbia Variable Portfolio – Select Mid Cap Growth Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – Select Large Cap Value Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term growth of capital.
Portfolio management
Richard Rosen
Lead Portfolio Manager
Managed Fund since 2008
Richard Taft
Portfolio Manager
Managed Fund since 2016
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/03/10 | -11.17 | -7.23 | 8.81 | 12.21 |
| Class 2 | 05/03/10 | -11.27 | -7.46 | 8.54 | 11.94 |
| Class 3 | 02/04/04 | -11.20 | -7.33 | 8.68 | 12.07 |
| Russell 1000 Value Index | | -12.86 | -6.82 | 7.17 | 10.50 |
| S&P 500 Index | | -19.96 | -10.62 | 11.31 | 12.96 |
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 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 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.
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Common Stocks | 98.3 |
| Money Market Funds | 1.4 |
| Preferred Stocks | 0.3 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 5.1 |
| Consumer Discretionary | 3.9 |
| Consumer Staples | 4.0 |
| Energy | 9.5 |
| Financials | 19.3 |
| Health Care | 15.7 |
| Industrials | 10.1 |
| Information Technology | 13.8 |
| Materials | 9.6 |
| Utilities | 9.0 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 888.30 | 1,021.42 | 3.18 | 3.41 | 0.68 |
| Class 2 | 1,000.00 | 1,000.00 | 887.30 | 1,020.18 | 4.35 | 4.66 | 0.93 |
| Class 3 | 1,000.00 | 1,000.00 | 888.00 | 1,020.78 | 3.79 | 4.06 | 0.81 |
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.
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 98.3% |
| Issuer | Shares | Value ($) |
| Communication Services 5.0% |
| Diversified Telecommunication Services 5.0% |
| Verizon Communications, Inc. | 2,079,687 | 105,544,115 |
| Total Communication Services | 105,544,115 |
| Consumer Discretionary 3.6% |
| Internet & Direct Marketing Retail 0.6% |
| Qurate Retail, Inc. | 3,975,585 | 11,409,929 |
| Specialty Retail 3.0% |
| Lowe’s Companies, Inc. | 366,011 | 63,931,141 |
| Total Consumer Discretionary | 75,341,070 |
| Consumer Staples 3.9% |
| Tobacco 3.9% |
| Philip Morris International, Inc. | 836,276 | 82,573,892 |
| Total Consumer Staples | 82,573,892 |
| Energy 9.3% |
| Energy Equipment & Services 1.3% |
| TechnipFMC PLC(a) | 4,028,606 | 27,112,518 |
| Oil, Gas & Consumable Fuels 8.0% |
| Chevron Corp. | 296,695 | 42,955,502 |
| Marathon Petroleum Corp. | 727,863 | 59,837,617 |
| Williams Companies, Inc. (The) | 2,136,088 | 66,667,307 |
| Total | | 169,460,426 |
| Total Energy | 196,572,944 |
| Financials 19.0% |
| Banks 10.5% |
| Bank of America Corp. | 1,925,347 | 59,936,052 |
| Citigroup, Inc. | 1,069,002 | 49,163,402 |
| JPMorgan Chase & Co. | 406,603 | 45,787,564 |
| Wells Fargo & Co. | 1,662,910 | 65,136,184 |
| Total | | 220,023,202 |
| Capital Markets 2.5% |
| Morgan Stanley | 702,827 | 53,457,022 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Insurance 6.0% |
| American International Group, Inc. | 1,191,020 | 60,896,853 |
| MetLife, Inc. | 1,047,923 | 65,799,085 |
| Total | | 126,695,938 |
| Total Financials | 400,176,162 |
| Health Care 15.5% |
| Health Care Equipment & Supplies 2.5% |
| Baxter International, Inc. | 809,589 | 51,999,902 |
| Health Care Providers & Services 9.5% |
| Centene Corp.(a) | 811,700 | 68,677,937 |
| Cigna Corp. | 284,131 | 74,874,201 |
| Humana, Inc. | 122,817 | 57,486,953 |
| Total | | 201,039,091 |
| Pharmaceuticals 3.5% |
| Bristol-Myers Squibb Co. | 949,088 | 73,079,776 |
| Total Health Care | 326,118,769 |
| Industrials 10.0% |
| Aerospace & Defense 3.3% |
| Raytheon Technologies Corp. | 714,331 | 68,654,353 |
| Airlines 2.5% |
| Southwest Airlines Co.(a) | 1,469,398 | 53,074,656 |
| Machinery 1.5% |
| Caterpillar, Inc. | 170,091 | 30,405,467 |
| Road & Rail 2.7% |
| CSX Corp. | 1,139,509 | 33,114,131 |
| Union Pacific Corp. | 114,227 | 24,362,335 |
| Total | | 57,476,466 |
| Total Industrials | 209,610,942 |
| Information Technology 13.7% |
| Communications Equipment 3.2% |
| Cisco Systems, Inc. | 1,596,751 | 68,085,463 |
| Electronic Equipment, Instruments & Components 3.2% |
| Corning, Inc. | 2,156,720 | 67,958,247 |
| IT Services 0.2% |
| EPAM Systems, Inc.(a) | 10,486 | 3,091,063 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Semiconductors & Semiconductor Equipment 5.4% |
| Applied Materials, Inc. | 528,722 | 48,103,128 |
| QUALCOMM, Inc. | 510,000 | 65,147,400 |
| Total | | 113,250,528 |
| Software 1.7% |
| Teradata Corp.(a) | 938,740 | 34,742,767 |
| Total Information Technology | 287,128,068 |
| Materials 9.5% |
| Chemicals 3.7% |
| FMC Corp. | 727,116 | 77,808,683 |
| Metals & Mining 5.8% |
| Barrick Gold Corp. | 3,496,770 | 61,857,862 |
| Freeport-McMoRan, Inc. | 2,036,878 | 59,599,050 |
| Total | | 121,456,912 |
| Total Materials | 199,265,595 |
| Utilities 8.8% |
| Electric Utilities 6.7% |
| FirstEnergy Corp. | 2,224,823 | 85,410,955 |
| PG&E Corp.(a) | 5,515,248 | 55,042,175 |
| Total | | 140,453,130 |
| Independent Power and Renewable Electricity Producers 2.1% |
| AES Corp. (The) | 2,158,734 | 45,355,001 |
| Total Utilities | 185,808,131 |
Total Common Stocks
(Cost $1,774,912,421) | 2,068,139,688 |
| Preferred Stocks 0.3% |
| Issuer | | Shares | Value ($) |
| Consumer Discretionary 0.3% |
| Internet & Direct Marketing Retail 0.3% |
| Qurate Retail, Inc. | 8.000% | 96,461 | 5,638,145 |
| Total Consumer Discretionary | 5,638,145 |
Total Preferred Stocks
(Cost $15,214,419) | 5,638,145 |
| Money Market Funds 1.4% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(b),(c) | 28,935,172 | 28,917,811 |
Total Money Market Funds
(Cost $28,925,373) | 28,917,811 |
Total Investments in Securities
(Cost: $1,819,052,213) | 2,102,695,644 |
| Other Assets & Liabilities, Net | | 209,211 |
| Net Assets | 2,102,904,855 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 45,107,980 | 245,360,160 | (261,544,497) | (5,832) | 28,917,811 | (15,928) | 92,328 | 28,935,172 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 105,544,115 | — | — | 105,544,115 |
| Consumer Discretionary | 75,341,070 | — | — | 75,341,070 |
| Consumer Staples | 82,573,892 | — | — | 82,573,892 |
| Energy | 196,572,944 | — | — | 196,572,944 |
| Financials | 400,176,162 | — | — | 400,176,162 |
| Health Care | 326,118,769 | — | — | 326,118,769 |
| Industrials | 209,610,942 | — | — | 209,610,942 |
| Information Technology | 287,128,068 | — | — | 287,128,068 |
| Materials | 199,265,595 | — | — | 199,265,595 |
| Utilities | 185,808,131 | — | — | 185,808,131 |
| Total Common Stocks | 2,068,139,688 | — | — | 2,068,139,688 |
| Preferred Stocks | | | | |
| Consumer Discretionary | 5,638,145 | — | — | 5,638,145 |
| Total Preferred Stocks | 5,638,145 | — | — | 5,638,145 |
| Money Market Funds | 28,917,811 | — | — | 28,917,811 |
| Total Investments in Securities | 2,102,695,644 | — | — | 2,102,695,644 |
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 – Select Large Cap Value Fund | Semiannual Report 2022 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,790,126,840) | $2,073,777,833 |
| Affiliated issuers (cost $28,925,373) | 28,917,811 |
| Receivable for: | |
| Capital shares sold | 967 |
| Dividends | 2,302,230 |
| Prepaid expenses | 15,158 |
| Total assets | 2,105,013,999 |
| Liabilities | |
| Payable for: | |
| Capital shares purchased | 1,923,103 |
| Management services fees | 39,359 |
| Distribution and/or service fees | 768 |
| Service fees | 20,921 |
| Compensation of board members | 100,784 |
| Compensation of chief compliance officer | 246 |
| Other expenses | 23,963 |
| Total liabilities | 2,109,144 |
| Net assets applicable to outstanding capital stock | $2,102,904,855 |
| Represented by | |
| Trust capital | $2,102,904,855 |
| Total - representing net assets applicable to outstanding capital stock | $2,102,904,855 |
| Class 1 | |
| Net assets | $1,953,162,964 |
| Shares outstanding | 58,754,623 |
| Net asset value per share | $33.24 |
| Class 2 | |
| Net assets | $72,106,260 |
| Shares outstanding | 2,234,218 |
| Net asset value per share | $32.27 |
| Class 3 | |
| Net assets | $77,635,631 |
| Shares outstanding | 2,372,303 |
| Net asset value per share | $32.73 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022
| 9 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $29,172,215 |
| Dividends — affiliated issuers | 92,328 |
| Interfund lending | 335 |
| Foreign taxes withheld | (159,811) |
| Total income | 29,105,067 |
| Expenses: | |
| Management services fees | 8,127,192 |
| Distribution and/or service fees | |
| Class 2 | 93,257 |
| Class 3 | 51,826 |
| Service fees | 80,434 |
| Compensation of board members | 15,058 |
| Custodian fees | 6,603 |
| Printing and postage fees | 7,348 |
| Audit fees | 14,669 |
| Legal fees | 17,744 |
| Compensation of chief compliance officer | 166 |
| Other | 16,716 |
| Total expenses | 8,431,013 |
| Net investment income | 20,674,054 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 147,672,820 |
| Investments — affiliated issuers | (15,928) |
| Net realized gain | 147,656,892 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (430,240,640) |
| Investments — affiliated issuers | (5,832) |
| Net change in unrealized appreciation (depreciation) | (430,246,472) |
| Net realized and unrealized loss | (282,589,580) |
| Net decrease in net assets resulting from operations | $(261,915,526) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $20,674,054 | $53,584,215 |
| Net realized gain | 147,656,892 | 180,145,174 |
| Net change in unrealized appreciation (depreciation) | (430,246,472) | 333,856,941 |
| Net increase (decrease) in net assets resulting from operations | (261,915,526) | 567,586,330 |
| Increase (decrease) in net assets from capital stock activity | (250,429,016) | 46,923,953 |
| Total increase (decrease) in net assets | (512,344,542) | 614,510,283 |
| Net assets at beginning of period | 2,615,249,397 | 2,000,739,114 |
| Net assets at end of period | $2,102,904,855 | $2,615,249,397 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 238,597 | 8,717,580 | 14,676,863 | 471,764,199 |
| Redemptions | (7,276,909) | (274,229,112) | (13,484,829) | (466,074,224) |
| Net increase (decrease) | (7,038,312) | (265,511,532) | 1,192,034 | 5,689,975 |
| Class 2 | | | | |
| Subscriptions | 384,490 | 13,947,294 | 851,603 | 29,232,738 |
| Redemptions | (93,853) | (3,352,419) | (86,334) | (2,917,352) |
| Net increase | 290,637 | 10,594,875 | 765,269 | 26,315,386 |
| Class 3 | | | | |
| Subscriptions | 197,794 | 7,170,906 | 552,863 | 18,697,162 |
| Redemptions | (72,893) | (2,683,265) | (109,634) | (3,778,570) |
| Net increase | 124,901 | 4,487,641 | 443,229 | 14,918,592 |
| Total net increase (decrease) | (6,622,774) | (250,429,016) | 2,400,532 | 46,923,953 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $37.42 | 0.32 | (4.50) | (4.18) |
| Year Ended 12/31/2021 | $29.63 | 0.74 | 7.05 | 7.79 |
| Year Ended 12/31/2020 | $27.67 | 0.64 | 1.32 | 1.96 |
| Year Ended 12/31/2019 | $21.83 | 0.43 | 5.41 | 5.84 |
| Year Ended 12/31/2018 | $24.87 | 0.40 | (3.44) | (3.04) |
| Year Ended 12/31/2017 | $20.56 | 0.30 | 4.01 | 4.31 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $36.37 | 0.26 | (4.36) | (4.10) |
| Year Ended 12/31/2021 | $28.87 | 0.66 | 6.84 | 7.50 |
| Year Ended 12/31/2020 | $27.03 | 0.56 | 1.28 | 1.84 |
| Year Ended 12/31/2019 | $21.38 | 0.36 | 5.29 | 5.65 |
| Year Ended 12/31/2018 | $24.42 | 0.33 | (3.37) | (3.04) |
| Year Ended 12/31/2017 | $20.23 | 0.24 | 3.95 | 4.19 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $36.86 | 0.29 | (4.42) | (4.13) |
| Year Ended 12/31/2021 | $29.22 | 0.71 | 6.93 | 7.64 |
| Year Ended 12/31/2020 | $27.32 | 0.59 | 1.31 | 1.90 |
| Year Ended 12/31/2019 | $21.59 | 0.39 | 5.34 | 5.73 |
| Year Ended 12/31/2018 | $24.62 | 0.36 | (3.39) | (3.03) |
| Year Ended 12/31/2017 | $20.38 | 0.27 | 3.97 | 4.24 |
| 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) | Annualized. |
| (d) | Ratios include interfund lending 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 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $33.24 | (11.17%) | 0.68%(c) | 0.68%(c) | 1.71%(c) | 5% | $1,953,163 |
| Year Ended 12/31/2021 | $37.42 | 26.29% | 0.68% | 0.68% | 2.12% | 21% | $2,461,727 |
| Year Ended 12/31/2020 | $29.63 | 7.08% | 0.71%(d) | 0.71%(d) | 2.59% | 29% | $1,913,998 |
| Year Ended 12/31/2019 | $27.67 | 26.75% | 0.73%(d) | 0.73%(d) | 1.73% | 11% | $1,241,829 |
| Year Ended 12/31/2018 | $21.83 | (12.22%) | 0.73% | 0.73% | 1.60% | 16% | $1,102,434 |
| Year Ended 12/31/2017 | $24.87 | 20.96% | 0.76% | 0.75% | 1.35% | 8% | $1,322,918 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $32.27 | (11.27%) | 0.93%(c) | 0.93%(c) | 1.46%(c) | 5% | $72,106 |
| Year Ended 12/31/2021 | $36.37 | 25.98% | 0.93% | 0.93% | 1.93% | 21% | $70,689 |
| Year Ended 12/31/2020 | $28.87 | 6.81% | 0.96%(d) | 0.96%(d) | 2.32% | 29% | $34,020 |
| Year Ended 12/31/2019 | $27.03 | 26.43% | 0.98%(d) | 0.98%(d) | 1.48% | 11% | $32,815 |
| Year Ended 12/31/2018 | $21.38 | (12.45%) | 0.98% | 0.98% | 1.36% | 16% | $24,610 |
| Year Ended 12/31/2017 | $24.42 | 20.71% | 1.01% | 1.00% | 1.10% | 8% | $22,501 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $32.73 | (11.20%) | 0.81%(c) | 0.81%(c) | 1.59%(c) | 5% | $77,636 |
| Year Ended 12/31/2021 | $36.86 | 26.15% | 0.80% | 0.80% | 2.04% | 21% | $82,833 |
| Year Ended 12/31/2020 | $29.22 | 6.95% | 0.83%(d) | 0.83%(d) | 2.40% | 29% | $52,721 |
| Year Ended 12/31/2019 | $27.32 | 26.54% | 0.86%(d) | 0.86%(d) | 1.61% | 11% | $56,957 |
| Year Ended 12/31/2018 | $21.59 | (12.31%) | 0.85% | 0.85% | 1.48% | 16% | $48,804 |
| Year Ended 12/31/2017 | $24.62 | 20.81% | 0.89% | 0.88% | 1.22% | 8% | $56,053 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022
| 13 |
Notes to Financial Statements
June 30, 2022 (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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 14 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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 – Select Large Cap Value Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements (continued)
June 30, 2022 (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 in 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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, 2022 was 0.67% of the Fund’s average daily net assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
| 16 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.01% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | Fee rate(s) contractual
through
April 30, 2023 |
| Class 1 | 0.72% |
| Class 2 | 0.97 |
| Class 3 | 0.845 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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 $128,284,818 and $351,538,675, respectively, for the six months ended June 30, 2022. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended June 30, 2022 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Lender | 8,400,000 | 0.98 | 2 |
Interest income earned by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at June 30, 2022.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
| 18 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 8. Significant risks
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, affiliated shareholders of record owned 98.3% 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 9. 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 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
| 20 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022
| 21 |
Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
| 22 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Manager, including accounts subadvised by the Investment Manager, and discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had
Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022
| 23 |
Approval of Management Agreement (continued)
(Unaudited)
considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
| 24 | Columbia Variable Portfolio – Select Large Cap Value Fund | Semiannual Report 2022 |
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Columbia Variable Portfolio – Select Large Cap Value Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – Core Equity Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term growth of capital.
Portfolio management
Raghavendran Sivaraman, Ph.D., CFA
Co-Portfolio Manager
Managed Fund since 2019
Oleg Nusinzon, CFA
Co-Portfolio Manager
Managed Fund since 2021
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Columbia Variable Portfolio — Core Equity Fund | 09/10/04 | -19.50 | -8.77 | 11.15 | 12.85 |
| S&P 500 Index | | -19.96 | -10.62 | 11.31 | 12.96 |
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 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.
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Common Stocks | 98.9 |
| Money Market Funds | 1.1 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 9.1 |
| Consumer Discretionary | 10.5 |
| Consumer Staples | 6.7 |
| Energy | 4.1 |
| Financials | 10.6 |
| Health Care | 15.4 |
| Industrials | 8.4 |
| Information Technology | 26.9 |
| Materials | 2.5 |
| Real Estate | 3.2 |
| Utilities | 2.6 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 – Core Equity Fund | 1,000.00 | 1,000.00 | 805.00 | 1,022.81 | 1.79 | 2.01 | 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.
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 98.9% |
| Issuer | Shares | Value ($) |
| Communication Services 9.0% |
| Diversified Telecommunication Services 0.6% |
| Verizon Communications, Inc. | 21,050 | 1,068,288 |
| Interactive Media & Services 7.3% |
| Alphabet, Inc., Class A(a) | 4,449 | 9,695,528 |
| Meta Platforms, Inc., Class A(a) | 22,482 | 3,625,222 |
| Total | | 13,320,750 |
| Media 1.1% |
| Interpublic Group of Companies, Inc. (The) | 74,070 | 2,039,147 |
| Total Communication Services | 16,428,185 |
| Consumer Discretionary 10.4% |
| Automobiles 0.6% |
| Tesla Motors, Inc.(a) | 1,654 | 1,113,837 |
| Hotels, Restaurants & Leisure 1.1% |
| Darden Restaurants, Inc. | 2,233 | 252,597 |
| Expedia Group, Inc.(a) | 18,771 | 1,780,054 |
| Total | | 2,032,651 |
| Household Durables 1.7% |
| Lennar Corp., Class A | 23,420 | 1,652,749 |
| PulteGroup, Inc. | 37,279 | 1,477,367 |
| Total | | 3,130,116 |
| Internet & Direct Marketing Retail 1.7% |
| Amazon.com, Inc.(a) | 28,080 | 2,982,377 |
| Specialty Retail 3.5% |
| AutoZone, Inc.(a) | 1,389 | 2,985,128 |
| O’Reilly Automotive, Inc.(a) | 4,554 | 2,877,035 |
| Ulta Beauty, Inc.(a) | 1,450 | 558,946 |
| Total | | 6,421,109 |
| Textiles, Apparel & Luxury Goods 1.8% |
| Ralph Lauren Corp. | 20,712 | 1,856,831 |
| Tapestry, Inc. | 15,923 | 485,970 |
| Under Armour, Inc., Class A(a) | 108,411 | 903,063 |
| Total | | 3,245,864 |
| Total Consumer Discretionary | 18,925,954 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Consumer Staples 6.6% |
| Food & Staples Retailing 0.7% |
| Kroger Co. (The) | 26,818 | 1,269,296 |
| Food Products 1.6% |
| Tyson Foods, Inc., Class A | 34,947 | 3,007,539 |
| Household Products 2.0% |
| Procter & Gamble Co. (The) | 25,946 | 3,730,775 |
| Tobacco 2.3% |
| Altria Group, Inc. | 61,285 | 2,559,874 |
| Philip Morris International, Inc. | 15,985 | 1,578,359 |
| Total | | 4,138,233 |
| Total Consumer Staples | 12,145,843 |
| Energy 4.1% |
| Oil, Gas & Consumable Fuels 4.1% |
| ConocoPhillips Co. | 7,687 | 690,370 |
| Devon Energy Corp. | 9,100 | 501,501 |
| Exxon Mobil Corp. | 53,481 | 4,580,113 |
| Marathon Petroleum Corp. | 20,820 | 1,711,612 |
| Total | | 7,483,596 |
| Total Energy | 7,483,596 |
| Financials 10.4% |
| Banks 2.0% |
| Wells Fargo & Co. | 91,894 | 3,599,488 |
| Capital Markets 2.3% |
| Bank of New York Mellon Corp. (The) | 17,062 | 711,656 |
| Morgan Stanley | 46,546 | 3,540,289 |
| Total | | 4,251,945 |
| Consumer Finance 2.0% |
| Capital One Financial Corp. | 24,364 | 2,538,485 |
| Discover Financial Services | 12,773 | 1,208,070 |
| Total | | 3,746,555 |
| Diversified Financial Services 0.2% |
| Voya Financial, Inc. | 5,955 | 354,501 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Insurance 3.9% |
| Allstate Corp. (The) | 6,578 | 833,630 |
| Aon PLC, Class A | 1,624 | 437,960 |
| Marsh & McLennan Companies, Inc. | 21,199 | 3,291,145 |
| MetLife, Inc. | 40,743 | 2,558,253 |
| Total | | 7,120,988 |
| Total Financials | 19,073,477 |
| Health Care 15.2% |
| Biotechnology 2.5% |
| AbbVie, Inc. | 11,745 | 1,798,864 |
| Amgen, Inc. | 737 | 179,312 |
| BioMarin Pharmaceutical, Inc.(a) | 6,546 | 542,467 |
| Regeneron Pharmaceuticals, Inc.(a) | 1,183 | 699,307 |
| Vertex Pharmaceuticals, Inc.(a) | 4,870 | 1,372,317 |
| Total | | 4,592,267 |
| Health Care Equipment & Supplies 1.6% |
| Abbott Laboratories | 26,898 | 2,922,468 |
| Health Care Providers & Services 3.9% |
| CVS Health Corp. | 24,677 | 2,286,571 |
| McKesson Corp. | 9,385 | 3,061,481 |
| Molina Healthcare, Inc.(a) | 6,156 | 1,721,279 |
| Total | | 7,069,331 |
| Life Sciences Tools & Services 1.9% |
| IQVIA Holdings, Inc.(a) | 16,106 | 3,494,841 |
| Pharmaceuticals 5.3% |
| Bristol-Myers Squibb Co. | 55,650 | 4,285,050 |
| Pfizer, Inc. | 98,424 | 5,160,370 |
| Viatris, Inc. | 29,487 | 308,729 |
| Total | | 9,754,149 |
| Total Health Care | 27,833,056 |
| Industrials 8.4% |
| Aerospace & Defense 3.7% |
| General Dynamics Corp. | 14,842 | 3,283,793 |
| Lockheed Martin Corp. | 5,342 | 2,296,846 |
| Textron, Inc. | 19,249 | 1,175,537 |
| Total | | 6,756,176 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Air Freight & Logistics 0.8% |
| United Parcel Service, Inc., Class B | 7,894 | 1,440,971 |
| Airlines 0.2% |
| Delta Air Lines, Inc.(a) | 5,255 | 152,237 |
| Southwest Airlines Co.(a) | 4,873 | 176,013 |
| Total | | 328,250 |
| Commercial Services & Supplies 0.9% |
| Cintas Corp. | 3,643 | 1,360,770 |
| Republic Services, Inc. | 2,806 | 367,221 |
| Total | | 1,727,991 |
| Electrical Equipment 1.1% |
| Emerson Electric Co. | 24,641 | 1,959,945 |
| Machinery 1.0% |
| Otis Worldwide Corp. | 15,193 | 1,073,689 |
| Snap-On, Inc. | 3,995 | 787,135 |
| Total | | 1,860,824 |
| Professional Services 0.3% |
| Robert Half International, Inc. | 7,155 | 535,838 |
| Road & Rail 0.4% |
| Norfolk Southern Corp. | 2,883 | 655,277 |
| Total Industrials | 15,265,272 |
| Information Technology 26.6% |
| Communications Equipment 2.0% |
| Cisco Systems, Inc. | 84,668 | 3,610,243 |
| IT Services 2.2% |
| Accenture PLC, Class A | 3,256 | 904,028 |
| Gartner, Inc.(a) | 3,150 | 761,765 |
| MasterCard, Inc., Class A | 4,194 | 1,323,123 |
| VeriSign, Inc.(a) | 6,296 | 1,053,510 |
| Total | | 4,042,426 |
| Semiconductors & Semiconductor Equipment 4.8% |
| Advanced Micro Devices, Inc.(a) | 34,562 | 2,642,956 |
| Lam Research Corp. | 6,790 | 2,893,558 |
| QUALCOMM, Inc. | 24,913 | 3,182,387 |
| Total | | 8,718,901 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Software 10.8% |
| Adobe, Inc.(a) | 8,148 | 2,982,657 |
| Autodesk, Inc.(a) | 4,854 | 834,694 |
| Fortinet, Inc.(a) | 59,550 | 3,369,339 |
| Microsoft Corp. | 49,029 | 12,592,118 |
| Total | | 19,778,808 |
| Technology Hardware, Storage & Peripherals 6.8% |
| Apple, Inc.(b) | 91,804 | 12,551,443 |
| Total Information Technology | 48,701,821 |
| Materials 2.5% |
| Chemicals 1.6% |
| Dow, Inc. | 56,664 | 2,924,429 |
| Metals & Mining 0.9% |
| Nucor Corp. | 15,640 | 1,632,972 |
| Total Materials | 4,557,401 |
| Real Estate 3.1% |
| Equity Real Estate Investment Trusts (REITS) 3.1% |
| SBA Communications Corp. | 6,390 | 2,045,120 |
| Simon Property Group, Inc. | 4,571 | 433,879 |
| Weyerhaeuser Co. | 97,084 | 3,215,422 |
| Total | | 5,694,421 |
| Total Real Estate | 5,694,421 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Utilities 2.6% |
| Electric Utilities 2.6% |
| American Electric Power Co., Inc. | 17,980 | 1,725,001 |
| Evergy, Inc. | 22,780 | 1,486,395 |
| NRG Energy, Inc. | 39,348 | 1,501,913 |
| Total | | 4,713,309 |
| Total Utilities | 4,713,309 |
Total Common Stocks
(Cost $161,794,158) | 180,822,335 |
|
| Money Market Funds 1.1% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(c),(d) | 1,928,915 | 1,927,758 |
Total Money Market Funds
(Cost $1,928,088) | 1,927,758 |
Total Investments in Securities
(Cost: $163,722,246) | 182,750,093 |
| Other Assets & Liabilities, Net | | 14,605 |
| Net Assets | 182,764,698 |
At June 30, 2022, securities and/or cash totaling $199,611 were pledged as collateral.
Investments in derivatives
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| S&P 500 Index E-mini | 11 | 09/2022 | USD | 2,084,225 | — | (125,345) |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (c) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Notes to Portfolio of Investments (continued)
| (d) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 3,047,987 | 9,375,491 | (10,495,452) | (268) | 1,927,758 | (1,126) | 4,934 | 1,928,915 |
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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 16,428,185 | — | — | 16,428,185 |
| Consumer Discretionary | 18,925,954 | — | — | 18,925,954 |
| Consumer Staples | 12,145,843 | — | — | 12,145,843 |
| Energy | 7,483,596 | — | — | 7,483,596 |
| Financials | 19,073,477 | — | — | 19,073,477 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022
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Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Fair value measurements (continued)
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Health Care | 27,833,056 | — | — | 27,833,056 |
| Industrials | 15,265,272 | — | — | 15,265,272 |
| Information Technology | 48,701,821 | — | — | 48,701,821 |
| Materials | 4,557,401 | — | — | 4,557,401 |
| Real Estate | 5,694,421 | — | — | 5,694,421 |
| Utilities | 4,713,309 | — | — | 4,713,309 |
| Total Common Stocks | 180,822,335 | — | — | 180,822,335 |
| Money Market Funds | 1,927,758 | — | — | 1,927,758 |
| Total Investments in Securities | 182,750,093 | — | — | 182,750,093 |
| Investments in Derivatives | | | | |
| Liability | | | | |
| Futures Contracts | (125,345) | — | — | (125,345) |
| Total | 182,624,748 | — | — | 182,624,748 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
Derivative instruments are valued at unrealized appreciation (depreciation).
The accompanying Notes to Financial Statements are an integral part of this statement.
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Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $161,794,158) | $180,822,335 |
| Affiliated issuers (cost $1,928,088) | 1,927,758 |
| Receivable for: | |
| Investments sold | 4,922,588 |
| Dividends | 183,715 |
| Expense reimbursement due from Investment Manager | 226 |
| Prepaid expenses | 5,330 |
| Total assets | 187,861,952 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 4,843,061 |
| Capital shares purchased | 155,221 |
| Variation margin for futures contracts | 17,463 |
| Management services fees | 2,020 |
| Compensation of board members | 57,895 |
| Compensation of chief compliance officer | 20 |
| Other expenses | 21,574 |
| Total liabilities | 5,097,254 |
| Net assets applicable to outstanding capital stock | $182,764,698 |
| Represented by | |
| Trust capital | $182,764,698 |
| Total - representing net assets applicable to outstanding capital stock | $182,764,698 |
| Shares outstanding | 6,013,486 |
| Net asset value per share | 30.39 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022
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Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $1,979,724 |
| Dividends — affiliated issuers | 4,934 |
| Total income | 1,984,658 |
| Expenses: | |
| Management services fees | 418,024 |
| Compensation of board members | 5,482 |
| Custodian fees | 4,085 |
| Printing and postage fees | 4,631 |
| Audit fees | 14,669 |
| Legal fees | 6,272 |
| Compensation of chief compliance officer | 15 |
| Other | 3,826 |
| Total expenses | 457,004 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (38,900) |
| Total net expenses | 418,104 |
| Net investment income | 1,566,554 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 8,134,744 |
| Investments — affiliated issuers | (1,126) |
| Futures contracts | (566,453) |
| Net realized gain | 7,567,165 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (54,133,905) |
| Investments — affiliated issuers | (268) |
| Futures contracts | (214,586) |
| Net change in unrealized appreciation (depreciation) | (54,348,759) |
| Net realized and unrealized loss | (46,781,594) |
| Net decrease in net assets resulting from operations | $(45,215,040) |
The accompanying Notes to Financial Statements are an integral part of this statement.
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Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $1,566,554 | $2,768,633 |
| Net realized gain | 7,567,165 | 36,116,585 |
| Net change in unrealized appreciation (depreciation) | (54,348,759) | 24,376,005 |
| Net increase (decrease) in net assets resulting from operations | (45,215,040) | 63,261,223 |
| Decrease in net assets from capital stock activity | (10,291,998) | (25,991,912) |
| Total increase (decrease) in net assets | (55,507,038) | 37,269,311 |
| Net assets at beginning of period | 238,271,736 | 201,002,425 |
| Net assets at end of period | $182,764,698 | $238,271,736 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| | | | | |
| Subscriptions | 1,597 | 50,877 | 13,540 | 433,903 |
| Redemptions | (300,572) | (10,342,875) | (792,952) | (26,425,815) |
| Total net decrease | (298,975) | (10,291,998) | (779,412) | (25,991,912) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022
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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, 2022
(Unaudited) | Year Ended December 31, |
| 2021 | 2020 | 2019 | 2018 | 2017 |
| Per share data | | | | | | |
| Net asset value, beginning of period | $37.75 | $28.34 | $24.76 | $19.78 | $20.45 | $16.39 |
| Income from investment operations: | | | | | | |
| Net investment income | 0.25 | 0.41 | 0.40 | 0.38 | 0.36 | 0.38 |
| Net realized and unrealized gain (loss) | (7.61) | 9.00 | 3.18 | 4.60 | (1.03) | 3.68 |
| Total from investment operations | (7.36) | 9.41 | 3.58 | 4.98 | (0.67) | 4.06 |
| Net asset value, end of period | $30.39 | $37.75 | $28.34 | $24.76 | $19.78 | $20.45 |
| Total return | (19.50%) | 33.20% | 14.46% | 25.18% | (3.28%) | 24.77% |
| Ratios to average net assets | | | | | | |
| Total gross expenses(a) | 0.44%(b) | 0.45% | 0.45% | 0.45% | 0.44% | 0.45% |
| Total net expenses(a),(c) | 0.40%(b) | 0.40% | 0.40% | 0.40% | 0.40% | 0.40% |
| Net investment income | 1.50%(b) | 1.24% | 1.63% | 1.67% | 1.67% | 2.08% |
| Supplemental data | | | | | | |
| Portfolio turnover | 26% | 56% | 72% | 66% | 73% | 66% |
| Net assets, end of period (in thousands) | $182,765 | $238,272 | $201,002 | $196,278 | $178,338 | $211,730 |
| 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 2022 |
Notes to Financial Statements
June 30, 2022 (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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
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 a settlement price, at the mean of the latest quoted bid and ask prices.
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022
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Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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, in seeking 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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. 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 clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing 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 counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts and 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 instruments’ 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.
| 16 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as well. 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 may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in the Statement of Operations. 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 determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, 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 generally expects to earn interest income on its margin deposits. 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.
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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, 2022:
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 125,345* |
| * | 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, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Equity risk | (566,453) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Equity risk | (214,586) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 1,721,725 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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.
| 18 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 on the payment date, 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.
Determination of net asset value
The net asset value per share of the Fund is computed by dividing the value of the net assets of the Fund by the total number of outstanding shares of that Fund, rounded to the nearest cent, at the close of regular trading (ordinarily 4:00 p.m. Eastern Time) every day the New York Stock Exchange is open.
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.
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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 which the Fund did not pay any fees to the Transfer Agent during the reporting period.
The Transfer Agent may retain as compensation for its services revenues from 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.
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) 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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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 $54,116,647 and $62,673,139, respectively, for the six months ended June 30, 2022. 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.
| 20 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 6. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 8. Significant risks
Information technology sector risk
The Fund is more susceptible to the particular risks that may affect companies in the information technology sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the information technology sector 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 information 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. Some companies in the information technology sector are facing increased government and regulatory scrutiny and may be subject to adverse government or regulatory action, which could negatively impact the value of their securities.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced
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| 21 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. 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 and noted no items requiring adjustment of the financial statements or additional disclosure.
| 22 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022
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Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
| 24 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022
| 25 |
Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment
| 26 | Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board observed that the Fund is closed to new investors. The Board considered that the Management Agreement provides for a unified fee that is already at a relatively low level that does not include pre-established breakpoints, and requires Columbia Threadneedle to provide investment advice, as well as administrative, accounting and other services to the Fund.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
Columbia Variable Portfolio – Core Equity Fund | Semiannual Report 2022
| 27 |
Columbia Variable Portfolio – Core Equity Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – Income Opportunities Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with a high total return through current income and capital appreciation.
Portfolio management
Brian Lavin, CFA
Lead Portfolio Manager
Managed Fund since 2004
Daniel DeYoung
Portfolio Manager
Managed Fund since 2019
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/03/10 | -13.23 | -11.74 | 1.86 | 4.04 |
| Class 2 | 05/03/10 | -13.34 | -11.94 | 1.58 | 3.80 |
| Class 3 | 06/01/04 | -13.28 | -11.79 | 1.75 | 3.92 |
| ICE BofA BB-B US Cash Pay High Yield Constrained Index | | -13.64 | -12.19 | 2.07 | 4.34 |
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 ICE BofA 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.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Common Stocks | 0.0(a) |
| Convertible Bonds | 0.8 |
| Corporate Bonds & Notes | 91.3 |
| Foreign Government Obligations | 0.5 |
| Money Market Funds | 3.8 |
| Senior Loans | 3.6 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at June 30, 2022) |
| BBB rating | 1 |
| BB rating | 44.5 |
| B rating | 49.6 |
| CCC rating | 4.9 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments.
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.
| 4 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 867.70 | 1,021.62 | 2.96 | 3.21 | 0.64 |
| Class 2 | 1,000.00 | 1,000.00 | 866.60 | 1,020.38 | 4.12 | 4.46 | 0.89 |
| Class 3 | 1,000.00 | 1,000.00 | 867.20 | 1,021.03 | 3.52 | 3.81 | 0.76 |
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.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 0.0% |
| Issuer | Shares | Value ($) |
| Communication Services 0.0% |
| Media 0.0% |
| Haights Cross Communications, Inc.(a),(b),(c) | 27,056 | 0 |
| Telesat Corp.(b) | 6 | 67 |
| Ziff Davis Holdings, Inc.(a),(b),(c) | 553 | 6 |
| Total | | 73 |
| Total Communication Services | 73 |
| Consumer Discretionary 0.0% |
| Auto Components 0.0% |
| Lear Corp. | 216 | 27,192 |
| Total Consumer Discretionary | 27,192 |
| Industrials 0.0% |
| Commercial Services & Supplies 0.0% |
| Quad/Graphics, Inc.(b) | 1,277 | 3,512 |
| Total Industrials | 3,512 |
| Utilities —% |
| Independent Power and Renewable Electricity Producers —% |
| Calpine Corp. Escrow(a),(b),(c) | 6,049,000 | 0 |
| Total Utilities | 0 |
Total Common Stocks
(Cost $331,985) | 30,777 |
| Convertible Bonds 0.8% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Cable and Satellite 0.8% |
| DISH Network Corp. |
| Subordinated |
| 08/15/2026 | 3.375% | | 1,761,000 | 1,189,555 |
Total Convertible Bonds
(Cost $1,565,702) | 1,189,555 |
|
| Corporate Bonds & Notes 90.2% |
| | | | |
| Aerospace & Defense 1.8% |
| Moog, Inc.(d) |
| 12/15/2027 | 4.250% | | 447,000 | 387,908 |
| TransDigm, Inc.(d) |
| 03/15/2026 | 6.250% | | 1,273,000 | 1,230,107 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| TransDigm, Inc. |
| 06/15/2026 | 6.375% | | 997,000 | 933,636 |
| 11/15/2027 | 5.500% | | 27,000 | 22,992 |
| 01/15/2029 | 4.625% | | 194,000 | 156,184 |
| Total | 2,730,827 |
| Airlines 1.9% |
| Air Canada(d) |
| 08/15/2026 | 3.875% | | 400,000 | 339,515 |
| American Airlines, Inc.(d) |
| 07/15/2025 | 11.750% | | 176,000 | 182,158 |
| American Airlines, Inc./AAdvantage Loyalty IP Ltd.(d) |
| 04/20/2026 | 5.500% | | 1,353,605 | 1,247,085 |
| 04/20/2029 | 5.750% | | 30,469 | 26,015 |
| Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(d) |
| 01/20/2026 | 5.750% | | 533,471 | 478,056 |
| Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(d) |
| 06/20/2027 | 6.500% | | 546,278 | 536,505 |
| Total | 2,809,334 |
| Automotive 4.6% |
| American Axle & Manufacturing, Inc. |
| 03/15/2026 | 6.250% | | 163,000 | 149,350 |
| 04/01/2027 | 6.500% | | 50,000 | 44,270 |
| Clarios Global LP(d) |
| 05/15/2025 | 6.750% | | 279,000 | 276,312 |
| Ford Motor Co. |
| 02/12/2032 | 3.250% | | 317,000 | 236,951 |
| 01/15/2043 | 4.750% | | 446,000 | 317,917 |
| Ford Motor Credit Co. LLC |
| 03/18/2024 | 5.584% | | 513,000 | 509,725 |
| 11/01/2024 | 4.063% | | 178,000 | 169,159 |
| 06/16/2025 | 5.125% | | 512,000 | 489,264 |
| 11/13/2025 | 3.375% | | 734,000 | 660,841 |
| 05/28/2027 | 4.950% | | 143,000 | 132,712 |
| 08/17/2027 | 4.125% | | 712,000 | 626,896 |
| 02/16/2028 | 2.900% | | 237,000 | 191,106 |
| 11/13/2030 | 4.000% | | 359,000 | 291,056 |
| Goodyear Tire & Rubber Co. (The) |
| 07/15/2029 | 5.000% | | 151,000 | 125,859 |
| IAA Spinco, Inc.(d) |
| 06/15/2027 | 5.500% | | 410,000 | 381,810 |
| Jaguar Land Rover Automotive PLC(d) |
| 07/15/2029 | 5.500% | | 270,000 | 200,586 |
| KAR Auction Services, Inc.(d) |
| 06/01/2025 | 5.125% | | 1,036,000 | 974,845 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Panther BF Aggregator 2 LP/Finance Co., Inc.(d) |
| 05/15/2026 | 6.250% | | 300,000 | 289,140 |
| 05/15/2027 | 8.500% | | 344,000 | 332,756 |
| Tenneco, Inc.(d) |
| 01/15/2029 | 7.875% | | 429,000 | 415,500 |
| Total | 6,816,055 |
| Brokerage/Asset Managers/Exchanges 0.8% |
| AG Issuer LLC(d) |
| 03/01/2028 | 6.250% | | 249,000 | 215,242 |
| NFP Corp.(d) |
| 08/15/2028 | 4.875% | | 1,112,000 | 953,292 |
| Total | 1,168,534 |
| Building Materials 0.8% |
| Beacon Roofing Supply, Inc.(d) |
| 11/15/2026 | 4.500% | | 514,000 | 467,727 |
| Interface, Inc.(d) |
| 12/01/2028 | 5.500% | | 134,000 | 114,587 |
| SRS Distribution, Inc.(d) |
| 07/01/2028 | 4.625% | | 609,000 | 531,934 |
| Total | 1,114,248 |
| Cable and Satellite 6.9% |
| CCO Holdings LLC/Capital Corp.(d) |
| 05/01/2027 | 5.125% | | 886,000 | 836,031 |
| 06/01/2029 | 5.375% | | 243,000 | 221,401 |
| 03/01/2030 | 4.750% | | 1,041,000 | 890,383 |
| 08/15/2030 | 4.500% | | 370,000 | 309,209 |
| 02/01/2031 | 4.250% | | 178,000 | 146,171 |
| 02/01/2032 | 4.750% | | 419,000 | 344,973 |
| CSC Holdings LLC(d) |
| 02/01/2028 | 5.375% | | 689,000 | 602,187 |
| 02/01/2029 | 6.500% | | 236,000 | 214,677 |
| 01/15/2030 | 5.750% | | 1,208,000 | 878,838 |
| 02/15/2031 | 3.375% | | 680,000 | 504,592 |
| DIRECTV Holdings LLC/Financing Co., Inc.(d) |
| 08/15/2027 | 5.875% | | 213,000 | 181,719 |
| DISH DBS Corp.(d) |
| 12/01/2028 | 5.750% | | 745,000 | 551,398 |
| DISH DBS Corp. |
| 06/01/2029 | 5.125% | | 673,000 | 408,968 |
| Radiate Holdco LLC/Finance, Inc.(d) |
| 09/15/2026 | 4.500% | | 792,000 | 683,976 |
| Sirius XM Radio, Inc.(d) |
| 09/01/2026 | 3.125% | | 338,000 | 302,188 |
| 07/01/2030 | 4.125% | | 539,000 | 450,119 |
| Videotron Ltd.(d) |
| 06/15/2029 | 3.625% | | 370,000 | 305,427 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Virgin Media Finance PLC(d) |
| 07/15/2030 | 5.000% | | 790,000 | 626,069 |
| Virgin Media Secured Finance PLC(d) |
| 05/15/2029 | 5.500% | | 172,000 | 154,104 |
| VZ Secured Financing BV(d) |
| 01/15/2032 | 5.000% | | 780,000 | 647,404 |
| Ziggo BV(d) |
| 01/15/2030 | 4.875% | | 1,140,000 | 966,372 |
| Total | 10,226,206 |
| Chemicals 2.9% |
| Axalta Coating Systems LLC(d) |
| 02/15/2029 | 3.375% | | 571,000 | 466,379 |
| Element Solutions, Inc.(d) |
| 09/01/2028 | 3.875% | | 539,000 | 445,733 |
| HB Fuller Co. |
| 10/15/2028 | 4.250% | | 398,000 | 334,367 |
| Herens Holdco Sarl(d) |
| 05/15/2028 | 4.750% | | 413,000 | 344,403 |
| Illuminate Buyer LLC/Holdings IV, Inc.(d) |
| 07/01/2028 | 9.000% | | 247,000 | 195,890 |
| Ingevity Corp.(d) |
| 11/01/2028 | 3.875% | | 872,000 | 730,210 |
| Innophos Holdings, Inc.(d) |
| 02/15/2028 | 9.375% | | 462,000 | 420,965 |
| Olympus Water US Holding Corp.(d) |
| 10/01/2028 | 4.250% | | 286,000 | 224,306 |
| SPCM SA(d) |
| 03/15/2027 | 3.125% | | 35,000 | 29,533 |
| Unifrax Escrow Issuer Corp.(d) |
| 09/30/2028 | 5.250% | | 168,000 | 134,236 |
| WR Grace Holdings LLC(d) |
| 06/15/2027 | 4.875% | | 642,000 | 558,576 |
| 08/15/2029 | 5.625% | | 637,000 | 469,968 |
| Total | 4,354,566 |
| Construction Machinery 1.2% |
| H&E Equipment Services, Inc.(d) |
| 12/15/2028 | 3.875% | | 1,058,000 | 855,047 |
| Herc Holdings, Inc.(d) |
| 07/15/2027 | 5.500% | | 607,000 | 555,550 |
| Ritchie Bros. Auctioneers, Inc.(d) |
| 01/15/2025 | 5.375% | | 301,000 | 294,801 |
| Total | 1,705,398 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Consumer Cyclical Services 2.1% |
| APX Group, Inc.(d) |
| 02/15/2027 | 6.750% | | 269,000 | 252,635 |
| Arches Buyer, Inc.(d) |
| 06/01/2028 | 4.250% | | 379,000 | 309,313 |
| Match Group, Inc.(d) |
| 06/01/2028 | 4.625% | | 222,000 | 201,253 |
| Staples, Inc.(d) |
| 04/15/2026 | 7.500% | | 720,000 | 597,056 |
| Uber Technologies, Inc.(d) |
| 05/15/2025 | 7.500% | | 429,000 | 427,715 |
| 08/15/2029 | 4.500% | | 1,520,000 | 1,250,388 |
| Total | 3,038,360 |
| Consumer Products 0.8% |
| CD&R Smokey Buyer, Inc.(d) |
| 07/15/2025 | 6.750% | | 525,000 | 466,064 |
| Spectrum Brands, Inc. |
| 07/15/2025 | 5.750% | | 524,000 | 518,544 |
| Tempur Sealy International, Inc.(d) |
| 10/15/2031 | 3.875% | | 266,000 | 199,410 |
| Total | 1,184,018 |
| Diversified Manufacturing 1.0% |
| Madison IAQ LLC(d) |
| 06/30/2028 | 4.125% | | 294,000 | 243,563 |
| Resideo Funding, Inc.(d) |
| 09/01/2029 | 4.000% | | 317,000 | 247,549 |
| Vertical US Newco, Inc.(d) |
| 07/15/2027 | 5.250% | | 282,000 | 251,843 |
| WESCO Distribution, Inc.(d) |
| 06/15/2028 | 7.250% | | 740,000 | 731,662 |
| Total | 1,474,617 |
| Electric 5.6% |
| Atlantica Sustainable Infrastructure PLC(d) |
| 06/15/2028 | 4.125% | | 265,000 | 231,648 |
| Clearway Energy Operating LLC(d) |
| 03/15/2028 | 4.750% | | 1,006,000 | 910,890 |
| 02/15/2031 | 3.750% | | 1,017,000 | 824,721 |
| 01/15/2032 | 3.750% | | 552,000 | 436,574 |
| FirstEnergy Corp. |
| 11/15/2031 | 7.375% | | 134,000 | 150,373 |
| FirstEnergy Corp.(e) |
| 07/15/2047 | 5.100% | | 153,000 | 129,301 |
| Leeward Renewable Energy Operations LLC(d) |
| 07/01/2029 | 4.250% | | 527,000 | 426,316 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| NextEra Energy Operating Partners LP(d) |
| 09/15/2027 | 4.500% | | 2,127,000 | 1,969,955 |
| NRG Energy, Inc.(d) |
| 06/15/2029 | 5.250% | | 684,000 | 611,060 |
| 02/15/2031 | 3.625% | | 798,000 | 627,960 |
| Pattern Energy Operations LP/Inc.(d) |
| 08/15/2028 | 4.500% | | 286,000 | 248,794 |
| PG&E Corp. |
| 07/01/2028 | 5.000% | | 241,000 | 207,141 |
| TerraForm Power Operating LLC(d) |
| 01/31/2028 | 5.000% | | 566,000 | 513,853 |
| 01/15/2030 | 4.750% | | 660,000 | 565,600 |
| Vistra Operations Co. LLC(d) |
| 07/31/2027 | 5.000% | | 154,000 | 139,589 |
| 05/01/2029 | 4.375% | | 279,000 | 234,375 |
| Total | 8,228,150 |
| Environmental 1.1% |
| GFL Environmental, Inc.(d) |
| 06/01/2025 | 4.250% | | 700,000 | 660,567 |
| 08/01/2028 | 4.000% | | 410,000 | 340,669 |
| Waste Pro USA, Inc.(d) |
| 02/15/2026 | 5.500% | | 768,000 | 681,192 |
| Total | 1,682,428 |
| Finance Companies 2.1% |
| Navient Corp. |
| 06/25/2025 | 6.750% | | 490,000 | 447,959 |
| Provident Funding Associates LP/Finance Corp.(d) |
| 06/15/2025 | 6.375% | | 1,323,000 | 1,185,710 |
| Quicken Loans LLC/Co-Issuer, Inc.(d) |
| 03/01/2029 | 3.625% | | 380,000 | 298,416 |
| 03/01/2031 | 3.875% | | 90,000 | 67,731 |
| Rocket Mortgage LLC/Co-Issuer, Inc.(d) |
| 10/15/2033 | 4.000% | | 1,552,000 | 1,107,299 |
| Total | 3,107,115 |
| Food and Beverage 2.6% |
| Darling Ingredients, Inc.(d) |
| 04/15/2027 | 5.250% | | 374,000 | 362,671 |
| FAGE International SA/USA Dairy Industry, Inc.(d) |
| 08/15/2026 | 5.625% | | 1,233,000 | 1,078,808 |
| Lamb Weston Holdings, Inc.(d) |
| 01/31/2032 | 4.375% | | 230,000 | 200,011 |
| Performance Food Group, Inc.(d) |
| 05/01/2025 | 6.875% | | 185,000 | 184,231 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Pilgrim’s Pride Corp.(d) |
| 04/15/2031 | 4.250% | | 316,000 | 263,625 |
| 03/01/2032 | 3.500% | | 93,000 | 72,909 |
| Post Holdings, Inc.(d) |
| 03/01/2027 | 5.750% | | 154,000 | 149,204 |
| 01/15/2028 | 5.625% | | 431,000 | 409,038 |
| 04/15/2030 | 4.625% | | 175,000 | 147,639 |
| 09/15/2031 | 4.500% | | 180,000 | 147,783 |
| Primo Water Holdings, Inc.(d) |
| 04/30/2029 | 4.375% | | 282,000 | 230,222 |
| Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(d) |
| 03/01/2029 | 4.625% | | 353,000 | 298,353 |
| US Foods, Inc.(d) |
| 06/01/2030 | 4.625% | | 276,000 | 235,303 |
| Total | 3,779,797 |
| Gaming 2.9% |
| Boyd Gaming Corp.(d) |
| 06/15/2031 | 4.750% | | 177,000 | 149,785 |
| Colt Merger Sub, Inc.(d) |
| 07/01/2025 | 5.750% | | 298,000 | 285,580 |
| 07/01/2025 | 6.250% | | 759,000 | 731,525 |
| International Game Technology PLC(d) |
| 02/15/2025 | 6.500% | | 827,000 | 822,068 |
| 04/15/2026 | 4.125% | | 200,000 | 181,502 |
| Midwest Gaming Borrower LLC(d) |
| 05/01/2029 | 4.875% | | 550,000 | 449,087 |
| Penn National Gaming, Inc.(d) |
| 07/01/2029 | 4.125% | | 211,000 | 161,352 |
| Scientific Games Holdings LP/US FinCo, Inc.(d) |
| 03/01/2030 | 6.625% | | 462,000 | 392,917 |
| Scientific Games International, Inc.(d) |
| 05/15/2028 | 7.000% | | 349,000 | 329,481 |
| VICI Properties LP/Note Co., Inc.(d) |
| 12/01/2026 | 4.250% | | 569,000 | 522,321 |
| Wynn Las Vegas LLC/Capital Corp.(d) |
| 03/01/2025 | 5.500% | | 357,000 | 326,768 |
| Total | 4,352,386 |
| Health Care 7.7% |
| Acadia Healthcare Co., Inc.(d) |
| 07/01/2028 | 5.500% | | 151,000 | 141,268 |
| 04/15/2029 | 5.000% | | 205,000 | 185,216 |
| AdaptHealth LLC(d) |
| 08/01/2029 | 4.625% | | 95,000 | 78,101 |
| 03/01/2030 | 5.125% | | 549,000 | 461,570 |
| Avantor Funding, Inc.(d) |
| 07/15/2028 | 4.625% | | 348,000 | 318,614 |
| 11/01/2029 | 3.875% | | 736,000 | 643,936 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Catalent Pharma Solutions, Inc.(d) |
| 07/15/2027 | 5.000% | | 187,000 | 175,998 |
| 04/01/2030 | 3.500% | | 222,000 | 182,187 |
| Change Healthcare Holdings LLC/Finance, Inc.(d) |
| 03/01/2025 | 5.750% | | 175,000 | 170,619 |
| Charles River Laboratories International, Inc.(d) |
| 05/01/2028 | 4.250% | | 251,000 | 225,716 |
| 03/15/2029 | 3.750% | | 143,000 | 124,101 |
| 03/15/2031 | 4.000% | | 163,000 | 139,580 |
| CHS/Community Health Systems, Inc.(d) |
| 03/15/2026 | 8.000% | | 311,000 | 283,192 |
| 05/15/2030 | 5.250% | | 779,000 | 594,606 |
| Hologic, Inc.(d) |
| 02/01/2028 | 4.625% | | 290,000 | 271,695 |
| Indigo Merger Sub, Inc.(d) |
| 07/15/2026 | 2.875% | | 200,000 | 178,046 |
| IQVIA, Inc.(d) |
| 05/15/2027 | 5.000% | | 669,000 | 632,960 |
| Mozart Debt Merger Sub, Inc.(d) |
| 10/01/2029 | 5.250% | | 167,000 | 138,805 |
| Owens & Minor, Inc.(d) |
| 03/31/2029 | 4.500% | | 185,000 | 151,007 |
| 04/01/2030 | 6.625% | | 299,000 | 272,658 |
| RP Escrow Issuer LLC(d) |
| 12/15/2025 | 5.250% | | 1,082,000 | 937,574 |
| Select Medical Corp.(d) |
| 08/15/2026 | 6.250% | | 1,033,000 | 966,390 |
| Syneos Health, Inc.(d) |
| 01/15/2029 | 3.625% | | 274,000 | 233,142 |
| Teleflex, Inc. |
| 11/15/2027 | 4.625% | | 599,000 | 561,157 |
| Teleflex, Inc.(d) |
| 06/01/2028 | 4.250% | | 246,000 | 222,670 |
| Tenet Healthcare Corp.(d) |
| 01/01/2026 | 4.875% | | 1,205,000 | 1,111,619 |
| 02/01/2027 | 6.250% | | 1,288,000 | 1,190,402 |
| 11/01/2027 | 5.125% | | 304,000 | 274,661 |
| 01/15/2030 | 4.375% | | 180,000 | 152,924 |
| US Acute Care Solutions LLC(d) |
| 03/01/2026 | 6.375% | | 416,000 | 373,257 |
| Total | 11,393,671 |
| Healthcare Insurance 0.5% |
| Centene Corp. |
| 10/15/2030 | 3.000% | | 624,000 | 517,197 |
| 08/01/2031 | 2.625% | | 215,000 | 172,537 |
| Total | 689,734 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Home Construction 0.7% |
| Meritage Homes Corp.(d) |
| 04/15/2029 | 3.875% | | 197,000 | 163,411 |
| Shea Homes LP/Funding Corp.(d) |
| 02/15/2028 | 4.750% | | 394,000 | 317,329 |
| Taylor Morrison Communities, Inc./Holdings II(d) |
| 04/15/2023 | 5.875% | | 526,000 | 524,178 |
| Total | 1,004,918 |
| Independent Energy 5.2% |
| Apache Corp. |
| 01/15/2030 | 4.250% | | 381,000 | 339,693 |
| 09/01/2040 | 5.100% | | 277,000 | 233,946 |
| 02/01/2042 | 5.250% | | 189,000 | 157,349 |
| 04/15/2043 | 4.750% | | 516,000 | 403,269 |
| Callon Petroleum Co. |
| 07/01/2026 | 6.375% | | 338,000 | 311,265 |
| Callon Petroleum Co.(d) |
| 06/15/2030 | 7.500% | | 156,000 | 144,161 |
| CNX Resources Corp.(d) |
| 03/14/2027 | 7.250% | | 342,000 | 335,629 |
| 01/15/2029 | 6.000% | | 416,000 | 386,881 |
| Colgate Energy Partners III LLC(d) |
| 07/01/2029 | 5.875% | | 405,000 | 354,817 |
| Comstock Resources, Inc.(d) |
| 03/01/2029 | 6.750% | | 194,000 | 174,202 |
| CrownRock LP/Finance, Inc.(d) |
| 05/01/2029 | 5.000% | | 141,000 | 126,556 |
| Hilcorp Energy I LP/Finance Co.(d) |
| 11/01/2028 | 6.250% | | 630,000 | 585,891 |
| 02/01/2029 | 5.750% | | 276,000 | 240,892 |
| 04/15/2030 | 6.000% | | 147,000 | 129,430 |
| 04/15/2032 | 6.250% | | 229,000 | 200,208 |
| Matador Resources Co. |
| 09/15/2026 | 5.875% | | 547,000 | 527,070 |
| Occidental Petroleum Corp. |
| 09/01/2030 | 6.625% | | 817,000 | 841,687 |
| 01/01/2031 | 6.125% | | 464,000 | 470,793 |
| 09/15/2036 | 6.450% | | 199,000 | 207,279 |
| SM Energy Co. |
| 07/15/2028 | 6.500% | | 629,000 | 583,200 |
| Southwestern Energy Co. |
| 02/01/2032 | 4.750% | | 1,048,000 | 896,455 |
| Total | 7,650,673 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Leisure 2.6% |
| Carnival Corp.(d) |
| 03/01/2026 | 7.625% | | 1,028,000 | 802,494 |
| 03/01/2027 | 5.750% | | 695,000 | 502,059 |
| 05/01/2029 | 6.000% | | 177,000 | 123,933 |
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC |
| 10/01/2028 | 6.500% | | 296,000 | 282,121 |
| Cinemark USA, Inc.(d) |
| 03/15/2026 | 5.875% | | 434,000 | 387,430 |
| 07/15/2028 | 5.250% | | 313,000 | 251,268 |
| Live Nation Entertainment, Inc.(d) |
| 10/15/2027 | 4.750% | | 165,000 | 146,821 |
| NCL Corp., Ltd.(d) |
| 03/15/2026 | 5.875% | | 93,000 | 72,965 |
| Royal Caribbean Cruises Ltd.(d) |
| 07/01/2026 | 4.250% | | 458,000 | 325,276 |
| 08/31/2026 | 5.500% | | 809,000 | 594,595 |
| 07/15/2027 | 5.375% | | 178,000 | 129,289 |
| 04/01/2028 | 5.500% | | 368,000 | 255,737 |
| Total | 3,873,988 |
| Media and Entertainment 2.0% |
| Clear Channel International BV(d) |
| 08/01/2025 | 6.625% | | 346,000 | 321,503 |
| Clear Channel Worldwide Holdings, Inc.(d) |
| 08/15/2027 | 5.125% | | 1,089,000 | 919,593 |
| iHeartCommunications, Inc.(d) |
| 01/15/2028 | 4.750% | | 266,000 | 219,179 |
| Outfront Media Capital LLC/Corp.(d) |
| 01/15/2029 | 4.250% | | 154,000 | 122,843 |
| 03/15/2030 | 4.625% | | 891,000 | 715,114 |
| Playtika Holding Corp.(d) |
| 03/15/2029 | 4.250% | | 383,000 | 318,355 |
| Roblox Corp.(d) |
| 05/01/2030 | 3.875% | | 405,000 | 328,159 |
| Univision Communications, Inc.(d) |
| 06/30/2030 | 7.375% | | 67,000 | 65,492 |
| Total | 3,010,238 |
| Metals and Mining 2.8% |
| Allegheny Technologies, Inc. |
| 10/01/2029 | 4.875% | | 116,000 | 93,771 |
| 10/01/2031 | 5.125% | | 488,000 | 382,660 |
| Constellium SE(d) |
| 06/15/2028 | 5.625% | | 334,000 | 302,254 |
| 04/15/2029 | 3.750% | | 1,290,000 | 1,027,507 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Hudbay Minerals, Inc.(d) |
| 04/01/2026 | 4.500% | | 82,000 | 68,634 |
| 04/01/2029 | 6.125% | | 1,567,000 | 1,270,640 |
| Kaiser Aluminum Corp.(d) |
| 03/01/2028 | 4.625% | | 63,000 | 52,739 |
| 06/01/2031 | 4.500% | | 709,000 | 542,864 |
| Novelis Corp.(d) |
| 11/15/2026 | 3.250% | | 284,000 | 240,769 |
| 08/15/2031 | 3.875% | | 143,000 | 110,150 |
| Total | 4,091,988 |
| Midstream 7.1% |
| Cheniere Energy Partners LP |
| 03/01/2031 | 4.000% | | 223,000 | 190,117 |
| Cheniere Energy Partners LP(d) |
| 01/31/2032 | 3.250% | | 748,000 | 589,615 |
| Cheniere Energy, Inc. |
| 10/15/2028 | 4.625% | | 814,000 | 736,433 |
| CNX Midstream Partners LP(d) |
| 04/15/2030 | 4.750% | | 360,000 | 301,882 |
| DCP Midstream Operating LP |
| 04/01/2044 | 5.600% | | 486,000 | 393,253 |
| Delek Logistics Partners LP/Finance Corp. |
| 05/15/2025 | 6.750% | | 383,000 | 356,495 |
| DT Midstream, Inc.(d) |
| 06/15/2029 | 4.125% | | 283,000 | 240,639 |
| EQM Midstream Partners LP(d) |
| 06/01/2027 | 7.500% | | 124,000 | 119,459 |
| 07/01/2027 | 6.500% | | 539,000 | 501,386 |
| 01/15/2029 | 4.500% | | 547,000 | 444,361 |
| 06/01/2030 | 7.500% | | 148,000 | 142,346 |
| 01/15/2031 | 4.750% | | 1,000,000 | 797,687 |
| EQM Midstream Partners LP |
| 07/15/2048 | 6.500% | | 234,000 | 174,371 |
| Holly Energy Partners LP/Finance Corp.(d) |
| 04/15/2027 | 6.375% | | 179,000 | 168,799 |
| 02/01/2028 | 5.000% | | 545,000 | 467,357 |
| NuStar Logistics LP |
| 10/01/2025 | 5.750% | | 398,000 | 372,185 |
| 06/01/2026 | 6.000% | | 430,000 | 398,167 |
| Rockpoint Gas Storage Canada Ltd.(d) |
| 03/31/2023 | 7.000% | | 1,006,000 | 993,604 |
| TransMontaigne Partners LP/TLP Finance Corp. |
| 02/15/2026 | 6.125% | | 979,000 | 865,244 |
| Venture Global Calcasieu Pass LLC(d) |
| 08/15/2029 | 3.875% | | 496,000 | 434,855 |
| 08/15/2031 | 4.125% | | 773,000 | 663,916 |
| 11/01/2033 | 3.875% | | 423,000 | 348,889 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Western Gas Partners LP |
| 07/01/2026 | 4.650% | | 908,000 | 854,576 |
| Total | 10,555,636 |
| Oil Field Services 0.6% |
| Transocean Sentry Ltd.(d) |
| 05/15/2023 | 5.375% | | 943,150 | 896,879 |
| Other REIT 1.2% |
| Blackstone Mortgage Trust, Inc.(d) |
| 01/15/2027 | 3.750% | | 480,000 | 395,280 |
| Ladder Capital Finance Holdings LLLP/Corp.(d) |
| 02/01/2027 | 4.250% | | 843,000 | 682,613 |
| 06/15/2029 | 4.750% | | 173,000 | 133,527 |
| Park Intermediate Holdings LLC/PK Domestic Property LLC/Finance Co-Issuer(d) |
| 05/15/2029 | 4.875% | | 283,000 | 243,412 |
| RLJ Lodging Trust LP(d) |
| 07/01/2026 | 3.750% | | 194,000 | 170,500 |
| 09/15/2029 | 4.000% | | 92,000 | 76,060 |
| Total | 1,701,392 |
| Packaging 2.3% |
| Ardagh Metal Packaging Finance USA LLC/PLC(d) |
| 06/15/2027 | 6.000% | | 155,000 | 153,347 |
| 09/01/2029 | 4.000% | | 757,000 | 607,040 |
| Ardagh Packaging Finance PLC/Holdings USA, Inc.(d) |
| 04/30/2025 | 5.250% | | 399,000 | 370,083 |
| 08/15/2027 | 5.250% | | 436,000 | 305,797 |
| BWAY Holding Co.(d) |
| 04/15/2024 | 5.500% | | 548,000 | 523,440 |
| Canpack SA/US LLC(d) |
| 11/15/2029 | 3.875% | | 627,000 | 495,552 |
| Trivium Packaging Finance BV(d) |
| 08/15/2026 | 5.500% | | 1,051,000 | 990,753 |
| Total | 3,446,012 |
| Pharmaceuticals 1.4% |
| Bausch Health Companies, Inc.(d) |
| 02/01/2027 | 6.125% | | 313,000 | 266,758 |
| 06/01/2028 | 4.875% | | 136,000 | 106,434 |
| Grifols Escrow Issuer SA(d) |
| 10/15/2028 | 4.750% | | 142,000 | 123,161 |
| Jazz Securities DAC(d) |
| 01/15/2029 | 4.375% | | 205,000 | 183,029 |
| Organon Finance 1 LLC(d) |
| 04/30/2028 | 4.125% | | 848,000 | 750,436 |
| 04/30/2031 | 5.125% | | 690,000 | 595,504 |
| Total | 2,025,322 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022
| 11 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Property & Casualty 1.1% |
| Alliant Holdings Intermediate LLC/Co-Issuer(d) |
| 10/15/2027 | 4.250% | | 1,379,000 | 1,204,176 |
| Lumbermens Mutual Casualty Co.(d),(f) |
| 12/01/2097 | 0.000% | | 30,000 | 35 |
| Lumbermens Mutual Casualty Co.(f) |
| Subordinated |
| 07/01/2026 | 0.000% | | 645,000 | 763 |
| MGIC Investment Corp. |
| 08/15/2028 | 5.250% | | 112,000 | 100,319 |
| Radian Group, Inc. |
| 03/15/2025 | 6.625% | | 44,000 | 43,301 |
| 03/15/2027 | 4.875% | | 262,000 | 236,376 |
| Total | 1,584,970 |
| Restaurants 1.4% |
| IRB Holding Corp.(d) |
| 06/15/2025 | 7.000% | | 1,723,000 | 1,681,509 |
| Yum! Brands, Inc. |
| 04/01/2032 | 5.375% | | 361,000 | 333,048 |
| Total | 2,014,557 |
| Retailers 1.0% |
| Asbury Automotive Group, Inc.(d) |
| 11/15/2029 | 4.625% | | 111,000 | 91,690 |
| 02/15/2032 | 5.000% | | 111,000 | 90,794 |
| Group 1 Automotive, Inc.(d) |
| 08/15/2028 | 4.000% | | 131,000 | 110,939 |
| L Brands, Inc.(d) |
| 10/01/2030 | 6.625% | | 398,000 | 343,771 |
| LCM Investments Holdings II LLC(d) |
| 05/01/2029 | 4.875% | | 443,000 | 339,042 |
| Penske Automotive Group, Inc. |
| 09/01/2025 | 3.500% | | 208,000 | 195,241 |
| PetSmart, Inc./Finance Corp.(d) |
| 02/15/2028 | 4.750% | | 375,000 | 324,016 |
| Total | 1,495,493 |
| Supermarkets 0.4% |
| Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(d) |
| 02/15/2028 | 5.875% | | 472,000 | 441,369 |
| SEG Holding LLC/Finance Corp.(d) |
| 10/15/2028 | 5.625% | | 189,000 | 169,456 |
| Total | 610,825 |
| Technology 6.7% |
| Black Knight InfoServ LLC(d) |
| 09/01/2028 | 3.625% | | 500,000 | 434,231 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Boxer Parent Co., Inc.(d) |
| 10/02/2025 | 7.125% | | 233,000 | 223,176 |
| Camelot Finance SA(d) |
| 11/01/2026 | 4.500% | | 505,000 | 462,884 |
| CDK Global, Inc. |
| 06/01/2027 | 4.875% | | 506,000 | 501,601 |
| Clarivate Science Holdings Corp.(d) |
| 07/01/2028 | 3.875% | | 225,000 | 189,157 |
| Entegris Escrow Corp.(d) |
| 04/15/2029 | 4.750% | | 123,000 | 114,654 |
| 06/15/2030 | 5.950% | | 430,000 | 409,741 |
| Everi Holdings, Inc.(d) |
| 07/15/2029 | 5.000% | | 48,000 | 40,679 |
| Gartner, Inc.(d) |
| 06/15/2029 | 3.625% | | 171,000 | 147,457 |
| HealthEquity, Inc.(d) |
| 10/01/2029 | 4.500% | | 455,000 | 398,282 |
| Helios Software Holdings, Inc.(d) |
| 05/01/2028 | 4.625% | | 432,000 | 347,149 |
| ION Trading Technologies Sarl(d) |
| 05/15/2028 | 5.750% | | 436,000 | 346,856 |
| Iron Mountain, Inc.(d) |
| 09/15/2027 | 4.875% | | 170,000 | 153,851 |
| Logan Merger Sub, Inc.(d) |
| 09/01/2027 | 5.500% | | 912,000 | 624,178 |
| NCR Corp.(d) |
| 10/01/2028 | 5.000% | | 348,000 | 296,431 |
| 04/15/2029 | 5.125% | | 690,000 | 585,006 |
| Nielsen Finance LLC/Co.(d) |
| 10/01/2028 | 5.625% | | 517,000 | 479,974 |
| 07/15/2029 | 4.500% | | 227,000 | 205,532 |
| 07/15/2031 | 4.750% | | 284,000 | 256,263 |
| Plantronics, Inc.(d) |
| 03/01/2029 | 4.750% | | 966,000 | 962,951 |
| PTC, Inc.(d) |
| 02/15/2028 | 4.000% | | 262,000 | 242,140 |
| Sabre GLBL, Inc.(d) |
| 09/01/2025 | 7.375% | | 77,000 | 71,438 |
| Shift4 Payments LLC/Finance Sub, Inc.(d) |
| 11/01/2026 | 4.625% | | 648,000 | 575,467 |
| Square, Inc.(d) |
| 06/01/2031 | 3.500% | | 175,000 | 140,484 |
| Switch Ltd.(d) |
| 09/15/2028 | 3.750% | | 267,000 | 264,174 |
| 06/15/2029 | 4.125% | | 439,000 | 435,595 |
| Tempo Acquisition LLC/Finance Corp.(d) |
| 06/01/2025 | 5.750% | | 377,000 | 359,880 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| ZoomInfo Technologies LLC/Finance Corp.(d) |
| 02/01/2029 | 3.875% | | 681,000 | 570,336 |
| Total | 9,839,567 |
| Wireless 3.9% |
| Altice France SA(d) |
| 02/01/2027 | 8.125% | | 661,000 | 609,072 |
| 01/15/2028 | 5.500% | | 821,000 | 652,638 |
| 07/15/2029 | 5.125% | | 456,000 | 344,063 |
| 10/15/2029 | 5.500% | | 145,000 | 111,079 |
| SBA Communications Corp. |
| 02/15/2027 | 3.875% | | 922,000 | 843,034 |
| Sprint Capital Corp. |
| 11/15/2028 | 6.875% | | 1,009,000 | 1,063,218 |
| T-Mobile USA, Inc. |
| 02/15/2029 | 2.625% | | 496,000 | 417,081 |
| 02/15/2031 | 2.875% | | 275,000 | 228,285 |
| 04/15/2031 | 3.500% | | 363,000 | 314,273 |
| T-Mobile USA, Inc.(d) |
| 04/15/2031 | 3.500% | | 301,000 | 258,527 |
| Vmed O2 UK Financing I PLC(d) |
| 01/31/2031 | 4.250% | | 438,000 | 357,586 |
| 07/15/2031 | 4.750% | | 665,000 | 546,156 |
| Total | 5,745,012 |
| Wirelines 2.5% |
| CenturyLink, Inc. |
| 04/01/2024 | 7.500% | | 1,611,000 | 1,597,491 |
| CenturyLink, Inc.(d) |
| 12/15/2026 | 5.125% | | 122,000 | 102,841 |
| Front Range BidCo, Inc.(d) |
| 03/01/2027 | 4.000% | | 654,000 | 542,531 |
| Frontier Communications Holdings LLC(d) |
| 05/15/2030 | 8.750% | | 124,000 | 125,449 |
| Iliad Holding SAS(d) |
| 10/15/2026 | 6.500% | | 922,000 | 829,509 |
| 10/15/2028 | 7.000% | | 638,000 | 557,655 |
| Total | 3,755,476 |
Total Corporate Bonds & Notes
(Cost $152,626,004) | 133,158,390 |
|
| Foreign Government Obligations(g) 0.5% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Canada 0.5% |
| NOVA Chemicals Corp.(d) |
| 06/01/2027 | 5.250% | | 771,000 | 662,445 |
| 05/15/2029 | 4.250% | | 124,000 | 97,268 |
| Total | 759,713 |
Total Foreign Government Obligations
(Cost $893,619) | 759,713 |
|
| Senior Loans 3.6% |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Consumer Cyclical Services 0.7% |
| 8th Avenue Food & Provisions, Inc.(h),(i) |
| 1st Lien Term Loan |
1-month USD LIBOR + 3.750%
10/01/2025 | 5.416% | | 1,295,796 | 1,086,615 |
| Consumer Products 0.3% |
| SWF Holdings I Corp.(h),(i) |
| 1st Lien Term Loan |
1-month USD LIBOR + 4.000%
Floor 0.750%
10/06/2028 | 5.595% | | 548,000 | 448,675 |
| Health Care 0.5% |
| Surgery Center Holdings, Inc.(h),(i) |
| Term Loan |
1-month USD LIBOR + 3.750%
Floor 0.750%
08/31/2026 | 4.950% | | 715,581 | 665,269 |
| Media and Entertainment 0.5% |
| Cengage Learning, Inc.(h),(i) |
| Tranche B 1st Lien Term Loan |
1-month USD LIBOR + 4.750%
Floor 1.000%
07/14/2026 | 5.750% | | 740,169 | 665,804 |
| Technology 1.6% |
| Ascend Learning LLC(h),(i) |
| 1st Lien Term Loan |
1-month USD LIBOR + 3.500%
Floor 0.500%
12/11/2028 | 2.500% | | 802,987 | 739,752 |
| Loyalty Ventures, Inc.(h),(i) |
| Tranche B Term Loan |
1-month USD LIBOR + 4.500%
Floor 0.500%
11/03/2027 | 6.166% | | 270,463 | 210,149 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022
| 13 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Senior Loans (continued) |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| UKG, Inc.(h),(i) |
| 1st Lien Term Loan |
3-month USD LIBOR + 3.750%
05/04/2026 | 5.416% | | 410,395 | 386,851 |
1-month USD LIBOR + 3.250%
Floor 0.500%
05/04/2026 | 4.212% | | 1,138,424 | 1,063,721 |
| Total | 2,400,473 |
Total Senior Loans
(Cost $5,910,200) | 5,266,836 |
| Money Market Funds 3.7% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(j),(k) | 5,489,763 | 5,486,470 |
Total Money Market Funds
(Cost $5,487,168) | 5,486,470 |
Total Investments in Securities
(Cost: $166,814,678) | 145,891,741 |
| Other Assets & Liabilities, Net | | 1,791,719 |
| Net Assets | 147,683,460 |
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, 2022, the total value of these securities amounted to $6, which represents less than 0.01% of total net assets. |
| (b) | Non-income producing investment. |
| (c) | Valuation based on significant unobservable inputs. |
| (d) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2022, the total value of these securities amounted to $109,467,211, which represents 74.12% of total net assets. |
| (e) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2022. |
| (f) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2022, the total value of these securities amounted to $798, which represents less than 0.01% of total net assets. |
| (g) | Principal and interest may not be guaranteed by a governmental entity. |
| (h) | The stated interest rate represents the weighted average interest rate at June 30, 2022 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
| (i) | Variable rate security. The interest rate shown was the current rate as of June 30, 2022. |
| (j) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (k) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 4,419,370 | 17,726,567 | (16,658,910) | (557) | 5,486,470 | (1,491) | 9,146 | 5,489,763 |
Abbreviation Legend
| LIBOR | London Interbank Offered Rate |
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.
| 14 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 67 | — | 6 | 73 |
| Consumer Discretionary | 27,192 | — | — | 27,192 |
| Industrials | 3,512 | — | — | 3,512 |
| Utilities | — | — | 0* | 0* |
| Total Common Stocks | 30,771 | — | 6 | 30,777 |
| Convertible Bonds | — | 1,189,555 | — | 1,189,555 |
| Corporate Bonds & Notes | — | 133,158,390 | — | 133,158,390 |
| Foreign Government Obligations | — | 759,713 | — | 759,713 |
| Senior Loans | — | 5,266,836 | — | 5,266,836 |
| Money Market Funds | 5,486,470 | — | — | 5,486,470 |
| Total Investments in Securities | 5,517,241 | 140,374,494 | 6 | 145,891,741 |
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.
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022
| 15 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $161,327,510) | $140,405,271 |
| Affiliated issuers (cost $5,487,168) | 5,486,470 |
| Cash | 28,320 |
| Receivable for: | |
| Investments sold | 407,237 |
| Capital shares sold | 1,468 |
| Dividends | 5,085 |
| Interest | 2,256,388 |
| Foreign tax reclaims | 1,718 |
| Expense reimbursement due from Investment Manager | 644 |
| Prepaid expenses | 5,238 |
| Total assets | 148,597,839 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 416,682 |
| Capital shares purchased | 275,001 |
| Management services fees | 2,684 |
| Distribution and/or service fees | 560 |
| Service fees | 11,830 |
| Compensation of board members | 185,032 |
| Compensation of chief compliance officer | 17 |
| Other expenses | 22,573 |
| Total liabilities | 914,379 |
| Net assets applicable to outstanding capital stock | $147,683,460 |
| Represented by | |
| Paid in capital | 152,282,326 |
| Total distributable earnings (loss) | (4,598,866) |
| Total - representing net assets applicable to outstanding capital stock | $147,683,460 |
| Class 1 | |
| Net assets | $16,036,548 |
| Shares outstanding | 2,521,217 |
| Net asset value per share | $6.36 |
| Class 2 | |
| Net assets | $31,059,042 |
| Shares outstanding | 4,928,532 |
| Net asset value per share | $6.30 |
| Class 3 | |
| Net assets | $100,587,870 |
| Shares outstanding | 15,723,665 |
| Net asset value per share | $6.40 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $9,146 |
| Interest | 4,224,115 |
| Total income | 4,233,261 |
| Expenses: | |
| Management services fees | 542,925 |
| Distribution and/or service fees | |
| Class 2 | 42,360 |
| Class 3 | 70,399 |
| Service fees | 56,358 |
| Compensation of board members | (2,412) |
| Custodian fees | 4,613 |
| Printing and postage fees | 12,352 |
| Audit fees | 14,668 |
| Legal fees | 6,023 |
| Compensation of chief compliance officer | 11 |
| Other | 3,746 |
| Total expenses | 751,043 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (111,739) |
| Total net expenses | 639,304 |
| Net investment income | 3,593,957 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (532,103) |
| Investments — affiliated issuers | (1,491) |
| Net realized loss | (533,594) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (26,378,561) |
| Investments — affiliated issuers | (557) |
| Net change in unrealized appreciation (depreciation) | (26,379,118) |
| Net realized and unrealized loss | (26,912,712) |
| Net decrease in net assets resulting from operations | $(23,318,755) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022
| 17 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $3,593,957 | $8,027,357 |
| Net realized gain (loss) | (533,594) | 14,227,477 |
| Net change in unrealized appreciation (depreciation) | (26,379,118) | (14,291,797) |
| Net increase (decrease) in net assets resulting from operations | (23,318,755) | 7,963,037 |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class 1 | — | (1,831,278) |
| Class 2 | — | (3,203,673) |
| Class 3 | — | (11,422,235) |
| Total distributions to shareholders | — | (16,457,186) |
| Decrease in net assets from capital stock activity | (9,967,675) | (173,186,005) |
| Total decrease in net assets | (33,286,430) | (181,680,154) |
| Net assets at beginning of period | 180,969,890 | 362,650,044 |
| Net assets at end of period | $147,683,460 | $180,969,890 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 55,837 | 386,807 | 164,755 | 1,245,705 |
| Distributions reinvested | — | — | 253,289 | 1,831,278 |
| Redemptions | (248,439) | (1,701,007) | (22,961,477) | (177,027,879) |
| Net decrease | (192,602) | (1,314,200) | (22,543,433) | (173,950,896) |
| Class 2 | | | | |
| Subscriptions | 282,558 | 1,947,327 | 450,789 | 3,367,312 |
| Distributions reinvested | — | — | 446,194 | 3,203,673 |
| Redemptions | (337,116) | (2,289,748) | (577,468) | (4,319,689) |
| Net increase (decrease) | (54,558) | (342,421) | 319,515 | 2,251,296 |
| Class 3 | | | | |
| Subscriptions | 32,964 | 234,369 | 339,536 | 2,628,629 |
| Distributions reinvested | — | — | 1,568,988 | 11,422,235 |
| Redemptions | (1,234,158) | (8,545,423) | (2,047,398) | (15,537,269) |
| Net decrease | (1,201,194) | (8,311,054) | (138,874) | (1,486,405) |
| Total net decrease | (1,448,354) | (9,967,675) | (22,362,792) | (173,186,005) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
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Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income | Total
distributions to
shareholders |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $7.33 | 0.15 | (1.12) | (0.97) | — | — |
| Year Ended 12/31/2021 | $7.71 | 0.33 | 0.01(d) | 0.34 | (0.72) | (0.72) |
| Year Ended 12/31/2020 | $7.64 | 0.35 | 0.08 | 0.43 | (0.36) | (0.36) |
| Year Ended 12/31/2019 | $6.91 | 0.36 | 0.76 | 1.12 | (0.39) | (0.39) |
| Year Ended 12/31/2018 | $7.56 | 0.37 | (0.65) | (0.28) | (0.37) | (0.37) |
| Year Ended 12/31/2017 | $7.56 | 0.35 | 0.14 | 0.49 | (0.49) | (0.49) |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $7.27 | 0.14 | (1.11) | (0.97) | — | — |
| Year Ended 12/31/2021 | $7.66 | 0.30 | 0.01(d) | 0.31 | (0.70) | (0.70) |
| Year Ended 12/31/2020 | $7.59 | 0.33 | 0.08 | 0.41 | (0.34) | (0.34) |
| Year Ended 12/31/2019 | $6.87 | 0.34 | 0.75 | 1.09 | (0.37) | (0.37) |
| Year Ended 12/31/2018 | $7.51 | 0.35 | (0.64) | (0.29) | (0.35) | (0.35) |
| Year Ended 12/31/2017 | $7.52 | 0.33 | 0.13 | 0.46 | (0.47) | (0.47) |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $7.38 | 0.15 | (1.13) | (0.98) | — | — |
| Year Ended 12/31/2021 | $7.75 | 0.32 | 0.02(d) | 0.34 | (0.71) | (0.71) |
| Year Ended 12/31/2020 | $7.68 | 0.34 | 0.08 | 0.42 | (0.35) | (0.35) |
| Year Ended 12/31/2019 | $6.95 | 0.35 | 0.76 | 1.11 | (0.38) | (0.38) |
| Year Ended 12/31/2018 | $7.60 | 0.36 | (0.65) | (0.29) | (0.36) | (0.36) |
| Year Ended 12/31/2017 | $7.60 | 0.35 | 0.13 | 0.48 | (0.48) | (0.48) |
| 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) | Annualized. |
| (d) | 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. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $6.36 | (13.23%) | 0.78%(c) | 0.64%(c) | 4.51%(c) | 14% | $16,037 |
| Year Ended 12/31/2021 | $7.33 | 4.50% | 0.77% | 0.66% | 4.26% | 50% | $19,891 |
| Year Ended 12/31/2020 | $7.71 | 5.90% | 0.73% | 0.67% | 4.74% | 58% | $194,656 |
| Year Ended 12/31/2019 | $7.64 | 16.47% | 0.75% | 0.69% | 4.83% | 58% | $178,149 |
| Year Ended 12/31/2018 | $6.91 | (3.75%) | 0.74% | 0.73% | 5.05% | 42% | $138,357 |
| Year Ended 12/31/2017 | $7.56 | 6.56% | 0.76% | 0.76% | 4.66% | 50% | $132,262 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $6.30 | (13.34%) | 1.03%(c) | 0.89%(c) | 4.26%(c) | 14% | $31,059 |
| Year Ended 12/31/2021 | $7.27 | 4.14% | 1.05% | 0.90% | 4.07% | 50% | $36,232 |
| Year Ended 12/31/2020 | $7.66 | 5.67% | 0.98% | 0.92% | 4.49% | 58% | $35,700 |
| Year Ended 12/31/2019 | $7.59 | 16.12% | 1.00% | 0.94% | 4.59% | 58% | $37,916 |
| Year Ended 12/31/2018 | $6.87 | (3.90%) | 0.99% | 0.98% | 4.79% | 42% | $32,893 |
| Year Ended 12/31/2017 | $7.51 | 6.20% | 1.01% | 1.01% | 4.41% | 50% | $36,579 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $6.40 | (13.28%) | 0.90%(c) | 0.76%(c) | 4.38%(c) | 14% | $100,588 |
| Year Ended 12/31/2021 | $7.38 | 4.48% | 0.92% | 0.78% | 4.19% | 50% | $124,846 |
| Year Ended 12/31/2020 | $7.75 | 5.74% | 0.86% | 0.80% | 4.62% | 58% | $132,293 |
| Year Ended 12/31/2019 | $7.68 | 16.23% | 0.87% | 0.81% | 4.72% | 58% | $147,395 |
| Year Ended 12/31/2018 | $6.95 | (3.86%) | 0.87% | 0.85% | 4.90% | 42% | $146,078 |
| Year Ended 12/31/2017 | $7.60 | 6.39% | 0.88% | 0.88% | 4.55% | 50% | $199,852 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements
June 30, 2022 (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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
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 market value, unless this method results in a valuation that management believes does not approximate fair 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.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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
| 22 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
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, if available.
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.
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, if any, 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.
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. For convertible securities, premiums attributable to the conversion feature are not amortized.
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022
| 23 |
Notes to Financial Statements (continued)
June 30, 2022 (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 collectability 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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, the proceeds are recorded as realized gains.
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 investment company taxable income and net capital gain, 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 in the Statement of Assets and Liabilities.
| 24 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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 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 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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, 2022 was 0.66% of the Fund’s average daily net assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022
| 25 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.07% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | Fee rate(s) contractual
through
April 30, 2023 |
| Class 1 | 0.64% |
| Class 2 | 0.89 |
| Class 3 | 0.765 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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, 2022, the approximate cost of all 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) ($) |
| 166,815,000 | 78,000 | (21,001,000) | (20,923,000) |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
| 26 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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 $22,674,197 and $30,384,826, respectively, for the six months ended June 30, 2022. 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
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| 27 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 9. Significant risks
Credit risk
Credit risk is the risk that the value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower-rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
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 debt instruments. 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 instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise 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. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
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.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market
| 28 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, affiliated shareholders of record owned 87.8% 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. 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 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022
| 29 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 or one or more of its affiliates that provides services to the Fund.
| 30 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022
| 31 |
Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
| 32 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Manager and discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had
Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022
| 33 |
Approval of Management Agreement (continued)
(Unaudited)
considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
| 34 | Columbia Variable Portfolio – Income Opportunities Fund | Semiannual Report 2022 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – Income Opportunities Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Select 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – Select Mid Cap Value Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term growth of capital.
Portfolio management
Kari Montanus
Lead Portfolio Manager
Managed Fund since 2018
Jonas Patrikson, CFA
Portfolio Manager
Managed Fund since 2014
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/03/10 | -16.19 | -6.65 | 7.94 | 11.10 |
| Class 2 | 05/03/10 | -16.26 | -6.85 | 7.68 | 10.84 |
| Class 3 | 05/02/05 | -16.24 | -6.73 | 7.81 | 10.97 |
| Russell Midcap Value Index | | -16.23 | -10.00 | 6.27 | 10.62 |
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 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.
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Common Stocks | 98.3 |
| Money Market Funds | 1.7 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 6.1 |
| Consumer Discretionary | 10.2 |
| Consumer Staples | 3.7 |
| Energy | 4.7 |
| Financials | 16.8 |
| Health Care | 9.5 |
| Industrials | 14.2 |
| Information Technology | 8.7 |
| Materials | 7.4 |
| Real Estate | 10.1 |
| Utilities | 8.6 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 838.10 | 1,020.68 | 3.78 | 4.16 | 0.83 |
| Class 2 | 1,000.00 | 1,000.00 | 837.40 | 1,019.44 | 4.92 | 5.41 | 1.08 |
| Class 3 | 1,000.00 | 1,000.00 | 837.60 | 1,020.08 | 4.33 | 4.76 | 0.95 |
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.
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 98.8% |
| Issuer | Shares | Value ($) |
| Communication Services 6.0% |
| Entertainment 3.5% |
| Live Nation Entertainment, Inc.(a) | 48,882 | 4,036,675 |
| Take-Two Interactive Software, Inc.(a) | 45,554 | 5,581,732 |
| Total | | 9,618,407 |
| Media 2.5% |
| Nexstar Media Group, Inc., Class A | 41,805 | 6,809,199 |
| Total Communication Services | 16,427,606 |
| Consumer Discretionary 10.1% |
| Hotels, Restaurants & Leisure 2.1% |
| Hyatt Hotels Corp., Class A(a) | 76,235 | 5,634,529 |
| Household Durables 1.6% |
| D.R. Horton, Inc. | 64,297 | 4,255,819 |
| Multiline Retail 1.8% |
| Dollar Tree, Inc.(a) | 32,588 | 5,078,840 |
| Specialty Retail 3.5% |
| Burlington Stores, Inc.(a) | 22,374 | 3,048,010 |
| O’Reilly Automotive, Inc.(a) | 10,308 | 6,512,182 |
| Total | | 9,560,192 |
| Textiles, Apparel & Luxury Goods 1.1% |
| Capri Holdings Ltd.(a) | 76,234 | 3,126,356 |
| Total Consumer Discretionary | 27,655,736 |
| Consumer Staples 3.7% |
| Food & Staples Retailing 1.8% |
| U.S. Foods Holding Corp.(a) | 161,579 | 4,957,244 |
| Food Products 1.9% |
| Tyson Foods, Inc., Class A | 59,111 | 5,087,092 |
| Total Consumer Staples | 10,044,336 |
| Energy 4.7% |
| Oil, Gas & Consumable Fuels 4.7% |
| Devon Energy Corp. | 118,037 | 6,505,019 |
| Marathon Petroleum Corp. | 76,744 | 6,309,124 |
| Total | | 12,814,143 |
| Total Energy | 12,814,143 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Financials 16.6% |
| Banks 6.0% |
| Popular, Inc. | 90,189 | 6,938,240 |
| Regions Financial Corp. | 291,724 | 5,469,825 |
| SVB Financial Group(a) | 10,597 | 4,185,709 |
| Total | | 16,593,774 |
| Consumer Finance 2.2% |
| Discover Financial Services | 63,956 | 6,048,959 |
| Diversified Financial Services 1.6% |
| Voya Financial, Inc. | 74,425 | 4,430,520 |
| Insurance 6.8% |
| Hanover Insurance Group, Inc. (The) | 42,709 | 6,246,191 |
| Lincoln National Corp. | 117,613 | 5,500,760 |
| Reinsurance Group of America, Inc. | 58,473 | 6,858,298 |
| Total | | 18,605,249 |
| Total Financials | 45,678,502 |
| Health Care 9.3% |
| Health Care Equipment & Supplies 2.1% |
| Zimmer Biomet Holdings, Inc. | 54,878 | 5,765,483 |
| Health Care Providers & Services 4.1% |
| Centene Corp.(a) | 72,737 | 6,154,277 |
| Quest Diagnostics, Inc. | 39,369 | 5,235,290 |
| Total | | 11,389,567 |
| Life Sciences Tools & Services 3.1% |
| Agilent Technologies, Inc. | 35,545 | 4,221,680 |
| Syneos Health, Inc.(a) | 60,000 | 4,300,800 |
| Total | | 8,522,480 |
| Total Health Care | 25,677,530 |
| Industrials 14.0% |
| Airlines 1.7% |
| Southwest Airlines Co.(a) | 131,518 | 4,750,430 |
| Building Products 2.5% |
| Trane Technologies PLC | 52,724 | 6,847,266 |
| Electrical Equipment 2.6% |
| AMETEK, Inc. | 65,104 | 7,154,279 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Machinery 4.7% |
| Ingersoll Rand, Inc. | 155,605 | 6,547,858 |
| ITT, Inc. | 94,882 | 6,379,866 |
| Total | | 12,927,724 |
| Professional Services 2.5% |
| CACI International, Inc., Class A(a) | 23,872 | 6,726,652 |
| Total Industrials | 38,406,351 |
| Information Technology 8.6% |
| Communications Equipment 2.4% |
| Motorola Solutions, Inc. | 31,233 | 6,546,437 |
| Electronic Equipment, Instruments & Components 2.0% |
| Corning, Inc. | 178,498 | 5,624,472 |
| Semiconductors & Semiconductor Equipment 4.2% |
| GlobalFoundries, Inc.(a) | 47,065 | 1,898,602 |
| Marvell Technology, Inc. | 57,008 | 2,481,558 |
| ON Semiconductor Corp.(a) | 70,022 | 3,522,807 |
| Teradyne, Inc. | 39,381 | 3,526,568 |
| Total | | 11,429,535 |
| Total Information Technology | 23,600,444 |
| Materials 7.3% |
| Chemicals 4.7% |
| Chemours Co. LLC (The) | 140,000 | 4,482,800 |
| Eastman Chemical Co. | 32,375 | 2,906,304 |
| FMC Corp. | 52,374 | 5,604,541 |
| Total | | 12,993,645 |
| Metals & Mining 2.6% |
| Allegheny Technologies, Inc.(a) | 181,089 | 4,112,531 |
| Freeport-McMoRan, Inc. | 102,317 | 2,993,796 |
| Total | | 7,106,327 |
| Total Materials | 20,099,972 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Real Estate 10.0% |
| Equity Real Estate Investment Trusts (REITS) 10.0% |
| First Industrial Realty Trust, Inc. | 159,437 | 7,570,069 |
| Gaming and Leisure Properties, Inc. | 143,550 | 6,583,203 |
| Lamar Advertising Co., Class A | 61,307 | 5,393,177 |
| Welltower, Inc. | 94,785 | 7,805,544 |
| Total | | 27,351,993 |
| Total Real Estate | 27,351,993 |
| Utilities 8.5% |
| Electric Utilities 2.3% |
| Entergy Corp. | 55,185 | 6,216,038 |
| Independent Power and Renewable Electricity Producers 2.5% |
| AES Corp. (The) | 331,206 | 6,958,638 |
| Multi-Utilities 3.7% |
| Ameren Corp. | 113,029 | 10,213,301 |
| Total Utilities | 23,387,977 |
Total Common Stocks
(Cost $231,631,060) | 271,144,590 |
|
| Money Market Funds 1.7% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(b),(c) | 4,671,227 | 4,668,425 |
Total Money Market Funds
(Cost $4,667,958) | 4,668,425 |
Total Investments in Securities
(Cost: $236,299,018) | 275,813,015 |
| Other Assets & Liabilities, Net | | (1,331,408) |
| Net Assets | 274,481,607 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 3,559,678 | 27,238,878 | (26,130,704) | 573 | 4,668,425 | (1,616) | 7,626 | 4,671,227 |
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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 16,427,606 | — | — | 16,427,606 |
| Consumer Discretionary | 27,655,736 | — | — | 27,655,736 |
| Consumer Staples | 10,044,336 | — | — | 10,044,336 |
| Energy | 12,814,143 | — | — | 12,814,143 |
| Financials | 45,678,502 | — | — | 45,678,502 |
| Health Care | 25,677,530 | — | — | 25,677,530 |
| Industrials | 38,406,351 | — | — | 38,406,351 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Fair value measurements (continued)
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Information Technology | 23,600,444 | — | — | 23,600,444 |
| Materials | 20,099,972 | — | — | 20,099,972 |
| Real Estate | 27,351,993 | — | — | 27,351,993 |
| Utilities | 23,387,977 | — | — | 23,387,977 |
| Total Common Stocks | 271,144,590 | — | — | 271,144,590 |
| Money Market Funds | 4,668,425 | — | — | 4,668,425 |
| Total Investments in Securities | 275,813,015 | — | — | 275,813,015 |
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.
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022
| 9 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $231,631,060) | $271,144,590 |
| Affiliated issuers (cost $4,667,958) | 4,668,425 |
| Receivable for: | |
| Capital shares sold | 739 |
| Dividends | 259,340 |
| Expense reimbursement due from Investment Manager | 427 |
| Prepaid expenses | 5,960 |
| Total assets | 276,079,481 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 1,155,683 |
| Capital shares purchased | 327,285 |
| Management services fees | 6,224 |
| Distribution and/or service fees | 511 |
| Service fees | 8,590 |
| Compensation of board members | 77,117 |
| Compensation of chief compliance officer | 31 |
| Other expenses | 22,433 |
| Total liabilities | 1,597,874 |
| Net assets applicable to outstanding capital stock | $274,481,607 |
| Represented by | |
| Trust capital | $274,481,607 |
| Total - representing net assets applicable to outstanding capital stock | $274,481,607 |
| Class 1 | |
| Net assets | $170,021,539 |
| Shares outstanding | 5,499,720 |
| Net asset value per share | $30.91 |
| Class 2 | |
| Net assets | $43,354,916 |
| Shares outstanding | 1,441,986 |
| Net asset value per share | $30.07 |
| Class 3 | |
| Net assets | $61,105,152 |
| Shares outstanding | 2,004,662 |
| Net asset value per share | $30.48 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $2,670,266 |
| Dividends — affiliated issuers | 7,626 |
| Foreign taxes withheld | (9,921) |
| Total income | 2,667,971 |
| Expenses: | |
| Management services fees | 1,293,745 |
| Distribution and/or service fees | |
| Class 2 | 59,676 |
| Class 3 | 43,045 |
| Service fees | 47,016 |
| Compensation of board members | 4,902 |
| Custodian fees | 3,405 |
| Printing and postage fees | 8,226 |
| Audit fees | 14,669 |
| Legal fees | 6,809 |
| Compensation of chief compliance officer | 23 |
| Other | 4,469 |
| Total expenses | 1,485,985 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (73,528) |
| Total net expenses | 1,412,457 |
| Net investment income | 1,255,514 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 17,109,560 |
| Investments — affiliated issuers | (1,616) |
| Net realized gain | 17,107,944 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (72,518,623) |
| Investments — affiliated issuers | 573 |
| Net change in unrealized appreciation (depreciation) | (72,518,050) |
| Net realized and unrealized loss | (55,410,106) |
| Net decrease in net assets resulting from operations | $(54,154,592) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022
| 11 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $1,255,514 | $2,073,651 |
| Net realized gain | 17,107,944 | 55,160,550 |
| Net change in unrealized appreciation (depreciation) | (72,518,050) | 35,845,364 |
| Net increase (decrease) in net assets resulting from operations | (54,154,592) | 93,079,565 |
| Decrease in net assets from capital stock activity | (16,842,699) | (78,497,952) |
| Total increase (decrease) in net assets | (70,997,291) | 14,581,613 |
| Net assets at beginning of period | 345,478,898 | 330,897,285 |
| Net assets at end of period | $274,481,607 | $345,478,898 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 61,822 | 2,149,376 | 78,463 | 2,413,133 |
| Redemptions | (597,362) | (20,873,427) | (2,556,233) | (80,412,074) |
| Net decrease | (535,540) | (18,724,051) | (2,477,770) | (77,998,941) |
| Class 2 | | | | |
| Subscriptions | 158,268 | 5,386,953 | 232,165 | 7,500,960 |
| Redemptions | (94,510) | (3,143,043) | (121,717) | (3,808,407) |
| Net increase | 63,758 | 2,243,910 | 110,448 | 3,692,553 |
| Class 3 | | | | |
| Subscriptions | 69,484 | 2,426,937 | 93,222 | 2,965,606 |
| Redemptions | (81,729) | (2,789,495) | (222,676) | (7,157,170) |
| Net decrease | (12,245) | (362,558) | (129,454) | (4,191,564) |
| Total net decrease | (484,027) | (16,842,699) | (2,496,776) | (78,497,952) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
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Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $36.88 | 0.15 | (6.12) | (5.97) |
| Year Ended 12/31/2021 | $27.87 | 0.22 | 8.79 | 9.01 |
| Year Ended 12/31/2020 | $25.93 | 0.23 | 1.71 | 1.94 |
| Year Ended 12/31/2019 | $19.70 | 0.29 | 5.94 | 6.23 |
| Year Ended 12/31/2018 | $22.72 | 0.20 | (3.22) | (3.02) |
| Year Ended 12/31/2017 | $20.01 | 0.25 | 2.46 | 2.71 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $35.91 | 0.10 | (5.94) | (5.84) |
| Year Ended 12/31/2021 | $27.21 | 0.14 | 8.56 | 8.70 |
| Year Ended 12/31/2020 | $25.37 | 0.17 | 1.67 | 1.84 |
| Year Ended 12/31/2019 | $19.33 | 0.22 | 5.82 | 6.04 |
| Year Ended 12/31/2018 | $22.35 | 0.14 | (3.16) | (3.02) |
| Year Ended 12/31/2017 | $19.73 | 0.20 | 2.42 | 2.62 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $36.39 | 0.13 | (6.04) | (5.91) |
| Year Ended 12/31/2021 | $27.54 | 0.18 | 8.67 | 8.85 |
| Year Ended 12/31/2020 | $25.64 | 0.20 | 1.70 | 1.90 |
| Year Ended 12/31/2019 | $19.51 | 0.25 | 5.88 | 6.13 |
| Year Ended 12/31/2018 | $22.53 | 0.16 | (3.18) | (3.02) |
| Year Ended 12/31/2017 | $19.87 | 0.22 | 2.44 | 2.66 |
| 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) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $30.91 | (16.19%) | 0.88%(c) | 0.83%(c) | 0.85%(c) | 13% | $170,022 |
| Year Ended 12/31/2021 | $36.88 | 32.33% | 0.88% | 0.82% | 0.68% | 32% | $222,591 |
| Year Ended 12/31/2020 | $27.87 | 7.48% | 0.88% | 0.81% | 1.03% | 40% | $237,299 |
| Year Ended 12/31/2019 | $25.93 | 31.62% | 0.88% | 0.82% | 1.22% | 31% | $220,919 |
| Year Ended 12/31/2018 | $19.70 | (13.29%) | 0.89% | 0.85% | 0.87% | 98% | $170,998 |
| Year Ended 12/31/2017 | $22.72 | 13.54% | 0.91% | 0.87% | 1.20% | 72% | $191,281 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $30.07 | (16.26%) | 1.13%(c) | 1.08%(c) | 0.62%(c) | 13% | $43,355 |
| Year Ended 12/31/2021 | $35.91 | 31.97% | 1.13% | 1.07% | 0.45% | 32% | $49,498 |
| Year Ended 12/31/2020 | $27.21 | 7.25% | 1.13% | 1.06% | 0.78% | 40% | $34,497 |
| Year Ended 12/31/2019 | $25.37 | 31.25% | 1.13% | 1.07% | 0.97% | 31% | $34,239 |
| Year Ended 12/31/2018 | $19.33 | (13.51%) | 1.14% | 1.10% | 0.62% | 98% | $25,687 |
| Year Ended 12/31/2017 | $22.35 | 13.28% | 1.16% | 1.12% | 0.97% | 72% | $28,989 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $30.48 | (16.24%) | 1.00%(c) | 0.95%(c) | 0.75%(c) | 13% | $61,105 |
| Year Ended 12/31/2021 | $36.39 | 32.14% | 1.01% | 0.95% | 0.57% | 32% | $73,390 |
| Year Ended 12/31/2020 | $27.54 | 7.41% | 1.01% | 0.94% | 0.91% | 40% | $59,101 |
| Year Ended 12/31/2019 | $25.64 | 31.42% | 1.01% | 0.95% | 1.08% | 31% | $68,354 |
| Year Ended 12/31/2018 | $19.51 | (13.40%) | 1.01% | 0.97% | 0.73% | 98% | $61,387 |
| Year Ended 12/31/2017 | $22.53 | 13.39% | 1.04% | 0.99% | 1.05% | 72% | $85,853 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Select 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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 16 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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 – Select Mid Cap Value Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (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 in 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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, 2022 was 0.82% of the Fund’s average daily net assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
| 18 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.03% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | Fee rate(s) contractual
through
April 30, 2023 |
| Class 1 | 0.83% |
| Class 2 | 1.08 |
| Class 3 | 0.955 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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 $39,919,048 and $56,017,806, respectively, for the six months ended June 30, 2022. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 8. Significant risks
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain;
| 20 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
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.
Note 9. 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.
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
| 22 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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 Mid Cap Value Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022
| 23 |
Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
| 24 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Manager and discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current “pricing philosophy” such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment
Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022
| 25 |
Approval of Management Agreement (continued)
(Unaudited)
Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
| 26 | Columbia Variable Portfolio – Select Mid Cap Value Fund | Semiannual Report 2022 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – Select Mid Cap Value Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – Seligman Global Technology Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term capital appreciation.
Portfolio management
Paul Wick
Lead Portfolio Manager
Managed Fund since 2006
Shekhar Pramanick
Technology Team Member
Managed Fund since 2014
Sanjay Devgan
Technology Team Member
Managed Fund since 2014
Christopher Boova
Technology Team Member
Managed Fund since 2016
Vimal Patel
Technology Team Member
Managed Fund since 2018
Sanjiv Wadhwani
Technology Team Member
Managed Fund since 2021
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/01/96 | -29.44 | -19.74 | 18.34 | 19.11 |
| Class 2 | 05/01/00 | -29.54 | -19.98 | 18.04 | 18.80 |
| MSCI World Information Technology Index (Net) | | -29.73 | -19.29 | 17.23 | 16.66 |
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.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 9.3 |
| Consumer Discretionary | 2.1 |
| Health Care | 0.4 |
| Industrials | 2.3 |
| Information Technology | 85.9 |
| 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, 2022) |
| Information Technology | |
| Application Software | 8.9 |
| Communications Equipment | 5.6 |
| Data Processing & Outsourced Services | 4.7 |
| Electronic Equipment & Instruments | 1.6 |
| Internet Services & Infrastructure | 2.1 |
| IT Consulting & Other Services | 1.0 |
| Semiconductor Equipment | 12.8 |
| Semiconductors | 22.2 |
| Systems Software | 13.5 |
| Technology Hardware, Storage & Peripherals | 13.5 |
| Total | 85.9 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| Country breakdown (%) (at June 30, 2022) |
| Canada | 0.5 |
| Germany | 0.1 |
| Israel | 0.4 |
| Japan | 2.2 |
| Netherlands | 1.2 |
| Sweden | 0.7 |
| United States(a) | 94.9 |
| 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 excluding investments in derivatives, if any. 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, 2022, the Fund invested at least 40% of its net assets in foreign companies in accordance with its principal investment strategy.
| 4 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 705.60 | 1,019.89 | 4.19 | 4.96 | 0.99 |
| Class 2 | 1,000.00 | 1,000.00 | 704.60 | 1,018.65 | 5.24 | 6.21 | 1.24 |
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.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 99.0% |
| Issuer | Shares | Value ($) |
| Canada 0.5% |
| Shaw Communications Inc | 18,320 | 539,837 |
| Germany 0.1% |
| TeamViewer AG(a) | 14,257 | 142,572 |
| Israel 0.4% |
| CyberArk Software Ltd.(a) | 2,715 | 347,411 |
| Kornit Digital Ltd.(a) | 1,424 | 45,141 |
| Total | 392,552 |
| Japan 2.2% |
| Nintendo Co., Ltd., ADR | 5,860 | 315,912 |
| Renesas Electronics Corp.(a) | 202,600 | 1,833,400 |
| Sumco Corp. | 14,900 | 193,773 |
| Total | 2,343,085 |
| Netherlands 1.2% |
| NXP Semiconductors NV | 9,051 | 1,339,819 |
| Sweden 0.7% |
| Telefonaktiebolaget LM Ericsson, ADR | 106,752 | 789,965 |
| United States 93.9% |
| Activision Blizzard, Inc. | 20,728 | 1,613,882 |
| Advanced Energy Industries, Inc. | 23,057 | 1,682,700 |
| Alphabet, Inc., Class A(a) | 2,208 | 4,811,806 |
| Alphabet, Inc., Class C(a) | 972 | 2,126,201 |
| Analog Devices, Inc. | 20,474 | 2,991,047 |
| Apple, Inc. | 45,935 | 6,280,233 |
| Applied Materials, Inc. | 36,478 | 3,318,768 |
| Arista Networks, Inc.(a) | 7,040 | 659,930 |
| Bloom Energy Corp., Class A(a) | 130,864 | 2,159,256 |
| Broadcom, Inc. | 8,655 | 4,204,686 |
| Cerence, Inc.(a) | 22,331 | 563,411 |
| Cisco Systems, Inc. | 13,663 | 582,590 |
| Comcast Corp., Class A | 12,920 | 506,981 |
| Dell Technologies, Inc. | 24,592 | 1,136,396 |
| Dropbox, Inc., Class A(a) | 116,509 | 2,445,524 |
| DXC Technology Co.(a) | 21,797 | 660,667 |
| eBay, Inc. | 52,636 | 2,193,342 |
| Eiger BioPharmaceuticals, Inc.(a) | 74,741 | 470,868 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| F5, Inc.(a) | 9,901 | 1,515,249 |
| Fidelity National Information Services, Inc. | 9,931 | 910,375 |
| Fiserv, Inc.(a) | 12,982 | 1,155,009 |
| Fortinet, Inc.(a) | 38,440 | 2,174,935 |
| GlobalFoundries, Inc.(a) | 18,420 | 743,063 |
| GoDaddy, Inc., Class A(a) | 33,419 | 2,324,626 |
| HireRight Holdings Corp.(a) | 20,326 | 288,832 |
| HP, Inc.(b) | 72,606 | 2,380,025 |
| Intapp, Inc.(a) | 5,392 | 78,939 |
| Intel Corp. | 23,136 | 865,518 |
| Lam Research Corp. | 14,863 | 6,333,867 |
| Lumentum Holdings, Inc.(a) | 21,418 | 1,701,018 |
| Marvell Technology, Inc. | 50,752 | 2,209,235 |
| Microchip Technology, Inc. | 21,074 | 1,223,978 |
| Micron Technology, Inc. | 36,490 | 2,017,167 |
| Microsoft Corp. | 15,897 | 4,082,827 |
| NetApp, Inc. | 29,694 | 1,937,237 |
| NortonLifeLock, Inc. | 91,213 | 2,003,037 |
| Oracle Corp. | 18,151 | 1,268,210 |
| Palo Alto Networks, Inc.(a) | 4,376 | 2,161,481 |
| Plantronics, Inc.(a) | 8,584 | 340,613 |
| PowerSchool Holdings, Inc., Class A(a) | 8,275 | 99,714 |
| Qorvo, Inc.(a) | 18,388 | 1,734,356 |
| Rambus, Inc.(a) | 28,910 | 621,276 |
| Salesforce, Inc.(a) | 5,113 | 843,850 |
| Samsara, Inc., Class A(a) | 50,568 | 564,845 |
| SMART Global Holdings, Inc.(a) | 44,795 | 733,294 |
| Splunk, Inc.(a) | 2,368 | 209,473 |
| Synaptics, Inc.(a) | 28,415 | 3,354,391 |
| Synopsys, Inc.(a) | 14,195 | 4,311,022 |
| Tenable Holdings, Inc.(a) | 6,289 | 285,583 |
| Teradyne, Inc. | 43,571 | 3,901,783 |
| Thoughtworks Holding, Inc.(a) | 27,076 | 382,042 |
| T-Mobile USA, Inc.(a) | 297 | 39,958 |
| Transphorm, Inc.(a) | 25,726 | 98,016 |
| Viavi Solutions, Inc.(a) | 30,989 | 409,984 |
| Visa, Inc., Class A | 15,078 | 2,968,707 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| VMware, Inc., Class A | 8,390 | 956,292 |
| Western Digital Corp.(a) | 62,511 | 2,802,368 |
| Xperi Holding Corp. | 88,916 | 1,283,058 |
| Zendesk, Inc.(a) | 6,466 | 478,937 |
| Total | 102,202,478 |
Total Common Stocks
(Cost $91,878,405) | 107,750,308 |
|
| Money Market Funds 1.0% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(c),(d) | 1,113,608 | 1,112,940 |
Total Money Market Funds
(Cost $1,113,001) | 1,112,940 |
Total Investments in Securities
(Cost $92,991,406) | 108,863,248 |
| Other Assets & Liabilities, Net | | (40,390) |
| Net Assets | $108,822,858 |
At June 30, 2022, securities and/or cash totaling $281,908 were pledged as collateral.
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (c) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (d) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 2,982,402 | 9,240,586 | (11,110,042) | (6) | 1,112,940 | (30) | 2,028 | 1,113,608 |
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 market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (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.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Canada | 539,837 | — | — | 539,837 |
| Germany | — | 142,572 | — | 142,572 |
| Israel | 392,552 | — | — | 392,552 |
| Japan | — | 2,343,085 | — | 2,343,085 |
| Netherlands | 1,339,819 | — | — | 1,339,819 |
| Sweden | 789,965 | — | — | 789,965 |
| United States | 102,202,478 | — | — | 102,202,478 |
| Total Common Stocks | 105,264,651 | 2,485,657 | — | 107,750,308 |
| Money Market Funds | 1,112,940 | — | — | 1,112,940 |
| Total Investments in Securities | 106,377,591 | 2,485,657 | — | 108,863,248 |
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.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $91,878,405) | $107,750,308 |
| Affiliated issuers (cost $1,113,001) | 1,112,940 |
| Receivable for: | |
| Capital shares sold | 31,407 |
| Dividends | 57,453 |
| Foreign tax reclaims | 5,402 |
| Expense reimbursement due from Investment Manager | 586 |
| Prepaid expenses | 5,056 |
| Total assets | 108,963,152 |
| Liabilities | |
| Payable for: | |
| Capital shares purchased | 9,580 |
| Management services fees | 2,766 |
| Distribution and/or service fees | 454 |
| Service fees | 55,633 |
| Compensation of board members | 47,878 |
| Compensation of chief compliance officer | 12 |
| Audit fees | 13,915 |
| Printing and Postage fees | 7,070 |
| Other expenses | 2,986 |
| Total liabilities | 140,294 |
| Net assets applicable to outstanding capital stock | $108,822,858 |
| Represented by | |
| Paid in capital | 56,800,233 |
| Total distributable earnings (loss) | 52,022,625 |
| Total - representing net assets applicable to outstanding capital stock | $108,822,858 |
| Class 1 | |
| Net assets | $43,417,722 |
| Shares outstanding | 1,564,800 |
| Net asset value per share | $27.75 |
| Class 2 | |
| Net assets | $65,405,136 |
| Shares outstanding | 2,672,432 |
| Net asset value per share | $24.47 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022
| 9 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $504,643 |
| Dividends — affiliated issuers | 2,028 |
| Foreign taxes withheld | (9,850) |
| Total income | 496,821 |
| Expenses: | |
| Management services fees | 612,674 |
| Distribution and/or service fees | |
| Class 2 | 101,754 |
| Service fees | 122,446 |
| Compensation of board members | 5,690 |
| Custodian fees | 7,273 |
| Printing and postage fees | 2,446 |
| Audit fees | 15,415 |
| Legal fees | 5,907 |
| Interest on interfund lending | 20 |
| Compensation of chief compliance officer | 10 |
| Other | 4,211 |
| Total expenses | 877,846 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (114,963) |
| Total net expenses | 762,883 |
| Net investment loss | (266,062) |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 7,080,077 |
| Investments — affiliated issuers | (30) |
| Foreign currency translations | (453) |
| Options contracts written | 18,480 |
| Net realized gain | 7,098,074 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (55,188,843) |
| Investments — affiliated issuers | (6) |
| Foreign currency translations | (167) |
| Net change in unrealized appreciation (depreciation) | (55,189,016) |
| Net realized and unrealized loss | (48,090,942) |
| Net decrease in net assets resulting from operations | $(48,357,004) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment loss | $(266,062) | $(273,156) |
| Net realized gain | 7,098,074 | 30,061,713 |
| Net change in unrealized appreciation (depreciation) | (55,189,016) | 19,456,859 |
| Net increase (decrease) in net assets resulting from operations | (48,357,004) | 49,245,416 |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class 1 | — | (6,326,232) |
| Class 2 | — | (10,678,214) |
| Total distributions to shareholders | — | (17,004,446) |
| Increase (decrease) in net assets from capital stock activity | (16,577,283) | 5,738,398 |
| Total increase (decrease) in net assets | (64,934,287) | 37,979,368 |
| Net assets at beginning of period | 173,757,145 | 135,777,777 |
| Net assets at end of period | $108,822,858 | $173,757,145 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 5,524 | 158,075 | 6,303 | 224,752 |
| Distributions reinvested | — | — | 183,475 | 6,326,232 |
| Redemptions | (113,900) | (3,895,217) | (374,568) | (13,228,843) |
| Net decrease | (108,376) | (3,737,142) | (184,790) | (6,677,859) |
| Class 2 | | | | |
| Subscriptions | 179,048 | 5,264,273 | 947,366 | 30,645,097 |
| Distributions reinvested | — | — | 350,335 | 10,678,214 |
| Redemptions | (614,793) | (18,104,414) | (920,024) | (28,907,054) |
| Net increase (decrease) | (435,745) | (12,840,141) | 377,677 | 12,416,257 |
| Total net increase (decrease) | (544,121) | (16,577,283) | 192,887 | 5,738,398 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022
| 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.
| | 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 | Total
distributions to
shareholders |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $39.33 | (0.04) | (11.54) | (11.58) | — | — | — |
| Year Ended 12/31/2021 | $31.55 | (0.01) | 11.76 | 11.75 | (0.15) | (3.82) | (3.97) |
| Year Ended 12/31/2020 | $23.36 | 0.15 | 10.03 | 10.18 | — | (1.99) | (1.99) |
| Year Ended 12/31/2019 | $17.78 | 0.02 | 9.00 | 9.02 | — | (3.44) | (3.44) |
| Year Ended 12/31/2018 | $21.56 | 0.01 | (1.47) | (1.46) | — | (2.32) | (2.32) |
| Year Ended 12/31/2017 | $21.67 | (0.03) | 6.79 | 6.76 | — | (6.87) | (6.87) |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $34.73 | (0.07) | (10.19) | (10.26) | — | — | — |
| Year Ended 12/31/2021 | $28.26 | (0.09) | 10.48 | 10.39 | (0.10) | (3.82) | (3.92) |
| Year Ended 12/31/2020 | $21.12 | 0.08 | 9.00 | 9.08 | — | (1.94) | (1.94) |
| Year Ended 12/31/2019 | $16.33 | (0.03) | 8.20 | 8.17 | — | (3.38) | (3.38) |
| Year Ended 12/31/2018 | $19.99 | (0.04) | (1.35) | (1.39) | — | (2.27) | (2.27) |
| Year Ended 12/31/2017 | $20.50 | (0.08) | 6.38 | 6.30 | — | (6.81) | (6.81) |
| 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) | Annualized. |
| (d) | Ratios include interfund lending expense which is less than 0.01%. |
| (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 – Seligman Global Technology Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $27.75 | (29.44%) | 1.16%(c),(d) | 0.99%(c),(d) | (0.24%)(c) | 4% | $43,418 |
| Year Ended 12/31/2021 | $39.33 | 39.03% | 1.17%(d) | 0.99%(d) | (0.04%) | 35% | $65,802 |
| Year Ended 12/31/2020 | $31.55 | 46.18% | 1.19%(d),(e) | 0.98%(d),(e) | 0.62% | 46% | $58,611 |
| Year Ended 12/31/2019 | $23.36 | 55.31% | 1.18%(d) | 0.97%(d) | 0.09% | 56% | $44,565 |
| Year Ended 12/31/2018 | $17.78 | (8.15%) | 1.09%(d),(e) | 1.03%(d),(e) | 0.05% | 44% | $32,129 |
| Year Ended 12/31/2017 | $21.56 | 35.21% | 1.15%(e) | 1.02%(e) | (0.16%) | 60% | $38,879 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $24.47 | (29.54%) | 1.41%(c),(d) | 1.24%(c),(d) | (0.50%)(c) | 4% | $65,405 |
| Year Ended 12/31/2021 | $34.73 | 38.68% | 1.42%(d) | 1.24%(d) | (0.28%) | 35% | $107,955 |
| Year Ended 12/31/2020 | $28.26 | 45.80% | 1.44%(d),(e) | 1.23%(d),(e) | 0.37% | 46% | $77,167 |
| Year Ended 12/31/2019 | $21.12 | 54.97% | 1.43%(d) | 1.21%(d) | (0.15%) | 56% | $57,023 |
| Year Ended 12/31/2018 | $16.33 | (8.45%) | 1.33%(d),(e) | 1.28%(d),(e) | (0.22%) | 44% | $33,975 |
| Year Ended 12/31/2017 | $19.99 | 34.92% | 1.40%(e) | 1.27%(e) | (0.39%) | 60% | $46,688 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022
| 13 |
Notes to Financial Statements
June 30, 2022 (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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 14 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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, in seeking 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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. 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 clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing broker’s customers (including the Fund), potentially resulting in losses to the Fund.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements (continued)
June 30, 2022 (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 counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts and 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 instruments’ 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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as well. 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 may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in the Statement of Operations. 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 determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, 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.
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 wrote option contracts to decrease the Fund’s exposure to equity market risk 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. Collateral may be collected or posted by the Fund to secure over-the-counter option contract trades. 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 realizes 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.
| 16 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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.
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 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, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Options
contracts
written
($) |
| Equity risk | 18,480 |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average
value ($)* |
| Options contracts — written | (2,122) |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 on the payment date, 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 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 investment company taxable income and net capital gain, 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 in 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 annually. 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 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.
| 18 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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 0.915% to 0.755% as the Fund’s net assets increase. Effective July 1, 2022, 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 0.705% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2022 was 0.915% of the Fund’s average daily net assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.18% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (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 classes’ average daily net assets:
| | May 1, 2022
through
April 30, 2023 | Prior to
May 1, 2022 |
| Class 1 | 0.98% | 0.99% |
| Class 2 | 1.23 | 1.24 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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, 2022, the approximate cost of all 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 ($) |
| 92,991,000 | 25,174,000 | (9,302,000) | 15,872,000 |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
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 $5,023,884 and $20,195,625, respectively, for the six months ended June 30, 2022. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
| 20 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended June 30, 2022 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Borrower | 450,000 | 0.73 | 2 |
Interest expense incurred by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at June 30, 2022.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 9. Significant risks
Information technology sector risk
The Fund is more susceptible to the particular risks that may affect companies in the information technology sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the information technology sector 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 information 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. Some companies in the information technology sector are facing increased government and regulatory scrutiny and may be subject to adverse government or regulatory action, which could negatively impact the value of their securities.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing
| 22 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
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. This increases the risk that a change in the value of any one investment held by the Fund could affect the overall value of the Fund more than it would affect that of a diversified fund holding a greater number of investments. Accordingly, the Fund’s value will likely be more volatile than the value of a more diversified fund.
Shareholder concentration risk
At June 30, 2022, two unaffiliated shareholders of record owned 72.3% 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. 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 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022
| 23 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
| 24 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022
| 25 |
Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund���s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Manager and discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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 approximated the 60th percentile of the Fund’s peer universe. The Board also considered the benefits of the proposed additional breakpoints to the Fund’s current fee rate schedule (the Proposed Additional Breakpoints).
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
| 26 | Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. In this regard, the Board noted the Proposed Additional Breakpoints.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
Columbia Variable Portfolio – Seligman Global Technology Fund | Semiannual Report 2022
| 27 |
Columbia Variable Portfolio – Seligman Global Technology Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – Limited Duration Credit Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with a level of current income consistent with preservation of capital.
Portfolio management
Tom Murphy, CFA
Lead Portfolio Manager
Managed Fund since 2010
Royce D. Wilson, CFA
Portfolio Manager
Managed Fund since 2012
John Dawson, CFA
Portfolio Manager
Managed Fund since 2020
Shannon Rinehart, CFA
Portfolio Manager
Managed Fund since February 2022
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/07/10 | -6.61 | -7.25 | 1.33 | 1.65 |
| Class 2 | 05/07/10 | -6.74 | -7.53 | 1.07 | 1.39 |
| Bloomberg U.S. 1-5 Year Corporate Index | | -5.60 | -6.14 | 1.49 | 2.00 |
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 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.
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Corporate Bonds & Notes | 86.4 |
| Money Market Funds | 8.6 |
| U.S. Treasury Obligations | 5.0 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at June 30, 2022) |
| AAA rating | 5.4 |
| AA rating | 0.3 |
| A rating | 30.0 |
| BBB rating | 52.9 |
| BB rating | 11.3 |
| Not rated | 0.1 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments.
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. If a security is not rated but has a rating by Kroll and/or DBRS, the same methodology is applied to those bonds that would otherwise be not rated. 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.
| 4 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 933.90 | 1,022.46 | 2.25 | 2.36 | 0.47 |
| Class 2 | 1,000.00 | 1,000.00 | 932.60 | 1,021.22 | 3.45 | 3.61 | 0.72 |
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.
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Corporate Bonds & Notes 86.7% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Aerospace & Defense 2.9% |
| Boeing Co. (The) |
| 02/01/2026 | 2.750% | | 23,500,000 | 21,819,212 |
| 02/04/2026 | 2.196% | | 10,256,000 | 9,255,775 |
| Howmet Aerospace, Inc. |
| 01/15/2029 | 3.000% | | 9,025,000 | 7,474,276 |
| Total | 38,549,263 |
| Automotive 0.5% |
| General Motors Financial Co., Inc. |
| 06/20/2025 | 2.750% | | 3,252,000 | 3,064,329 |
| 04/09/2027 | 5.000% | | 2,985,000 | 2,927,751 |
| Total | 5,992,080 |
| Banking 21.2% |
| Bank of America Corp.(a) |
| 07/22/2027 | 1.734% | | 21,485,000 | 19,148,146 |
| 12/20/2028 | 3.419% | | 50,475,000 | 47,015,177 |
| Bank of Nova Scotia (The) |
| 04/11/2025 | 3.450% | | 4,187,000 | 4,130,710 |
| Citigroup, Inc.(a) |
| 02/24/2028 | 3.070% | | 24,501,000 | 22,705,933 |
| Goldman Sachs Group, Inc. (The)(a) |
| 02/24/2028 | 2.640% | | 38,469,000 | 34,889,772 |
| HSBC Holdings PLC(a) |
| 11/22/2027 | 2.251% | | 25,853,000 | 23,034,453 |
| JPMorgan Chase & Co.(a) |
| 06/14/2030 | 4.565% | | 46,041,000 | 45,266,583 |
| Morgan Stanley(a) |
| 01/25/2024 | 0.529% | | 6,798,000 | 6,669,171 |
| 07/22/2025 | 2.720% | | 12,530,000 | 12,087,384 |
| 05/04/2027 | 1.593% | | 2,773,000 | 2,473,481 |
| 01/21/2028 | 2.475% | | 28,925,000 | 26,309,056 |
| Wells Fargo & Co.(a) |
| 04/30/2026 | 2.188% | | 8,270,000 | 7,752,777 |
| 06/17/2027 | 3.196% | | 8,718,000 | 8,263,842 |
| 06/02/2028 | 2.393% | | 20,367,000 | 18,252,597 |
| Total | 277,999,082 |
| Building Materials 0.6% |
| Ferguson Finance PLC(b) |
| 04/20/2027 | 4.250% | | 7,842,000 | 7,623,314 |
| Cable and Satellite 2.7% |
| Charter Communications Operating LLC/Capital |
| 01/15/2029 | 2.250% | | 26,045,000 | 21,433,958 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Sky PLC(b) |
| 09/16/2024 | 3.750% | | 14,515,000 | 14,432,744 |
| Total | 35,866,702 |
| Construction Machinery 1.3% |
| United Rentals North America, Inc. |
| 11/15/2027 | 3.875% | | 6,255,000 | 5,815,749 |
| 01/15/2028 | 4.875% | | 11,980,000 | 11,342,951 |
| Total | 17,158,700 |
| Diversified Manufacturing 1.3% |
| Carrier Global Corp. |
| 02/15/2025 | 2.242% | | 12,400,000 | 11,780,874 |
| General Electric Co.(c) |
| Junior Subordinated |
3-month USD LIBOR + 3.330%
12/31/2049 | 5.159% | | 5,665,000 | 4,955,696 |
| Honeywell International, Inc. |
| 08/19/2022 | 0.483% | | 1,039,000 | 1,036,630 |
| Total | 17,773,200 |
| Electric 16.4% |
| AEP Texas, Inc. |
| 10/01/2022 | 2.400% | | 11,023,000 | 11,039,600 |
| AES Corp. (The) |
| 01/15/2026 | 1.375% | | 27,670,000 | 24,412,790 |
| American Electric Power Co., Inc. |
| 11/01/2025 | 1.000% | | 1,500,000 | 1,349,634 |
| CenterPoint Energy, Inc. |
| 09/01/2024 | 2.500% | | 5,660,000 | 5,472,433 |
| CMS Energy Corp. |
| 03/01/2024 | 3.875% | | 2,130,000 | 2,125,030 |
| 11/15/2025 | 3.600% | | 30,396,000 | 29,850,171 |
| Dominion Energy, Inc. |
| 03/15/2025 | 3.300% | | 1,000,000 | 979,839 |
| DTE Energy Co. |
| 03/15/2027 | 3.800% | | 6,879,000 | 6,646,398 |
| Edison International |
| 11/15/2024 | 3.550% | | 2,150,000 | 2,099,209 |
| Emera U.S. Finance LP |
| 06/15/2024 | 0.833% | | 2,962,000 | 2,764,550 |
| Emera US Finance LP |
| 06/15/2026 | 3.550% | | 22,710,000 | 21,752,376 |
| Entergy Corp. |
| 09/15/2025 | 0.900% | | 2,615,000 | 2,355,838 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Eversource Energy |
| 10/01/2024 | 2.900% | | 18,492,000 | 18,071,660 |
| 01/15/2025 | 3.150% | | 1,000,000 | 977,526 |
| 08/15/2025 | 0.800% | | 3,740,000 | 3,368,767 |
| FirstEnergy Transmission LLC(b) |
| 01/15/2025 | 4.350% | | 11,980,000 | 11,788,262 |
| Georgia Power Co. |
| 07/30/2023 | 2.100% | | 12,915,000 | 12,726,419 |
| NextEra Energy Capital Holdings, Inc. |
| 03/01/2023 | 0.650% | | 6,061,000 | 5,956,874 |
| NextEra Energy Capital Holdings, Inc.(c) |
SOFR + 0.400%
11/03/2023 | 1.910% | | 7,255,000 | 7,164,165 |
| NextEra Energy Operating Partners LP(b) |
| 07/15/2024 | 4.250% | | 9,550,000 | 9,145,925 |
| NRG Energy, Inc.(b) |
| 12/02/2027 | 2.450% | | 12,997,000 | 11,225,071 |
| Pacific Gas and Electric Co. |
| 07/01/2025 | 3.450% | | 4,185,000 | 3,930,629 |
| 06/15/2028 | 3.000% | | 10,915,000 | 9,444,587 |
| Pinnacle West Capital Corp. |
| 06/15/2025 | 1.300% | | 2,403,000 | 2,199,191 |
| Public Service Enterprise Group, Inc. |
| 11/08/2023 | 0.841% | | 3,045,000 | 2,924,671 |
| WEC Energy Group, Inc. |
| 09/15/2023 | 0.550% | | 2,990,000 | 2,889,671 |
| 06/15/2025 | 3.550% | | 2,212,000 | 2,171,537 |
| Total | 214,832,823 |
| Environmental 0.7% |
| GFL Environmental, Inc.(b) |
| 08/01/2025 | 3.750% | | 9,950,000 | 9,225,310 |
| Food and Beverage 4.4% |
| Bacardi Ltd.(b) |
| 05/15/2028 | 4.700% | | 35,171,000 | 34,773,415 |
| Constellation Brands, Inc. |
| 05/09/2024 | 3.600% | | 6,897,000 | 6,866,401 |
| Kraft Heinz Foods Co. |
| 06/01/2026 | 3.000% | | 16,623,000 | 15,707,995 |
| Total | 57,347,811 |
| Health Care 6.2% |
| Becton Dickinson and Co. |
| 06/06/2024 | 3.363% | | 21,612,000 | 21,388,040 |
| Cigna Corp. |
| 10/15/2028 | 4.375% | | 19,575,000 | 19,396,122 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| HCA, Inc. |
| 02/01/2025 | 5.375% | | 15,170,000 | 15,140,826 |
| 06/15/2026 | 5.250% | | 8,500,000 | 8,440,314 |
| HCA, Inc.(b) |
| 03/15/2027 | 3.125% | | 2,933,000 | 2,680,799 |
| Thermo Fisher Scientific, Inc.(c) |
SOFR + 0.390%
10/18/2023 | 1.900% | | 14,166,000 | 14,001,829 |
| Total | 81,047,930 |
| Healthcare Insurance 1.9% |
| Aetna, Inc. |
| 11/15/2024 | 3.500% | | 2,425,000 | 2,398,739 |
| Centene Corp. |
| 12/15/2027 | 4.250% | | 4,407,000 | 4,115,086 |
| 07/15/2028 | 2.450% | | 22,050,000 | 18,393,029 |
| Total | 24,906,854 |
| Independent Energy 0.5% |
| Canadian Natural Resources Ltd. |
| 07/15/2025 | 2.050% | | 6,365,000 | 5,962,206 |
| Integrated Energy 0.8% |
| Cenovus Energy, Inc. |
| 04/15/2027 | 4.250% | | 11,390,000 | 11,175,878 |
| Life Insurance 5.5% |
| CoreBridge Financial, Inc.(b) |
| 04/05/2027 | 3.650% | | 1,508,000 | 1,419,776 |
| Five Corners Funding Trust(b) |
| 11/15/2023 | 4.419% | | 15,160,000 | 15,219,902 |
| MassMutual Global Funding II(b) |
| 07/01/2022 | 2.250% | | 3,557,000 | 3,557,090 |
| Peachtree Corners Funding Trust(b) |
| 02/15/2025 | 3.976% | | 20,087,000 | 19,990,337 |
| Principal Life Global Funding II(b) |
| 11/21/2024 | 2.250% | | 17,640,000 | 16,901,195 |
| 08/16/2026 | 1.250% | | 15,227,000 | 13,462,019 |
| Voya Financial, Inc. |
| 06/15/2026 | 3.650% | | 2,245,000 | 2,181,131 |
| Total | 72,731,450 |
| Media and Entertainment 4.2% |
| Magallanes, Inc.(b) |
| 03/15/2029 | 4.054% | | 33,215,000 | 30,450,522 |
| Netflix, Inc.(b) |
| 11/15/2029 | 5.375% | | 16,705,000 | 15,789,556 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Walt Disney Co. (The) |
| 09/01/2022 | 1.650% | | 8,600,000 | 8,589,722 |
| Total | 54,829,800 |
| Metals and Mining 0.3% |
| Alcoa Nederland Holding BV(b) |
| 12/15/2027 | 5.500% | | 3,860,000 | 3,657,551 |
| Freeport-McMoRan, Inc. |
| 11/14/2024 | 4.550% | | 595,000 | 592,231 |
| Total | 4,249,782 |
| Midstream 2.5% |
| Colorado Interstate Gas Co. LLC/Issuing Corp.(b) |
| 08/15/2026 | 4.150% | | 2,955,000 | 2,923,097 |
| Energy Transfer Partners LP |
| 01/15/2026 | 4.750% | | 3,790,000 | 3,782,591 |
| MPLX LP |
| 12/01/2027 | 4.250% | | 3,880,000 | 3,737,805 |
| Plains All American Pipeline LP/Finance Corp. |
| 12/15/2026 | 4.500% | | 16,055,000 | 15,768,191 |
| Western Gas Partners LP |
| 07/01/2026 | 4.650% | | 7,609,000 | 7,161,313 |
| Total | 33,372,997 |
| Natural Gas 0.9% |
| NiSource, Inc. |
| 09/01/2029 | 2.950% | | 12,870,000 | 11,416,074 |
| Packaging 1.2% |
| Berry Global, Inc. |
| 01/15/2026 | 1.570% | | 17,869,000 | 15,953,545 |
| Retailers 0.2% |
| Lowe’s Companies, Inc. |
| 09/15/2028 | 1.700% | | 3,560,000 | 3,034,764 |
| Technology 4.1% |
| Fidelity National Information Services, Inc. |
| 03/01/2024 | 0.600% | | 1,734,000 | 1,641,150 |
| Microchip Technology, Inc. |
| 09/01/2023 | 2.670% | | 12,140,000 | 11,936,425 |
| 02/15/2024 | 0.972% | | 6,364,000 | 6,046,638 |
| 09/01/2024 | 0.983% | | 11,387,000 | 10,618,044 |
| NXP BV/Funding LLC/USA, Inc. |
| 05/01/2025 | 2.700% | | 3,890,000 | 3,702,983 |
| 06/01/2027 | 4.400% | | 4,447,000 | 4,396,975 |
| Oracle Corp. |
| 03/25/2026 | 1.650% | | 10,637,000 | 9,527,430 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| VeriSign, Inc. |
| 04/01/2025 | 5.250% | | 5,935,000 | 5,967,486 |
| Total | 53,837,131 |
| Tobacco 0.8% |
| BAT Capital Corp. |
| 08/15/2027 | 3.557% | | 12,055,000 | 11,039,025 |
| Wireless 5.6% |
| American Tower Corp. |
| 01/15/2027 | 2.750% | | 5,049,000 | 4,614,133 |
| 03/15/2027 | 3.650% | | 11,961,000 | 11,380,612 |
| Crown Castle International Corp. |
| 03/15/2027 | 2.900% | | 14,140,000 | 13,083,728 |
| Sprint Spectrum Co. I/II/III LLC(b) |
| 03/20/2028 | 5.152% | | 16,427,000 | 16,558,134 |
| T-Mobile USA, Inc. |
| 02/15/2026 | 2.250% | | 24,619,000 | 22,176,337 |
| T-Mobile USA, Inc.(b) |
| 02/15/2026 | 2.250% | | 5,799,000 | 5,238,702 |
| Total | 73,051,646 |
Total Corporate Bonds & Notes
(Cost $1,198,252,679) | 1,138,977,367 |
|
| U.S. Treasury Obligations 5.0% |
| | | | |
| U.S. Treasury |
| 07/31/2023 | 0.125% | | 6,500,000 | 6,305,508 |
| 12/15/2023 | 0.125% | | 12,000,000 | 11,513,906 |
| 02/15/2025 | 1.500% | | 13,101,400 | 12,590,650 |
| 06/15/2025 | 2.875% | | 23,672,800 | 23,580,328 |
| 10/31/2025 | 0.250% | | 12,325,000 | 11,230,194 |
Total U.S. Treasury Obligations
(Cost $67,335,283) | 65,220,586 |
| Money Market Funds 8.6% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(d),(e) | 113,650,155 | 113,581,964 |
Total Money Market Funds
(Cost $113,590,082) | 113,581,964 |
Total Investments in Securities
(Cost: $1,379,178,044) | 1,317,779,917 |
| Other Assets & Liabilities, Net | | (4,287,233) |
| Net Assets | 1,313,492,684 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
At June 30, 2022, securities and/or cash totaling $2,660,079 were pledged as collateral.
Investments in derivatives
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| U.S. Treasury 2-Year Note | 1,037 | 09/2022 | USD | 217,786,204 | — | (721,796) |
| U.S. Treasury 5-Year Note | 250 | 09/2022 | USD | 28,062,500 | 113,050 | — |
| Total | | | | | 113,050 | (721,796) |
| Short futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| U.S. Treasury 10-Year Note | (1,427) | 09/2022 | USD | (169,144,094) | 486,580 | — |
| U.S. Treasury Ultra 10-Year Note | (23) | 09/2022 | USD | (2,929,625) | 21,440 | — |
| Total | | | | | 508,020 | — |
Notes to Portfolio of Investments
| (a) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2022. |
| (b) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2022, the total value of these securities amounted to $246,062,721, which represents 18.73% of total net assets. |
| (c) | Variable rate security. The interest rate shown was the current rate as of June 30, 2022. |
| (d) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (e) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 23,477,596 | 1,066,852,999 | (976,741,369) | (7,262) | 113,581,964 | (55,273) | 262,269 | 113,650,155 |
Abbreviation Legend
| LIBOR | London Interbank Offered Rate |
| SOFR | Secured Overnight Financing Rate |
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. |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Corporate Bonds & Notes | — | 1,138,977,367 | — | 1,138,977,367 |
| U.S. Treasury Obligations | 65,220,586 | — | — | 65,220,586 |
| Money Market Funds | 113,581,964 | — | — | 113,581,964 |
| Total Investments in Securities | 178,802,550 | 1,138,977,367 | — | 1,317,779,917 |
| Investments in Derivatives | | | | |
| Asset | | | | |
| Futures Contracts | 621,070 | — | — | 621,070 |
| Liability | | | | |
| Futures Contracts | (721,796) | — | — | (721,796) |
| Total | 178,701,824 | 1,138,977,367 | — | 1,317,679,191 |
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.
| 10 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,265,587,962) | $1,204,197,953 |
| Affiliated issuers (cost $113,590,082) | 113,581,964 |
| Margin deposits on: | |
| Futures contracts | 2,660,079 |
| Receivable for: | |
| Investments sold | 21,374,197 |
| Capital shares sold | 34,926 |
| Dividends | 119,599 |
| Interest | 8,876,336 |
| Variation margin for futures contracts | 684,502 |
| Expense reimbursement due from Investment Manager | 1,431 |
| Prepaid expenses | 8,334 |
| Total assets | 1,351,539,321 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 23,606,382 |
| Capital shares purchased | 12,763,884 |
| Variation margin for futures contracts | 1,479,844 |
| Management services fees | 17,312 |
| Distribution and/or service fees | 618 |
| Service fees | 13,341 |
| Compensation of board members | 136,216 |
| Compensation of chief compliance officer | 147 |
| Other expenses | 28,893 |
| Total liabilities | 38,046,637 |
| Net assets applicable to outstanding capital stock | $1,313,492,684 |
| Represented by | |
| Paid in capital | 1,372,482,754 |
| Total distributable earnings (loss) | (58,990,070) |
| Total - representing net assets applicable to outstanding capital stock | $1,313,492,684 |
| Class 1 | |
| Net assets | $1,223,134,815 |
| Shares outstanding | 133,103,896 |
| Net asset value per share | $9.19 |
| Class 2 | |
| Net assets | $90,357,869 |
| Shares outstanding | 9,891,677 |
| Net asset value per share | $9.13 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022
| 11 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $262,269 |
| Interest | 12,152,852 |
| Total income | 12,415,121 |
| Expenses: | |
| Management services fees | 2,564,156 |
| Distribution and/or service fees | |
| Class 2 | 110,829 |
| Service fees | 36,664 |
| Compensation of board members | 4,288 |
| Custodian fees | 3,931 |
| Printing and postage fees | 7,093 |
| Audit fees | 14,669 |
| Legal fees | 13,027 |
| Compensation of chief compliance officer | 119 |
| Other | 7,739 |
| Total expenses | 2,762,515 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (156,540) |
| Total net expenses | 2,605,975 |
| Net investment income | 9,809,146 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (17,936,754) |
| Investments — affiliated issuers | (55,273) |
| Futures contracts | 3,884,577 |
| Net realized loss | (14,107,450) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (61,093,825) |
| Investments — affiliated issuers | (7,262) |
| Futures contracts | 315,208 |
| Net change in unrealized appreciation (depreciation) | (60,785,879) |
| Net realized and unrealized loss | (74,893,329) |
| Net decrease in net assets resulting from operations | $(65,084,183) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $9,809,146 | $9,365,945 |
| Net realized gain (loss) | (14,107,450) | 13,449,724 |
| Net change in unrealized appreciation (depreciation) | (60,785,879) | (28,413,610) |
| Net decrease in net assets resulting from operations | (65,084,183) | (5,597,941) |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class 1 | — | (12,952,166) |
| Class 2 | — | (1,249,319) |
| Total distributions to shareholders | — | (14,201,485) |
| Increase in net assets from capital stock activity | 479,661,467 | 166,992,501 |
| Total increase in net assets | 414,577,284 | 147,193,075 |
| Net assets at beginning of period | 898,915,400 | 751,722,325 |
| Net assets at end of period | $1,313,492,684 | $898,915,400 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 82,316,422 | 765,587,407 | 17,053,409 | 171,251,440 |
| Distributions reinvested | — | — | 1,304,347 | 12,952,166 |
| Redemptions | (31,186,038) | (289,941,494) | (2,663,232) | (26,594,221) |
| Net increase | 51,130,384 | 475,645,913 | 15,694,524 | 157,609,385 |
| Class 2 | | | | |
| Subscriptions | 1,257,663 | 11,734,502 | 2,347,402 | 23,320,621 |
| Distributions reinvested | — | — | 126,194 | 1,249,319 |
| Redemptions | (818,497) | (7,718,948) | (1,531,476) | (15,186,824) |
| Net increase | 439,166 | 4,015,554 | 942,120 | 9,383,116 |
| Total net increase | 51,569,550 | 479,661,467 | 16,636,644 | 166,992,501 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income | Total
distributions to
shareholders |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $9.84 | 0.09 | (0.74) | (0.65) | — | — |
| Year Ended 12/31/2021 | $10.06 | 0.11 | (0.17) | (0.06) | (0.16) | (0.16) |
| Year Ended 12/31/2020 | $9.76 | 0.19 | 0.38 | 0.57 | (0.27) | (0.27) |
| Year Ended 12/31/2019 | $9.28 | 0.25 | 0.46 | 0.71 | (0.23) | (0.23) |
| Year Ended 12/31/2018 | $9.44 | 0.21 | (0.19) | 0.02 | (0.18) | (0.18) |
| Year Ended 12/31/2017 | $9.47 | 0.17 | 0.02 | 0.19 | (0.22) | (0.22) |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $9.79 | 0.07 | (0.73) | (0.66) | — | — |
| Year Ended 12/31/2021 | $10.01 | 0.08 | (0.16) | (0.08) | (0.14) | (0.14) |
| Year Ended 12/31/2020 | $9.72 | 0.16 | 0.38 | 0.54 | (0.25) | (0.25) |
| Year Ended 12/31/2019 | $9.24 | 0.22 | 0.47 | 0.69 | (0.21) | (0.21) |
| Year Ended 12/31/2018 | $9.40 | 0.19 | (0.19) | 0.00(d) | (0.16) | (0.16) |
| Year Ended 12/31/2017 | $9.43 | 0.15 | 0.02 | 0.17 | (0.20) | (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) | Annualized. |
| (d) | Rounds to zero. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $9.19 | (6.61%) | 0.50%(c) | 0.47%(c) | 1.87%(c) | 53% | $1,223,135 |
| Year Ended 12/31/2021 | $9.84 | (0.59%) | 0.50% | 0.48% | 1.08% | 88% | $806,365 |
| Year Ended 12/31/2020 | $10.06 | 5.90% | 0.50% | 0.49% | 1.92% | 92% | $666,530 |
| Year Ended 12/31/2019 | $9.76 | 7.69% | 0.50% | 0.49% | 2.58% | 110% | $684,486 |
| Year Ended 12/31/2018 | $9.28 | 0.24% | 0.50% | 0.50% | 2.30% | 62% | $707,421 |
| Year Ended 12/31/2017 | $9.44 | 2.05% | 0.53% | 0.53% | 1.79% | 104% | $773,190 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $9.13 | (6.74%) | 0.74%(c) | 0.72%(c) | 1.48%(c) | 53% | $90,358 |
| Year Ended 12/31/2021 | $9.79 | (0.84%) | 0.75% | 0.73% | 0.83% | 88% | $92,550 |
| Year Ended 12/31/2020 | $10.01 | 5.57% | 0.75% | 0.74% | 1.63% | 92% | $85,193 |
| Year Ended 12/31/2019 | $9.72 | 7.47% | 0.75% | 0.74% | 2.32% | 110% | $54,988 |
| Year Ended 12/31/2018 | $9.24 | (0.02%) | 0.75% | 0.75% | 2.06% | 62% | $46,253 |
| Year Ended 12/31/2017 | $9.40 | 1.80% | 0.78% | 0.78% | 1.55% | 104% | $40,342 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements
June 30, 2022 (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 net investment income 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 market value, unless this method results in a valuation that management believes does not approximate fair value.
Investments in open-end investment companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
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 a settlement price, 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, if available.
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 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, in seeking 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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. 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 clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing 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 counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts and 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 instruments’ 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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as well. 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 may also pay interest expense on cash collateral received from the
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
broker. Any interest expense paid by the Fund is shown in the Statement of Operations. 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 determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, 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 generally expects to earn interest income on its margin deposits. 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, 2022:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 621,070* |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 721,796* |
| 18 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | | | | | | Futures
contracts
($) |
| Interest rate risk | | | | | | 3,884,577 |
| Total | | | | | | 3,884,577 |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | | | | | | Futures
contracts
($) |
| Interest rate risk | | | | | | 315,208 |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 179,295,571 |
| Futures contracts — short | 132,176,703 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
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 collectability 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.
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| 19 |
Notes to Financial Statements�� (continued)
June 30, 2022 (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 investment company taxable income and net capital gain, 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 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 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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, 2022 was 0.48% of the Fund’s average daily net assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
| 20 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.01% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | May 1, 2022
through
April 30, 2023 | Prior to
May 1, 2022 |
| Class 1 | 0.45% | 0.48% |
| Class 2 | 0.70 | 0.73 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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.
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
At June 30, 2022, the approximate cost of all 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) ($) | Net unrealized
(depreciation) ($) |
| 1,379,178,000 | 657,000 | (62,156,000) | (61,499,000) |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss carryforwards, determined at December 31, 2021, may be available to reduce future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code.
No expiration
short-term ($) | No expiration
long-term ($) | Total ($) |
| (2,350,051) | — | (2,350,051) |
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 $959,991,009 and $545,179,560, respectively, for the six months ended June 30, 2022, of which $36,631,458 and $44,109,819, 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
| 22 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 9. Significant risks
Credit risk
Credit risk is the risk that the value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower-rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
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 instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise 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. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
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.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022
| 23 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, affiliated shareholders of record owned 99.5% 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. 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 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently
| 24 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022
| 25 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
| 26 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022
| 27 |
Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Manager and discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and
| 28 | Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
Columbia Variable Portfolio – Limited Duration Credit Fund | Semiannual Report 2022
| 29 |
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[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – Limited Duration Credit Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – Emerging Markets Bond Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with high total return through current income and, secondarily, through capital appreciation.
Portfolio management
Adrian Hilton
Lead Portfolio Manager
Managed Fund since 2020
Christopher Cooke
Portfolio Manager
Managed Fund since 2017
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 04/30/12 | -19.17 | -20.07 | -1.57 | 1.54 |
| Class 2 | 04/30/12 | -19.19 | -20.20 | -1.82 | 1.30 |
| JPMorgan Emerging Markets Bond Index-Global | | -18.83 | -19.25 | -1.00 | 2.05 |
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.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Quality breakdown (%) (at June 30, 2022) |
| AA rating | 9.0 |
| A rating | 7.3 |
| BBB rating | 28.5 |
| BB rating | 29.6 |
| B rating | 15.9 |
| CCC rating | 4.1 |
| CC rating | 0.1 |
| C rating | 0.1 |
| Not rated | 5.4 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments.
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, 2022) |
| Angola | 1.8 |
| Argentina | 1.3 |
| Bahrain | 1.6 |
| Belarus | 0.1 |
| Brazil | 3.5 |
| Canada | 0.4 |
| Chile | 0.3 |
| China | 1.8 |
| Colombia | 4.3 |
| Croatia | 0.6 |
| Dominican Republic | 4.0 |
| Ecuador | 1.5 |
| Egypt | 2.4 |
| El Salvador | 0.1 |
| Country breakdown (%) (at June 30, 2022) |
| Ghana | 0.5 |
| Guatemala | 1.3 |
| Hong Kong | 1.7 |
| India | 1.7 |
| Indonesia | 7.4 |
| Ireland | 0.2 |
| Isle of Man | 0.2 |
| Ivory Coast | 1.5 |
| Jersey | 1.4 |
| Kazakhstan | 2.1 |
| Malaysia | 0.5 |
| Mexico | 10.1 |
| Netherlands | 0.5 |
| Oman | 1.1 |
| Pakistan | 0.6 |
| Panama | 1.9 |
| Paraguay | 1.7 |
| Peru | 0.3 |
| Philippines | 1.5 |
| Qatar | 5.7 |
| Romania | 1.9 |
| Russian Federation | 0.4 |
| Saudi Arabia | 4.4 |
| South Africa | 2.6 |
| Turkey | 3.9 |
| Ukraine | 0.9 |
| United Arab Emirates | 3.5 |
| United Kingdom | 0.6 |
| United States(a) | 12.7 |
| Venezuela | 0.3 |
| Virgin Islands | 3.2 |
| 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, excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 808.30 | 1,021.08 | 3.36 | 3.76 | 0.75 |
| Class 2 | 1,000.00 | 1,000.00 | 808.10 | 1,019.84 | 4.48 | 5.01 | 1.00 |
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.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Corporate Bonds & Notes(a) 10.7% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Brazil 0.5% |
| Hidrovias International Finance Sarl(b) |
| 02/08/2031 | 4.950% | | 2,472,000 | 1,912,710 |
| 02/08/2031 | 4.950% | | 200,000 | 154,750 |
| Total | 2,067,460 |
| Colombia 0.8% |
| Banco de Bogota SA(b) |
| Subordinated |
| 05/12/2026 | 6.250% | | 535,000 | 508,094 |
| Millicom International Cellular SA(b) |
| 01/15/2028 | 5.125% | | 1,440,000 | 1,223,319 |
| 03/25/2029 | 6.250% | | 1,080,000 | 939,567 |
| 03/25/2029 | 6.250% | | 810,000 | 704,675 |
| Total | 3,375,655 |
| Guatemala 0.5% |
| Energuate Trust(b) |
| 05/03/2027 | 5.875% | | 1,650,000 | 1,562,825 |
| 05/03/2027 | 5.875% | | 650,000 | 615,658 |
| Total | 2,178,483 |
| Hong Kong 1.7% |
| Lenovo Group Ltd.(b) |
| 04/24/2025 | 5.875% | | 4,600,000 | 4,736,947 |
| Xiaomi Best Time International Ltd.(b) |
| 07/14/2031 | 2.875% | | 2,800,000 | 2,181,472 |
| Total | 6,918,419 |
| India 0.7% |
| Adani Ports & Special Economic Zone Ltd.(b) |
| 08/04/2027 | 4.200% | | 2,900,000 | 2,692,547 |
| Ireland 0.2% |
| Phosagro OAO Via Phosagro Bond Funding DAC(b) |
| 09/16/2028 | 2.600% | | 2,128,000 | 638,400 |
| Isle of Man 0.1% |
| AngloGold Ashanti Holdings PLC |
| 10/01/2030 | 3.750% | | 735,000 | 610,131 |
| Jersey 1.4% |
| Galaxy Pipeline Assets Bidco Ltd.(b) |
| 03/31/2036 | 2.625% | | 2,600,000 | 2,106,832 |
| 09/30/2040 | 2.940% | | 4,126,962 | 3,370,390 |
| Total | 5,477,222 |
| Corporate Bonds & Notes(a) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Mexico 0.1% |
| America Movil SAB de CV |
| 12/05/2022 | 6.450% | MXN | 10,860,000 | 532,923 |
| Netherlands 0.1% |
| Mong Duong Finance Holdings BV(b) |
| 05/07/2029 | 5.125% | | 430,000 | 347,428 |
| Philippines 0.8% |
| SMC Global Power Holdings Corp.(b),(c) |
| 12/31/2049 | 5.700% | | 900,000 | 840,993 |
| 12/31/2049 | 5.950% | | 2,500,000 | 2,382,292 |
| Total | 3,223,285 |
| United Kingdom 0.6% |
| Tullow Oil PLC(b) |
| 03/01/2025 | 7.000% | | 2,900,000 | 2,402,217 |
| Virgin Islands 3.2% |
| Gold Fields Orogen Holdings BVI Ltd.(b) |
| 05/15/2029 | 6.125% | | 2,900,000 | 2,915,360 |
| JGSH Philippines Ltd.(b) |
| 07/09/2030 | 4.125% | | 8,700,000 | 7,983,464 |
| Studio City Finance Ltd.(b) |
| 01/15/2029 | 5.000% | | 3,880,000 | 1,951,595 |
| Total | 12,850,419 |
Total Corporate Bonds & Notes
(Cost $49,209,925) | 43,314,589 |
|
| Foreign Government Obligations(a),(d) 75.4% |
| | | | |
| Angola 1.8% |
| Angolan Government International Bond(b) |
| 11/26/2029 | 8.000% | | 3,800,000 | 3,014,497 |
| 11/26/2029 | 8.000% | | 1,846,000 | 1,464,411 |
| 04/14/2032 | 8.750% | | 1,847,000 | 1,477,654 |
| 05/08/2048 | 9.375% | | 1,900,000 | 1,382,532 |
| Total | 7,339,094 |
| Argentina 1.3% |
| Argentine Republic Government International Bond(c) |
| 07/09/2035 | 1.125% | | 23,600,000 | 5,211,263 |
| 07/09/2046 | 1.125% | | 720,000 | 163,819 |
| Total | 5,375,082 |
| Bahrain 1.5% |
| Bahrain Government International Bond(b) |
| 05/18/2034 | 5.625% | | 3,480,000 | 2,847,008 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Foreign Government Obligations(a),(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CBB International Sukuk Programme Co. WLL(b) |
| 05/18/2029 | 3.875% | | 3,867,000 | 3,389,396 |
| Total | 6,236,404 |
| Belarus 0.1% |
| Republic of Belarus International Bond(b) |
| 02/28/2023 | 6.875% | | 700,000 | 125,810 |
| 02/28/2030 | 6.200% | | 750,000 | 107,038 |
| Total | 232,848 |
| Brazil 3.0% |
| Brazil Minas SPE via State of Minas Gerais(b) |
| 02/15/2028 | 5.333% | | 180,000 | 176,612 |
| Brazilian Government International Bond |
| 06/12/2030 | 3.875% | | 12,000,000 | 10,070,241 |
| 01/07/2041 | 5.625% | | 446,000 | 358,439 |
| 01/27/2045 | 5.000% | | 1,900,000 | 1,360,702 |
| Total | 11,965,994 |
| Canada 0.4% |
| MEGlobal Canada ULC(b) |
| 05/18/2025 | 5.000% | | 1,600,000 | 1,614,067 |
| Chile 0.3% |
| Chile Government International Bond |
| 01/25/2050 | 3.500% | | 1,750,000 | 1,346,577 |
| China 1.7% |
| State Grid Overseas Investment 2016 Ltd.(b) |
| 05/04/2027 | 3.500% | | 1,300,000 | 1,288,393 |
| Syngenta Finance NV(b) |
| 04/24/2028 | 5.182% | | 5,800,000 | 5,748,669 |
| Total | 7,037,062 |
| Colombia 3.4% |
| Colombia Government International Bond |
| 01/30/2030 | 3.000% | | 9,800,000 | 7,462,730 |
| 04/15/2031 | 3.125% | | 6,640,000 | 4,921,587 |
| 04/22/2032 | 3.250% | | 2,098,000 | 1,520,975 |
| Total | 13,905,292 |
| Croatia 0.5% |
| Croatia Government International Bond(b) |
| 01/26/2024 | 6.000% | | 861,000 | 888,004 |
| Hrvatska Elektroprivreda(b) |
| 10/23/2022 | 5.875% | | 710,000 | 707,830 |
| 10/23/2022 | 5.875% | | 600,000 | 598,167 |
| Total | 2,194,001 |
| Foreign Government Obligations(a),(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Dominican Republic 4.0% |
| Dominican Republic International Bond(b) |
| 01/25/2027 | 5.950% | | 4,035,000 | 3,870,176 |
| 02/22/2029 | 5.500% | | 2,000,000 | 1,743,768 |
| 01/30/2030 | 4.500% | | 4,845,000 | 3,887,765 |
| 09/23/2032 | 4.875% | | 1,650,000 | 1,269,626 |
| 04/30/2044 | 7.450% | | 2,286,000 | 1,960,763 |
| 01/27/2045 | 6.850% | | 271,000 | 216,370 |
| 06/05/2049 | 6.400% | | 2,500,000 | 1,861,560 |
| 01/30/2060 | 5.875% | | 1,650,000 | 1,128,095 |
| Total | 15,938,123 |
| Ecuador 1.5% |
| Ecuador Government International Bond(b),(c) |
| 07/31/2030 | 5.000% | | 4,550,000 | 3,005,995 |
| 07/31/2035 | 1.000% | | 4,200,000 | 2,090,808 |
| 07/31/2040 | 0.500% | | 2,342,250 | 1,005,763 |
| Total | 6,102,566 |
| Egypt 2.4% |
| Egypt Government International Bond(b) |
| 04/16/2030 | 5.625% | EUR | 1,580,000 | 1,029,489 |
| 04/11/2031 | 6.375% | EUR | 2,500,000 | 1,650,467 |
| 05/29/2032 | 7.625% | | 2,585,000 | 1,685,173 |
| 09/30/2033 | 7.300% | | 5,000,000 | 3,198,207 |
| 02/21/2048 | 7.903% | | 2,100,000 | 1,199,423 |
| 03/01/2049 | 8.700% | | 1,550,000 | 924,340 |
| Total | 9,687,099 |
| El Salvador 0.1% |
| El Salvador Government International Bond(b) |
| 01/18/2027 | 6.375% | | 1,000,000 | 336,893 |
| Ghana 0.5% |
| Ghana Government International Bond(b) |
| 03/26/2051 | 8.950% | | 4,300,000 | 2,029,201 |
| Guatemala 0.7% |
| Guatemala Government Bond(b) |
| 10/07/2033 | 3.700% | | 1,109,000 | 858,941 |
| 06/01/2050 | 6.125% | | 2,350,000 | 1,976,884 |
| Total | 2,835,825 |
| India 1.0% |
| Export-Import Bank of India(b) |
| 01/15/2030 | 3.250% | | 4,800,000 | 4,179,804 |
| Indonesia 7.3% |
| Indonesia Government International Bond |
| 09/18/2029 | 3.400% | | 1,900,000 | 1,763,554 |
| 10/30/2049 | 3.700% | | 3,800,000 | 3,048,267 |
| 03/31/2052 | 4.300% | | 751,000 | 654,707 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Foreign Government Obligations(a),(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Indonesia Government International Bond(b) |
| 01/15/2045 | 5.125% | | 3,000,000 | 2,861,195 |
| Indonesia Treasury Bond |
| 04/15/2032 | 6.375% | IDR | 67,700,000,000 | 4,288,900 |
| Perusahaan Penerbit SBSN Indonesia III(b) |
| 06/23/2025 | 2.300% | | 1,455,000 | 1,386,044 |
| Perusahaan Perseroan Persero PT Perusahaan Listrik Negara(b) |
| 06/30/2050 | 4.000% | | 700,000 | 488,299 |
| PT Indonesia Asahan Aluminium Persero(b) |
| 05/15/2030 | 5.450% | | 6,000,000 | 5,635,287 |
| 11/15/2048 | 6.757% | | 6,250,000 | 5,668,284 |
| PT Perusahaan Listrik Negara(b) |
| 07/17/2049 | 4.875% | | 2,100,000 | 1,639,874 |
| PT Saka Energi Indonesia(b) |
| 05/05/2024 | 4.450% | | 2,202,000 | 2,017,801 |
| Total | 29,452,212 |
| Ivory Coast 1.5% |
| Ivory Coast Government International Bond(b) |
| 07/23/2024 | 5.375% | | 300,000 | 279,058 |
| 10/17/2031 | 5.875% | EUR | 4,300,000 | 3,523,248 |
| 06/15/2033 | 6.125% | | 3,000,000 | 2,347,852 |
| Total | 6,150,158 |
| Kazakhstan 2.1% |
| Kazakhstan Government International Bond(b) |
| 07/21/2045 | 6.500% | | 300,000 | 301,193 |
| KazMunayGas National Co. JSC(b) |
| 04/19/2027 | 4.750% | | 5,550,000 | 4,941,511 |
| 04/24/2030 | 5.375% | | 2,300,000 | 2,035,939 |
| 04/19/2047 | 5.750% | | 1,573,000 | 1,209,435 |
| Total | 8,488,078 |
| Malaysia 0.5% |
| Petronas Capital Ltd.(b) |
| 04/21/2030 | 3.500% | | 2,055,000 | 1,937,350 |
| Mexico 9.8% |
| Comision Federal de Electricidad(b) |
| 07/26/2033 | 3.875% | | 4,325,000 | 3,278,484 |
| Mexican Bonos |
| 05/31/2029 | 8.500% | MXN | 15,000,000 | 724,811 |
| Mexico Government International Bond |
| 04/16/2030 | 3.250% | | 6,950,000 | 6,110,893 |
| 01/15/2047 | 4.350% | | 2,300,000 | 1,752,006 |
| 02/10/2048 | 4.600% | | 2,000,000 | 1,582,670 |
| Petroleos Mexicanos(b) |
| 09/12/2024 | 7.190% | MXN | 600,000 | 27,263 |
| Foreign Government Obligations(a),(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Petroleos Mexicanos |
| 11/12/2026 | 7.470% | MXN | 4,700,000 | 201,584 |
| 01/28/2031 | 5.950% | | 8,700,000 | 6,331,131 |
| 02/16/2032 | 6.700% | | 15,320,000 | 11,680,340 |
| 01/23/2045 | 6.375% | | 7,700,000 | 4,713,120 |
| 09/21/2047 | 6.750% | | 2,893,000 | 1,790,051 |
| 01/23/2050 | 7.690% | | 2,029,000 | 1,360,806 |
| Total | 39,553,159 |
| Netherlands 0.4% |
| Syngenta Finance NV(b) |
| 04/24/2023 | 4.441% | | 1,750,000 | 1,755,151 |
| Oman 1.1% |
| Oman Government International Bond(b) |
| 01/25/2031 | 6.250% | | 1,846,000 | 1,781,074 |
| 01/17/2048 | 6.750% | | 3,200,000 | 2,757,707 |
| Total | 4,538,781 |
| Pakistan 0.5% |
| Pakistan Government International Bond(b) |
| 09/30/2025 | 8.250% | | 529,000 | 378,239 |
| 12/05/2027 | 6.875% | | 1,400,000 | 942,166 |
| 04/08/2031 | 7.375% | | 1,395,000 | 876,286 |
| Total | 2,196,691 |
| Panama 1.9% |
| Panama Government International Bond |
| 03/16/2025 | 3.750% | | 950,000 | 939,082 |
| 09/29/2032 | 2.252% | | 2,800,000 | 2,189,332 |
| 01/19/2033 | 3.298% | | 2,978,000 | 2,551,781 |
| 01/19/2063 | 4.500% | | 2,435,000 | 1,887,086 |
| Total | 7,567,281 |
| Paraguay 1.6% |
| Paraguay Government International Bond(b) |
| 06/28/2033 | 3.849% | | 4,560,000 | 3,721,593 |
| 08/11/2044 | 6.100% | | 2,700,000 | 2,347,415 |
| 03/30/2050 | 5.400% | | 675,000 | 522,523 |
| Total | 6,591,531 |
| Peru 0.3% |
| Peruvian Government International Bond |
| 01/15/2034 | 3.000% | | 1,519,000 | 1,246,449 |
| Philippines 0.7% |
| Philippine Government International Bond |
| 07/06/2046 | 3.200% | | 3,540,000 | 2,644,312 |
| Qatar 5.6% |
| Ooredoo International Finance Ltd.(b) |
| 04/08/2031 | 2.625% | | 1,367,000 | 1,189,411 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Foreign Government Obligations(a),(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Qatar Government International Bond(b) |
| 04/23/2028 | 4.500% | | 200,000 | 207,342 |
| 03/14/2029 | 4.000% | | 7,350,000 | 7,421,234 |
| 04/16/2030 | 3.750% | | 4,600,000 | 4,563,541 |
| 04/23/2048 | 5.103% | | 2,000,000 | 2,088,659 |
| 03/14/2049 | 4.817% | | 3,490,000 | 3,511,626 |
| 04/16/2050 | 4.400% | | 600,000 | 571,647 |
| Qatar Petroleum(b) |
| 07/12/2031 | 2.250% | | 3,738,000 | 3,195,186 |
| Total | 22,748,646 |
| Romania 1.9% |
| Romanian Government International Bond(b) |
| 02/27/2027 | 3.000% | | 3,116,000 | 2,752,912 |
| 11/25/2027 | 5.250% | | 3,284,000 | 3,135,267 |
| 02/14/2051 | 4.000% | | 2,480,000 | 1,612,514 |
| Total | 7,500,693 |
| Russian Federation 0.4% |
| Gazprom PJSC via Gaz Finance PLC(b) |
| 02/25/2030 | 3.250% | | 2,254,000 | 619,621 |
| Russian Foreign Bond - Eurobond(b),(e),(f),(g),(h) |
| 05/27/2026 | 0.000% | | 1,600,000 | 280,439 |
| 03/21/2029 | 0.000% | | 2,200,000 | 384,364 |
| 03/28/2035 | 0.000% | | 1,200,000 | 216,502 |
| 06/23/2047 | 0.000% | | 1,200,000 | 171,409 |
| Total | 1,672,335 |
| Saudi Arabia 4.4% |
| KSA Sukuk Ltd.(b) |
| 10/29/2029 | 2.969% | | 1,750,000 | 1,632,418 |
| SA Global Sukuk Ltd.(b) |
| 06/17/2031 | 2.694% | | 4,000,000 | 3,512,693 |
| Saudi Government International Bond(b) |
| 04/17/2049 | 5.000% | | 500,000 | 490,272 |
| 01/21/2055 | 3.750% | | 5,400,000 | 4,416,526 |
| 01/21/2055 | 3.750% | | 5,150,000 | 4,212,057 |
| 02/02/2061 | 3.450% | | 4,500,000 | 3,370,270 |
| Total | 17,634,236 |
| South Africa 2.6% |
| Eskom Holdings SOC Ltd.(b) |
| 02/11/2025 | 7.125% | | 3,100,000 | 2,616,126 |
| Republic of South Africa Government International Bond |
| 09/30/2029 | 4.850% | | 1,760,000 | 1,503,763 |
| 09/30/2049 | 5.750% | | 5,700,000 | 3,893,479 |
| 04/20/2052 | 7.300% | | 2,854,000 | 2,289,345 |
| Total | 10,302,713 |
| Foreign Government Obligations(a),(d) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Turkey 3.9% |
| Turkey Government International Bond |
| 03/22/2024 | 5.750% | | 1,200,000 | 1,115,510 |
| 04/14/2026 | 4.250% | | 3,300,000 | 2,651,314 |
| 02/17/2028 | 5.125% | | 11,000,000 | 8,386,753 |
| 04/26/2029 | 7.625% | | 3,800,000 | 3,197,558 |
| 05/11/2047 | 5.750% | | 500,000 | 307,728 |
| Total | 15,658,863 |
| Ukraine 0.9% |
| Ukraine Government International Bond(b) |
| 09/01/2026 | 7.750% | | 9,400,000 | 2,419,862 |
| 05/21/2029 | 6.876% | | 5,109,000 | 1,246,500 |
| Total | 3,666,362 |
| United Arab Emirates 3.5% |
| Abu Dhabi Government International Bond(b) |
| 09/30/2029 | 2.500% | | 1,600,000 | 1,472,016 |
| 09/30/2049 | 3.125% | | 3,000,000 | 2,330,791 |
| 04/16/2050 | 3.875% | | 490,000 | 435,236 |
| Abu Dhabi Ports Co. PJSC(b) |
| 05/06/2031 | 2.500% | | 2,500,000 | 2,137,720 |
| DP World Crescent Ltd.(b) |
| 09/26/2028 | 4.848% | | 1,250,000 | 1,248,014 |
| DP World PLC(b) |
| 07/02/2037 | 6.850% | | 5,900,000 | 6,369,727 |
| Total | 13,993,504 |
| Venezuela 0.3% |
| Petroleos de Venezuela SA(b),(g) |
| 05/16/2024 | 0.000% | | 12,559,928 | 649,440 |
| Venezuela Government International Bond(b),(g) |
| 10/13/2024 | 0.000% | | 4,300,000 | 405,452 |
| Total | 1,054,892 |
Total Foreign Government Obligations
(Cost $407,049,208) | 304,709,329 |
| Money Market Funds 12.5% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(i),(j) | 50,586,305 | 50,555,953 |
Total Money Market Funds
(Cost $50,567,054) | 50,555,953 |
Total Investments in Securities
(Cost $506,826,187) | 398,579,871 |
| Other Assets & Liabilities, Net | | 5,567,321 |
| Net Assets | $404,147,192 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Investments in derivatives
| Forward foreign currency exchange contracts |
Currency to
be sold | Currency to
be purchased | Counterparty | Settlement
date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| 30,000,000 MXN | 1,485,633 USD | Goldman Sachs International | 08/08/2022 | 3,323 | — |
| 7,500,000 EUR | 7,921,995 USD | UBS | 08/08/2022 | 43,810 | — |
| Total | | | | 47,133 | — |
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 Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2022, the total value of these securities amounted to $233,658,199, which represents 57.82% of total net assets. |
| (c) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2022. |
| (d) | Principal and interest may not be guaranteed by a governmental entity. |
| (e) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2022, the total value of these securities amounted to $1,052,714, which represents 0.26% of total net assets. |
| (f) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. 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, 2022, the total market value of these securities amounted to $1,052,714, which represents 0.26% of total net assets. Additional information on these securities is as follows: |
| Security | Acquisition
Dates | Shares | Cost ($) | Value ($) |
| Russian Foreign Bond - Eurobond | 03/19/2020 | 1,600,000 | 1,620,214 | 280,439 |
| Russian Foreign Bond - Eurobond | 06/23/2020 | 2,200,000 | 2,452,600 | 384,364 |
| Russian Foreign Bond - Eurobond | 08/10/2020-02/18/2021 | 1,200,000 | 1,439,861 | 216,502 |
| Russian Foreign Bond - Eurobond | 02/12/2020 | 1,200,000 | 1,532,986 | 171,409 |
| | | | 7,045,661 | 1,052,714 |
| (g) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2022, the total value of these securities amounted to $2,107,606, which represents 0.52% of total net assets. |
| (h) | Valuation based on significant unobservable inputs. |
| (i) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (j) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 49,304,728 | 58,355,135 | (57,096,354) | (7,556) | 50,555,953 | (11,148) | 116,562 | 50,586,305 |
Currency Legend
| EUR | Euro |
| IDR | Indonesian Rupiah |
| MXN | Mexican Peso |
| USD | US Dollar |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Corporate Bonds & Notes | — | 43,314,589 | — | 43,314,589 |
| Foreign Government Obligations | — | 303,656,615 | 1,052,714 | 304,709,329 |
| Money Market Funds | 50,555,953 | — | — | 50,555,953 |
| Total Investments in Securities | 50,555,953 | 346,971,204 | 1,052,714 | 398,579,871 |
| Investments in Derivatives | | | | |
| Asset | | | | |
| Forward Foreign Currency Exchange Contracts | — | 47,133 | — | 47,133 |
| Total | 50,555,953 | 347,018,337 | 1,052,714 | 398,627,004 |
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 Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022
| 11 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $456,259,133) | $348,023,918 |
| Affiliated issuers (cost $50,567,054) | 50,555,953 |
| Foreign currency (cost $15) | 11 |
| Unrealized appreciation on forward foreign currency exchange contracts | 47,133 |
| Receivable for: | |
| Capital shares sold | 16,146 |
| Dividends | 42,961 |
| Interest | 6,496,878 |
| Foreign tax reclaims | 19,424 |
| Prepaid expenses | 6,423 |
| Total assets | 405,208,847 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 809,121 |
| Capital shares purchased | 98,643 |
| Management services fees | 6,586 |
| Distribution and/or service fees | 1,357 |
| Service fees | 64,816 |
| Compensation of board members | 54,880 |
| Compensation of chief compliance officer | 45 |
| Other expenses | 26,207 |
| Total liabilities | 1,061,655 |
| Net assets applicable to outstanding capital stock | $404,147,192 |
| Represented by | |
| Paid in capital | 536,548,612 |
| Total distributable earnings (loss) | (132,401,420) |
| Total - representing net assets applicable to outstanding capital stock | $404,147,192 |
| Class 1 | |
| Net assets | $204,484,732 |
| Shares outstanding | 27,592,614 |
| Net asset value per share | $7.41 |
| Class 2 | |
| Net assets | $199,662,460 |
| Shares outstanding | 26,961,165 |
| Net asset value per share | $7.41 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $116,562 |
| Interest | 10,721,894 |
| Interfund lending | 175 |
| Foreign taxes withheld | (33,052) |
| Total income | 10,805,579 |
| Expenses: | |
| Management services fees | 1,351,380 |
| Distribution and/or service fees | |
| Class 2 | 279,189 |
| Service fees | 282,082 |
| Compensation of board members | 6,971 |
| Custodian fees | 15,137 |
| Printing and postage fees | 7,070 |
| Audit fees | 15,785 |
| Legal fees | 7,504 |
| Compensation of chief compliance officer | 31 |
| Other | 5,219 |
| Total expenses | 1,970,368 |
| Net investment income | 8,835,211 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (9,621,620) |
| Investments — affiliated issuers | (11,148) |
| Foreign currency translations | (76,683) |
| Forward foreign currency exchange contracts | 461,730 |
| Futures contracts | 433,633 |
| Net realized loss | (8,814,088) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (97,245,158) |
| Investments — affiliated issuers | (7,556) |
| Foreign currency translations | (11,922) |
| Forward foreign currency exchange contracts | 100,433 |
| Futures contracts | 279,526 |
| Foreign capital gains tax | 1 |
| Net change in unrealized appreciation (depreciation) | (96,884,676) |
| Net realized and unrealized loss | (105,698,764) |
| Net decrease in net assets resulting from operations | $(96,863,553) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022
| 13 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $8,835,211 | $17,632,396 |
| Net realized gain (loss) | (8,814,088) | 3,276,739 |
| Net change in unrealized appreciation (depreciation) | (96,884,676) | (31,869,701) |
| Net decrease in net assets resulting from operations | (96,863,553) | (10,960,566) |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class 1 | (4,801,592) | (9,225,316) |
| Class 2 | (4,374,191) | (9,066,729) |
| Total distributions to shareholders | (9,175,783) | (18,292,045) |
| Increase in net assets from capital stock activity | 10,686,651 | 50,006,632 |
| Total increase (decrease) in net assets | (95,352,685) | 20,754,021 |
| Net assets at beginning of period | 499,499,877 | 478,745,856 |
| Net assets at end of period | $404,147,192 | $499,499,877 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 1,966,936 | 16,597,076 | 6,237,833 | 59,984,146 |
| Distributions reinvested | 606,391 | 4,801,592 | 976,525 | 9,225,316 |
| Redemptions | (1,542,232) | (12,311,993) | (4,485,763) | (43,450,596) |
| Net increase | 1,031,095 | 9,086,675 | 2,728,595 | 25,758,866 |
| Class 2 | | | | |
| Subscriptions | 883,637 | 7,403,476 | 2,474,868 | 23,735,038 |
| Distributions reinvested | 553,089 | 4,374,191 | 959,918 | 9,066,729 |
| Redemptions | (1,237,636) | (10,177,691) | (888,694) | (8,554,001) |
| Net increase | 199,090 | 1,599,976 | 2,546,092 | 24,247,766 |
| Total net increase | 1,230,185 | 10,686,651 | 5,274,687 | 50,006,632 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
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Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations | Distributions
from net
investment
income | Total
distributions to
shareholders |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $9.37 | 0.17 | (1.96) | (1.79) | (0.17) | (0.17) |
| Year Ended 12/31/2021 | $9.97 | 0.37 | (0.59) | (0.22) | (0.38) | (0.38) |
| Year Ended 12/31/2020 | $9.62 | 0.37 | 0.31 | 0.68 | (0.33) | (0.33) |
| Year Ended 12/31/2019 | $9.01 | 0.50 | 0.60 | 1.10 | (0.49) | (0.49) |
| Year Ended 12/31/2018 | $10.15 | 0.53 | (1.23) | (0.70) | (0.44) | (0.44) |
| Year Ended 12/31/2017 | $9.50 | 0.59 | 0.52 | 1.11 | (0.46) | (0.46) |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $9.36 | 0.16 | (1.95) | (1.79) | (0.16) | (0.16) |
| Year Ended 12/31/2021 | $9.96 | 0.34 | (0.59) | (0.25) | (0.35) | (0.35) |
| Year Ended 12/31/2020 | $9.61 | 0.35 | 0.31 | 0.66 | (0.31) | (0.31) |
| Year Ended 12/31/2019 | $9.00 | 0.47 | 0.61 | 1.08 | (0.47) | (0.47) |
| Year Ended 12/31/2018 | $10.15 | 0.51 | (1.25) | (0.74) | (0.41) | (0.41) |
| Year Ended 12/31/2017 | $9.49 | 0.57 | 0.52 | 1.09 | (0.43) | (0.43) |
| 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) | Annualized. |
| (d) | Ratios include interest on collateral expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $7.41 | (19.17%) | 0.75%(c) | 0.75%(c) | 4.05%(c) | 10% | $204,485 |
| Year Ended 12/31/2021 | $9.37 | (2.20%) | 0.76% | 0.76% | 3.81% | 41% | $248,905 |
| Year Ended 12/31/2020 | $9.97 | 7.43% | 0.75%(d) | 0.75%(d) | 4.01% | 114% | $237,553 |
| Year Ended 12/31/2019 | $9.62 | 12.35% | 0.76% | 0.76% | 5.21% | 137% | $117,692 |
| Year Ended 12/31/2018 | $9.01 | (7.04%) | 0.76%(d) | 0.76%(d) | 5.53% | 64% | $103,590 |
| Year Ended 12/31/2017 | $10.15 | 11.85% | 0.75% | 0.75% | 5.88% | 42% | $110,275 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $7.41 | (19.19%) | 1.00%(c) | 1.00%(c) | 3.80%(c) | 10% | $199,662 |
| Year Ended 12/31/2021 | $9.36 | (2.45%) | 1.01% | 1.01% | 3.56% | 41% | $250,595 |
| Year Ended 12/31/2020 | $9.96 | 7.16% | 1.00%(d) | 1.00%(d) | 3.76% | 114% | $241,193 |
| Year Ended 12/31/2019 | $9.61 | 12.09% | 1.01% | 1.01% | 4.94% | 137% | $203,064 |
| Year Ended 12/31/2018 | $9.00 | (7.38%) | 1.02%(d) | 1.02%(d) | 5.32% | 64% | $121,570 |
| Year Ended 12/31/2017 | $10.15 | 11.69% | 1.01% | 1.01% | 5.70% | 42% | $94,637 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements
June 30, 2022 (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 net investment income 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 market value, unless this method results in a valuation that management believes does not approximate fair value.
Investments in open-end investment companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Forward foreign currency exchange contracts are marked-to-market based upon foreign currency exchange rates provided by a pricing service.
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, if available.
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.
| 18 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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.
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, in seeking 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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. 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 clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing 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 counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts and 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 instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as well. 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 may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in the Statement of Operations. 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 determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, 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 and to shift foreign currency exposure back to U.S. dollars. 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. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without delivery of foreign currency.
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. 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 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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 generally expects to earn interest income on its margin deposits. 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, 2022:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 47,133 |
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, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Total
($) |
| Foreign exchange risk | 461,730 | — | 461,730 |
| Interest rate risk | — | 433,633 | 433,633 |
| Total | 461,730 | 433,633 | 895,363 |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Total
($) |
| Foreign exchange risk | 100,433 | — | 100,433 |
| Interest rate risk | — | 279,526 | 279,526 |
| Total | 100,433 | 279,526 | 379,959 |
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — short | 4,152,799 |
| Derivative instrument | Average unrealized
appreciation ($)** | Average unrealized
depreciation ($)** |
| Forward foreign currency exchange contracts | 23,567 | (104,571) |
| * | Based on the ending daily outstanding amounts for the six months ended June 30, 2022. |
| ** | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
Offsetting of assets and liabilities
The following table presents the Fund’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Fund as of June 30, 2022:
| | Goldman
Sachs
International ($) | UBS ($) | Total ($) |
| Assets | | | |
| Forward foreign currency exchange contracts | 3,323 | 43,810 | 47,133 |
| Total financial and derivative net assets | 3,323 | 43,810 | 47,133 |
| Total collateral received (pledged) (a) | - | - | - |
| Net amount (b) | 3,323 | 43,810 | 47,133 |
| (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 collectability 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.
| 22 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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 investment company taxable income and net capital gain, 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 in 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 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 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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, 2022 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 provide services to
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 other inter-company arrangements, and the Fund pays 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, as appropriate, with 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.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.13% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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.
| 24 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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 classes’ average daily net assets:
| | Fee rate(s) contractual
through
April 30, 2023 |
| Class 1 | 0.80% |
| Class 2 | 1.05 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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, 2022, the approximate cost of all 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) ($) | Net unrealized
(depreciation) ($) |
| 506,826,000 | 140,000 | (108,339,000) | (108,199,000) |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss carryforwards, determined at December 31, 2021, may be available to reduce future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code.
No expiration
short-term ($) | No expiration
long-term ($) | Total ($) |
| (4,526,990) | (11,440,173) | (15,967,163) |
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.
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| 25 |
Notes to Financial Statements (continued)
June 30, 2022 (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 $49,662,306 and $38,573,113, respectively, for the six months ended June 30, 2022. 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended June 30, 2022 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Lender | 1,700,000 | 0.86 | 4 |
Interest income earned by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at June 30, 2022.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
| 26 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 9. Significant risks
Credit risk
Credit risk is the risk that the value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower-rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
Foreign securities and emerging market countries risk
Investing in foreign securities may involve heightened risks relative to investments in U.S. securities. Investing in foreign securities subjects the Fund to the risks associated with the issuer’s country of organization and places of business operations, including risks associated with political, regulatory, economic, social, diplomatic and other conditions or events occurring in the country or region, which may result in significant market volatility. In addition, certain foreign securities may be more volatile and less liquid than U.S. securities. Investing in emerging markets may increase these risks and expose the Fund to elevated risks associated with increased inflation, deflation or currency devaluation. 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 risks associated with the conditions, events or other factors impacting those countries or regions and may, therefore, have a greater risk than that of a fund that is more geographically diversified. The financial information and disclosure made available by issuers of emerging market securities may be considerably less reliable than publicly available information about other foreign securities. The Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in certain foreign countries. Investors in foreign countries often have limited rights and few practical remedies to pursue shareholder claims, including class actions or fraud claims, and the ability of the U.S. Securities and Exchange Commission, the U.S. Department of Justice and other authorities to bring and enforce actions against foreign issuers or foreign persons is limited.
Geographic focus risk
The Fund may be particularly susceptible to risks related to economic, political, regulatory or other events or conditions affecting issuers and countries within the specific geographic regions in which the Fund invests. The Fund’s net asset value may be more volatile than the net asset value of a more geographically diversified fund.
Latin America Region. The Fund is particularly susceptible to risks related to economic, political, regulatory, legal, social or other events or conditions affecting issuers in, or those that have investment exposure to, the Latin America region. These include risks of elevated and volatile interest, inflation and unemployment rates. Currency devaluations, exchange rate volatility and relatively high dependence upon commodities and international trade may also present additional risks for the Fund. Latin American economies may be susceptible to adverse government regulatory and economic intervention and controls, limitations in the ability to repatriate investment income, capital or the proceeds of the sale of securities, inadequate investor protections, less developed custody, settlement, regulatory, accounting, auditing and financial standards, unfavorable changes in laws or regulations, natural disasters, corruption and military activity.
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 debt instruments. 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 instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022
| 27 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
could lead such authorities to raise 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. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
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.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing
| 28 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
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. This increases the risk that a change in the value of any one investment held by the Fund could affect the overall value of the Fund more than it would affect that of a diversified fund holding a greater number of investments. Accordingly, the Fund’s value will likely be more volatile than the value of a more diversified fund.
Shareholder concentration risk
At June 30, 2022, two unaffiliated shareholders of record owned 59.0% 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 38.4% 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. 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 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022
| 29 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
| 30 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022
| 31 |
Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Manager and discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had
| 32 | Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
Columbia Variable Portfolio – Emerging Markets Bond Fund | Semiannual Report 2022
| 33 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – Emerging Markets Bond Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – Balanced Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks maximum total investment return through a combination of capital growth and current income.
Portfolio management
Guy Pope, CFA
Lead Portfolio Manager
Managed Fund since 2011
Jason Callan
Portfolio Manager
Managed Fund since 2018
Gregory Liechty
Portfolio Manager
Managed Fund since 2011
Ronald Stahl, CFA
Portfolio Manager
Managed Fund since 2011
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1* | 06/25/14 | -15.67 | -11.89 | 7.09 | 8.92 |
| Class 2* | 06/25/14 | -15.78 | -12.12 | 6.83 | 8.67 |
| Class 3 | 04/30/86 | -15.71 | -12.01 | 6.95 | 8.79 |
| Blended Benchmark | | -16.11 | -10.24 | 7.37 | 8.50 |
| S&P 500 Index | | -19.96 | -10.62 | 11.31 | 12.96 |
| Bloomberg U.S. Aggregate Bond Index | | -10.35 | -10.29 | 0.88 | 1.54 |
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 columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
The Blended Benchmark consists of 60% S&P 500 Index and 40% Bloomberg 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 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 – Balanced Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Asset-Backed Securities — Non-Agency | 7.0 |
| Commercial Mortgage-Backed Securities - Non-Agency | 6.1 |
| Common Stocks | 53.9 |
| Convertible Bonds | 0.0(a) |
| Corporate Bonds & Notes | 7.7 |
| Exchange-Traded Equity Funds | 0.8 |
| Foreign Government Obligations | 0.0(a) |
| Money Market Funds | 5.8 |
| Residential Mortgage-Backed Securities - Agency | 7.1 |
| Residential Mortgage-Backed Securities - Non-Agency | 11.3 |
| Senior Loans | 0.0(a) |
| U.S. Treasury Obligations | 0.3 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 843.30 | 1,021.08 | 3.43 | 3.76 | 0.75 |
| Class 2 | 1,000.00 | 1,000.00 | 842.20 | 1,019.79 | 4.61 | 5.06 | 1.01 |
| Class 3 | 1,000.00 | 1,000.00 | 842.90 | 1,020.43 | 4.02 | 4.41 | 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.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Asset-Backed Securities — Non-Agency 7.4% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| ACM Auto Trust(a) |
| Subordinated Series 2022-1A Class C |
| 04/20/2029 | 5.480% | | 1,650,000 | 1,635,897 |
| ALM Ltd.(a),(b) |
| Series 2022-20A Class A2 |
3-month Term SOFR + 2.000%
Floor 2.000%
07/15/2037 | 3.035% | | 1,300,000 | 1,222,089 |
| American Credit Acceptance Receivables Trust(a) |
| Series 2020-1 Class D |
| 03/13/2026 | 2.390% | | 2,875,000 | 2,836,526 |
| Subordinated Series 2021-1 Class C |
| 03/15/2027 | 0.830% | | 1,300,000 | 1,275,203 |
| Subordinated Series 2021-2 Class E |
| 07/13/2027 | 2.540% | | 600,000 | 559,869 |
| Apidos CLO XI(a),(b) |
| Series 2012-11A Class BR3 |
3-month USD LIBOR + 1.650%
Floor 1.650%
04/17/2034 | 2.694% | | 1,925,000 | 1,823,706 |
| Apidos CLO XXVIII(a),(b) |
| Series 2017-28A Class A1B |
3-month USD LIBOR + 1.150%
Floor 1.150%
01/20/2031 | 2.213% | | 900,000 | 872,393 |
| Aqua Finance Trust(a) |
| Series 2021-A Class A |
| 07/17/2046 | 1.540% | | 685,700 | 632,856 |
| Ares LVIII CLO Ltd.(a),(b) |
| Series 2020-58A Class DR |
3-month Term SOFR + 3.200%
Floor 3.200%
01/15/2035 | 4.046% | | 475,000 | 432,350 |
| ARES XLVII CLO Ltd.(a),(b) |
| Series 2018-47A Class B |
3-month USD LIBOR + 1.450%
Floor 1.450%
04/15/2030 | 2.494% | | 550,000 | 525,069 |
| Avant Loans Funding Trust(a) |
| Subordinated Series 2021-REV1 Class C |
| 07/15/2030 | 2.300% | | 325,000 | 305,416 |
| Bain Capital Credit CLO Ltd.(a),(b) |
| Series 2021-7A Class B |
3-month USD LIBOR + 1.650%
Floor 1.650%
01/22/2035 | 2.016% | | 2,425,000 | 2,264,800 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Barings CLO Ltd.(a),(b) |
| Series 2018-4A Class B |
3-month USD LIBOR + 1.700%
Floor 1.700%
10/15/2030 | 2.744% | | 3,450,000 | 3,314,995 |
| Basswood Park CLO Ltd.(a),(b) |
| Series 2021-1A Class A |
3-month USD LIBOR + 1.000%
Floor 1.000%
04/20/2034 | 2.063% | | 1,025,000 | 986,151 |
| Carbone CLO Ltd.(a),(b) |
| Series 2017-1A Class A1 |
3-month USD LIBOR + 1.140%
Floor 1.140%
01/20/2031 | 2.203% | | 1,850,000 | 1,810,362 |
| Carlyle CLO Ltd.(a),(b) |
| Series C17A Class CR |
3-month USD LIBOR + 2.800%
04/30/2031 | 4.086% | | 500,000 | 459,013 |
| Carlyle US CLO Ltd.(a),(b) |
| Series 2016-4A Class A2R |
3-month USD LIBOR + 1.450%
Floor 1.450%
10/20/2027 | 2.513% | | 3,425,000 | 3,309,810 |
| Carmax Auto Owner Trust |
| Subordinated Series 2021-1 Class C |
| 12/15/2026 | 0.940% | | 275,000 | 257,179 |
| Cascade Funding Mortgage Trust(a) |
| CMO Series 2021-GRN1 Class A |
| 03/20/2041 | 1.100% | | 754,208 | 715,574 |
| Crossroads Asset Trust(a) |
| Subordinated Series 2021-A Class B |
| 06/20/2025 | 1.120% | | 175,000 | 169,706 |
| Drive Auto Receivables Trust |
| Subordinated Series 2020-2 Class D |
| 05/15/2028 | 3.050% | | 225,000 | 222,260 |
| Subordinated Series 2021-2 Class D |
| 03/15/2029 | 1.390% | | 3,410,000 | 3,163,689 |
| Dryden CLO Ltd.(a),(b) |
| Series 2018-55A Class A1 |
3-month USD LIBOR + 1.020%
04/15/2031 | 2.064% | | 1,300,000 | 1,275,673 |
| Dryden Senior Loan Fund(a),(b) |
| Series 2015-41A Class AR |
3-month USD LIBOR + 0.970%
Floor 0.970%
04/15/2031 | 2.014% | | 2,100,000 | 2,052,139 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2016-42A Class BR |
3-month USD LIBOR + 1.550%
07/15/2030 | 2.594% | | 950,000 | 909,089 |
| DT Auto Owner Trust(a) |
| Series 2019-3A Class D |
| 04/15/2025 | 2.960% | | 1,600,000 | 1,590,269 |
| Series 2020-2A Class D |
| 03/16/2026 | 4.730% | | 125,000 | 125,360 |
| Subordinated Series 2020-1A Class D |
| 11/17/2025 | 2.550% | | 1,400,000 | 1,366,018 |
| Subordinated Series 2020-3A Class D |
| 06/15/2026 | 1.840% | | 975,000 | 935,193 |
| Exeter Automobile Receivables Trust(a) |
| Series 2019-4A Class D |
| 09/15/2025 | 2.580% | | 1,425,000 | 1,409,877 |
| Subordinated Series 2020-1A Class D |
| 12/15/2025 | 2.730% | | 1,100,000 | 1,085,535 |
| Subordinated Series 2020-2A Class D |
| 04/15/2026 | 4.730% | | 350,000 | 351,927 |
| Exeter Automobile Receivables Trust |
| Subordinated Series 2020-3A Class D |
| 07/15/2026 | 1.730% | | 600,000 | 583,040 |
| Subordinated Series 2021-1A Class D |
| 11/16/2026 | 1.080% | | 1,225,000 | 1,173,335 |
| Subordinated Series 2021-3A Class D |
| 06/15/2027 | 1.550% | | 3,960,000 | 3,722,048 |
| Foundation Finance Trust(a) |
| Series 2019-1A Class A |
| 11/15/2034 | 3.860% | | 257,763 | 254,923 |
| Foursight Capital Automobile Receivables Trust(a) |
| Subordinated Series 2021-1 Class D |
| 03/15/2027 | 1.320% | | 800,000 | 759,933 |
| Freed ABS Trust(a) |
| Subordinated Series 2021-1CP Class C |
| 03/20/2028 | 2.830% | | 100,000 | 97,839 |
| GLS Auto Receivables Issuer Trust(a) |
| Subordinated Series 2020-1A Class C |
| 11/17/2025 | 2.720% | | 1,500,000 | 1,470,989 |
| GoldentTree Loan Management US CLO 1 Ltd.(a),(b) |
| Series 2021-10A Class A |
3-month USD LIBOR + 1.100%
Floor 1.100%
07/20/2034 | 2.163% | | 1,425,000 | 1,378,207 |
| Hilton Grand Vacations Trust(a) |
| Series 2018-AA Class A |
| 02/25/2032 | 3.540% | | 220,136 | 217,218 |
| Series 2019-AA Class A |
| 07/25/2033 | 2.340% | | 506,181 | 497,097 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Jay Park CLO Ltd.(a),(b) |
| Series 2016-1A Class A2R |
3-month USD LIBOR + 1.450%
10/20/2027 | 2.513% | | 4,075,000 | 3,978,712 |
| LendingPoint Asset Securitization Trust(a) |
| Subordinated Series 2020-REV1 Class B |
| 10/15/2028 | 4.494% | | 1,575,000 | 1,558,352 |
| LL ABS Trust(a) |
| Series 2021-1A Class A |
| 05/15/2029 | 1.070% | | 504,553 | 489,348 |
| Madison Park Funding XLVIII Ltd.(a),(b) |
| Series 2021-48A Class A |
3-month USD LIBOR + 1.150%
Floor 1.150%
04/19/2033 | 2.194% | | 475,000 | 464,353 |
| Madison Park Funding XXXIII Ltd.(a),(b) |
| Series 2019-33A Class BR |
3-month Term SOFR + 1.800%
Floor 1.800%
10/15/2032 | 2.646% | | 3,600,000 | 3,430,350 |
| Magnetite XII Ltd.(a),(b) |
| Series 2015-12A Class ARR |
3-month USD LIBOR + 1.100%
Floor 1.100%
10/15/2031 | 2.144% | | 2,150,000 | 2,102,829 |
| MVW Owner Trust(a) |
| Series 2016-1A Class A |
| 12/20/2033 | 2.250% | | 95,630 | 95,343 |
| Series 2017-1A Class A |
| 12/20/2034 | 2.420% | | 454,364 | 445,834 |
| NRZ Advance Receivables Trust(a) |
| Series 2020-T3 Class AT3 |
| 10/15/2052 | 1.317% | | 720,000 | 715,456 |
| Octagon Investment Partners 39 Ltd.(a),(b) |
| Series 2018-3A Class B |
3-month USD LIBOR + 1.850%
Floor 1.650%
10/20/2030 | 2.713% | | 3,525,000 | 3,371,952 |
| OHA Credit Funding Ltd.(a),(b) |
| Series 2019-4A Class AR |
3-month USD LIBOR + 1.150%
Floor 1.150%
10/22/2036 | 2.286% | | 1,375,000 | 1,331,128 |
| Series 2021-8A Class A |
3-month USD LIBOR + 1.190%
Floor 1.190%
01/18/2034 | 2.234% | | 650,000 | 632,704 |
| Pagaya AI Debt Selection Trust(a) |
| Series 2021-5 Class A |
| 08/15/2029 | 1.530% | | 1,435,058 | 1,389,172 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Pagaya AI Debt Trust(a) |
| Subordinated Series 2022-1 Class B |
| 10/15/2029 | 3.344% | | 675,000 | 616,681 |
| Race Point IX CLO Ltd.(a),(b) |
| Series 2015-9A Class A2R |
3-month USD LIBOR + 0.450%
Floor 1.450%
10/15/2030 | 1.494% | | 1,900,000 | 1,807,875 |
| Research-Driven Pagaya Motor Asset Trust IV(a) |
| Series 2021-2A Class A |
| 03/25/2030 | 2.650% | | 983,214 | 936,106 |
| Santander Consumer Auto Receivables Trust(a) |
| Subordinated Series 2021-AA Class C |
| 11/16/2026 | 1.030% | | 200,000 | 185,359 |
| Subordinated Series 2021-AA Class D |
| 01/15/2027 | 1.570% | | 175,000 | 164,067 |
| Santander Drive Auto Receivables Trust |
| Series 2020-2 Class D |
| 09/15/2026 | 2.220% | | 925,000 | 910,252 |
| Subordinated Series 2020-3 Class D |
| 11/16/2026 | 1.640% | | 6,541,000 | 6,342,271 |
| SCF Equipment Leasing LLC(a) |
| Series 2019-2A Class B |
| 08/20/2026 | 2.760% | | 1,275,000 | 1,229,347 |
| Series 2020-1A Class C |
| 08/21/2028 | 2.600% | | 800,000 | 741,562 |
| Sierra Timeshare Receivables Funding LLC(a) |
| Series 2018-2A Class A |
| 06/20/2035 | 3.500% | | 153,111 | 153,273 |
| Series 2018-3A Class A |
| 09/20/2035 | 3.690% | | 104,725 | 103,518 |
| Theorem Funding Trust(a) |
| Subordinated Series 2021-1A Class B |
| 12/15/2027 | 1.840% | | 700,000 | 643,365 |
| United Auto Credit Securitization Trust(a) |
| Series 2020-1 Class D |
| 02/10/2025 | 2.880% | | 946,040 | 946,338 |
| Upstart Pass-Through Trust(a) |
| Series 2021-ST10 Class A |
| 01/20/2030 | 2.250% | | 2,826,618 | 2,733,616 |
| Series 2021-ST2 Class A |
| 04/20/2027 | 2.500% | | 190,420 | 182,827 |
| Series 2021-ST7 Class A |
| 09/20/2029 | 1.850% | | 684,264 | 649,855 |
| Series 2021-ST9 Class A |
| 11/20/2029 | 1.700% | | 354,805 | 327,793 |
| Upstart Securitization Trust(a) |
| Series 2020-2 Class A |
| 11/20/2030 | 2.309% | | 434,385 | 426,453 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Subordinated Series 2021-2 Class B |
| 06/20/2031 | 1.750% | | 425,000 | 406,931 |
| Subordinated Series 2021-3 Class B |
| 07/20/2031 | 1.660% | | 425,000 | 404,078 |
| VSE Voi Mortgage LLC(a) |
| Series 2018-A Class A |
| 02/20/2036 | 3.560% | | 244,879 | 242,074 |
Total Asset-Backed Securities — Non-Agency
(Cost $93,486,022) | 90,209,796 |
|
| Commercial Mortgage-Backed Securities - Non-Agency 6.5% |
| | | | |
| 1211 Avenue of the Americas Trust(a) |
| Series 2015-1211 Class A1A2 |
| 08/10/2035 | 3.901% | | 1,275,000 | 1,243,037 |
| American Homes 4 Rent Trust(a) |
| Series 2014-SFR2 Class A |
| 10/17/2036 | 3.786% | | 1,123,568 | 1,122,212 |
| Series 2014-SFR3 Class A |
| 12/17/2036 | 3.678% | | 1,242,820 | 1,230,831 |
| Series 2015-SFR1 Class A |
| 04/17/2052 | 3.467% | | 1,148,743 | 1,137,099 |
| Series 2015-SFR2 Class A |
| 10/17/2052 | 3.732% | | 684,806 | 673,885 |
| AMSR Trust(a) |
| Subordinated Series 2020-SFR2 Class C |
| 07/17/2037 | 2.533% | | 500,000 | 475,470 |
| Ashford Hospitality Trust(a),(b) |
| Series 2018-KEYS Class B |
1-month USD LIBOR + 1.450%
Floor 1.450%
05/15/2035 | 2.774% | | 2,625,000 | 2,536,791 |
| BBCMS Trust(a),(b) |
| Subordinated Series 2018-BXH Class B |
1-month USD LIBOR + 1.250%
Floor 1.250%
10/15/2037 | 2.574% | | 1,150,000 | 1,089,704 |
| Subordinated Series 2018-BXH Class C |
1-month USD LIBOR + 1.500%
Floor 1.500%
10/15/2037 | 2.824% | | 625,000 | 589,109 |
| BB-UBS Trust(a) |
| Series 2012-SHOW Class A |
| 11/05/2036 | 3.430% | | 1,325,000 | 1,274,527 |
| BHMS Mortgage Trust(a),(b) |
| Series 2018-ATLS Class A |
1-month USD LIBOR + 1.250%
Floor 1.250%
07/15/2035 | 2.574% | | 2,375,000 | 2,290,582 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| BX Commercial Mortgage Trust(a),(b) |
| Series 2019-XL Class C |
1-month USD LIBOR + 1.250%
Floor 1.250%
10/15/2036 | 2.574% | | 977,500 | 948,178 |
| BX Mortgage Trust(a),(b) |
| Series 2021-PAC Class D |
1-month USD LIBOR + 1.298%
Floor 1.298%
10/15/2036 | 2.623% | | 2,175,000 | 2,010,701 |
| BX Trust(a),(b) |
| Series 2019-ATL Class C |
1-month USD LIBOR + 1.587%
Floor 1.587%, Cap 1.587%
10/15/2036 | 2.911% | | 699,000 | 662,306 |
| Subordinated Series 2019-ATL Class D |
1-month USD LIBOR + 1.887%
Floor 1.887%
10/15/2036 | 3.211% | | 622,000 | 576,910 |
| CIM Retail Portfolio Trust(a),(b) |
| Series 2021-RETL Class D |
1-month USD LIBOR + 3.050%
Floor 3.050%
08/15/2036 | 4.374% | | 2,868,750 | 2,757,368 |
| CLNY Trust(a),(b) |
| Series 2019-IKPR Class D |
1-month USD LIBOR + 2.025%
Floor 2.025%
11/15/2038 | 3.349% | | 1,900,000 | 1,766,897 |
| COMM Mortgage Trust(a),(c) |
| Subordinated Series 2020-CBM Class D |
| 02/10/2037 | 3.754% | | 475,000 | 437,799 |
| COMM Mortgage Trust(a) |
| Subordinated Series 2020-CX Class B |
| 11/10/2046 | 2.446% | | 525,000 | 424,180 |
| CSAIL Commercial Mortgage Trust |
| Series 2019-C16 Class A3 |
| 06/15/2052 | 3.329% | | 3,675,000 | 3,427,280 |
| Extended Stay America Trust(a),(b) |
| Series 2021-ESH Class E |
1-month USD LIBOR + 2.850%
Floor 2.850%
07/15/2038 | 4.174% | | 298,165 | 285,615 |
| Series 2021-ESH Class F |
1-month USD LIBOR + 3.700%
Floor 3.700%
07/15/2038 | 4.575% | | 298,165 | 286,262 |
| FirstKey Homes Trust(a) |
| Subordinated Series 2020-SFR1 Class D |
| 08/17/2037 | 2.241% | | 675,000 | 624,390 |
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Subordinated Series 2020-SFR2 Class D |
| 10/19/2037 | 1.968% | | 2,975,000 | 2,719,917 |
| GS Mortgage Securities Corp. Trust(a) |
| Series 2017-485L Class A |
| 02/10/2037 | 3.721% | | 625,000 | 591,219 |
| GS Mortgage Securities Corp. Trust(a),(b) |
| Subordinated CMO Series 2021-IP Class D |
1-month USD LIBOR + 2.100%
Floor 2.100%
10/15/2036 | 3.424% | | 825,000 | 769,356 |
| Home Partners of America Trust(a) |
| Series 2019-2 Class D |
| 10/19/2039 | 3.121% | | 1,048,582 | 931,514 |
| Subordinated Series 2021-2 Class B |
| 12/17/2026 | 2.302% | | 6,381,664 | 5,746,039 |
| Invitation Homes Trust(a),(b) |
| Series 2018-SFR1 Class A |
1-month USD LIBOR + 0.700%
03/17/2037 | 1.254% | | 1,847,376 | 1,820,251 |
| Series 2018-SFR4 Class A |
1-month USD LIBOR + 1.100%
Floor 1.000%
01/17/2038 | 2.623% | | 3,041,174 | 3,000,925 |
| JPMorgan Chase Commercial Mortgage Securities Trust(a),(c) |
| Subordinated Series 2021-2NU Class B |
| 01/05/2040 | 2.146% | | 600,000 | 507,258 |
| Subordinated Series 2021-2NU Class C |
| 01/05/2040 | 2.146% | | 250,000 | 208,183 |
| KKR Industrial Portfolio Trust(a),(b) |
| Subordinated Series 2021-KDIP Class D |
1-month USD LIBOR + 1.250%
Floor 1.250%
12/15/2037 | 2.574% | | 375,000 | 355,219 |
| Life Mortgage Trust(a),(b) |
| Subordinated Series 2021-BMR Class D |
1-month USD LIBOR + 1.400%
Floor 1.400%
03/15/2038 | 2.724% | | 688,079 | 653,517 |
| Morgan Stanley Bank of America Merrill Lynch Trust |
| Series 2016-C29 Class A3 |
| 05/15/2049 | 3.058% | | 945,096 | 906,216 |
| Series 2017-C34 Class A3 |
| 11/15/2052 | 3.276% | | 2,250,000 | 2,134,022 |
| Morgan Stanley Capital I Trust |
| Series 2015-UBS8 Class A3 |
| 12/15/2048 | 3.540% | | 1,721,472 | 1,678,245 |
| Morgan Stanley Capital I Trust(a),(c) |
| Series 2019-MEAD Class D |
| 11/10/2036 | 3.283% | | 1,175,000 | 1,071,118 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| One New York Plaza Trust(a),(b) |
| Subordinated Series 2020-1NYP Class C |
1-month USD LIBOR + 2.200%
Floor 2.200%
01/15/2036 | 3.524% | | 1,100,000 | 1,069,249 |
| Subordinated Series 2020-1NYP Class D |
1-month USD LIBOR + 2.750%
Floor 2.750%
01/15/2036 | 4.074% | | 425,000 | 410,843 |
| Progress Residential Trust(a) |
| Series 2019-SFR3 Class C |
| 09/17/2036 | 2.721% | | 750,000 | 722,882 |
| Series 2019-SFR3 Class D |
| 09/17/2036 | 2.871% | | 1,125,000 | 1,081,377 |
| Series 2019-SFR4 Class C |
| 10/17/2036 | 3.036% | | 2,850,000 | 2,789,769 |
| Series 2020-SFR1 Class C |
| 04/17/2037 | 2.183% | | 325,000 | 306,343 |
| Series 2020-SFR1 Class D |
| 04/17/2037 | 2.383% | | 675,000 | 630,459 |
| Series 2020-SFR2 Class A |
| 06/17/2037 | 2.078% | | 425,000 | 402,068 |
| Series 2022-SFR5 Class A |
| 06/17/2039 | 4.451% | | 2,025,000 | 2,024,418 |
| Subordinated Series 2020-SFR2 Class C |
| 06/18/2037 | 3.077% | | 100,000 | 95,819 |
| Subordinated Series 2020-SFR2 Class D |
| 06/18/2037 | 3.874% | | 125,000 | 118,281 |
| Subordinated Series 2021-SFR8 Class D |
| 10/17/2038 | 2.082% | | 1,830,000 | 1,577,823 |
| RBS Commercial Funding, Inc., Trust(a),(c) |
| Series 2013-GSP Class A |
| 01/15/2032 | 3.961% | | 1,100,000 | 1,082,807 |
| SFO Commercial Mortgage Trust(a),(b) |
| Subordinated Series 2021-555 Class E |
1-month USD LIBOR + 2.900%
Floor 2.900%
05/15/2038 | 4.224% | | 475,000 | 440,479 |
| SPGN TFLM Mortgage Trust(a),(b) |
| Series 2022 Class A |
1-month Term SOFR + 1.550%
Floor 1.550%
02/15/2039 | 2.829% | | 4,725,000 | 4,605,298 |
| STAR Trust(a),(b) |
| Series 2022-SFR3 Class A |
1-month Term SOFR + 1.650%
Floor 1.650%
05/17/2024 | 3.159% | | 2,641,885 | 2,641,882 |
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Subordinated Series 2022-SFR3 Class B |
1-month Term SOFR + 1.950%
Floor 1.950%
05/17/2024 | 3.459% | | 1,900,000 | 1,894,007 |
| Tricon American Homes(a) |
| Series 2020-SFR1 Class C |
| 07/17/2038 | 2.249% | | 650,000 | 596,697 |
| Tricon American Homes Trust(a) |
| Subordinated Series 2020-SFR2 Class D |
| 11/17/2039 | 2.281% | | 1,075,000 | 915,490 |
| UBS-Barclays Commercial Mortgage Trust |
| Series 2012-C4 Class A5 |
| 12/10/2045 | 2.850% | | 841,544 | 841,004 |
| Wells Fargo Commercial Mortgage Trust |
| Series 2015-C28 Class A3 |
| 05/15/2048 | 3.290% | | 1,067,263 | 1,038,706 |
| Wells Fargo Commercial Mortgage Trust(a),(b) |
| Series 2020-SDAL Class D |
1-month USD LIBOR + 2.090%
Floor 2.090%, Cap 4.500%
02/15/2037 | 3.613% | | 500,000 | 475,767 |
| Series 2021-FCMT Class A |
1-month USD LIBOR + 1.200%
Floor 1.200%
05/15/2031 | 2.524% | | 750,000 | 720,861 |
| Series 2021-FCMT Class D |
1-month USD LIBOR + 3.500%
Floor 3.500%
05/15/2031 | 4.824% | | 625,000 | 594,981 |
| WF-RBS Commercial Mortgage Trust |
| Series 2012-C9 Class A3 |
| 11/15/2045 | 2.870% | | 842,807 | 841,012 |
| Series 2012-C9 Class ASB |
| 11/15/2045 | 2.445% | | 4 | 4 |
| Series 2013-C15 Class A3 |
| 08/15/2046 | 3.881% | | 544,405 | 541,205 |
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $84,569,531) | 79,423,663 |
| Common Stocks 57.4% |
| Issuer | Shares | Value ($) |
| Communication Services 7.1% |
| Entertainment 1.4% |
| Endeavor Group Holdings, Inc., Class A(d) | 128,939 | 2,650,986 |
| Take-Two Interactive Software, Inc.(d) | 75,210 | 9,215,481 |
| Walt Disney Co. (The)(d) | 54,826 | 5,175,574 |
| Total | | 17,042,041 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Interactive Media & Services 3.7% |
| Alphabet, Inc., Class A(d) | 8,191 | 17,850,319 |
| Alphabet, Inc., Class C(d) | 8,349 | 18,263,020 |
| Meta Platforms, Inc., Class A(d) | 50,041 | 8,069,111 |
| Snap, Inc., Class A(d) | 76,890 | 1,009,566 |
| Total | | 45,192,016 |
| Media 1.0% |
| Comcast Corp., Class A | 289,944 | 11,377,403 |
| Wireless Telecommunication Services 1.0% |
| T-Mobile USA, Inc.(d) | 93,524 | 12,582,719 |
| Total Communication Services | 86,194,179 |
| Consumer Discretionary 4.0% |
| Automobiles 0.4% |
| Tesla Motors, Inc.(d) | 7,549 | 5,083,648 |
| Hotels, Restaurants & Leisure 0.6% |
| Chipotle Mexican Grill, Inc.(d) | 2,135 | 2,791,000 |
| McDonald’s Corp. | 18,015 | 4,447,543 |
| Total | | 7,238,543 |
| Internet & Direct Marketing Retail 2.3% |
| Amazon.com, Inc.(d) | 263,180 | 27,952,348 |
| Specialty Retail 0.2% |
| Lowe’s Companies, Inc. | 16,741 | 2,924,150 |
| Textiles, Apparel & Luxury Goods 0.5% |
| Tapestry, Inc. | 152,782 | 4,662,906 |
| Under Armour, Inc., Class A(d) | 123,605 | 1,029,630 |
| Total | | 5,692,536 |
| Total Consumer Discretionary | 48,891,225 |
| Consumer Staples 3.8% |
| Beverages 0.5% |
| Monster Beverage Corp.(d) | 61,852 | 5,733,680 |
| Food & Staples Retailing 2.3% |
| Sysco Corp. | 146,127 | 12,378,418 |
| Walmart, Inc. | 124,620 | 15,151,300 |
| Total | | 27,529,718 |
| Food Products 0.9% |
| Mondelez International, Inc., Class A | 185,719 | 11,531,293 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Personal Products 0.1% |
| Coty, Inc., Class A(d) | 218,090 | 1,746,901 |
| Total Consumer Staples | 46,541,592 |
| Energy 2.6% |
| Oil, Gas & Consumable Fuels 2.6% |
| Canadian Natural Resources Ltd. | 135,288 | 7,262,260 |
| Chevron Corp. | 106,155 | 15,369,121 |
| EOG Resources, Inc. | 76,018 | 8,395,428 |
| Total | | 31,026,809 |
| Total Energy | 31,026,809 |
| Financials 6.0% |
| Banks 2.6% |
| Bank of America Corp. | 378,900 | 11,795,157 |
| JPMorgan Chase & Co. | 64,531 | 7,266,836 |
| Wells Fargo & Co. | 329,571 | 12,909,296 |
| Total | | 31,971,289 |
| Capital Markets 1.5% |
| BlackRock, Inc. | 6,831 | 4,160,352 |
| MSCI, Inc. | 10,202 | 4,204,755 |
| State Street Corp. | 159,848 | 9,854,629 |
| Total | | 18,219,736 |
| Consumer Finance 0.1% |
| American Express Co. | 5,193 | 719,854 |
| Diversified Financial Services 1.7% |
| Berkshire Hathaway, Inc., Class B(d) | 74,009 | 20,205,937 |
| Insurance 0.1% |
| Aon PLC, Class A | 6,446 | 1,738,357 |
| Total Financials | 72,855,173 |
| Health Care 9.4% |
| Biotechnology 1.7% |
| BioMarin Pharmaceutical, Inc.(d) | 65,465 | 5,425,084 |
| Horizon Therapeutics PLC(d) | 38,443 | 3,066,214 |
| Vertex Pharmaceuticals, Inc.(d) | 41,020 | 11,559,026 |
| Total | | 20,050,324 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 11 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Health Care Equipment & Supplies 1.5% |
| Abbott Laboratories | 89,737 | 9,749,925 |
| Baxter International, Inc. | 63,620 | 4,086,313 |
| Boston Scientific Corp.(d) | 127,970 | 4,769,442 |
| Medtronic PLC | 0 | 0 |
| Total | | 18,605,680 |
| Health Care Providers & Services 1.9% |
| CVS Health Corp. | 128,626 | 11,918,485 |
| Elevance Health, Inc. | 22,245 | 10,734,992 |
| Total | | 22,653,477 |
| Life Sciences Tools & Services 0.7% |
| IQVIA Holdings, Inc.(d) | 21,054 | 4,568,507 |
| Thermo Fisher Scientific, Inc. | 8,182 | 4,445,117 |
| Total | | 9,013,624 |
| Pharmaceuticals 3.6% |
| Eli Lilly & Co. | 51,554 | 16,715,353 |
| Johnson & Johnson | 153,972 | 27,331,570 |
| Total | | 44,046,923 |
| Total Health Care | 114,370,028 |
| Industrials 4.7% |
| Aerospace & Defense 2.2% |
| Raytheon Technologies Corp. | 277,632 | 26,683,211 |
| Airlines 0.7% |
| Southwest Airlines Co.(d) | 229,941 | 8,305,469 |
| Industrial Conglomerates 0.5% |
| Honeywell International, Inc. | 35,534 | 6,176,165 |
| Road & Rail 1.3% |
| Uber Technologies, Inc.(d) | 421,479 | 8,623,460 |
| Union Pacific Corp. | 33,243 | 7,090,067 |
| Total | | 15,713,527 |
| Total Industrials | 56,878,372 |
| Information Technology 15.3% |
| Electronic Equipment, Instruments & Components 0.5% |
| TE Connectivity Ltd. | 54,373 | 6,152,305 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| IT Services 3.1% |
| Fidelity National Information Services, Inc. | 57,107 | 5,234,999 |
| Global Payments, Inc. | 41,250 | 4,563,900 |
| International Business Machines Corp. | 39,971 | 5,643,505 |
| MasterCard, Inc., Class A | 39,471 | 12,452,311 |
| PayPal Holdings, Inc.(d) | 36,624 | 2,557,820 |
| Visa, Inc., Class A | 36,784 | 7,242,402 |
| Total | | 37,694,937 |
| Semiconductors & Semiconductor Equipment 1.4% |
| Advanced Micro Devices, Inc.(d) | 41,701 | 3,188,876 |
| GlobalFoundries, Inc.(d) | 32,983 | 1,330,534 |
| Lam Research Corp. | 10,573 | 4,505,684 |
| Marvell Technology, Inc. | 28,238 | 1,229,200 |
| Micron Technology, Inc. | 25,868 | 1,429,983 |
| NVIDIA Corp. | 35,042 | 5,312,017 |
| Total | | 16,996,294 |
| Software 7.1% |
| Adobe, Inc.(d) | 30,544 | 11,180,937 |
| Intuit, Inc. | 29,743 | 11,464,142 |
| Microsoft Corp. | 190,537 | 48,935,618 |
| Palo Alto Networks, Inc.(d) | 18,323 | 9,050,462 |
| Salesforce, Inc.(d) | 32,395 | 5,346,471 |
| Total | | 85,977,630 |
| Technology Hardware, Storage & Peripherals 3.2% |
| Apple, Inc. | 289,491 | 39,579,209 |
| Total Information Technology | 186,400,375 |
| Materials 1.9% |
| Chemicals 1.7% |
| Corteva, Inc. | 106,198 | 5,749,560 |
| Ecolab, Inc. | 27,657 | 4,252,540 |
| International Flavors & Fragrances, Inc. | 62,997 | 7,504,202 |
| Nutrien Ltd. | 42,955 | 3,423,084 |
| Total | | 20,929,386 |
| Metals & Mining 0.2% |
| Newmont Corp. | 40,225 | 2,400,226 |
| Total Materials | 23,329,612 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Real Estate 0.9% |
| Equity Real Estate Investment Trusts (REITS) 0.9% |
| American Tower Corp. | 43,905 | 11,221,679 |
| Total Real Estate | 11,221,679 |
| Utilities 1.7% |
| Electric Utilities 1.0% |
| American Electric Power Co., Inc. | 119,896 | 11,502,822 |
| Multi-Utilities 0.7% |
| Public Service Enterprise Group, Inc. | 140,220 | 8,873,122 |
| Total Utilities | 20,375,944 |
Total Common Stocks
(Cost $621,209,427) | 698,084,988 |
| Convertible Bonds 0.0% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Cable and Satellite 0.0% |
| DISH Network Corp. |
| Subordinated |
| 08/15/2026 | 3.375% | | 69,000 | 46,610 |
Total Convertible Bonds
(Cost $65,460) | 46,610 |
|
| Corporate Bonds & Notes 8.2% |
| | | | |
| Aerospace & Defense 0.3% |
| BAE Systems PLC(a) |
| 04/15/2030 | 3.400% | | 1,200,000 | 1,097,317 |
| Boeing Co. (The) |
| 05/01/2040 | 5.705% | | 1,500,000 | 1,401,360 |
| Bombardier, Inc.(a) |
| 04/15/2027 | 7.875% | | 45,000 | 37,454 |
| Lockheed Martin Corp. |
| 06/15/2050 | 2.800% | | 270,000 | 201,715 |
| Northrop Grumman Corp. |
| 02/15/2031 | 7.750% | | 375,000 | 451,566 |
| TransDigm, Inc.(a) |
| 12/15/2025 | 8.000% | | 90,000 | 91,171 |
| 03/15/2026 | 6.250% | | 161,000 | 155,575 |
| TransDigm, Inc. |
| 11/15/2027 | 5.500% | | 57,000 | 48,538 |
| 05/01/2029 | 4.875% | | 41,000 | 33,329 |
| Total | 3,518,025 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Airlines 0.0% |
| Air Canada(a) |
| 08/15/2026 | 3.875% | | 29,000 | 24,615 |
| American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) |
| 04/20/2026 | 5.500% | | 128,934 | 118,788 |
| 04/20/2029 | 5.750% | | 36,290 | 30,984 |
| Delta Air Lines, Inc. |
| 01/15/2026 | 7.375% | | 29,000 | 28,960 |
| Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(a) |
| 01/20/2026 | 5.750% | | 64,253 | 57,578 |
| United Airlines, Inc.(a) |
| 04/15/2026 | 4.375% | | 38,000 | 33,703 |
| 04/15/2029 | 4.625% | | 40,000 | 33,920 |
| Total | 328,548 |
| Automotive 0.1% |
| Ford Motor Co. |
| 02/12/2032 | 3.250% | | 31,000 | 23,172 |
| Ford Motor Credit Co. LLC |
| 11/13/2025 | 3.375% | | 65,000 | 58,521 |
| 01/09/2027 | 4.271% | | 55,000 | 49,264 |
| 05/28/2027 | 4.950% | | 55,000 | 51,043 |
| 08/17/2027 | 4.125% | | 45,000 | 39,621 |
| 02/16/2028 | 2.900% | | 25,000 | 20,159 |
| 11/13/2030 | 4.000% | | 31,000 | 25,133 |
| Goodyear Tire & Rubber Co. (The) |
| 07/15/2029 | 5.000% | | 21,000 | 17,504 |
| IAA Spinco, Inc.(a) |
| 06/15/2027 | 5.500% | | 112,500 | 104,765 |
| IHO Verwaltungs GmbH(a),(e) |
| 09/15/2026 | 4.750% | | 42,827 | 36,712 |
| KAR Auction Services, Inc.(a) |
| 06/01/2025 | 5.125% | | 124,000 | 116,680 |
| Panther BF Aggregator 2 LP/Finance Co., Inc.(a) |
| 05/15/2026 | 6.250% | | 15,000 | 14,457 |
| 05/15/2027 | 8.500% | | 55,000 | 53,202 |
| Tenneco, Inc.(a) |
| 01/15/2029 | 7.875% | | 48,000 | 46,490 |
| Total | 656,723 |
| Banking 1.9% |
| Bank of America Corp.(f) |
| 04/23/2040 | 4.078% | | 4,325,000 | 3,801,474 |
| Citigroup, Inc.(f) |
| 01/25/2033 | 3.057% | | 1,325,000 | 1,125,457 |
| Citigroup, Inc. |
| Subordinated |
| 03/09/2026 | 4.600% | | 1,510,000 | 1,513,197 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 13 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Discover Bank |
| 09/13/2028 | 4.650% | | 925,000 | 889,656 |
| Goldman Sachs Group, Inc. (The)(f) |
| 02/24/2033 | 3.102% | | 3,200,000 | 2,736,520 |
| HSBC Holdings PLC(f) |
| 05/24/2032 | 2.804% | | 2,000,000 | 1,641,953 |
| JPMorgan Chase & Co.(f) |
| Subordinated |
| 05/13/2031 | 2.956% | | 4,275,000 | 3,699,514 |
| Morgan Stanley(f) |
| 01/22/2031 | 2.699% | | 3,200,000 | 2,774,206 |
| PNC Financial Services Group, Inc. (The)(f) |
| Subordinated |
| 06/06/2033 | 4.626% | | 1,100,000 | 1,063,545 |
| State Street Corp. |
| Subordinated |
| 03/03/2031 | 2.200% | | 1,461,000 | 1,192,360 |
| Wells Fargo & Co.(f) |
| 04/30/2041 | 3.068% | | 3,375,000 | 2,630,449 |
| Total | 23,068,331 |
| Brokerage/Asset Managers/Exchanges 0.0% |
| Hightower Holding LLC(a) |
| 04/15/2029 | 6.750% | | 45,000 | 33,878 |
| NFP Corp.(a) |
| 08/15/2028 | 4.875% | | 46,000 | 39,435 |
| 08/15/2028 | 6.875% | | 135,000 | 112,264 |
| Total | 185,577 |
| Building Materials 0.0% |
| American Builders & Contractors Supply Co., Inc.(a) |
| 01/15/2028 | 4.000% | | 37,000 | 31,928 |
| Beacon Roofing Supply, Inc.(a) |
| 11/15/2026 | 4.500% | | 51,000 | 46,409 |
| 05/15/2029 | 4.125% | | 29,000 | 23,817 |
| Interface, Inc.(a) |
| 12/01/2028 | 5.500% | | 23,000 | 19,668 |
| James Hardie International Finance DAC(a) |
| 01/15/2028 | 5.000% | | 37,000 | 33,330 |
| SRS Distribution, Inc.(a) |
| 07/01/2028 | 4.625% | | 23,000 | 20,089 |
| 07/01/2029 | 6.125% | | 43,000 | 33,887 |
| 12/01/2029 | 6.000% | | 53,000 | 41,575 |
| White Cap Buyer LLC(a) |
| 10/15/2028 | 6.875% | | 61,000 | 48,869 |
| Total | 299,572 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Cable and Satellite 0.2% |
| CCO Holdings LLC/Capital Corp.(a) |
| 05/01/2027 | 5.125% | | 68,000 | 64,165 |
| 02/01/2028 | 5.000% | | 24,000 | 22,068 |
| 03/01/2030 | 4.750% | | 103,000 | 88,097 |
| 08/15/2030 | 4.500% | | 105,000 | 87,749 |
| 02/01/2031 | 4.250% | | 33,000 | 27,099 |
| 02/01/2032 | 4.750% | | 43,000 | 35,403 |
| Comcast Corp. |
| 08/15/2035 | 4.400% | | 450,000 | 436,525 |
| CSC Holdings LLC(a) |
| 02/01/2028 | 5.375% | | 40,000 | 34,960 |
| 02/01/2029 | 6.500% | | 57,000 | 51,850 |
| 01/15/2030 | 5.750% | | 54,000 | 39,286 |
| 12/01/2030 | 4.125% | | 65,000 | 50,664 |
| 02/15/2031 | 3.375% | | 36,000 | 26,714 |
| DIRECTV Holdings LLC/Financing Co., Inc.(a) |
| 08/15/2027 | 5.875% | | 52,000 | 44,363 |
| DISH DBS Corp. |
| 03/15/2023 | 5.000% | | 4,000 | 3,832 |
| 07/01/2026 | 7.750% | | 14,000 | 10,866 |
| 06/01/2029 | 5.125% | | 50,000 | 30,384 |
| DISH DBS Corp.(a) |
| 12/01/2028 | 5.750% | | 78,000 | 57,730 |
| Radiate Holdco LLC/Finance, Inc.(a) |
| 09/15/2026 | 4.500% | | 49,000 | 42,317 |
| 09/15/2028 | 6.500% | | 74,000 | 57,256 |
| Sirius XM Radio, Inc.(a) |
| 09/01/2026 | 3.125% | | 32,000 | 28,610 |
| 07/01/2029 | 5.500% | | 36,000 | 33,032 |
| Time Warner Cable LLC |
| 05/01/2037 | 6.550% | | 1,300,000 | 1,301,700 |
| Videotron Ltd.(a) |
| 06/15/2029 | 3.625% | | 31,000 | 25,590 |
| Virgin Media Finance PLC(a) |
| 07/15/2030 | 5.000% | | 74,000 | 58,644 |
| Virgin Media Secured Finance PLC(a) |
| 05/15/2029 | 5.500% | | 51,000 | 45,694 |
| 08/15/2030 | 4.500% | | 31,000 | 25,671 |
| VZ Secured Financing BV(a) |
| 01/15/2032 | 5.000% | | 79,000 | 65,570 |
| Ziggo Bond Co. BV(a) |
| 02/28/2030 | 5.125% | | 58,000 | 45,494 |
| Ziggo Bond Finance BV(a) |
| 01/15/2027 | 6.000% | | 53,000 | 47,243 |
| Ziggo BV(a) |
| 01/15/2030 | 4.875% | | 50,000 | 42,385 |
| Total | 2,930,961 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Chemicals 0.1% |
| Axalta Coating Systems LLC(a) |
| 02/15/2029 | 3.375% | | 36,000 | 29,404 |
| Axalta Coating Systems LLC/Dutch Holding B BV(a) |
| 06/15/2027 | 4.750% | | 89,000 | 79,410 |
| Dow Chemical Co. (The) |
| 10/01/2034 | 4.250% | | 800,000 | 758,312 |
| Element Solutions, Inc.(a) |
| 09/01/2028 | 3.875% | | 60,000 | 49,618 |
| HB Fuller Co. |
| 10/15/2028 | 4.250% | | 79,000 | 66,369 |
| Herens Holdco Sarl(a) |
| 05/15/2028 | 4.750% | | 40,000 | 33,356 |
| INEOS Quattro Finance 2 Plc(a) |
| 01/15/2026 | 3.375% | | 25,000 | 21,000 |
| Ingevity Corp.(a) |
| 11/01/2028 | 3.875% | | 31,000 | 25,959 |
| Innophos Holdings, Inc.(a) |
| 02/15/2028 | 9.375% | | 44,000 | 40,092 |
| Iris Holdings, Inc.(a),(e) |
| 02/15/2026 | 8.750% | | 22,000 | 18,037 |
| LYB International Finance BV |
| 03/15/2044 | 4.875% | | 350,000 | 315,867 |
| Olympus Water US Holding Corp.(a) |
| 10/01/2028 | 4.250% | | 73,000 | 57,253 |
| SPCM SA(a) |
| 03/15/2027 | 3.125% | | 21,000 | 17,720 |
| Unifrax Escrow Issuer Corp.(a) |
| 09/30/2028 | 5.250% | | 33,000 | 26,368 |
| WR Grace Holdings LLC(a) |
| 10/01/2024 | 5.625% | | 22,000 | 21,545 |
| 06/15/2027 | 4.875% | | 67,000 | 58,294 |
| 08/15/2029 | 5.625% | | 107,000 | 78,943 |
| Total | 1,697,547 |
| Construction Machinery 0.0% |
| H&E Equipment Services, Inc.(a) |
| 12/15/2028 | 3.875% | | 17,000 | 13,739 |
| Herc Holdings, Inc.(a) |
| 07/15/2027 | 5.500% | | 37,000 | 33,864 |
| United Rentals North America, Inc. |
| 01/15/2030 | 5.250% | | 32,000 | 29,701 |
| Total | 77,304 |
| Consumer Cyclical Services 0.0% |
| APX Group, Inc.(a) |
| 07/15/2029 | 5.750% | | 6,000 | 4,658 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Arches Buyer, Inc.(a) |
| 06/01/2028 | 4.250% | | 47,000 | 38,358 |
| 12/01/2028 | 6.125% | | 76,000 | 62,035 |
| Match Group, Inc.(a) |
| 02/15/2029 | 5.625% | | 31,000 | 28,981 |
| Staples, Inc.(a) |
| 04/15/2026 | 7.500% | | 49,000 | 40,633 |
| 04/15/2027 | 10.750% | | 5,000 | 3,310 |
| Uber Technologies, Inc.(a) |
| 05/15/2025 | 7.500% | | 56,000 | 55,832 |
| 01/15/2028 | 6.250% | | 39,000 | 36,056 |
| 08/15/2029 | 4.500% | | 88,000 | 72,391 |
| Total | 342,254 |
| Consumer Products 0.0% |
| CD&R Smokey Buyer, Inc.(a) |
| 07/15/2025 | 6.750% | | 60,000 | 53,264 |
| Mattel, Inc.(a) |
| 04/01/2026 | 3.375% | | 18,000 | 16,531 |
| 04/01/2029 | 3.750% | | 67,000 | 60,264 |
| Prestige Brands, Inc.(a) |
| 01/15/2028 | 5.125% | | 64,000 | 59,546 |
| Scotts Miracle-Gro Co. (The) |
| 02/01/2032 | 4.375% | | 21,000 | 15,951 |
| Tempur Sealy International, Inc.(a) |
| 10/15/2031 | 3.875% | | 33,000 | 24,739 |
| Total | 230,295 |
| Diversified Manufacturing 0.3% |
| BWX Technologies, Inc.(a) |
| 06/30/2028 | 4.125% | | 26,000 | 23,162 |
| Carrier Global Corp. |
| 04/05/2040 | 3.377% | | 1,900,000 | 1,492,232 |
| Gates Global LLC/Co.(a) |
| 01/15/2026 | 6.250% | | 103,000 | 95,754 |
| GE Capital International Funding Co. Unlimited Co. |
| 11/15/2035 | 4.418% | | 1,050,000 | 982,728 |
| Honeywell International, Inc. |
| 06/01/2050 | 2.800% | | 300,000 | 231,617 |
| Madison IAQ LLC(a) |
| 06/30/2028 | 4.125% | | 32,000 | 26,510 |
| 06/30/2029 | 5.875% | | 33,000 | 25,170 |
| Resideo Funding, Inc.(a) |
| 09/01/2029 | 4.000% | | 86,000 | 67,158 |
| Stevens Holding Co., Inc.(a) |
| 10/01/2026 | 6.125% | | 12,000 | 11,549 |
| Vertical Holdco GmbH(a) |
| 07/15/2028 | 7.625% | | 28,000 | 25,128 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 15 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Vertical US Newco, Inc.(a) |
| 07/15/2027 | 5.250% | | 34,000 | 30,364 |
| Welbilt, Inc. |
| 02/15/2024 | 9.500% | | 14,000 | 14,013 |
| WESCO Distribution, Inc.(a) |
| 06/15/2025 | 7.125% | | 43,000 | 42,900 |
| 06/15/2028 | 7.250% | | 42,000 | 41,527 |
| Total | 3,109,812 |
| Electric 0.8% |
| Berkshire Hathaway Energy Co. |
| 10/15/2050 | 4.250% | | 348,000 | 317,842 |
| Calpine Corp.(a) |
| 02/15/2028 | 4.500% | | 29,000 | 26,395 |
| 03/15/2028 | 5.125% | | 27,000 | 23,944 |
| CenterPoint Energy, Inc. |
| 06/01/2031 | 2.650% | | 900,000 | 767,533 |
| Clearway Energy Operating LLC(a) |
| 03/15/2028 | 4.750% | | 77,000 | 69,720 |
| 02/15/2031 | 3.750% | | 75,000 | 60,820 |
| 01/15/2032 | 3.750% | | 16,000 | 12,654 |
| CMS Energy Corp. |
| 03/01/2044 | 4.875% | | 262,000 | 249,611 |
| Consolidated Edison Co. of New York, Inc. |
| 12/01/2045 | 4.500% | | 550,000 | 505,563 |
| Dominion Energy, Inc. |
| 08/15/2031 | 2.250% | | 875,000 | 720,470 |
| Emera US Finance LP |
| 06/15/2046 | 4.750% | | 1,150,000 | 1,014,316 |
| Eversource Energy |
| 03/01/2032 | 3.375% | | 525,000 | 471,599 |
| Exelon Corp.(a) |
| 03/15/2052 | 4.100% | | 1,000,000 | 857,941 |
| Indiana Michigan Power Co. |
| 03/15/2037 | 6.050% | | 600,000 | 658,189 |
| Leeward Renewable Energy Operations LLC(a) |
| 07/01/2029 | 4.250% | | 13,000 | 10,516 |
| NextEra Energy Operating Partners LP(a) |
| 07/15/2024 | 4.250% | | 16,000 | 15,323 |
| 09/15/2027 | 4.500% | | 48,000 | 44,456 |
| NRG Energy, Inc.(a) |
| 02/15/2029 | 3.375% | | 28,000 | 22,629 |
| 06/15/2029 | 5.250% | | 24,000 | 21,441 |
| 02/15/2031 | 3.625% | | 42,000 | 33,051 |
| 02/15/2032 | 3.875% | | 75,000 | 59,542 |
| Pennsylvania Electric Co.(a) |
| 06/01/2029 | 3.600% | | 1,000,000 | 938,588 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| PG&E Corp. |
| 07/01/2028 | 5.000% | | 15,000 | 12,893 |
| 07/01/2030 | 5.250% | | 33,000 | 27,129 |
| Progress Energy, Inc. |
| 03/01/2031 | 7.750% | | 850,000 | 993,051 |
| Southern Co. (The) |
| 07/01/2046 | 4.400% | | 925,000 | 806,447 |
| TerraForm Power Operating LLC(a) |
| 01/15/2030 | 4.750% | | 28,000 | 23,995 |
| Vistra Operations Co. LLC(a) |
| 09/01/2026 | 5.500% | | 10,000 | 9,436 |
| 02/15/2027 | 5.625% | | 55,000 | 51,712 |
| 07/31/2027 | 5.000% | | 61,000 | 55,292 |
| 05/01/2029 | 4.375% | | 31,000 | 26,042 |
| WEC Energy Group, Inc. |
| 10/15/2027 | 1.375% | | 300,000 | 259,855 |
| Xcel Energy, Inc. |
| 06/01/2030 | 3.400% | | 900,000 | 827,772 |
| Total | 9,995,767 |
| Environmental 0.0% |
| GFL Environmental, Inc.(a) |
| 12/15/2026 | 5.125% | | 51,000 | 48,695 |
| Waste Pro USA, Inc.(a) |
| 02/15/2026 | 5.500% | | 81,000 | 71,844 |
| Total | 120,539 |
| Finance Companies 0.0% |
| Navient Corp. |
| 01/25/2023 | 5.500% | | 60,000 | 59,575 |
| 06/25/2025 | 6.750% | | 31,000 | 28,340 |
| Provident Funding Associates LP/Finance Corp.(a) |
| 06/15/2025 | 6.375% | | 45,000 | 40,330 |
| Quicken Loans LLC/Co-Issuer, Inc.(a) |
| 03/01/2031 | 3.875% | | 55,000 | 41,392 |
| Rocket Mortgage LLC/Co-Issuer, Inc.(a) |
| 10/15/2033 | 4.000% | | 92,000 | 65,639 |
| Springleaf Finance Corp. |
| 03/15/2024 | 6.125% | | 34,000 | 32,478 |
| Total | 267,754 |
| Food and Beverage 0.4% |
| Anheuser-Busch InBev Worldwide, Inc. |
| 01/15/2042 | 4.950% | | 1,650,000 | 1,572,558 |
| Bacardi Ltd.(a) |
| 05/15/2038 | 5.150% | | 1,300,000 | 1,233,689 |
| Darling Ingredients, Inc.(a) |
| 06/15/2030 | 6.000% | | 43,000 | 42,890 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| FAGE International SA/USA Dairy Industry, Inc.(a) |
| 08/15/2026 | 5.625% | | 81,000 | 70,871 |
| JBS USA LUX SA/Food Co./Finance, Inc.(a) |
| 12/01/2031 | 3.750% | | 30,000 | 24,604 |
| Kraft Heinz Foods Co. |
| 06/01/2046 | 4.375% | | 1,799,000 | 1,498,690 |
| Lamb Weston Holdings, Inc.(a) |
| 01/31/2030 | 4.125% | | 36,000 | 31,319 |
| 01/31/2032 | 4.375% | | 35,000 | 30,436 |
| Mondelez International, Inc. |
| 09/04/2050 | 2.625% | | 465,000 | 315,360 |
| Pilgrim’s Pride Corp.(a) |
| 04/15/2031 | 4.250% | | 78,000 | 65,072 |
| 03/01/2032 | 3.500% | | 87,000 | 68,205 |
| Post Holdings, Inc.(a) |
| 03/01/2027 | 5.750% | | 28,000 | 27,128 |
| 01/15/2028 | 5.625% | | 24,000 | 22,777 |
| 04/15/2030 | 4.625% | | 52,000 | 43,870 |
| 09/15/2031 | 4.500% | | 36,000 | 29,557 |
| Primo Water Holdings, Inc.(a) |
| 04/30/2029 | 4.375% | | 97,000 | 79,190 |
| Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) |
| 03/01/2029 | 4.625% | | 23,000 | 19,439 |
| US Foods, Inc.(a) |
| 04/15/2025 | 6.250% | | 8,000 | 7,977 |
| 02/15/2029 | 4.750% | | 45,000 | 39,321 |
| 06/01/2030 | 4.625% | | 27,000 | 23,019 |
| Total | 5,245,972 |
| Gaming 0.0% |
| Boyd Gaming Corp. |
| 12/01/2027 | 4.750% | | 39,000 | 35,301 |
| Boyd Gaming Corp.(a) |
| 06/15/2031 | 4.750% | | 41,000 | 34,696 |
| Caesars Entertainment, Inc.(a) |
| 10/15/2029 | 4.625% | | 105,000 | 81,943 |
| Colt Merger Sub, Inc.(a) |
| 07/01/2025 | 5.750% | | 50,000 | 47,916 |
| 07/01/2025 | 6.250% | | 49,000 | 47,226 |
| 07/01/2027 | 8.125% | | 42,000 | 40,499 |
| International Game Technology PLC(a) |
| 02/15/2025 | 6.500% | | 16,000 | 15,905 |
| 04/15/2026 | 4.125% | | 19,000 | 17,243 |
| Midwest Gaming Borrower LLC(a) |
| 05/01/2029 | 4.875% | | 41,000 | 33,477 |
| Scientific Games Holdings LP/US FinCo, Inc.(a) |
| 03/01/2030 | 6.625% | | 68,000 | 57,832 |
| Wynn Las Vegas LLC/Capital Corp.(a) |
| 03/01/2025 | 5.500% | | 15,000 | 13,730 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Wynn Resorts Finance LLC/Capital Corp.(a) |
| 04/15/2025 | 7.750% | | 26,000 | 25,292 |
| Total | 451,060 |
| Health Care 0.4% |
| Acadia Healthcare Co., Inc.(a) |
| 07/01/2028 | 5.500% | | 60,000 | 56,133 |
| 04/15/2029 | 5.000% | | 44,000 | 39,754 |
| AdaptHealth LLC(a) |
| 03/01/2030 | 5.125% | | 97,000 | 81,552 |
| Avantor Funding, Inc.(a) |
| 07/15/2028 | 4.625% | | 45,000 | 41,200 |
| 11/01/2029 | 3.875% | | 71,000 | 62,119 |
| Becton Dickinson and Co. |
| 12/15/2044 | 4.685% | | 1,175,000 | 1,088,515 |
| Catalent Pharma Solutions, Inc.(a) |
| 02/15/2029 | 3.125% | | 12,000 | 9,878 |
| 04/01/2030 | 3.500% | | 21,000 | 17,234 |
| Change Healthcare Holdings LLC/Finance, Inc.(a) |
| 03/01/2025 | 5.750% | | 52,000 | 50,698 |
| Charles River Laboratories International, Inc.(a) |
| 05/01/2028 | 4.250% | | 25,000 | 22,482 |
| 03/15/2029 | 3.750% | | 19,000 | 16,489 |
| 03/15/2031 | 4.000% | | 6,000 | 5,138 |
| CHS/Community Health Systems, Inc.(a) |
| 03/15/2026 | 8.000% | | 25,000 | 22,765 |
| 03/15/2027 | 5.625% | | 12,000 | 10,156 |
| 04/15/2029 | 6.875% | | 38,000 | 24,326 |
| 05/15/2030 | 5.250% | | 69,000 | 52,667 |
| Cigna Corp. |
| 07/15/2046 | 4.800% | | 475,000 | 452,449 |
| CVS Health Corp. |
| 03/25/2048 | 5.050% | | 1,125,000 | 1,076,348 |
| HCA, Inc.(a) |
| 03/15/2052 | 4.625% | | 1,500,000 | 1,200,065 |
| Mozart Debt Merger Sub, Inc.(a) |
| 04/01/2029 | 3.875% | | 9,000 | 7,672 |
| 10/01/2029 | 5.250% | | 16,000 | 13,299 |
| Owens & Minor, Inc.(a) |
| 04/01/2030 | 6.625% | | 45,000 | 41,035 |
| Select Medical Corp.(a) |
| 08/15/2026 | 6.250% | | 104,000 | 97,294 |
| Tenet Healthcare Corp. |
| 07/15/2024 | 4.625% | | 15,000 | 14,412 |
| Tenet Healthcare Corp.(a) |
| 02/01/2027 | 6.250% | | 56,000 | 51,757 |
| 11/01/2027 | 5.125% | | 37,000 | 33,429 |
| 06/15/2028 | 4.625% | | 11,000 | 9,601 |
| 10/01/2028 | 6.125% | | 51,000 | 43,885 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 17 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 06/01/2029 | 4.250% | | 8,000 | 6,760 |
| 01/15/2030 | 4.375% | | 22,000 | 18,691 |
| 06/15/2030 | 6.125% | | 27,000 | 25,310 |
| Total | 4,693,113 |
| Healthcare Insurance 0.2% |
| Anthem, Inc. |
| 03/01/2028 | 4.101% | | 235,000 | 232,506 |
| Centene Corp. |
| 12/15/2029 | 4.625% | | 75,000 | 69,937 |
| 02/15/2030 | 3.375% | | 28,000 | 23,746 |
| 10/15/2030 | 3.000% | | 33,000 | 27,352 |
| 08/01/2031 | 2.625% | | 24,000 | 19,260 |
| UnitedHealth Group, Inc. |
| 05/15/2062 | 4.950% | | 1,723,000 | 1,746,110 |
| Total | 2,118,911 |
| Home Construction 0.0% |
| Meritage Homes Corp. |
| 06/01/2025 | 6.000% | | 46,000 | 44,862 |
| Meritage Homes Corp.(a) |
| 04/15/2029 | 3.875% | | 43,000 | 35,668 |
| Shea Homes LP/Funding Corp.(a) |
| 02/15/2028 | 4.750% | | 27,000 | 21,746 |
| Taylor Morrison Communities, Inc.(a) |
| 06/15/2027 | 5.875% | | 10,000 | 9,238 |
| 08/01/2030 | 5.125% | | 32,000 | 26,563 |
| Taylor Morrison Communities, Inc./Holdings II(a) |
| 04/15/2023 | 5.875% | | 36,000 | 35,875 |
| TRI Pointe Group, Inc./Homes |
| 06/15/2024 | 5.875% | | 28,000 | 27,309 |
| Total | 201,261 |
| Independent Energy 0.1% |
| Apache Corp. |
| 09/01/2040 | 5.100% | | 28,000 | 23,648 |
| 02/01/2042 | 5.250% | | 16,000 | 13,320 |
| 04/15/2043 | 4.750% | | 38,000 | 29,698 |
| 01/15/2044 | 4.250% | | 21,000 | 15,659 |
| Callon Petroleum Co. |
| 07/01/2026 | 6.375% | | 92,000 | 84,723 |
| Callon Petroleum Co.(a) |
| 06/15/2030 | 7.500% | | 18,000 | 16,634 |
| CNX Resources Corp.(a) |
| 03/14/2027 | 7.250% | | 54,000 | 52,994 |
| 01/15/2029 | 6.000% | | 28,000 | 26,040 |
| Colgate Energy Partners III LLC(a) |
| 07/01/2029 | 5.875% | | 47,000 | 41,176 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Comstock Resources, Inc.(a) |
| 03/01/2029 | 6.750% | | 22,000 | 19,755 |
| 01/15/2030 | 5.875% | | 22,000 | 19,033 |
| CrownRock LP/Finance, Inc.(a) |
| 10/15/2025 | 5.625% | | 51,000 | 48,302 |
| 05/01/2029 | 5.000% | | 42,000 | 37,698 |
| Endeavor Energy Resources LP/Finance, Inc.(a) |
| 07/15/2025 | 6.625% | | 21,000 | 21,127 |
| 01/30/2028 | 5.750% | | 55,000 | 52,388 |
| Hilcorp Energy I LP/Finance Co.(a) |
| 11/01/2028 | 6.250% | | 65,000 | 60,449 |
| 02/01/2029 | 5.750% | | 11,000 | 9,601 |
| 04/15/2030 | 6.000% | | 21,000 | 18,490 |
| 04/15/2032 | 6.250% | | 19,000 | 16,611 |
| Matador Resources Co. |
| 09/15/2026 | 5.875% | | 67,000 | 64,559 |
| Occidental Petroleum Corp. |
| 09/01/2030 | 6.625% | | 225,000 | 231,799 |
| 01/01/2031 | 6.125% | | 62,000 | 62,908 |
| 09/15/2036 | 6.450% | | 129,000 | 134,367 |
| SM Energy Co. |
| 09/15/2026 | 6.750% | | 75,000 | 70,768 |
| Southwestern Energy Co. |
| 02/01/2032 | 4.750% | | 88,000 | 75,275 |
| Total | 1,247,022 |
| Integrated Energy 0.1% |
| Cenovus Energy, Inc. |
| 02/15/2052 | 3.750% | | 710,000 | 540,029 |
| Leisure 0.1% |
| Carnival Corp.(a) |
| 03/01/2026 | 7.625% | | 38,000 | 29,664 |
| 03/01/2027 | 5.750% | | 118,000 | 85,242 |
| 08/01/2028 | 4.000% | | 54,000 | 44,297 |
| 05/01/2029 | 6.000% | | 43,000 | 30,108 |
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) |
| 05/01/2025 | 5.500% | | 23,000 | 22,360 |
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC |
| 10/01/2028 | 6.500% | | 45,000 | 42,890 |
| Cinemark USA, Inc.(a) |
| 05/01/2025 | 8.750% | | 15,000 | 15,220 |
| 03/15/2026 | 5.875% | | 36,000 | 32,137 |
| 07/15/2028 | 5.250% | | 21,000 | 16,858 |
| Live Nation Entertainment, Inc.(a) |
| 03/15/2026 | 5.625% | | 44,000 | 41,833 |
| 05/15/2027 | 6.500% | | 33,000 | 32,453 |
| 10/15/2027 | 4.750% | | 29,000 | 25,805 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| NCL Corp., Ltd.(a) |
| 03/15/2026 | 5.875% | | 24,000 | 18,829 |
| 02/15/2029 | 7.750% | | 7,000 | 5,325 |
| NCL Finance Ltd.(a) |
| 03/15/2028 | 6.125% | | 12,000 | 8,731 |
| Royal Caribbean Cruises Ltd.(a) |
| 06/15/2023 | 9.125% | | 21,000 | 20,847 |
| 07/01/2026 | 4.250% | | 62,000 | 44,033 |
| 08/31/2026 | 5.500% | | 34,000 | 24,989 |
| 07/15/2027 | 5.375% | | 18,000 | 13,074 |
| 04/01/2028 | 5.500% | | 39,000 | 27,103 |
| Royal Caribbean Cruises Ltd. |
| 03/15/2028 | 3.700% | | 33,000 | 21,007 |
| Six Flags Entertainment Corp.(a) |
| 07/31/2024 | 4.875% | | 52,000 | 49,548 |
| Six Flags Theme Parks, Inc.(a) |
| 07/01/2025 | 7.000% | | 48,000 | 48,717 |
| Total | 701,070 |
| Life Insurance 0.4% |
| CoreBridge Financial, Inc.(a) |
| 04/05/2052 | 4.400% | | 1,350,000 | 1,126,481 |
| Five Corners Funding Trust II(a) |
| 05/15/2030 | 2.850% | | 1,450,000 | 1,263,377 |
| Peachtree Corners Funding Trust(a) |
| 02/15/2025 | 3.976% | | 350,000 | 348,316 |
| Teachers Insurance & Annuity Association of America(a) |
| Subordinated |
| 09/15/2044 | 4.900% | | 460,000 | 447,341 |
| Voya Financial, Inc. |
| 06/15/2046 | 4.800% | | 1,128,000 | 1,036,447 |
| Total | 4,221,962 |
| Media and Entertainment 0.2% |
| Cengage Learning, Inc.(a) |
| 06/15/2024 | 9.500% | | 27,000 | 24,980 |
| Clear Channel Outdoor Holdings, Inc.(a) |
| 04/15/2028 | 7.750% | | 49,000 | 35,654 |
| 06/01/2029 | 7.500% | | 67,000 | 48,408 |
| Clear Channel Worldwide Holdings, Inc.(a) |
| 08/15/2027 | 5.125% | | 88,000 | 74,311 |
| iHeartCommunications, Inc. |
| 05/01/2026 | 6.375% | | 6,440 | 5,967 |
| 05/01/2027 | 8.375% | | 99,366 | 79,404 |
| iHeartCommunications, Inc.(a) |
| 08/15/2027 | 5.250% | | 27,000 | 23,109 |
| 01/15/2028 | 4.750% | | 49,000 | 40,375 |
| Magallanes, Inc.(a) |
| 03/15/2062 | 5.391% | | 2,091,000 | 1,753,643 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Netflix, Inc. |
| 04/15/2028 | 4.875% | | 30,000 | 28,324 |
| 11/15/2028 | 5.875% | | 57,000 | 55,799 |
| 05/15/2029 | 6.375% | | 99,000 | 99,789 |
| Netflix, Inc.(a) |
| 06/15/2030 | 4.875% | | 36,000 | 33,039 |
| Outfront Media Capital LLC/Corp.(a) |
| 08/15/2027 | 5.000% | | 45,000 | 39,362 |
| 03/15/2030 | 4.625% | | 31,000 | 24,881 |
| Roblox Corp.(a) |
| 05/01/2030 | 3.875% | | 53,000 | 42,944 |
| Scripps Escrow II, Inc.(a) |
| 01/15/2029 | 3.875% | | 7,000 | 5,809 |
| 01/15/2031 | 5.375% | | 15,000 | 11,976 |
| Scripps Escrow, Inc.(a) |
| 07/15/2027 | 5.875% | | 11,000 | 9,630 |
| Univision Communications, Inc.(a) |
| 05/01/2029 | 4.500% | | 25,000 | 21,603 |
| 06/30/2030 | 7.375% | | 7,000 | 6,842 |
| Total | 2,465,849 |
| Metals and Mining 0.1% |
| Allegheny Technologies, Inc. |
| 10/01/2029 | 4.875% | | 32,000 | 25,868 |
| 10/01/2031 | 5.125% | | 46,000 | 36,070 |
| Constellium NV(a) |
| 02/15/2026 | 5.875% | | 35,000 | 32,699 |
| Constellium SE(a) |
| 06/15/2028 | 5.625% | | 86,000 | 77,826 |
| 04/15/2029 | 3.750% | | 145,000 | 115,495 |
| Hudbay Minerals, Inc.(a) |
| 04/01/2026 | 4.500% | | 125,000 | 104,625 |
| 04/01/2029 | 6.125% | | 42,000 | 34,057 |
| Kaiser Aluminum Corp.(a) |
| 03/01/2028 | 4.625% | | 27,000 | 22,602 |
| 06/01/2031 | 4.500% | | 75,000 | 57,426 |
| Novelis Corp.(a) |
| 11/15/2026 | 3.250% | | 28,000 | 23,738 |
| 01/30/2030 | 4.750% | | 73,000 | 60,705 |
| 08/15/2031 | 3.875% | | 26,000 | 20,027 |
| Total | 611,138 |
| Midstream 0.5% |
| Cheniere Energy Partners LP |
| 10/01/2029 | 4.500% | | 19,000 | 16,975 |
| 03/01/2031 | 4.000% | | 37,000 | 31,544 |
| Cheniere Energy Partners LP(a) |
| 01/31/2032 | 3.250% | | 64,000 | 50,448 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 19 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Cheniere Energy, Inc. |
| 10/15/2028 | 4.625% | | 51,000 | 46,140 |
| CNX Midstream Partners LP(a) |
| 04/15/2030 | 4.750% | | 35,000 | 29,350 |
| DCP Midstream Operating LP |
| 07/15/2027 | 5.625% | | 29,000 | 28,123 |
| 05/15/2029 | 5.125% | | 41,000 | 36,911 |
| 04/01/2044 | 5.600% | | 15,000 | 12,137 |
| Delek Logistics Partners LP/Finance Corp. |
| 05/15/2025 | 6.750% | | 31,000 | 28,855 |
| DT Midstream, Inc.(a) |
| 06/15/2029 | 4.125% | | 32,000 | 27,210 |
| 06/15/2031 | 4.375% | | 36,000 | 30,094 |
| Energy Transfer Partners LP |
| 02/01/2042 | 6.500% | | 500,000 | 501,299 |
| EQM Midstream Partners LP |
| 08/01/2024 | 4.000% | | 23,000 | 21,619 |
| EQM Midstream Partners LP(a) |
| 07/01/2025 | 6.000% | | 56,000 | 53,861 |
| 06/01/2027 | 7.500% | | 14,000 | 13,487 |
| 07/01/2027 | 6.500% | | 33,000 | 30,697 |
| 06/01/2030 | 7.500% | | 17,000 | 16,351 |
| 01/15/2031 | 4.750% | | 105,000 | 83,757 |
| Hess Midstream Operations LP(a) |
| 02/15/2030 | 4.250% | | 13,000 | 11,014 |
| Holly Energy Partners LP/Finance Corp.(a) |
| 04/15/2027 | 6.375% | | 36,000 | 33,948 |
| 02/01/2028 | 5.000% | | 41,000 | 35,159 |
| ITT Holdings LLC(a) |
| 08/01/2029 | 6.500% | | 12,000 | 9,722 |
| Kinder Morgan Energy Partners LP |
| 03/01/2044 | 5.500% | | 1,100,000 | 1,028,924 |
| MPLX LP |
| 02/15/2049 | 5.500% | | 785,000 | 729,113 |
| NuStar Logistics LP |
| 06/01/2026 | 6.000% | | 35,000 | 32,409 |
| 04/28/2027 | 5.625% | | 40,000 | 35,663 |
| 10/01/2030 | 6.375% | | 30,000 | 26,157 |
| Plains All American Pipeline LP/Finance Corp. |
| 01/15/2037 | 6.650% | | 1,500,000 | 1,495,672 |
| Rockpoint Gas Storage Canada Ltd.(a) |
| 03/31/2023 | 7.000% | | 29,000 | 28,643 |
| Targa Resources Partners LP/Finance Corp. |
| 03/01/2030 | 5.500% | | 88,000 | 83,790 |
| TransMontaigne Partners LP/TLP Finance Corp. |
| 02/15/2026 | 6.125% | | 38,000 | 33,585 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Venture Global Calcasieu Pass LLC(a) |
| 08/15/2029 | 3.875% | | 49,000 | 42,959 |
| 08/15/2031 | 4.125% | | 80,000 | 68,711 |
| 11/01/2033 | 3.875% | | 41,000 | 33,817 |
| Western Gas Partners LP |
| 08/15/2048 | 5.500% | | 48,000 | 39,343 |
| Western Midstream Operating LP |
| 03/01/2028 | 4.500% | | 51,000 | 46,035 |
| Williams Companies, Inc. (The) |
| 09/15/2045 | 5.100% | | 1,200,000 | 1,117,996 |
| Total | 5,991,518 |
| Natural Gas 0.1% |
| NiSource, Inc. |
| 02/15/2044 | 4.800% | | 1,300,000 | 1,171,236 |
| Oil Field Services 0.0% |
| Archrock Partners LP/Finance Corp.(a) |
| 04/01/2028 | 6.250% | | 26,000 | 22,920 |
| Nabors Industries Ltd.(a) |
| 01/15/2026 | 7.250% | | 32,000 | 28,403 |
| Transocean Guardian Ltd.(a) |
| 01/15/2024 | 5.875% | | 267 | 247 |
| Transocean Sentry Ltd.(a) |
| 05/15/2023 | 5.375% | | 78,471 | 74,621 |
| USA Compression Partners LP/Finance Corp. |
| 09/01/2027 | 6.875% | | 26,000 | 23,075 |
| Total | 149,266 |
| Other Industry 0.0% |
| Picasso Finance Sub, Inc.(a) |
| 06/15/2025 | 6.125% | | 34,000 | 33,392 |
| Other REIT 0.0% |
| Blackstone Mortgage Trust, Inc.(a) |
| 01/15/2027 | 3.750% | | 45,000 | 37,058 |
| Ladder Capital Finance Holdings LLLP/Corp.(a) |
| 10/01/2025 | 5.250% | | 81,000 | 74,010 |
| 02/01/2027 | 4.250% | | 26,000 | 21,053 |
| 06/15/2029 | 4.750% | | 80,000 | 61,747 |
| Park Intermediate Holdings LLC/Domestic Property/Finance Co-Issuer(a) |
| 10/01/2028 | 5.875% | | 45,000 | 41,104 |
| Park Intermediate Holdings LLC/PK Domestic Property LLC/Finance Co-Issuer(a) |
| 05/15/2029 | 4.875% | | 37,000 | 31,824 |
| RHP Hotel Properties LP/Finance Corp.(a) |
| 02/15/2029 | 4.500% | | 18,000 | 15,256 |
| RLJ Lodging Trust LP(a) |
| 07/01/2026 | 3.750% | | 22,000 | 19,335 |
| 09/15/2029 | 4.000% | | 20,000 | 16,535 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Service Properties Trust |
| 12/15/2027 | 5.500% | | 15,000 | 12,141 |
| Total | 330,063 |
| Packaging 0.0% |
| Ardagh Metal Packaging Finance USA LLC/PLC(a) |
| 06/15/2027 | 6.000% | | 55,000 | 54,413 |
| 09/01/2029 | 4.000% | | 94,000 | 75,379 |
| Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) |
| 08/15/2026 | 4.125% | | 51,000 | 43,209 |
| 08/15/2027 | 5.250% | | 40,000 | 28,022 |
| Canpack SA/US LLC(a) |
| 11/15/2029 | 3.875% | | 65,000 | 51,373 |
| Trivium Packaging Finance BV(a) |
| 08/15/2026 | 5.500% | | 62,000 | 58,446 |
| Total | 310,842 |
| Pharmaceuticals 0.4% |
| AbbVie, Inc. |
| 03/15/2035 | 4.550% | | 275,000 | 267,891 |
| 11/06/2042 | 4.400% | | 1,275,000 | 1,159,138 |
| Amgen, Inc. |
| 09/01/2053 | 2.770% | | 1,917,000 | 1,293,348 |
| AstraZeneca Finance LLC |
| 05/28/2031 | 2.250% | | 800,000 | 696,029 |
| Bausch Health Companies, Inc.(a) |
| 02/01/2027 | 6.125% | | 20,000 | 17,045 |
| 08/15/2027 | 5.750% | | 28,000 | 23,225 |
| 06/01/2028 | 4.875% | | 15,000 | 11,739 |
| 02/15/2029 | 5.000% | | 18,000 | 9,351 |
| 02/15/2029 | 6.250% | | 45,000 | 24,022 |
| 02/15/2031 | 5.250% | | 27,000 | 13,864 |
| Bristol Myers Squibb Co. |
| 02/20/2048 | 4.550% | | 667,000 | 654,393 |
| Grifols Escrow Issuer SA(a) |
| 10/15/2028 | 4.750% | | 28,000 | 24,285 |
| Organon Finance 1 LLC(a) |
| 04/30/2028 | 4.125% | | 65,000 | 57,522 |
| 04/30/2031 | 5.125% | | 64,000 | 55,235 |
| Par Pharmaceutical, Inc.(a) |
| 04/01/2027 | 7.500% | | 13,000 | 9,880 |
| Total | 4,316,967 |
| Property & Casualty 0.2% |
| Alliant Holdings Intermediate LLC/Co-Issuer(a) |
| 10/15/2027 | 4.250% | | 72,000 | 62,872 |
| 10/15/2027 | 6.750% | | 110,000 | 97,528 |
| 11/01/2029 | 5.875% | | 31,000 | 25,727 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| American International Group, Inc. |
| 06/30/2050 | 4.375% | | 300,000 | 265,509 |
| AssuredPartners, Inc.(a) |
| 08/15/2025 | 7.000% | | 20,000 | 18,895 |
| 01/15/2029 | 5.625% | | 58,000 | 46,904 |
| Berkshire Hathaway Finance Corp. |
| 03/15/2052 | 3.850% | | 1,250,000 | 1,069,776 |
| BroadStreet Partners, Inc.(a) |
| 04/15/2029 | 5.875% | | 66,000 | 51,476 |
| HUB International Ltd.(a) |
| 05/01/2026 | 7.000% | | 45,000 | 42,490 |
| 12/01/2029 | 5.625% | | 59,000 | 49,433 |
| Loews Corp. |
| 05/15/2030 | 3.200% | | 665,000 | 604,848 |
| Radian Group, Inc. |
| 03/15/2027 | 4.875% | | 20,000 | 18,044 |
| Ryan Specialty Group LLC(a) |
| 02/01/2030 | 4.375% | | 16,000 | 13,924 |
| USI, Inc.(a) |
| 05/01/2025 | 6.875% | | 38,000 | 36,699 |
| Total | 2,404,125 |
| Railroads 0.1% |
| CSX Corp. |
| 03/15/2044 | 4.100% | | 1,000,000 | 877,424 |
| Union Pacific Corp. |
| 09/15/2037 | 3.600% | | 715,000 | 639,347 |
| Total | 1,516,771 |
| Restaurants 0.0% |
| 1011778 BC ULC/New Red Finance, Inc.(a) |
| 01/15/2028 | 3.875% | | 57,000 | 49,582 |
| 10/15/2030 | 4.000% | | 41,000 | 32,910 |
| IRB Holding Corp.(a) |
| 06/15/2025 | 7.000% | | 58,000 | 56,603 |
| Total | 139,095 |
| Retailers 0.1% |
| Asbury Automotive Group, Inc.(a) |
| 11/15/2029 | 4.625% | | 39,000 | 32,216 |
| 02/15/2032 | 5.000% | | 41,000 | 33,536 |
| Group 1 Automotive, Inc.(a) |
| 08/15/2028 | 4.000% | | 46,000 | 38,956 |
| L Brands, Inc.(a) |
| 07/01/2025 | 9.375% | | 6,000 | 6,082 |
| 10/01/2030 | 6.625% | | 45,000 | 38,869 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 21 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| L Brands, Inc. |
| 06/15/2029 | 7.500% | | 23,000 | 20,971 |
| 11/01/2035 | 6.875% | | 17,000 | 13,809 |
| Lowe’s Companies, Inc. |
| 04/01/2052 | 4.250% | | 950,000 | 822,277 |
| PetSmart, Inc./Finance Corp.(a) |
| 02/15/2028 | 4.750% | | 41,000 | 35,426 |
| 02/15/2029 | 7.750% | | 49,000 | 44,207 |
| Total | 1,086,349 |
| Supermarkets 0.0% |
| Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) |
| 03/15/2026 | 7.500% | | 15,000 | 14,921 |
| 02/15/2028 | 5.875% | | 32,000 | 29,923 |
| Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) |
| 03/15/2026 | 3.250% | | 30,000 | 26,224 |
| 02/15/2030 | 4.875% | | 49,000 | 41,765 |
| Total | 112,833 |
| Technology 0.5% |
| Black Knight InfoServ LLC(a) |
| 09/01/2028 | 3.625% | | 39,000 | 33,870 |
| Boxer Parent Co., Inc.(a) |
| 10/02/2025 | 7.125% | | 14,000 | 13,410 |
| 03/01/2026 | 9.125% | | 5,000 | 4,665 |
| Broadcom, Inc.(a) |
| 02/15/2051 | 3.750% | | 1,154,000 | 852,553 |
| Camelot Finance SA(a) |
| 11/01/2026 | 4.500% | | 19,000 | 17,415 |
| Clarivate Science Holdings Corp.(a) |
| 07/01/2028 | 3.875% | | 25,000 | 21,017 |
| 07/01/2029 | 4.875% | | 71,000 | 58,284 |
| CommScope Technologies LLC(a) |
| 06/15/2025 | 6.000% | | 27,000 | 23,355 |
| Condor Merger Sub, Inc.(a) |
| 02/15/2030 | 7.375% | | 41,000 | 33,327 |
| Dun & Bradstreet Corp. (The)(a) |
| 12/15/2029 | 5.000% | | 36,000 | 31,086 |
| Entegris Escrow Corp.(a) |
| 04/15/2029 | 4.750% | | 15,000 | 13,982 |
| 06/15/2030 | 5.950% | | 51,000 | 48,597 |
| Gartner, Inc.(a) |
| 07/01/2028 | 4.500% | | 41,000 | 37,306 |
| 06/15/2029 | 3.625% | | 19,000 | 16,384 |
| 10/01/2030 | 3.750% | | 42,000 | 36,307 |
| HealthEquity, Inc.(a) |
| 10/01/2029 | 4.500% | | 45,000 | 39,391 |
| Helios Software Holdings, Inc.(a) |
| 05/01/2028 | 4.625% | | 29,000 | 23,304 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Intel Corp. |
| 03/25/2060 | 4.950% | | 260,000 | 263,843 |
| International Business Machines Corp. |
| 05/15/2040 | 2.850% | | 600,000 | 456,281 |
| ION Trading Technologies Sarl(a) |
| 05/15/2028 | 5.750% | | 32,000 | 25,457 |
| Iron Mountain, Inc.(a) |
| 09/15/2027 | 4.875% | | 14,000 | 12,670 |
| 03/15/2028 | 5.250% | | 25,000 | 22,440 |
| 07/15/2028 | 5.000% | | 54,000 | 47,884 |
| 07/15/2030 | 5.250% | | 48,000 | 41,782 |
| Logan Merger Sub, Inc.(a) |
| 09/01/2027 | 5.500% | | 115,000 | 78,707 |
| Minerva Merger Sub, Inc.(a) |
| 02/15/2030 | 6.500% | | 84,000 | 70,091 |
| NCR Corp.(a) |
| 09/01/2027 | 5.750% | | 25,000 | 22,201 |
| 10/01/2028 | 5.000% | | 90,000 | 76,663 |
| 04/15/2029 | 5.125% | | 54,000 | 45,783 |
| Nielsen Finance LLC/Co.(a) |
| 10/01/2028 | 5.625% | | 79,000 | 73,342 |
| 07/15/2029 | 4.500% | | 31,000 | 28,068 |
| 07/15/2031 | 4.750% | | 17,000 | 15,340 |
| NXP BV/Funding LLC/USA, Inc. |
| 05/01/2030 | 3.400% | | 1,240,000 | 1,104,625 |
| Oracle Corp. |
| 04/15/2038 | 6.500% | | 700,000 | 723,980 |
| Plantronics, Inc.(a) |
| 03/01/2029 | 4.750% | | 96,000 | 95,697 |
| QUALCOMM, Inc. |
| 05/20/2050 | 3.250% | | 340,000 | 277,767 |
| RELX Capital, Inc. |
| 05/20/2032 | 4.750% | | 809,000 | 820,395 |
| Shift4 Payments LLC/Finance Sub, Inc.(a) |
| 11/01/2026 | 4.625% | | 55,000 | 48,844 |
| Switch Ltd.(a) |
| 06/15/2029 | 4.125% | | 28,000 | 27,783 |
| Tempo Acquisition LLC/Finance Corp.(a) |
| 06/01/2025 | 5.750% | | 45,000 | 42,957 |
| Verscend Escrow Corp.(a) |
| 08/15/2026 | 9.750% | | 64,000 | 62,228 |
| ZoomInfo Technologies LLC/Finance Corp.(a) |
| 02/01/2029 | 3.875% | | 111,000 | 92,962 |
| Total | 5,882,043 |
| Transportation Services 0.1% |
| Avis Budget Car Rental LLC/Finance, Inc.(a) |
| 07/15/2027 | 5.750% | | 4,000 | 3,580 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 22 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| ERAC USA Finance LLC(a) |
| 10/15/2037 | 7.000% | | 725,000 | 838,729 |
| Total | 842,309 |
| Wireless 0.2% |
| Altice France Holding SA(a) |
| 02/15/2028 | 6.000% | | 85,000 | 58,623 |
| Altice France SA(a) |
| 02/01/2027 | 8.125% | | 44,000 | 40,543 |
| 01/15/2028 | 5.500% | | 93,000 | 73,928 |
| 07/15/2029 | 5.125% | | 32,000 | 24,145 |
| American Tower Corp. |
| 08/15/2029 | 3.800% | | 815,000 | 748,320 |
| Sprint Capital Corp. |
| 03/15/2032 | 8.750% | | 38,000 | 45,803 |
| Sprint Corp. |
| 03/01/2026 | 7.625% | | 70,000 | 73,838 |
| T-Mobile USA, Inc. |
| 02/15/2029 | 2.625% | | 55,000 | 46,249 |
| 02/15/2031 | 2.875% | | 30,000 | 24,904 |
| 04/15/2031 | 3.500% | | 14,000 | 12,121 |
| T-Mobile USA, Inc.(a) |
| 04/15/2031 | 3.500% | | 52,000 | 44,662 |
| 10/15/2052 | 3.400% | | 1,275,000 | 940,304 |
| Vmed O2 UK Financing I PLC(a) |
| 01/31/2031 | 4.250% | | 27,000 | 22,043 |
| 07/15/2031 | 4.750% | | 52,000 | 42,707 |
| Total | 2,198,190 |
| Wirelines 0.3% |
| AT&T, Inc. |
| 09/15/2053 | 3.500% | | 2,510,000 | 1,903,501 |
| Cablevision Lightpath LLC(a) |
| 09/15/2027 | 3.875% | | 55,000 | 45,259 |
| CenturyLink, Inc. |
| 04/01/2024 | 7.500% | | 10,000 | 9,916 |
| Front Range BidCo, Inc.(a) |
| 03/01/2027 | 4.000% | | 39,000 | 32,353 |
| Frontier Communications Holdings LLC(a) |
| 05/15/2030 | 8.750% | | 24,000 | 24,280 |
| Iliad Holding SAS(a) |
| 10/15/2026 | 6.500% | | 53,000 | 47,683 |
| 10/15/2028 | 7.000% | | 97,000 | 84,785 |
| Verizon Communications, Inc. |
| 03/22/2061 | 3.700% | | 1,550,000 | 1,217,156 |
| Total | 3,364,933 |
Total Corporate Bonds & Notes
(Cost $115,308,532) | 99,176,328 |
| Exchange-Traded Equity Funds 0.8% |
| | Shares | Value ($) |
| International Mid Large Cap 0.8% |
| iShares Core MSCI EAFE ETF | 168,620 | 9,923,287 |
Total Exchange-Traded Equity Funds
(Cost $11,306,142) | 9,923,287 |
| Foreign Government Obligations(g) 0.0% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Canada 0.0% |
| NOVA Chemicals Corp.(a) |
| 06/01/2024 | 4.875% | | 25,000 | 23,971 |
| 06/01/2027 | 5.250% | | 34,000 | 29,213 |
| 05/15/2029 | 4.250% | | 45,000 | 35,299 |
| Total | 88,483 |
Total Foreign Government Obligations
(Cost $101,025) | 88,483 |
|
| Residential Mortgage-Backed Securities - Agency 7.6% |
| | | | |
| Federal Home Loan Mortgage Corp. |
| 01/01/2030 | 3.500% | | 55,703 | 55,868 |
| 04/01/2032 | 6.000% | | 33,860 | 35,713 |
| 04/01/2032 | 7.000% | | 19,227 | 20,486 |
| 07/01/2032 | 6.500% | | 11,240 | 11,812 |
| 01/01/2033 | 3.000% | | 593,159 | 588,407 |
01/01/2034-
05/01/2041 | 5.000% | | 318,164 | 334,648 |
| 04/01/2041 | 4.500% | | 51,462 | 53,234 |
| Federal Home Loan Mortgage Corp.(h) |
| 05/01/2032 | 6.500% | | 100,769 | 105,899 |
| 06/01/2037 | 6.000% | | 25,108 | 26,784 |
| 02/01/2038 | 5.500% | | 174,509 | 187,777 |
| 03/01/2038 | 5.000% | | 42,964 | 45,059 |
05/01/2039-
08/01/2041 | 4.500% | | 529,401 | 547,611 |
| 07/01/2043 | 3.000% | | 139,065 | 133,155 |
| Federal National Mortgage Association |
05/01/2024-
12/01/2028 | 6.000% | | 13,156 | 13,857 |
03/01/2026-
12/01/2032 | 7.000% | | 276,490 | 282,821 |
10/01/2026-
12/01/2045 | 3.500% | | 447,626 | 447,101 |
11/01/2026-
01/01/2029 | 4.000% | | 209,158 | 211,842 |
08/01/2028-
09/01/2032 | 6.500% | | 70,988 | 75,465 |
02/01/2038-
03/01/2038 | 5.500% | | 99,299 | 105,563 |
| Federal National Mortgage Association(h) |
| 02/01/2031 | 3.500% | | 137,270 | 137,175 |
| 10/01/2040 | 4.500% | | 126,945 | 131,173 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 23 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Uniform Mortgage-Backed Security TBA(i) |
08/16/2037-
08/11/2052 | 3.000% | | 26,075,000 | 24,365,790 |
08/16/2037-
08/11/2052 | 3.500% | | 24,425,000 | 23,635,583 |
| 08/11/2052 | 2.000% | | 8,950,000 | 7,775,138 |
| 08/11/2052 | 2.500% | | 22,825,000 | 20,538,026 |
| 08/11/2052 | 4.000% | | 12,225,000 | 12,046,878 |
Total Residential Mortgage-Backed Securities - Agency
(Cost $91,061,604) | 91,912,865 |
|
| Residential Mortgage-Backed Securities - Non-Agency 12.1% |
| | | | |
| 510 Asset Backed Trust(a),(c) |
| CMO Series 2021-NPL2 Class A1 |
| 06/25/2061 | 2.116% | | 1,550,912 | 1,441,210 |
| Ajax Mortgage Loan Trust(a),(c) |
| CMO Series 2021-A Class A1 |
| 09/25/2065 | 1.065% | | 2,616,043 | 2,385,031 |
| CMO Series 2021-B Class A |
| 06/25/2066 | 2.239% | | 1,217,950 | 1,134,969 |
| Angel Oak Mortgage Trust(a),(c) |
| CMO Series 2020-6 Class A3 |
| 05/25/2065 | 1.775% | | 145,680 | 138,083 |
| CMO Series 2020-6 Class M1 |
| 05/25/2065 | 2.805% | | 400,000 | 362,887 |
| CMO Series 2020-R1 Class A1 |
| 04/25/2053 | 0.990% | | 787,859 | 745,898 |
| Angel Oak Mortgage Trust I LLC(a),(c) |
| CMO Series 2018-3 Class A3 |
| 09/25/2048 | 3.853% | | 53,079 | 52,936 |
| CMO Series 2019-2 Class A3 |
| 03/25/2049 | 3.833% | | 40,666 | 40,558 |
| Bellemeade Re Ltd.(a),(b) |
| CMO Series 2020-3A Class M1B |
1-month USD LIBOR + 2.850%
Floor 2.850%
10/25/2030 | 4.474% | | 450,379 | 447,456 |
| CMO Series 2021-1A Class M1C |
30-day Average SOFR + 2.950%
Floor 2.950%
03/25/2031 | 3.239% | | 800,000 | 784,829 |
| CMO Series 2021-3A Class M1A |
30-day Average SOFR + 1.000%
Floor 1.000%
09/25/2031 | 1.585% | | 1,800,000 | 1,783,276 |
| BRAVO Residential Funding Trust(a),(c) |
| CMO Series 2019-NQM2 Class A1 |
| 11/25/2059 | 2.748% | | 550,706 | 540,152 |
| CMO Series 2019-NQM2 Class A3 |
| 11/25/2059 | 3.108% | | 183,569 | 179,933 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2019-NQM2 Class M1 |
| 11/25/2059 | 3.451% | | 925,000 | 856,871 |
| CMO Series 2020-NQM1 Class A1 |
| 05/25/2060 | 1.449% | | 262,580 | 255,827 |
| CMO Series 2020-RPL1 Class A1 |
| 05/26/2059 | 2.500% | | 725,406 | 709,283 |
| CMO Series 2021-A Class A1 |
| 10/25/2059 | 1.991% | | 1,342,313 | 1,282,593 |
| CMO Series 2021-B Class A1 |
| 04/01/2069 | 2.115% | | 995,234 | 947,705 |
| CMO Series 2021-NQM1 Class A1 |
| 02/25/2049 | 0.941% | | 1,440,682 | 1,369,960 |
| CMO Series 2021-NQM1 Class A3 |
| 02/25/2049 | 1.332% | | 586,948 | 557,939 |
| CMO Series 2021-NQM2 Class A3 |
| 03/25/2060 | 1.435% | | 407,605 | 391,037 |
| Subordinated CMO Series 2021-NQM2 Class B1 |
| 03/25/2060 | 3.044% | | 425,000 | 388,505 |
| CHNGE Mortgage Trust(a),(c) |
| CMO Series 2022-1 Class A1 |
| 01/25/2067 | 3.007% | | 2,464,333 | 2,308,894 |
| CIM Trust(a),(b) |
| CMO Series 2018-R6 Class A1 |
1-month USD LIBOR + 1.076%
Floor 1.076%
09/25/2058 | 2.789% | | 1,281,281 | 1,247,133 |
| CIM Trust(a),(c) |
| CMO Series 2021-NR1 Class A1 |
| 07/25/2055 | 2.569% | | 1,088,101 | 1,035,178 |
| CMO Series 2021-NR2 Class A1 |
| 07/25/2059 | 2.568% | | 762,860 | 726,407 |
| COLT Mortgage Loan Trust(a),(c) |
| CMO Series 2020-2 Class A1 |
| 03/25/2065 | 1.853% | | 58,326 | 57,622 |
| CMO Series 2021-2R Class A1 |
| 07/27/2054 | 0.798% | | 435,570 | 407,630 |
| CMO Series 2022-1 Class A1 |
| 12/27/2066 | 2.284% | | 2,474,800 | 2,215,606 |
| CMO Series 2022-4 Class A1 |
| 03/25/2067 | 4.301% | | 2,078,766 | 2,012,969 |
| Connecticut Avenue Securities Trust(a),(b) |
| CMO Series 2020-R01 Class 1M2 |
1-month USD LIBOR + 2.050%
01/25/2040 | 3.674% | | 612,811 | 599,744 |
| CMO Series 2022-R04 Class 1M2 |
30-day Average SOFR + 3.100%
03/25/2042 | 4.026% | | 975,000 | 921,177 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 24 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Credit Suisse Mortgage Trust(a),(c) |
| CMO Series 2021-AFC1 Class A1 |
| 03/25/2056 | 0.830% | | 736,687 | 624,584 |
| CMO Series 2021-NQM1 Class A3 |
| 05/25/2065 | 1.199% | | 285,311 | 273,625 |
| CMO Series 2021-NQM1 Class M1 |
| 05/25/2065 | 2.130% | | 175,000 | 152,012 |
| CMO Series 2021-RPL1 Class A1 |
| 09/27/2060 | 1.668% | | 1,822,160 | 1,724,839 |
| CMO Series 2021-RPL2 Class M1 |
| 01/25/2060 | 2.750% | | 751,019 | 629,799 |
| CMO Series 2021-RPL2 Class M2 |
| 01/25/2060 | 3.250% | | 375,000 | 309,478 |
| CSMC Trust(a),(c) |
| CMO Series 2018-RPL9 Class A |
| 09/25/2057 | 3.850% | | 1,666,358 | 1,618,213 |
| CMO Series 2021-RPL4 Class A1 |
| 12/27/2060 | 1.796% | | 1,182,076 | 1,133,338 |
| Subordinated CMO Series 2020-RPL3 Class A1 |
| 03/25/2060 | 2.691% | | 887,795 | 860,209 |
| CSMC Trust(a) |
| CMO Series 2019-AFC1 Class A1 |
| 07/25/2049 | 2.573% | | 499,608 | 478,618 |
| Subordinated CMO Series 2020-RPL4 Class A1 |
| 01/25/2060 | 2.000% | | 727,357 | 680,732 |
| Eagle Re Ltd.(a),(b) |
| CMO Series 2021-1 Class M1C |
30-day Average SOFR + 2.700%
Floor 2.700%
10/25/2033 | 2.989% | | 425,000 | 423,451 |
| CMO Series 2021-2 Class M1B |
30-day Average SOFR + 2.050%
Floor 2.050%
04/25/2034 | 2.339% | | 1,900,000 | 1,806,595 |
| Subordinated CMO Series 2020-1 Class M1A |
1-month USD LIBOR + 0.900%
01/25/2030 | 2.524% | | 1,239,021 | 1,231,204 |
| Ellington Financial Mortgage Trust(a),(c) |
| CMO Series 2019-2 Class A3 |
| 11/25/2059 | 3.046% | | 128,581 | 124,994 |
| CMO Series 2020-1 Class A1 |
| 05/25/2065 | 2.006% | | 47,847 | 46,934 |
| CMO Series 2022-2 Class A1 |
| 04/25/2067 | 4.299% | | 5,555,869 | 5,424,436 |
| Freddie Mac STACR REMIC Trust(a),(b) |
| CMO Series 2020-DNA1 Class M2 |
1-month USD LIBOR + 1.700%
01/25/2050 | 3.324% | | 722,160 | 714,026 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2020-DNA6 Class M1 |
30-day Average SOFR + 0.900%
12/25/2050 | 1.826% | | 1,595 | 1,594 |
| CMO Series 2021-DNA1 Class M2 |
30-day Average SOFR + 1.800%
01/25/2051 | 2.726% | | 645,103 | 614,780 |
| CMO Series 2021-DNA5 Class M2 |
30-day Average SOFR + 1.650%
01/25/2034 | 2.576% | | 543,267 | 523,960 |
| CMO Series 2021-HQA1 Class M1 |
30-day Average SOFR + 0.700%
08/25/2033 | 1.626% | | 319,362 | 317,293 |
| CMO Series 2022-DNA3 Class M1B |
30-day Average SOFR + 2.900%
04/25/2042 | 3.485% | | 1,100,000 | 1,030,421 |
| CMO Series 2022-DNA4 Class M1A |
30-day Average SOFR + 2.200%
05/25/2042 | 3.126% | | 5,733,235 | 5,662,140 |
| Freddie Mac STACR Trust(a),(b) |
| CMO Series 2019-DNA4 Class M2 |
1-month USD LIBOR + 1.950%
10/25/2049 | 3.574% | | 214,857 | 212,931 |
| Freddie Mac Structured Agency Credit Risk Debt Notes(a),(c) |
| CMO Series 2022-DNA2 Class M1B |
| 02/25/2042 | 3.326% | | 2,500,000 | 2,310,476 |
| Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b) |
| CMO Series 2022-DNA5 Class M1A |
30-day Average SOFR + 2.950%
06/25/2042 | 3.729% | | 2,175,000 | 2,174,992 |
| Subordinated CMO Series 2021-DNA7 Class M1 |
30-day Average SOFR + 0.850%
11/25/2041 | 1.139% | | 4,375,000 | 4,243,325 |
| GCAT LLC(a),(c) |
| CMO Series 2020-3 Class A1 |
| 09/25/2025 | 2.981% | | 1,218,991 | 1,197,796 |
| GCAT Trust(a),(c) |
| CMO Series 2019-RPL1 Class A1 |
| 10/25/2068 | 2.650% | | 981,386 | 943,429 |
| CMO Series 2021-CM2 Class A1 |
| 08/25/2066 | 2.352% | | 3,407,545 | 3,267,205 |
| CMO Series 2022-NQM3 Class A1 |
| 04/25/2067 | 4.349% | | 5,512,809 | 5,413,419 |
| GS Mortgage-Backed Securities Trust(a),(c) |
| CMO Series 2019-SL1 Class A1 |
| 01/25/2059 | 2.625% | | 329,508 | 328,567 |
| CMO Series 2020-NQM1 Class A1 |
| 09/27/2060 | 1.382% | | 468,801 | 449,858 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 25 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Home Re Ltd.(a),(b) |
| CMO Series 2021-1 Class M1B |
1-month USD LIBOR + 1.550%
07/25/2033 | 3.174% | | 1,500,000 | 1,453,522 |
| Homeward Opportunities Fund I Trust(a),(c) |
| CMO Series 2020-2 Class A3 |
| 05/25/2065 | 3.196% | | 550,000 | 526,653 |
| Legacy Mortgage Asset Trust(a),(c) |
| CMO Series 2021-GS1 Class A1 |
| 10/25/2066 | 1.892% | | 1,254,559 | 1,197,647 |
| CMO Series 2021-GS2 Class A1 |
| 04/25/2061 | 1.750% | | 2,479,579 | 2,325,367 |
| MetLife Securitization Trust(a),(c) |
| CMO Series 2018-1A Class A |
| 03/25/2057 | 3.750% | | 414,262 | 403,610 |
| MFA Trust(a),(c) |
| CMO Series 2020-NQM3 Class M1 |
| 01/26/2065 | 2.654% | | 475,000 | 444,621 |
| CMO Series 2021-NQM1 Class A1 |
| 04/25/2065 | 1.153% | | 859,436 | 797,628 |
| CMO Series 2022-NQM2 Class A1 |
| 05/25/2067 | 4.000% | | 5,600,000 | 5,401,460 |
| MFRA Trust(a),(c) |
| CMO Series 2021-INV1 Class A1 |
| 01/25/2056 | 0.852% | | 310,782 | 297,835 |
| CMO Series 2021-INV1 Class A2 |
| 01/25/2056 | 1.057% | | 57,552 | 54,947 |
| CMO Series 2021-INV1 Class A3 |
| 01/25/2056 | 1.262% | | 96,229 | 91,703 |
| Mill City Mortgage Loan Trust(a),(c) |
| CMO Series 2018-3 Class A1 |
| 08/25/2058 | 3.472% | | 923,011 | 909,344 |
| CMO Series 2021-NMR1 Class M1 |
| 11/25/2060 | 1.850% | | 1,150,000 | 1,036,476 |
| New Residential Mortgage Loan Trust(a) |
| CMO Series 2016-3A Class A1 |
| 09/25/2056 | 3.750% | | 163,918 | 160,913 |
| NRZ Excess Spread-Collateralized Notes(a) |
| Series 2020-PLS1 Class A |
| 12/25/2025 | 3.844% | | 523,888 | 497,810 |
| Oaktown Re VI Ltd.(a),(b) |
| CMO Series 2021-1A Class M1B |
30-day Average SOFR + 2.050%
Floor 2.050%
10/25/2033 | 2.976% | | 825,000 | 798,076 |
| OBX Trust(a),(b) |
| CMO Series 2020-EXP3 Class 2A1A |
1-month USD LIBOR + 0.950%
01/25/2060 | 2.524% | | 270,994 | 270,559 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Oceanview Mortgage Loan Trust(a) |
| CMO Series 2020-1 Class A1A |
| 05/28/2050 | 1.733% | | 355,645 | 336,375 |
| Preston Ridge Partners Mortgage(a),(c) |
| CMO Series 2021-4 Class A1 |
| 04/25/2026 | 1.867% | | 2,563,736 | 2,400,858 |
| Preston Ridge Partners Mortgage Trust(a),(c) |
| CMO Series 2020-6 Class A1 |
| 11/25/2025 | 2.363% | | 667,189 | 638,038 |
| CMO Series 2021-1 Class A1 |
| 01/25/2026 | 2.115% | | 1,127,075 | 1,065,399 |
| CMO Series 2021-10 Class A1 |
| 10/25/2026 | 2.487% | | 1,447,071 | 1,369,044 |
| CMO Series 2021-3 Class A1 |
| 04/25/2026 | 1.867% | | 1,575,938 | 1,475,715 |
| CMO Series 2021-9 Class A1 |
| 10/25/2026 | 2.363% | | 2,382,827 | 2,238,515 |
| Pretium Mortgage Credit Partners LLC(a),(c) |
| CMO Series 2021-NPL6 Class A1 |
| 07/25/2051 | 2.487% | | 4,081,825 | 3,818,655 |
| PRKCM Trust(a),(c) |
| CMO Series 2021-AFC2 Class A3 |
| 11/25/2056 | 2.893% | | 2,000,000 | 1,366,689 |
| CMO Series 2021-AFC2 Class M1 |
| 11/25/2056 | 3.443% | | 1,475,000 | 1,134,818 |
| Subordinated CMO Series 2021-AFC2 Class B1 |
| 11/25/2056 | 3.701% | | 1,300,000 | 952,619 |
| PRPM LLC(a),(c) |
| CMO Series 2021-RPL1 Class A1 |
| 07/25/2051 | 1.319% | | 683,498 | 613,105 |
| Radnor Re Ltd.(a),(b) |
| CMO Series 2020-1 Class M1A |
1-month USD LIBOR + 0.950%
Floor 0.950%
02/25/2030 | 1.956% | | 700,000 | 689,272 |
| Subordinated CMO Series 2021-2 Class M1A |
30-day Average SOFR + 1.850%
Floor 1.850%
11/25/2031 | 2.435% | | 500,000 | 495,374 |
| Subordinated CMO Series 2021-2 Class M1B |
30-day Average SOFR + 3.700%
Floor 3.700%
11/25/2031 | 4.285% | | 725,000 | 709,622 |
| Residential Mortgage Loan Trust(a),(c) |
| CMO Series 2020-1 Class A3 |
| 01/26/2060 | 2.684% | | 226,450 | 220,439 |
| Starwood Mortgage Residential Trust(a),(c) |
| CMO Series 2019-INV1 Class A1 |
| 09/27/2049 | 2.610% | | 19,312 | 18,934 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 26 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2019-INV1 Class A3 |
| 09/27/2049 | 2.916% | | 557,774 | 544,753 |
| CMO Series 2020-2 Class A3 |
| 04/25/2060 | 3.000% | | 975,000 | 960,678 |
| CMO Series 2020-INV1 Class A3 |
| 11/25/2055 | 1.593% | | 174,087 | 163,600 |
| CMO Series 2021-4 Class M1 |
| 08/25/2056 | 2.400% | | 525,000 | 429,464 |
| Toorak Mortgage Corp., Ltd.(c) |
| CMO Series 2019-2 Class A1 |
| 09/25/2022 | 3.721% | | 338,846 | 338,250 |
| Toorak Mortgage Corp., Ltd.(a),(c) |
| CMO Series 2020-1 Class A1 |
| 03/25/2023 | 2.734% | | 3,038,412 | 3,016,059 |
| CMO Series 2021-1 Class A1 |
| 06/25/2024 | 2.240% | | 900,000 | 855,463 |
| Towd Point HE Trust(a),(c) |
| CMO Series 2021-HE1 Class M2 |
| 02/25/2063 | 2.500% | | 450,000 | 427,722 |
| Towd Point Mortgage Trust(a),(c) |
| CMO Series 2018-1 Class A1 |
| 01/25/2058 | 3.000% | | 186,459 | 183,005 |
| CMO Series 2018-6 Class A1A |
| 03/25/2058 | 3.750% | | 720,718 | 712,859 |
| Towd Point Mortgage Trust(a),(b) |
| CMO Series 2019-HY1 Class A1 |
1-month USD LIBOR + 1.000%
10/25/2048 | 2.624% | | 567,407 | 560,752 |
| CMO Series 2019-HY2 Class A1 |
1-month USD LIBOR + 1.000%
Floor 1.000%
05/25/2058 | 2.624% | | 691,026 | 682,004 |
| TVC Mortgage Trust(a) |
| CMO Series 2020-RTL1 Class A1 |
| 09/25/2024 | 3.474% | | 167,764 | 166,946 |
| VCAT Asset Securitization LLC(a),(c) |
| CMO Series 2021-NPL6 Class A1 |
| 09/25/2051 | 1.917% | | 4,493,975 | 4,217,080 |
| VCAT LLC(a),(c) |
| CMO Series 2021-NPL1 Class A1 |
| 12/26/2050 | 2.289% | | 212,196 | 203,592 |
| Vericrest Opportunity Loan Transferee(a),(c) |
| CMO Series 2021-NP11 Class A1 |
| 08/25/2051 | 1.868% | | 2,193,298 | 2,049,767 |
| Vericrest Opportunity Loan Transferee XCII LLC(a),(c) |
| CMO Series 2021-NPL1 Class A1 |
| 02/27/2051 | 1.893% | | 1,603,362 | 1,518,235 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Vericrest Opportunity Loan Transferee XCIII LLC(a),(c) |
| CMO Series 2021-NPL2 Class A1 |
| 02/27/2051 | 1.893% | | 1,340,903 | 1,279,114 |
| Vericrest Opportunity Loan Transferee XCIV LLC(a),(c) |
| CMO Series 2021-NPL3 Class A1 |
| 02/27/2051 | 2.240% | | 1,571,679 | 1,507,091 |
| Vericrest Opportunity Loan Transferee XCIX LLC(a),(c) |
| CMO Series 2021-NPL8 Class A1 |
| 04/25/2051 | 2.116% | | 1,011,875 | 957,998 |
| Vericrest Opportunity Loan Transferee XCVI LLC(a),(c) |
| CMO Series 2021-NPL5 Class A1 |
| 03/27/2051 | 2.116% | | 971,189 | 927,739 |
| Vericrest Opportunity Loan Transferee XCVII LLC(a),(c) |
| CMO Series 2021-NPL6 Class A1 |
| 04/25/2051 | 2.240% | | 3,908,285 | 3,719,768 |
| Vericrest Opportunity Loan Trust CI LLC(a),(c) |
| CMO Series 2021-NP10 Class A1 |
| 05/25/2051 | 1.992% | | 2,769,959 | 2,611,205 |
| Verus Securitization Trust(a),(c) |
| CMO Series 2019-4 Class A3 |
| 11/25/2059 | 3.000% | | 729,062 | 712,167 |
| CMO Series 2020-1 Class M1 |
| 01/25/2060 | 3.021% | | 1,000,000 | 932,266 |
| CMO Series 2020-2 Class A1 |
| 05/25/2060 | 2.226% | | 158,927 | 156,699 |
| CMO Series 2020-INV1 Class A1 |
| 03/25/2060 | 1.977% | | 67,118 | 66,129 |
| CMO Series 2021-R1 Class A2 |
| 10/25/2063 | 1.057% | | 243,293 | 230,444 |
| CMO Series 2021-R1 Class A3 |
| 10/25/2063 | 1.262% | | 308,171 | 291,750 |
| CMO Series 2022-1 Class A1 |
| 01/25/2067 | 2.724% | | 3,742,935 | 3,579,498 |
| CMO Series 2022-4 Class A1 |
| 04/25/2067 | 4.474% | | 501,464 | 495,291 |
| Visio Trust(a),(c) |
| CMO Series 2019-2 Class A3 |
| 11/25/2054 | 3.076% | | 399,795 | 390,011 |
| Visio Trust(a) |
| CMO Series 2020-1R Class A2 |
| 11/25/2055 | 1.567% | | 213,387 | 205,207 |
| CMO Series 2020-1R Class A3 |
| 11/25/2055 | 1.873% | | 248,952 | 240,097 |
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $154,718,774) | 146,822,916 |
|
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 27 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Senior Loans 0.0% |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Chemicals 0.0% |
| WR Grace Holdings LLC(b),(j) |
| Term Loan |
1-month USD LIBOR + 3.750%
Floor 0.500%
09/22/2028 | 6.063% | | 33,830 | 32,020 |
| Consumer Cyclical Services 0.0% |
| 8th Avenue Food & Provisions, Inc.(b),(j) |
| 2nd Lien Term Loan |
1-month USD LIBOR + 7.750%
10/01/2026 | 9.416% | | 4,859 | 4,018 |
| Consumer Products 0.0% |
| SWF Holdings I Corp.(b),(j) |
| 1st Lien Term Loan |
1-month USD LIBOR + 4.000%
Floor 0.750%
10/06/2028 | 5.595% | | 65,000 | 53,219 |
| Media and Entertainment 0.0% |
| Cengage Learning, Inc.(b),(j) |
| Tranche B 1st Lien Term Loan |
1-month USD LIBOR + 4.750%
Floor 1.000%
07/14/2026 | 5.750% | | 55,584 | 50,000 |
| Technology 0.0% |
| Ascend Learning LLC(b),(j) |
| 1st Lien Term Loan |
1-month USD LIBOR + 3.500%
Floor 0.500%
12/11/2028 | 2.500% | | 38,903 | 35,839 |
| 2nd Lien Term Loan |
1-month USD LIBOR + 5.750%
Floor 0.500%
12/10/2029 | 4.750% | | 23,000 | 21,045 |
| DCert Buyer, Inc.(b),(j),(k) |
| 2nd Lien Term Loan |
1-month USD LIBOR + 7.000%
02/19/2029 | 8.666% | | 36,000 | 33,300 |
| Senior Loans (continued) |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Epicore Software Corp.(b),(j) |
| 2nd Lien Term Loan |
1-month USD LIBOR + 7.750%
Floor 1.000%
07/31/2028 | 9.416% | | 17,000 | 16,456 |
| UKG, Inc.(b),(j) |
| 1st Lien Term Loan |
1-month USD LIBOR + 3.250%
Floor 0.500%
05/04/2026 | 4.212% | | 23,069 | 21,555 |
| 2nd Lien Term Loan |
1-month USD LIBOR + 5.250%
Floor 0.500%
05/03/2027 | 6.212% | | 45,000 | 41,400 |
| Total | 169,595 |
Total Senior Loans
(Cost $341,060) | 308,852 |
|
| U.S. Treasury Obligations 0.4% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| U.S. Treasury(h) |
| 02/15/2045 | 2.500% | | 5,050,000 | 4,283,031 |
Total U.S. Treasury Obligations
(Cost $5,672,642) | 4,283,031 |
| Money Market Funds 6.1% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(l),(m) | 74,830,383 | 74,785,485 |
Total Money Market Funds
(Cost $74,807,235) | 74,785,485 |
Total Investments in Securities
(Cost: $1,252,647,454) | 1,295,066,304 |
| Other Assets & Liabilities, Net | | (79,062,854) |
| Net Assets | 1,216,003,450 |
At June 30, 2022, securities and/or cash totaling $4,264,913 were pledged as collateral.
Investments in derivatives
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| U.S. Treasury 10-Year Note | 985 | 09/2022 | USD | 116,753,281 | — | (1,476,113) |
| U.S. Ultra Treasury Bond | 45 | 09/2022 | USD | 6,945,469 | — | (215,598) |
| Total | | | | | — | (1,691,711) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 28 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Short futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| U.S. Treasury 2-Year Note | (65) | 09/2022 | USD | (13,651,016) | — | (118,287) |
| U.S. Treasury 5-Year Note | (65) | 09/2022 | USD | (7,296,250) | — | (142,567) |
| Total | | | | | — | (260,854) |
Notes to Portfolio of Investments
| (a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2022, the total value of these securities amounted to $314,886,914, which represents 25.90% of total net assets. |
| (b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2022. |
| (c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of June 30, 2022. |
| (d) | Non-income producing investment. |
| (e) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
| (f) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2022. |
| (g) | Principal and interest may not be guaranteed by a governmental entity. |
| (h) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (i) | Represents a security purchased on a when-issued basis. |
| (j) | The stated interest rate represents the weighted average interest rate at June 30, 2022 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
| (k) | Valuation based on significant unobservable inputs. |
| (l) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (m) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 89,970,020 | 211,644,044 | (226,812,836) | (15,743) | 74,785,485 | (20,679) | 194,122 | 74,830,383 |
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
| LIBOR | London Interbank Offered Rate |
| SOFR | Secured Overnight Financing Rate |
| TBA | To Be Announced |
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
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 29 |
Portfolio of Investments (continued)
June 30, 2022 (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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Asset-Backed Securities — Non-Agency | — | 90,209,796 | — | 90,209,796 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 79,423,663 | — | 79,423,663 |
| Common Stocks | | | | |
| Communication Services | 86,194,179 | — | — | 86,194,179 |
| Consumer Discretionary | 48,891,225 | — | — | 48,891,225 |
| Consumer Staples | 46,541,592 | — | — | 46,541,592 |
| Energy | 31,026,809 | — | — | 31,026,809 |
| Financials | 72,855,173 | — | — | 72,855,173 |
| Health Care | 114,370,028 | — | — | 114,370,028 |
| Industrials | 56,878,372 | — | — | 56,878,372 |
| Information Technology | 186,400,375 | — | — | 186,400,375 |
| Materials | 23,329,612 | — | — | 23,329,612 |
| Real Estate | 11,221,679 | — | — | 11,221,679 |
| Utilities | 20,375,944 | — | — | 20,375,944 |
| Total Common Stocks | 698,084,988 | — | — | 698,084,988 |
| Convertible Bonds | — | 46,610 | — | 46,610 |
| Corporate Bonds & Notes | — | 99,176,328 | — | 99,176,328 |
| Exchange-Traded Equity Funds | 9,923,287 | — | — | 9,923,287 |
| Foreign Government Obligations | — | 88,483 | — | 88,483 |
| Residential Mortgage-Backed Securities - Agency | — | 91,912,865 | — | 91,912,865 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 146,822,916 | — | 146,822,916 |
| Senior Loans | — | 275,552 | 33,300 | 308,852 |
| U.S. Treasury Obligations | 4,283,031 | — | — | 4,283,031 |
| Money Market Funds | 74,785,485 | — | — | 74,785,485 |
| Total Investments in Securities | 787,076,791 | 507,956,213 | 33,300 | 1,295,066,304 |
| Investments in Derivatives | | | | |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 30 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Fair value measurements (continued)
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Liability | | | | |
| Futures Contracts | (1,952,565) | — | — | (1,952,565) |
| Total | 785,124,226 | 507,956,213 | 33,300 | 1,293,113,739 |
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 following table is a reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
| | Balance
as of
12/31/2021
($) | Increase
(decrease)
in accrued
discounts/
premiums
($) | Realized
gain (loss)
($) | Change
in unrealized
appreciation
(depreciation)(a)
($) | Purchases
($) | Sales
($) | Transfers
into
Level 3
($) | Transfers
out of
Level 3
($) | Balance
as of
06/30/2022
($) |
| Asset-Backed Securities — Non-Agency | 5,177,435 | — | — | — | — | — | — | (5,177,435) | — |
| Residential Mortgage-Backed Securities — Non-Agency | 9,425,000 | — | — | — | — | (4,450,000) | — | (4,975,000) | — |
| Senior Loans | 4,616 | — | — | (2,700) | — | — | 36,000 | (4,616) | 33,300 |
| Total | 14,607,051 | — | — | (2,700) | — | (4,450,000) | 36,000 | (10,157,051) | 33,300 |
(a) Change in unrealized appreciation (depreciation) relating to securities held at June 30, 2022 was $(2,700), which is comprised of Senior Loans.
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 have resulted in a significantly higher (lower) fair value measurement.
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.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 31 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,177,840,219) | $1,220,280,819 |
| Affiliated issuers (cost $74,807,235) | 74,785,485 |
| Cash | 336,567 |
| Cash collateral held at broker for: | |
| TBA | 1,856,188 |
| Receivable for: | |
| Investments sold | 5,964,908 |
| Investments sold on a delayed delivery basis | 87,706,773 |
| Capital shares sold | 1,165,755 |
| Dividends | 536,394 |
| Interest | 2,007,894 |
| Foreign tax reclaims | 11,525 |
| Variation margin for futures contracts | 1,105,859 |
| Prepaid expenses | 10,242 |
| Total assets | 1,395,768,409 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 1,206,045 |
| Investments purchased on a delayed delivery basis | 177,381,378 |
| Capital shares purchased | 824,309 |
| Variation margin for futures contracts | 82,266 |
| Management services fees | 22,783 |
| Distribution and/or service fees | 4,352 |
| Service fees | 62,038 |
| Compensation of board members | 125,370 |
| Compensation of chief compliance officer | 133 |
| Other expenses | 56,285 |
| Total liabilities | 179,764,959 |
| Net assets applicable to outstanding capital stock | $1,216,003,450 |
| Represented by | |
| Trust capital | $1,216,003,450 |
| Total - representing net assets applicable to outstanding capital stock | $1,216,003,450 |
| Class 1 | |
| Net assets | $13,001,203 |
| Shares outstanding | 365,586 |
| Net asset value per share | $35.56 |
| Class 2 | |
| Net assets | $64,478,392 |
| Shares outstanding | 1,849,417 |
| Net asset value per share | $34.86 |
| Class 3 | |
| Net assets | $1,138,523,855 |
| Shares outstanding | 32,306,604 |
| Net asset value per share | $35.24 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 32 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $5,669,489 |
| Dividends — affiliated issuers | 194,122 |
| Interest | 5,758,284 |
| Foreign taxes withheld | (30,663) |
| Total income | 11,591,232 |
| Expenses: | |
| Management services fees | 4,496,474 |
| Distribution and/or service fees | |
| Class 2 | 61,037 |
| Class 3 | 793,339 |
| Service fees | 402,832 |
| Compensation of board members | 7,568 |
| Custodian fees | 26,010 |
| Printing and postage fees | 24,526 |
| Audit fees | 20,275 |
| Legal fees | 12,042 |
| Interest on collateral | 317 |
| Compensation of chief compliance officer | 93 |
| Other | 10,525 |
| Total expenses | 5,855,038 |
| Net investment income | 5,736,194 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 31,115,314 |
| Investments — affiliated issuers | (20,679) |
| Foreign currency translations | 833 |
| Futures contracts | (12,973,228) |
| Net realized gain | 18,122,240 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (249,503,308) |
| Investments — affiliated issuers | (15,743) |
| Foreign currency translations | (51) |
| Futures contracts | (2,213,091) |
| Net change in unrealized appreciation (depreciation) | (251,732,193) |
| Net realized and unrealized loss | (233,609,953) |
| Net decrease in net assets resulting from operations | $(227,873,759) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 33 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $5,736,194 | $9,510,880 |
| Net realized gain | 18,122,240 | 172,269,163 |
| Net change in unrealized appreciation (depreciation) | (251,732,193) | 6,675,098 |
| Net increase (decrease) in net assets resulting from operations | (227,873,759) | 188,455,141 |
| Decrease in net assets from capital stock activity | (7,788,181) | (27,044,181) |
| Total increase (decrease) in net assets | (235,661,940) | 161,410,960 |
| Net assets at beginning of period | 1,451,665,390 | 1,290,254,430 |
| Net assets at end of period | $1,216,003,450 | $1,451,665,390 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 96,238 | 3,763,293 | 190,375 | 7,621,888 |
| Redemptions | (8,965) | (357,751) | (9,891) | (401,576) |
| Net increase | 87,273 | 3,405,542 | 180,484 | 7,220,312 |
| Class 2 | | | | |
| Subscriptions | 1,084,058 | 41,386,252 | 822,232 | 33,120,788 |
| Redemptions | (36,491) | (1,377,654) | (20,503) | (833,012) |
| Net increase | 1,047,567 | 40,008,598 | 801,729 | 32,287,776 |
| Class 3 | | | | |
| Subscriptions | 82,451 | 3,279,077 | 587,750 | 22,773,586 |
| Redemptions | (1,417,924) | (54,481,398) | (2,251,153) | (89,325,855) |
| Net decrease | (1,335,473) | (51,202,321) | (1,663,403) | (66,552,269) |
| Total net decrease | (200,633) | (7,788,181) | (681,190) | (27,044,181) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 34 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
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Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 35 |
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.
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $42.17 | 0.19 | (6.80) | (6.61) |
| Year Ended 12/31/2021 | $36.71 | 0.33 | 5.13 | 5.46 |
| Year Ended 12/31/2020 | $31.17 | 0.40 | 5.14 | 5.54 |
| Year Ended 12/31/2019 | $25.35 | 0.48 | 5.34 | 5.82 |
| Year Ended 12/31/2018 | $26.90 | 0.42 | (1.97) | (1.55) |
| Year Ended 12/31/2017 | $23.46 | 0.34 | 3.10 | 3.44 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $41.39 | 0.15 | (6.68) | (6.53) |
| Year Ended 12/31/2021 | $36.11 | 0.24 | 5.04 | 5.28 |
| Year Ended 12/31/2020 | $30.74 | 0.33 | 5.04 | 5.37 |
| Year Ended 12/31/2019 | $25.06 | 0.41 | 5.27 | 5.68 |
| Year Ended 12/31/2018 | $26.66 | 0.34 | (1.94) | (1.60) |
| Year Ended 12/31/2017 | $23.30 | 0.28 | 3.08 | 3.36 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $41.81 | 0.17 | (6.74) | (6.57) |
| Year Ended 12/31/2021 | $36.44 | 0.27 | 5.10 | 5.37 |
| Year Ended 12/31/2020 | $30.99 | 0.36 | 5.09 | 5.45 |
| Year Ended 12/31/2019 | $25.24 | 0.45 | 5.30 | 5.75 |
| Year Ended 12/31/2018 | $26.82 | 0.38 | (1.96) | (1.58) |
| Year Ended 12/31/2017 | $23.42 | 0.30 | 3.10 | 3.40 |
| 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) | Annualized. |
| (d) | Ratios include interest on collateral expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 36 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $35.56 | (15.67%) | 0.75%(c),(d) | 0.75%(c),(d) | 1.01%(c) | 69% | $13,001 |
| Year Ended 12/31/2021 | $42.17 | 14.88% | 0.75%(d) | 0.75%(d) | 0.82% | 118% | $11,736 |
| Year Ended 12/31/2020 | $36.71 | 17.77% | 0.78% | 0.77% | 1.21% | 145% | $3,591 |
| Year Ended 12/31/2019 | $31.17 | 22.96% | 0.79% | 0.76% | 1.63% | 126% | $741 |
| Year Ended 12/31/2018 | $25.35 | (5.76%) | 0.78% | 0.75% | 1.53% | 81% | $3 |
| Year Ended 12/31/2017 | $26.90 | 14.66% | 0.77% | 0.74% | 1.36% | 63% | $3 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $34.86 | (15.78%) | 1.01%(c),(d) | 1.01%(c),(d) | 0.80%(c) | 69% | $64,478 |
| Year Ended 12/31/2021 | $41.39 | 14.62% | 1.00%(d) | 1.00%(d) | 0.60% | 118% | $33,191 |
| Year Ended 12/31/2020 | $36.11 | 17.47% | 1.00% | 1.00% | 1.04% | 145% | $4 |
| Year Ended 12/31/2019 | $30.74 | 22.66% | 1.03% | 1.01% | 1.43% | 126% | $4 |
| Year Ended 12/31/2018 | $25.06 | (6.00%) | 1.03% | 1.00% | 1.27% | 81% | $3 |
| Year Ended 12/31/2017 | $26.66 | 14.42% | 1.02% | 0.99% | 1.11% | 63% | $3 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $35.24 | (15.71%) | 0.88%(c),(d) | 0.88%(c),(d) | 0.86%(c) | 69% | $1,138,524 |
| Year Ended 12/31/2021 | $41.81 | 14.74% | 0.88%(d) | 0.88%(d) | 0.69% | 118% | $1,406,738 |
| Year Ended 12/31/2020 | $36.44 | 17.58% | 0.90% | 0.89% | 1.13% | 145% | $1,286,659 |
| Year Ended 12/31/2019 | $30.99 | 22.78% | 0.91% | 0.88% | 1.57% | 126% | $1,137,620 |
| Year Ended 12/31/2018 | $25.24 | (5.89%) | 0.91% | 0.87% | 1.40% | 81% | $1,004,017 |
| Year Ended 12/31/2017 | $26.82 | 14.52% | 0.91% | 0.89% | 1.20% | 63% | $1,165,032 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 37 |
Notes to Financial Statements
June 30, 2022 (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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
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 market value, unless this method results in a valuation that management believes does not approximate fair 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. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management believes does not approximate fair value.
| 38 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
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 a settlement price, 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, if available.
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, in seeking 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
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 39 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. 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 clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing 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 counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts and 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 instruments’ 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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as well. 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 may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in the Statement of Operations. 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 determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, whether termination would result in a net liability owed from the counterparty.
| 40 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 generally expects to earn interest income on its margin deposits. 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, 2022:
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 1,952,565* |
| * | 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, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Interest rate risk | (12,973,228) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Interest rate risk | (2,213,091) |
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 41 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 145,040,094 |
| Futures contracts — short | 10,473,633 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
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, if any, 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.
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.
| 42 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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 may 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 may 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.
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. For convertible securities, premiums attributable to the conversion feature are not amortized.
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 collectability 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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 43 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 on the payment date, the proceeds are recorded as realized gains.
The value of additional securities received as an income payment through a payment in kind, if any, is recorded as interest 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.
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 in 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.
| 44 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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. Effective July 1, 2022, 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 0.5075% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2022 was 0.68% of the Fund’s average daily net assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.06% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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.
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| 45 |
Notes to Financial Statements (continued)
June 30, 2022 (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 classes’ average daily net assets:
| | Contractual
expense cap
July 1, 2022
through
April 30, 2023 | Voluntary
expense cap
May 1, 2022
through
June 30, 2022 | Contractual
expense cap
prior to
May 1, 2022 |
| Class 1 | 0.76% | 0.76% | 0.76% |
| Class 2 | 1.01 | 1.01 | 1.01 |
| Class 3 | 0.885 | 0.885 | 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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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 $923,197,173 and $920,129,856, respectively, for the six months ended June 30, 2022, of which $593,914,473 and $565,809,598, 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
| 46 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 8. Significant risks
Credit risk
Credit risk is the risk that the value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower-rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
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 instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise 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. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
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.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 47 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Mortgage- and other asset-backed securities risk
The value of any mortgage-backed and other asset-backed securities including collateralized debt obligations, if any, 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 liquidity risk and prepayment risk. A decline or flattening of housing values may cause delinquencies in mortgages (especially sub-prime or
| 48 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
non-prime mortgages) underlying mortgage-backed securities and thereby adversely affect the ability of the mortgage-backed securities issuer to make principal and/or interest payments to mortgage-backed securities holders, including the Fund. 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, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. 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 and noted 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 are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 49 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
| 50 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 51 |
Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Manager and discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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. The Board also considered the benefits of the proposed additional breakpoints to the Fund’s current fee rate schedule (the Proposed Additional Breakpoints).
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
| 52 | Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. In this regard, the Board noted the Proposed Additional Breakpoints.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
Columbia Variable Portfolio – Balanced Fund | Semiannual Report 2022
| 53 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – Balanced Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
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 and variable life insurance policies offered by the separate accounts of participating insurance companies as well as qualified pension and retirement plans. Please contact your financial advisor or insurance representative for more information.
Not FDIC or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Variable Portfolio – Managed Volatility Moderate Growth Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund pursues total return while seeking to manage the Fund’s exposure to equity market volatility.
Portfolio management
Brian Virginia
Lead Portfolio Manager
Managed Fund since 2014
Anwiti Bahuguna, Ph.D.
Portfolio Manager
Managed Fund since 2015
David Weiss, CFA
Portfolio Manager
Managed Fund since 2016
Joshua Kutin, CFA
Portfolio Manager
Managed Fund since 2018
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1* | 02/20/19 | -17.03 | -14.43 | 3.25 | 4.65 |
| Class 2 | 04/19/12 | -17.13 | -14.66 | 3.08 | 4.56 |
| Blended Benchmark | | -15.52 | -12.47 | 4.76 | 6.15 |
| Bloomberg U.S. Aggregate Bond Index | | -10.35 | -10.29 | 0.88 | 1.54 |
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 class, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/variable-products/appended-performance for more information. |
The Blended Benchmark consists of 50% Bloomberg U.S. Aggregate Bond Index, 35% Russell 3000 Index and 15% MSCI EAFE Index (Net).
The Bloomberg 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.
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio Allocation (%) (at June 30, 2022) |
| Allocations to Underlying Funds |
| Equity Funds | 42.2 |
| International | 11.8 |
| U.S. Large Cap | 24.9 |
| U.S. Mid Cap | 2.0 |
| U.S. Small Cap | 3.5 |
| Exchange-Traded Equity Funds | 3.7 |
| International Mid Large Cap | 1.3 |
| U.S. Large Cap | 2.4 |
| Exchange-Traded Fixed Income Funds | 4.5 |
| Investment Grade | 4.5 |
| Fixed Income Funds | 23.8 |
| Investment Grade | 23.8 |
| Allocations to Tactical Assets |
| Corporate Bonds & Notes | 0.3 |
| Money Market Fund Shares Held to Cover Open Derivatives Instruments(a) | 15.4 |
| Options Purchased Puts | 1.2 |
| Residential Mortgage-Backed Securities - Agency | 8.9 |
| U.S. Treasury Obligations | 0.0(b) |
| Total | 100.0 |
| (a) | Includes investments in Money Market Funds which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its 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. |
| (b) | Rounds to zero. |
Percentages indicated are based upon total investments including options purchased and excluding all other investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| 4 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
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, 2022 — June 30, 2022 |
| | 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 ($) | Fund’s effective
annualized
expense ratio (%) |
| | Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual |
| Class 1 | 1,000.00 | 1,000.00 | 829.70 | 1,023.55 | 1.13 | 1.25 | 0.25 | 3.31 | 3.66 | 0.73 |
| Class 2 | 1,000.00 | 1,000.00 | 828.70 | 1,022.32 | 2.27 | 2.51 | 0.50 | 4.44 | 4.91 | 0.98 |
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Effective expenses paid during the period and the Fund’s effective annualized expense ratio include expenses borne directly to the class plus the Fund’s pro rata portion of the ongoing expenses charged by the underlying funds using the expense ratio of each class of the underlying funds as of the underlying fund’s most recent shareholder report.
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Corporate Bonds & Notes 0.3% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Aerospace & Defense 0.0% |
| Arconic, Inc. |
| 02/01/2037 | 5.950% | | 230,000 | 216,786 |
| BAE Systems PLC(a) |
| 02/15/2031 | 1.900% | | 670,000 | 536,907 |
| Boeing Co. (The) |
| 05/01/2034 | 3.600% | | 277,000 | 220,461 |
| 08/01/2059 | 3.950% | | 650,000 | 438,864 |
| Northrop Grumman Corp. |
| 06/01/2043 | 4.750% | | 65,000 | 62,308 |
| 10/15/2047 | 4.030% | | 295,000 | 261,871 |
| United Technologies Corp. |
| 06/01/2042 | 4.500% | | 232,000 | 221,042 |
| 11/01/2046 | 3.750% | | 390,000 | 331,661 |
| Total | 2,289,900 |
| Automotive 0.0% |
| General Motors Co. |
| 04/01/2048 | 5.400% | | 145,000 | 126,975 |
| Banking 0.1% |
| Bank of America Corp.(b) |
| 07/23/2031 | 1.898% | | 520,000 | 416,046 |
| 10/24/2031 | 1.922% | | 300,000 | 239,103 |
| 02/04/2033 | 2.972% | | 1,616,000 | 1,377,426 |
| Subordinated |
| 09/21/2036 | 2.482% | | 200,000 | 155,531 |
| Citigroup, Inc.(b) |
| 06/03/2031 | 2.572% | | 724,000 | 609,047 |
| 01/25/2033 | 3.057% | | 521,000 | 442,538 |
| Goldman Sachs Group, Inc. (The)(b) |
| 07/21/2032 | 2.383% | | 1,561,000 | 1,263,460 |
| HSBC Holdings PLC(b) |
| 05/24/2032 | 2.804% | | 537,000 | 440,864 |
| 11/22/2032 | 2.871% | | 538,000 | 440,688 |
| JPMorgan Chase & Co.(b) |
| 04/22/2032 | 2.580% | | 145,000 | 122,091 |
| 11/15/2048 | 3.964% | | 573,000 | 488,429 |
| 04/22/2052 | 3.328% | | 451,000 | 344,820 |
| Morgan Stanley(b) |
| 07/21/2032 | 2.239% | | 530,000 | 430,659 |
| 10/20/2032 | 2.511% | | 371,000 | 307,202 |
| Subordinated |
| 04/20/2037 | 5.297% | | 310,000 | 300,741 |
| Toronto-Dominion Bank (The) |
| 06/08/2032 | 4.456% | | 104,000 | 102,838 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Wells Fargo & Co.(b) |
| 04/30/2041 | 3.068% | | 487,000 | 379,564 |
| 04/25/2053 | 4.611% | | 541,000 | 500,645 |
| Total | 8,361,692 |
| Cable and Satellite 0.0% |
| Charter Communications Operating LLC/Capital |
| 05/01/2047 | 5.375% | | 245,000 | 209,723 |
| 06/30/2062 | 3.950% | | 516,000 | 343,926 |
| 04/01/2063 | 5.500% | | 718,000 | 612,403 |
| Comcast Corp. |
| 11/01/2052 | 4.049% | | 121,000 | 106,033 |
| 11/01/2056 | 2.937% | | 514,000 | 356,688 |
| NBCUniversal Media LLC |
| 01/15/2043 | 4.450% | | 326,000 | 302,612 |
| Total | 1,931,385 |
| Construction Machinery 0.0% |
| Caterpillar, Inc. |
| 09/19/2049 | 3.250% | | 135,000 | 110,968 |
| United Rentals North America, Inc. |
| 02/15/2031 | 3.875% | | 190,000 | 160,485 |
| Total | 271,453 |
| Diversified Manufacturing 0.0% |
| Carrier Global Corp. |
| 04/05/2050 | 3.577% | | 467,000 | 354,389 |
| GE Capital International Funding Co. Unlimited Co. |
| 11/15/2035 | 4.418% | | 484,000 | 452,990 |
| General Electric Co.(c) |
| Junior Subordinated |
3-month USD LIBOR + 3.330%
12/31/2049 | 5.159% | | 110,000 | 96,227 |
| Total | 903,606 |
| Electric 0.1% |
| AEP Texas, Inc. |
| 01/15/2050 | 3.450% | | 570,000 | 439,445 |
| AES Corp. (The) |
| 01/15/2031 | 2.450% | | 235,000 | 189,024 |
| Berkshire Hathaway Energy Co.(a) |
| 05/01/2053 | 4.600% | | 260,000 | 250,881 |
| CenterPoint Energy, Inc. |
| 09/01/2049 | 3.700% | | 203,000 | 162,856 |
| Dominion Resources, Inc. |
| 12/01/2044 | 4.700% | | 250,000 | 230,851 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| DTE Energy Co. |
| 06/15/2029 | 3.400% | | 235,000 | 215,584 |
| Duke Energy Corp. |
| 06/15/2051 | 3.500% | | 594,000 | 448,026 |
| Emera US Finance LP |
| 06/15/2046 | 4.750% | | 164,000 | 144,650 |
| Eversource Energy |
| 08/15/2030 | 1.650% | | 342,000 | 271,918 |
| 01/15/2050 | 3.450% | | 229,000 | 176,831 |
| Exelon Corp.(a) |
| 03/15/2052 | 4.100% | | 418,000 | 358,619 |
| Georgia Power Co. |
| 03/15/2042 | 4.300% | | 770,000 | 669,623 |
| Jersey Central Power & Light Co.(a) |
| 03/01/2032 | 2.750% | | 61,000 | 51,847 |
| Northern States Power Co. |
| 05/15/2044 | 4.125% | | 115,000 | 104,129 |
| Pacific Gas and Electric Co. |
| 07/01/2050 | 4.950% | | 480,000 | 382,763 |
| PacifiCorp |
| 02/15/2050 | 4.150% | | 94,000 | 84,288 |
| Southern California Edison Co. |
| 10/01/2043 | 4.650% | | 30,000 | 27,122 |
| 04/01/2047 | 4.000% | | 70,000 | 56,778 |
| 03/01/2048 | 4.125% | | 110,000 | 90,790 |
| Xcel Energy, Inc. |
| 12/01/2049 | 3.500% | | 460,000 | 365,338 |
| Total | 4,721,363 |
| Environmental 0.0% |
| GFL Environmental, Inc.(a) |
| 09/01/2028 | 3.500% | | 280,000 | 242,773 |
| Waste Connections, Inc. |
| 01/15/2052 | 2.950% | | 109,000 | 78,091 |
| Total | 320,864 |
| Food and Beverage 0.0% |
| Anheuser-Busch Companies LLC/InBev Worldwide, Inc. |
| 02/01/2046 | 4.900% | | 571,000 | 538,550 |
| Anheuser-Busch InBev Worldwide, Inc. |
| 04/15/2058 | 4.750% | | 572,000 | 515,896 |
| Bacardi Ltd.(a) |
| 05/15/2038 | 5.150% | | 536,000 | 508,660 |
| Kraft Heinz Foods Co. |
| 06/01/2046 | 4.375% | | 624,000 | 519,835 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Tyson Foods, Inc. |
| 06/02/2047 | 4.550% | | 80,000 | 73,034 |
| Total | 2,155,975 |
| Health Care 0.0% |
| Becton Dickinson and Co. |
| 05/20/2050 | 3.794% | | 295,000 | 243,742 |
| Cigna Corp. |
| 12/15/2048 | 4.900% | | 164,000 | 157,452 |
| 03/15/2050 | 3.400% | | 400,000 | 305,893 |
| CVS Health Corp. |
| 07/20/2045 | 5.125% | | 535,000 | 516,477 |
| 03/25/2048 | 5.050% | | 80,000 | 76,540 |
| HCA, Inc.(a) |
| 03/15/2052 | 4.625% | | 626,000 | 500,827 |
| Thermo Fisher Scientific, Inc. |
| 10/15/2041 | 2.800% | | 131,000 | 102,743 |
| Total | 1,903,674 |
| Healthcare Insurance 0.0% |
| Aetna, Inc. |
| 08/15/2047 | 3.875% | | 199,000 | 164,414 |
| Anthem, Inc. |
| 08/15/2044 | 4.650% | | 135,000 | 127,934 |
| Centene Corp. |
| 12/15/2029 | 4.625% | | 115,000 | 107,236 |
| 02/15/2030 | 3.375% | | 70,000 | 59,366 |
| 08/01/2031 | 2.625% | | 230,000 | 184,575 |
| UnitedHealth Group, Inc. |
| 08/15/2039 | 3.500% | | 208,000 | 181,421 |
| 05/15/2041 | 3.050% | | 547,000 | 442,169 |
| 05/15/2062 | 4.950% | | 134,000 | 135,797 |
| Total | 1,402,912 |
| Independent Energy 0.0% |
| Canadian Natural Resources Ltd. |
| 02/15/2037 | 6.500% | | 105,000 | 112,227 |
| ConocoPhillips Co. |
| 11/15/2044 | 4.300% | | 220,000 | 202,191 |
| Occidental Petroleum Corp. |
| 04/15/2046 | 4.400% | | 24,000 | 19,440 |
| 08/15/2049 | 4.400% | | 116,000 | 92,864 |
| Total | 426,722 |
| Integrated Energy 0.0% |
| BP Capital Markets America, Inc. |
| 03/17/2052 | 3.001% | | 85,000 | 61,392 |
| Cenovus Energy, Inc. |
| 02/15/2052 | 3.750% | | 321,000 | 244,154 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Shell International Finance BV |
| 11/26/2041 | 2.875% | | 442,000 | 342,042 |
| Total Capital International SA |
| 06/29/2060 | 3.386% | | 80,000 | 61,332 |
| Total | 708,920 |
| Life Insurance 0.0% |
| Guardian Life Insurance Co. of America (The)(a) |
| Subordinated |
| 06/19/2064 | 4.875% | | 180,000 | 174,308 |
| Massachusetts Mutual Life Insurance Co.(a) |
| Subordinated |
| 10/15/2070 | 3.729% | | 215,000 | 158,041 |
| New York Life Insurance Co.(a) |
| Subordinated |
| 05/15/2050 | 3.750% | | 270,000 | 220,873 |
| Northwestern Mutual Life Insurance Co. (The)(a) |
| Subordinated |
| 09/30/2059 | 3.625% | | 409,000 | 306,654 |
| Teachers Insurance & Annuity Association of America(a) |
| Subordinated |
| 09/15/2044 | 4.900% | | 190,000 | 184,771 |
| 05/15/2050 | 3.300% | | 220,000 | 170,113 |
| Voya Financial, Inc. |
| 06/15/2046 | 4.800% | | 80,000 | 73,507 |
| Total | 1,288,267 |
| Media and Entertainment 0.0% |
| Magallanes, Inc.(a) |
| 03/15/2062 | 5.391% | | 907,000 | 760,667 |
| Netflix, Inc.(a) |
| 11/15/2029 | 5.375% | | 460,000 | 434,792 |
| Walt Disney Co. (The) |
| 09/15/2044 | 4.750% | | 410,000 | 399,959 |
| Total | 1,595,418 |
| Midstream 0.0% |
| Enterprise Products Operating LLC |
| 03/15/2044 | 4.850% | | 121,000 | 109,918 |
| 01/31/2060 | 3.950% | | 290,000 | 228,438 |
| Kinder Morgan Energy Partners LP |
| 11/01/2042 | 4.700% | | 100,000 | 84,729 |
| 03/01/2043 | 5.000% | | 320,000 | 280,074 |
| Kinder Morgan, Inc. |
| 02/15/2046 | 5.050% | | 141,000 | 126,008 |
| MPLX LP |
| 04/15/2048 | 4.700% | | 70,000 | 58,807 |
| 03/14/2052 | 4.950% | | 176,000 | 152,222 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Plains All American Pipeline LP/Finance Corp. |
| 06/15/2044 | 4.700% | | 309,000 | 244,690 |
| Western Gas Partners LP |
| 08/15/2048 | 5.500% | | 80,000 | 65,572 |
| Williams Companies, Inc. (The) |
| 06/24/2044 | 5.750% | | 330,000 | 331,204 |
| Total | 1,681,662 |
| Natural Gas 0.0% |
| NiSource, Inc. |
| 02/15/2043 | 5.250% | | 133,000 | 129,042 |
| 05/15/2047 | 4.375% | | 464,000 | 408,281 |
| Sempra Energy |
| 02/01/2048 | 4.000% | | 180,000 | 149,070 |
| Total | 686,393 |
| Pharmaceuticals 0.0% |
| AbbVie, Inc. |
| 11/06/2042 | 4.400% | | 170,000 | 154,552 |
| 06/15/2044 | 4.850% | | 337,000 | 323,128 |
| 11/14/2048 | 4.875% | | 112,000 | 107,920 |
| 11/21/2049 | 4.250% | | 225,000 | 199,433 |
| Amgen, Inc. |
| 02/22/2062 | 4.400% | | 726,000 | 631,357 |
| Bristol-Myers Squibb Co. |
| 03/15/2062 | 3.900% | | 290,000 | 249,474 |
| Gilead Sciences, Inc. |
| 10/01/2040 | 2.600% | | 360,000 | 264,103 |
| 10/01/2050 | 2.800% | | 150,000 | 104,971 |
| Total | 2,034,938 |
| Property & Casualty 0.0% |
| Berkshire Hathaway Finance Corp. |
| 03/15/2052 | 3.850% | | 665,000 | 569,121 |
| Liberty Mutual Group, Inc.(a) |
| 10/15/2050 | 3.951% | | 180,000 | 136,753 |
| Total | 705,874 |
| Railroads 0.0% |
| Canadian Pacific Railway Co. |
| 12/02/2051 | 3.100% | | 81,000 | 59,677 |
| CSX Corp. |
| 11/01/2046 | 3.800% | | 477,000 | 403,281 |
| Norfolk Southern Corp. |
| 08/15/2052 | 4.050% | | 210,000 | 182,885 |
| Total | 645,843 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Restaurants 0.0% |
| McDonald’s Corp. |
| 09/01/2049 | 3.625% | | 265,000 | 217,249 |
| Retailers 0.0% |
| Amazon.com, Inc. |
| 04/13/2062 | 4.100% | | 545,000 | 493,152 |
| Lowe’s Companies, Inc. |
| 04/01/2062 | 4.450% | | 594,000 | 507,632 |
| Total | 1,000,784 |
| Supermarkets 0.0% |
| Kroger Co. (The) |
| 02/01/2047 | 4.450% | | 77,000 | 69,785 |
| Technology 0.1% |
| Apple, Inc. |
| 02/09/2045 | 3.450% | | 356,000 | 310,188 |
| Broadcom, Inc.(a) |
| 11/15/2036 | 3.187% | | 568,000 | 431,448 |
| Fidelity National Information Services, Inc. |
| 03/01/2041 | 3.100% | | 80,000 | 58,508 |
| Intel Corp. |
| 08/12/2051 | 3.050% | | 405,000 | 301,586 |
| MSCI, Inc.(a) |
| 11/01/2031 | 3.625% | | 260,000 | 215,754 |
| NXP BV/Funding LLC/USA, Inc. |
| 05/01/2030 | 3.400% | | 65,000 | 57,904 |
| 01/15/2033 | 5.000% | | 114,000 | 111,408 |
| 02/15/2042 | 3.125% | | 169,000 | 123,785 |
| Oracle Corp. |
| 07/15/2046 | 4.000% | | 385,000 | 285,658 |
| 04/01/2050 | 3.600% | | 534,000 | 372,687 |
| 03/25/2061 | 4.100% | | 62,000 | 44,423 |
| VeriSign, Inc. |
| 06/15/2031 | 2.700% | | 166,000 | 133,698 |
| Total | 2,447,047 |
| Tobacco 0.0% |
| BAT Capital Corp. |
| 08/15/2047 | 4.540% | | 190,000 | 139,612 |
| Transportation Services 0.0% |
| FedEx Corp. |
| 11/15/2045 | 4.750% | | 10,000 | 9,182 |
| 04/01/2046 | 4.550% | | 215,000 | 192,689 |
| Total | 201,871 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Wireless 0.0% |
| American Tower Corp. |
| 06/15/2030 | 2.100% | | 370,000 | 295,627 |
| Crown Castle International Corp. |
| 01/15/2051 | 3.250% | | 75,000 | 53,904 |
| T-Mobile USA, Inc. |
| 04/15/2029 | 3.375% | | 5,000 | 4,376 |
| 04/15/2050 | 4.500% | | 70,000 | 62,191 |
| T-Mobile USA, Inc.(a) |
| 10/15/2052 | 3.400% | | 348,000 | 256,648 |
| 11/15/2060 | 3.600% | | 190,000 | 138,477 |
| Vodafone Group PLC |
| 02/19/2043 | 4.375% | | 165,000 | 143,333 |
| Total | 954,556 |
| Wirelines 0.0% |
| AT&T, Inc. |
| 09/15/2055 | 3.550% | | 125,000 | 93,677 |
| 12/01/2057 | 3.800% | | 1,586,000 | 1,230,042 |
| Telefonica Emisiones SAU |
| 03/06/2048 | 4.895% | | 300,000 | 256,553 |
| Verizon Communications, Inc. |
| 03/22/2041 | 3.400% | | 450,000 | 366,231 |
| 03/22/2051 | 3.550% | | 325,000 | 260,568 |
| Total | 2,207,071 |
Total Corporate Bonds & Notes
(Cost $50,345,225) | 41,401,811 |
| Equity Funds 45.7% |
| | Shares | Value ($) |
| International 12.8% |
| Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares(d) | 67,526,493 | 750,894,600 |
| Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares(d) | 47,252,498 | 398,338,560 |
| Variable Portfolio – Partners International Growth Fund, Class 1 Shares(d),(e) | 26,190,795 | 254,836,441 |
| Variable Portfolio – Partners International Value Fund, Class 1 Shares(d) | 31,832,302 | 262,298,169 |
| Total | 1,666,367,770 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Equity Funds (continued) |
| | Shares | Value ($) |
| U.S. Large Cap 27.0% |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares(d),(e) | 6,244,033 | 206,053,102 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares(d),(e) | 9,025,177 | 643,314,627 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares(d),(e) | 11,876,760 | 317,109,497 |
| Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares(d),(e) | 43,695,631 | 641,451,863 |
| Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares(d),(e) | 10,043,947 | 333,860,791 |
| CTIVP® – MFS® Value Fund, Class 1 Shares(d),(e) | 9,063,923 | 297,749,858 |
| CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares(d),(e) | 5,327,140 | 193,162,094 |
| CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares(d),(e) | 6,568,091 | 279,012,509 |
| CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares(d),(e) | 9,815,102 | 297,495,753 |
| Variable Portfolio – Partners Core Equity Fund, Class 1 Shares(d),(e) | 11,021,686 | 321,723,002 |
| Total | 3,530,933,096 |
| U.S. Mid Cap 2.1% |
| Columbia Variable Portfolio – Select Mid Cap Growth Fund, Class 1 Shares(d),(e) | 1,948,837 | 66,650,213 |
| Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares(d),(e) | 2,299,001 | 71,062,115 |
| CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares(d),(e) | 1,894,847 | 72,875,809 |
| CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares(d),(e) | 1,996,392 | 68,416,370 |
| Total | 279,004,507 |
| U.S. Small Cap 3.8% |
| Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares(d) | 4,032,003 | 70,156,857 |
| Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares(d),(e) | 3,547,721 | 52,896,522 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares(d),(e) | 6,818,270 | 180,547,797 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares(d),(e) | 6,043,165 | 189,574,064 |
| Total | 493,175,240 |
Total Equity Funds
(Cost $4,994,442,844) | 5,969,480,613 |
|
| Exchange-Traded Equity Funds 4.0% |
| | Shares | Value ($) |
| International Mid Large Cap 1.4% |
| iShares MSCI EAFE ETF | 3,018,292 | 188,613,067 |
| U.S. Large Cap 2.6% |
| SPDR S&P 500 ETF Trust | 890,200 | 335,827,950 |
Total Exchange-Traded Equity Funds
(Cost $411,266,133) | 524,441,017 |
|
| Exchange-Traded Fixed Income Funds 4.9% |
| | |
| Investment Grade 4.9% |
| iShares iBoxx $ Investment Grade Corporate Bond ETF | 2,922,790 | 321,594,584 |
| Vanguard Intermediate-Term Corporate Bond ETF | 3,916,000 | 313,358,320 |
| Total | 634,952,904 |
Total Exchange-Traded Fixed Income Funds
(Cost $727,007,884) | 634,952,904 |
|
| Fixed Income Funds 25.8% |
| | |
| Investment Grade 25.8% |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares(d) | 72,338,899 | 648,879,926 |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares(d) | 22,453,877 | 206,351,129 |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares(d) | 44,380,595 | 386,998,788 |
| Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares(d) | 21,718,162 | 203,281,995 |
| CTIVP® – American Century Diversified Bond Fund, Class 1 Shares(d) | 50,609,040 | 502,547,761 |
| CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares(d) | 68,812,656 | 657,160,866 |
| Variable Portfolio – Partners Core Bond Fund, Class 1 Shares(d) | 76,414,494 | 759,560,073 |
| Total | 3,364,780,538 |
Total Fixed Income Funds
(Cost $3,787,568,404) | 3,364,780,538 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Agency 9.7% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Uniform Mortgage-Backed Security TBA(f) |
| 08/16/2037 | 2.000% | | 124,300,000 | 116,060,270 |
08/16/2037-
08/11/2052 | 2.500% | | 515,030,000 | 473,237,776 |
| 08/11/2052 | 3.000% | | 720,302,000 | 670,823,440 |
Total Residential Mortgage-Backed Securities - Agency
(Cost $1,246,893,874) | 1,260,121,486 |
|
| U.S. Treasury Obligations 0.0% |
| | | | |
| U.S. Treasury |
| 05/15/2052 | 2.875% | | 1,414,300 | 1,335,630 |
Total U.S. Treasury Obligations
(Cost $1,348,336) | 1,335,630 |
| Options Purchased Puts 1.4% |
| | | | | Value ($) |
| (Cost $145,002,175) | 177,013,800 |
| Money Market Funds 16.7% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(d),(g) | 2,182,608,868 | 2,181,299,303 |
Total Money Market Funds
(Cost $2,181,864,980) | 2,181,299,303 |
Total Investments in Securities
(Cost: $13,545,739,855) | 14,154,827,102 |
| Other Assets & Liabilities, Net | | (1,102,923,053) |
| Net Assets | 13,051,904,049 |
At June 30, 2022, securities and/or cash totaling $160,241,316 were pledged as collateral.
Investments in derivatives
| Forward foreign currency exchange contracts |
Currency to
be sold | Currency to
be purchased | Counterparty | Settlement
date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| 160,000,000 EUR | 169,552,800 USD | Barclays | 08/19/2022 | 1,337,600 | — |
| 50,000,000 GBP | 61,451,800 USD | Barclays | 08/19/2022 | 534,300 | — |
| 63,125,000 CHF | 65,709,006 USD | Citi | 08/19/2022 | — | (621,508) |
| 2,950,000,000 JPY | 21,753,077 USD | Citi | 08/19/2022 | — | (54,928) |
| 91,814,718 USD | 900,000,000 NOK | Goldman Sachs International | 08/19/2022 | — | (352,032) |
| 100,000,000 AUD | 69,923,200 USD | UBS | 08/19/2022 | 871,700 | — |
| Total | | | | 2,743,600 | (1,028,468) |
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| MSCI Singapore Index | 125 | 07/2022 | SGD | 3,506,875 | — | (91,071) |
| S&P 500 Index E-mini | 4,445 | 09/2022 | USD | 842,216,375 | 5,069,039 | — |
| U.S. Long Bond | 61 | 09/2022 | USD | 8,456,125 | 49,841 | — |
| U.S. Long Bond | 1,612 | 09/2022 | USD | 223,463,500 | — | (1,194,357) |
| U.S. Treasury 10-Year Note | 2,583 | 09/2022 | USD | 306,166,219 | — | (1,740,361) |
| U.S. Treasury 2-Year Note | 2,006 | 09/2022 | USD | 421,291,346 | — | (1,220,707) |
| U.S. Treasury 5-Year Note | 4,533 | 09/2022 | USD | 508,829,250 | — | (2,715,657) |
| U.S. Ultra Treasury Bond | 1,068 | 09/2022 | USD | 164,839,125 | — | (1,712,872) |
| Total | | | | | 5,118,880 | (8,675,025) |
| Short futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| EURO STOXX 50 Index | (1,842) | 09/2022 | EUR | (63,383,220) | 2,819,512 | — |
| FTSE 100 Index | (200) | 09/2022 | GBP | (14,242,000) | 326,901 | — |
| OMXS30 Index | (1,550) | 07/2022 | SEK | (289,927,500) | 1,354,966 | — |
| Russell 2000 Index E-mini | (1,430) | 09/2022 | USD | (122,122,000) | 9,865,034 | — |
| S&P 500 Index E-mini | (2,431) | 09/2022 | USD | (460,613,725) | 14,151,145 | — |
| SPI 200 Index | (59) | 09/2022 | AUD | (9,529,975) | 185,079 | — |
| TOPIX Index | (199) | 09/2022 | JPY | (3,722,295,000) | 1,024,060 | — |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022
| 11 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Short futures contracts (continued) |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| U.S. Treasury 10-Year Note | (35) | 09/2022 | USD | (4,148,594) | 18,109 | — |
| U.S. Treasury Ultra 10-Year Note | (23) | 09/2022 | USD | (2,929,625) | 10,125 | — |
| U.S. Ultra Treasury Bond | (10) | 09/2022 | USD | (1,543,438) | — | (39,744) |
| Total | | | | | 29,754,931 | (39,744) |
| Put option contracts purchased |
| Description | Counterparty | Trading
currency | Notional
amount | Number of
contracts | Exercise
price/Rate | Expiration
date | Cost ($) | Value ($) |
| S&P 500 Index | JPMorgan | USD | 1,211,321,600 | 3,200 | 3,300.00 | 12/15/2023 | 56,518,548 | 72,704,000 |
| S&P 500 Index | JPMorgan | USD | 800,607,870 | 2,115 | 3,600.00 | 12/15/2023 | 51,183,776 | 66,559,050 |
| S&P 500 Index | JPMorgan | USD | 776,002,900 | 2,050 | 3,100.00 | 12/15/2023 | 37,299,851 | 37,750,750 |
| Total | | | | | | | 145,002,175 | 177,013,800 |
| Cleared credit default swap contracts - sell protection |
Reference
entity | Counterparty | Maturity
date | Receive
fixed
rate
(%) | Payment
frequency | Implied
credit
spread
(%)* | Notional
currency | Notional
amount | Value
($) | Upfront
payments
($) | Upfront
receipts
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Markit CDX North America Investment Grade Index, Series 38 | Morgan Stanley | 06/20/2027 | 1.000 | Quarterly | 1.010 | USD | 200,000,000 | (2,769,591) | — | — | — | (2,769,591) |
| * | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Notes to Portfolio of Investments
| (a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2022, the total value of these securities amounted to $6,039,813, which represents 0.05% of total net assets. |
| (b) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2022. |
| (c) | Variable rate security. The interest rate shown was the current rate as of June 30, 2022. |
| (d) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Capital gain
distributions($) | Realized gain
(loss)($) | Dividends —
affiliated
issuers ($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 2,693,409,348 | 1,903,342,866 | (2,415,142,093) | (310,818) | 2,181,299,303 | — | (667,234) | 5,100,408 | 2,182,608,868 |
| Columbia Variable Portfolio – Contrarian Core Fund, Class 1 Shares |
| | 268,192,699 | — | (5,054,783) | (57,084,814) | 206,053,102 | — | 8,147,874 | — | 6,244,033 |
| Columbia Variable Portfolio – Disciplined Core Fund, Class 1 Shares |
| | 847,899,756 | — | (18,812,603) | (185,772,526) | 643,314,627 | — | 25,187,320 | — | 9,025,177 |
| Columbia Variable Portfolio – Intermediate Bond Fund, Class 1 Shares |
| | 764,704,221 | 16,350 | (18,611,621) | (97,229,024) | 648,879,926 | — | (1,301,504) | — | 72,338,899 |
| Columbia Variable Portfolio – Large Cap Growth Fund, Class 1 Shares |
| | 421,739,430 | 21,424,524 | (117,857) | (125,936,600) | 317,109,497 | — | 222,710 | — | 11,876,760 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Notes to Portfolio of Investments (continued)
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Capital gain
distributions($) | Realized gain
(loss)($) | Dividends —
affiliated
issuers ($) | End of
period shares |
| Columbia Variable Portfolio – Limited Duration Credit Fund, Class 1 Shares |
| | 233,965,697 | 4,662 | (13,847,044) | (13,772,186) | 206,351,129 | — | (1,449,632) | — | 22,453,877 |
| Columbia Variable Portfolio – Long Government/Credit Bond Fund, Class 1 Shares |
| | 473,921,343 | 17,947,986 | (632,540) | (104,238,001) | 386,998,788 | — | 26,509 | — | 44,380,595 |
| Columbia Variable Portfolio – Overseas Core Fund, Class 1 Shares |
| | 949,199,562 | 68,101,098 | (14,977,309) | (251,428,751) | 750,894,600 | 59,535,217 | 3,346,884 | 6,637,881 | 67,526,493 |
| Columbia Variable Portfolio – Select Large Cap Equity Fund, Class 1 Shares |
| | 841,891,835 | — | (20,263,686) | (180,176,286) | 641,451,863 | — | 14,131,303 | — | 43,695,631 |
| Columbia Variable Portfolio – Select Large Cap Value Fund, Class 1 Shares |
| | 427,523,128 | — | (24,134,344) | (69,527,993) | 333,860,791 | — | 27,619,602 | — | 10,043,947 |
| Columbia Variable Portfolio – Select Mid Cap Growth Fund, Class 1 Shares |
| | 87,490,110 | 9,679,830 | — | (30,519,727) | 66,650,213 | — | — | — | 1,948,837 |
| Columbia Variable Portfolio – Select Mid Cap Value Fund, Class 1 Shares |
| | 93,893,786 | — | (4,424,563) | (18,407,108) | 71,062,115 | — | 4,202,958 | — | 2,299,001 |
| Columbia Variable Portfolio – Small Cap Value Fund, Class 1 Shares |
| | 89,260,091 | — | (3,983,289) | (15,119,945) | 70,156,857 | — | 1,339,514 | — | 4,032,003 |
| Columbia Variable Portfolio – Small Company Growth Fund, Class 1 Shares |
| | 86,528,918 | — | — | (33,632,396) | 52,896,522 | — | — | — | 3,547,721 |
| Columbia Variable Portfolio – U.S. Government Mortgage Fund, Class 1 Shares |
| | 230,939,247 | 10,551 | (6,476,699) | (21,191,104) | 203,281,995 | — | (567,855) | — | 21,718,162 |
| CTIVP® – Allspring Short Duration Government Fund, Class 1 Shares |
| | 174,346,658 | 1,278,369 | (181,348,532) | 5,723,505 | — | 888,458 | (12,789,225) | 385,698 | — |
| CTIVP® – American Century Diversified Bond Fund, Class 1 Shares |
| | 590,657,072 | 8,236 | (20,063,928) | (68,053,619) | 502,547,761 | — | (962,724) | — | 50,609,040 |
| CTIVP® – MFS® Value Fund, Class 1 Shares |
| | 373,510,429 | — | (14,171,529) | (61,589,042) | 297,749,858 | — | 14,005,470 | — | 9,063,923 |
| CTIVP® – Morgan Stanley Advantage Fund, Class 1 Shares |
| | 319,514,125 | 106,406 | — | (126,458,437) | 193,162,094 | — | — | — | 5,327,140 |
| CTIVP® – Principal Blue Chip Growth Fund, Class 1 Shares |
| | 363,066,503 | 17,468,000 | (231,948) | (101,290,046) | 279,012,509 | — | 375,328 | — | 6,568,091 |
| CTIVP® – T. Rowe Price Large Cap Value Fund, Class 1 Shares |
| | 371,736,211 | — | (22,449,435) | (51,791,023) | 297,495,753 | — | 17,887,084 | — | 9,815,102 |
| CTIVP® – TCW Core Plus Bond Fund, Class 1 Shares |
| | 764,707,694 | 16,911 | (24,926,924) | (82,636,815) | 657,160,866 | — | (1,252,598) | — | 68,812,656 |
| CTIVP® – Victory Sycamore Established Value Fund, Class 1 Shares |
| | 92,024,794 | — | (4,840,542) | (14,308,443) | 72,875,809 | — | 5,029,537 | — | 1,894,847 |
| CTIVP® – Westfield Mid Cap Growth Fund, Class 1 Shares |
| | 90,240,155 | 4,326,524 | (170,037) | (25,980,272) | 68,416,370 | — | 229,476 | — | 1,996,392 |
| Variable Portfolio – Partners Core Bond Fund, Class 1 Shares |
| | 883,709,552 | 15,121 | (33,884,784) | (90,279,816) | 759,560,073 | — | (2,534,120) | — | 76,414,494 |
| Variable Portfolio – Partners Core Equity Fund, Class 1 Shares |
| | 416,501,598 | — | (6,764,584) | (88,014,012) | 321,723,002 | — | 9,877,079 | — | 11,021,686 |
| Variable Portfolio – Partners International Core Equity Fund, Class 1 Shares |
| | 512,808,164 | 86,820,586 | (2,885,373) | (198,404,817) | 398,338,560 | 72,163,236 | 545,871 | 8,722,349 | 47,252,498 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022
| 13 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Notes to Portfolio of Investments (continued)
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Capital gain
distributions($) | Realized gain
(loss)($) | Dividends —
affiliated
issuers ($) | End of
period shares |
| Variable Portfolio – Partners International Growth Fund, Class 1 Shares |
| | 329,760,663 | 37,428,971 | — | (112,353,193) | 254,836,441 | 16,004,082 | — | — | 26,190,795 |
| Variable Portfolio – Partners International Value Fund, Class 1 Shares |
| | 331,970,001 | 6,979,962 | (15,664,180) | (60,987,614) | 262,298,169 | — | 580,641 | 6,979,962 | 31,832,302 |
| Variable Portfolio – Partners Small Cap Growth Fund, Class 1 Shares |
| | 225,841,833 | 23,974,549 | — | (69,268,585) | 180,547,797 | — | — | — | 6,818,270 |
| Variable Portfolio – Partners Small Cap Value Fund, Class 1 Shares |
| | 242,339,116 | — | (9,130,062) | (43,634,990) | 189,574,064 | — | 5,300,684 | — | 6,043,165 |
| Total | 14,593,293,739 | | | (2,393,674,498) | 11,515,560,454 | 148,590,993 | 116,530,952 | 27,826,298 | |
| (e) | Non-income producing investment. |
| (f) | Represents a security purchased on a when-issued basis. |
| (g) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
Abbreviation Legend
| LIBOR | London Interbank Offered Rate |
| TBA | To Be Announced |
Currency Legend
| AUD | Australian Dollar |
| CHF | Swiss Franc |
| EUR | Euro |
| GBP | British Pound |
| JPY | Japanese Yen |
| NOK | Norwegian Krone |
| SEK | Swedish Krona |
| SGD | Singapore Dollar |
| 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.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (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 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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Assets at NAV ($) | Total ($) |
| Investments in Securities | | | | | |
| Corporate Bonds & Notes | — | 41,401,811 | — | — | 41,401,811 |
| Equity Funds | — | — | — | 5,969,480,613 | 5,969,480,613 |
| Exchange-Traded Equity Funds | 524,441,017 | — | — | — | 524,441,017 |
| Exchange-Traded Fixed Income Funds | 634,952,904 | — | — | — | 634,952,904 |
| Fixed Income Funds | — | — | — | 3,364,780,538 | 3,364,780,538 |
| Residential Mortgage-Backed Securities - Agency | — | 1,260,121,486 | — | — | 1,260,121,486 |
| U.S. Treasury Obligations | 1,335,630 | — | — | — | 1,335,630 |
| Options Purchased Puts | 177,013,800 | — | — | — | 177,013,800 |
| Money Market Funds | 2,181,299,303 | — | — | — | 2,181,299,303 |
| Total Investments in Securities | 3,519,042,654 | 1,301,523,297 | — | 9,334,261,151 | 14,154,827,102 |
| Investments in Derivatives | | | | | |
| Asset | | | | | |
| Forward Foreign Currency Exchange Contracts | — | 2,743,600 | — | — | 2,743,600 |
| Futures Contracts | 34,873,811 | — | — | — | 34,873,811 |
| Liability | | | | | |
| Forward Foreign Currency Exchange Contracts | — | (1,028,468) | — | — | (1,028,468) |
| Futures Contracts | (8,714,769) | — | — | — | (8,714,769) |
| Swap Contracts | — | (2,769,591) | — | — | (2,769,591) |
| Total | 3,545,201,696 | 1,300,468,838 | — | 9,334,261,151 | 14,179,931,685 |
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).
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022
| 15 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $2,436,861,452) | $2,462,252,848 |
| Affiliated issuers (cost $10,963,876,228) | 11,515,560,454 |
| Options purchased (cost $145,002,175) | 177,013,800 |
| Cash | 2,016,000 |
| Cash collateral held at broker for: | |
| TBA | 35,725,538 |
| Margin deposits on: | |
| Futures contracts | 118,453,946 |
| Swap contracts | 6,061,832 |
| Unrealized appreciation on forward foreign currency exchange contracts | 2,743,600 |
| Receivable for: | |
| Investments sold | 10,246,884 |
| Investments sold on a delayed delivery basis | 1,361,983,658 |
| Capital shares sold | 11,805 |
| Dividends | 3,382,824 |
| Interest | 1,592,394 |
| Foreign tax reclaims | 1,438 |
| Variation margin for futures contracts | 19,713,827 |
| Prepaid expenses | 76,104 |
| Total assets | 15,716,836,952 |
| Liabilities | |
| Unrealized depreciation on forward foreign currency exchange contracts | 1,028,468 |
| Payable for: | |
| Investments purchased | 112,013 |
| Investments purchased on a delayed delivery basis | 2,640,197,257 |
| Capital shares purchased | 14,523,962 |
| Variation margin for futures contracts | 7,540,038 |
| Variation margin for swap contracts | 69,384 |
| Management services fees | 69,147 |
| Distribution and/or service fees | 89,474 |
| Service fees | 655,568 |
| Compensation of board members | 554,859 |
| Compensation of chief compliance officer | 1,467 |
| Other expenses | 91,266 |
| Total liabilities | 2,664,932,903 |
| Net assets applicable to outstanding capital stock | $13,051,904,049 |
| Represented by | |
| Trust capital | $13,051,904,049 |
| Total - representing net assets applicable to outstanding capital stock | $13,051,904,049 |
| Class 1 | |
| Net assets | $11,453,162 |
| Shares outstanding | 737,041 |
| Net asset value per share | $15.54 |
| Class 2 | |
| Net assets | $13,040,450,887 |
| Shares outstanding | 844,947,837 |
| Net asset value per share | $15.43 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $13,720,336 |
| Dividends — affiliated issuers | 27,826,298 |
| Interest | 962,240 |
| Total income | 42,508,874 |
| Expenses: | |
| Management services fees | 13,134,907 |
| Distribution and/or service fees | |
| Class 2 | 18,103,439 |
| Service fees | 4,340,987 |
| Compensation of board members | 58,588 |
| Custodian fees | 25,417 |
| Printing and postage fees | 36,064 |
| Audit fees | 15,301 |
| Legal fees | 80,825 |
| Interest on collateral | 84,738 |
| Compensation of chief compliance officer | 965 |
| Other | 81,181 |
| Total expenses | 35,962,412 |
| Net investment income | 6,546,462 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (124,868,163) |
| Investments — affiliated issuers | 116,530,952 |
| Capital gain distributions from underlying affiliated funds | 148,590,993 |
| Foreign currency translations | (5,010,046) |
| Forward foreign currency exchange contracts | 9,793,353 |
| Futures contracts | (316,017,007) |
| Options purchased | (24,154,847) |
| Swap contracts | (436,867) |
| Net realized loss | (195,571,632) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (285,754,934) |
| Investments — affiliated issuers | (2,393,674,498) |
| Forward foreign currency exchange contracts | 1,715,132 |
| Futures contracts | 1,923,822 |
| Options purchased | 108,162,439 |
| Swap contracts | (3,224,510) |
| Net change in unrealized appreciation (depreciation) | (2,570,852,549) |
| Net realized and unrealized loss | (2,766,424,181) |
| Net decrease in net assets resulting from operations | $(2,759,877,719) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022
| 17 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $6,546,462 | $76,606,444 |
| Net realized gain (loss) | (195,571,632) | 1,348,344,067 |
| Net change in unrealized appreciation (depreciation) | (2,570,852,549) | (70,623,358) |
| Net increase (decrease) in net assets resulting from operations | (2,759,877,719) | 1,354,327,153 |
| Decrease in net assets from capital stock activity | (564,311,420) | (824,111,038) |
| Total increase (decrease) in net assets | (3,324,189,139) | 530,216,115 |
| Net assets at beginning of period | 16,376,093,188 | 15,845,877,073 |
| Net assets at end of period | $13,051,904,049 | $16,376,093,188 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 147,742 | 2,523,636 | 362,865 | 6,635,428 |
| Redemptions | (6,324) | (106,648) | (15,595) | (287,069) |
| Net increase | 141,418 | 2,416,988 | 347,270 | 6,348,359 |
| Class 2 | | | | |
| Subscriptions | 306,347 | 5,317,610 | 2,671,476 | 47,602,993 |
| Redemptions | (34,106,873) | (572,046,018) | (48,622,556) | (878,062,390) |
| Net decrease | (33,800,526) | (566,728,408) | (45,951,080) | (830,459,397) |
| Total net decrease | (33,659,108) | (564,311,420) | (45,603,810) | (824,111,038) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
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Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $18.73 | 0.03 | (3.22) | (3.19) |
| Year Ended 12/31/2021 | $17.18 | 0.13 | 1.42 | 1.55 |
| Year Ended 12/31/2020 | $15.53 | 0.13 | 1.52 | 1.65 |
| Year Ended 12/31/2019(e) | $14.19 | 0.13 | 1.21 | 1.34 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $18.62 | 0.01 | (3.20) | (3.19) |
| Year Ended 12/31/2021 | $17.13 | 0.08 | 1.41 | 1.49 |
| Year Ended 12/31/2020 | $15.52 | 0.08 | 1.53 | 1.61 |
| Year Ended 12/31/2019 | $13.36 | 0.18 | 1.98 | 2.16 |
| Year Ended 12/31/2018 | $14.19 | 0.13 | (0.96) | (0.83) |
| Year Ended 12/31/2017 | $12.41 | 0.09 | 1.69 | 1.78 |
| 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) | Annualized. |
| (d) | Ratios include interest on collateral expense which is less than 0.01%. |
| (e) | Class 1 shares commenced operations on February 20, 2019. Per share data and total return reflect activity from that date. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $15.54 | (17.03%) | 0.25%(c),(d) | 0.25%(c),(d) | 0.35%(c) | 86% | $11,453 |
| Year Ended 12/31/2021 | $18.73 | 9.02% | 0.25%(d) | 0.25%(d) | 0.69% | 184% | $11,155 |
| Year Ended 12/31/2020 | $17.18 | 10.63% | 0.25% | 0.25% | 0.82% | 163% | $4,268 |
| Year Ended 12/31/2019(e) | $15.53 | 9.44% | 0.24%(c) | 0.24%(c) | 1.01%(c) | 138% | $1,093 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $15.43 | (17.13%) | 0.50%(c),(d) | 0.50%(c),(d) | 0.09%(c) | 86% | $13,040,451 |
| Year Ended 12/31/2021 | $18.62 | 8.70% | 0.49%(d) | 0.49%(d) | 0.47% | 184% | $16,364,939 |
| Year Ended 12/31/2020 | $17.13 | 10.37% | 0.50% | 0.50% | 0.51% | 163% | $15,841,609 |
| Year Ended 12/31/2019 | $15.52 | 16.17% | 0.49% | 0.49% | 1.25% | 138% | $15,229,993 |
| Year Ended 12/31/2018 | $13.36 | (5.85%) | 0.49% | 0.49% | 0.90% | 92% | $13,743,943 |
| Year Ended 12/31/2017 | $14.19 | 14.34% | 0.47% | 0.47% | 0.69% | 98% | $14,678,387 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
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). The Fund is exposed to the same risks as the Underlying Funds in direct proportion to the allocation of its assets among the Underlying Funds. For information on the investment strategies, operations and risks of the Underlying Funds, please refer to the Fund’s current prospectus as well as the prospectuses and shareholder reports of the Underlying Funds, which are available from the Securities and Exchange Commission’s website at www.sec.gov. or on the Underlying Funds’ website at www.columbiathreadneedleus.com/resources/literature.
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 life insurance companies (Participating Insurance Companies) 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 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
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 market value, unless this method results in a valuation that management believes does not approximate fair 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
| 22 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
also be valued based upon an over-the-counter or exchange bid quote from an approved independent broker-dealer. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management believes does not approximate fair value.
Investments in the Underlying Funds (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
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 a settlement price, 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 mid-market evaluations from independent third-party vendors.
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, if available.
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, in seeking 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
Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022
| 23 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. 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 clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing 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 counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts and 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 instruments’ 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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as well. 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 may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in the Statement of Operations. 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 determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, 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.
| 24 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 and to shift U.S. dollar exposure to achieve a representative weighted mix of major currencies in its benchmark. 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. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without delivery of foreign currency.
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 generally expects to earn interest income on its margin deposits. 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 option contracts to produce incremental earnings, to decrease the Fund’s exposure to equity market risk and to protect gains. 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. Collateral may be collected or posted by the Fund to secure over-the-counter option contract trades. 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
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
realizes 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.
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. For a bilateral swap contract, the Fund has credit exposure to the broker, but exchanges daily variation margin with the broker based on the mark-to-market value of the swap contract to minimize that exposure. 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, that 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 credit risk exposure. These instruments may be used for other purposes in future periods. Credit default swap contracts are transactions 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 typically 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).
| 26 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 upfront receipts 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 upfront payment or receipt 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, 2022:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 34,795,736* |
| Equity risk | Investments, at value — Options Purchased | 177,013,800 |
| Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 2,743,600 |
| Interest rate risk | Component of trust capital — unrealized appreciation on futures contracts | 78,075* |
| Total | | 214,631,211 |
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| 27 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Credit risk | Component of trust capital - unrealized depreciation on swap contracts | 2,769,591* |
| Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 91,071* |
| Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 1,028,468 |
| Interest rate risk | Component of trust capital - unrealized depreciation on futures contracts | 8,623,698* |
| Total | | 12,512,828 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Options
contracts
purchased
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | — | — | (436,867) | (436,867) |
| Equity risk | — | (170,328,755) | (24,154,847) | — | (194,483,602) |
| Foreign exchange risk | 9,793,353 | 670,796 | — | — | 10,464,149 |
| Interest rate risk | — | (146,359,048) | — | — | (146,359,048) |
| Total | 9,793,353 | (316,017,007) | (24,154,847) | (436,867) | (330,815,368) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Options
contracts
purchased
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | — | — | (3,224,510) | (3,224,510) |
| Equity risk | — | 19,519,374 | 108,162,439 | — | 127,681,813 |
| Foreign exchange risk | 1,715,132 | (1,806,915) | — | — | (91,783) |
| Interest rate risk | — | (15,788,637) | — | — | (15,788,637) |
| Total | 1,715,132 | 1,923,822 | 108,162,439 | (3,224,510) | 108,576,883 |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 2,653,521,395 |
| Futures contracts — short | 702,596,923 |
| Credit default swap contracts — sell protection | 200,000,000 |
| Derivative instrument | Average
value ($)* |
| Options contracts — purchased | 183,030,725 |
| Derivative instrument | Average unrealized
appreciation ($)* | Average unrealized
depreciation ($)* |
| Forward foreign currency exchange contracts | 5,888,816 | (2,018,414) |
| 28 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
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.
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 may 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 may 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.
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| 29 |
Notes to Financial Statements (continued)
June 30, 2022 (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, 2022:
| | Barclays ($) | Citi ($) | Goldman
Sachs
International ($) | JPMorgan ($) | Morgan
Stanley ($) | UBS ($) | Total ($) |
| Assets | | | | | | | |
| Forward foreign currency exchange contracts | 1,871,900 | - | - | - | - | 871,700 | 2,743,600 |
| Options purchased puts | - | - | - | 177,013,800 | - | - | 177,013,800 |
| Total assets | 1,871,900 | - | - | 177,013,800 | - | 871,700 | 179,757,400 |
| Liabilities | | | | | | | |
| Centrally cleared credit default swap contracts (a) | - | - | - | - | 69,384 | - | 69,384 |
| Forward foreign currency exchange contracts | - | 676,436 | 352,032 | - | - | - | 1,028,468 |
| Total liabilities | - | 676,436 | 352,032 | - | 69,384 | - | 1,097,852 |
| Total financial and derivative net assets | 1,871,900 | (676,436) | (352,032) | 177,013,800 | (69,384) | 871,700 | 178,659,548 |
| Total collateral received (pledged) (b) | - | - | - | - | (69,384) | - | (69,384) |
| Net amount (c) | 1,871,900 | (676,436) | (352,032) | 177,013,800 | - | 871,700 | 178,728,932 |
| (a) | Centrally cleared swaps are included within payable/receivable for variation margin in 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.
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 collectability 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, the proceeds are recorded as realized gains.
| 30 | Variable Portfolio – Managed Volatility Moderate Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 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 in 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.
Note 3. Fees and other transactions with affiliates
Management services fees and underlying fund fees
The Fund has entered into a Management Agreement with Columbia Management Investment Advisers, LLC (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
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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, 2022 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.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.06% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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, including indirect expenses of the
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 classes’ average daily net assets:
| | May 1, 2022
through
April 30, 2023 | Prior to
May 1, 2022 |
| Class 1 | 0.79% | 0.80% |
| Class 2 | 1.04 | 1.05 |
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 securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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 $11,569,070,386 and $11,973,166,761, respectively, for the six months ended June 30, 2022, of which $10,876,647,931 and $10,918,922,676, 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 8. Significant risks
Derivatives risk
Losses involving derivative instruments may be substantial, because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency, 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, liquidity risk and pricing risk.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. 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 and noted 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 are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
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Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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 - Managed Volatility Moderate Growth Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
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Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
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Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that Fund performance was well within the range of that of its peers.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management
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Approval of Management Agreement (continued)
(Unaudited)
of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
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Variable Portfolio – Managed Volatility Moderate Growth Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – Emerging Markets Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term capital growth.
Portfolio management
Dara White, CFA
Lead Portfolio Manager
Managed Fund since 2012
Robert Cameron
Portfolio Manager
Managed Fund since 2012
Perry Vickery, CFA
Portfolio Manager
Managed Fund since 2017
Derek Lin, CFA
Portfolio Manager
Managed Fund since 2020
Darren Powell, CFA
Portfolio Manager
Managed Fund since 2021
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/03/10 | -29.92 | -39.78 | 1.44 | 3.54 |
| Class 2 | 05/03/10 | -29.96 | -39.92 | 1.19 | 3.29 |
| Class 3 | 05/01/00 | -29.97 | -39.87 | 1.31 | 3.40 |
| MSCI Emerging Markets Index (Net) | | -17.63 | -25.28 | 2.18 | 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 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.
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 10.6 |
| Consumer Discretionary | 21.5 |
| Consumer Staples | 2.1 |
| Energy | 3.5 |
| Financials | 22.4 |
| Health Care | 6.6 |
| Industrials | 6.5 |
| Information Technology | 25.0 |
| Materials | 0.4 |
| Real Estate | 1.4 |
| 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, 2022) |
| Argentina | 2.8 |
| Brazil | 6.2 |
| Canada | 0.8 |
| China | 35.0 |
| Hong Kong | 3.3 |
| India | 13.0 |
| Indonesia | 6.6 |
| Kazakhstan | 0.4 |
| Malaysia | 0.3 |
| Mexico | 1.0 |
| Philippines | 0.5 |
| Poland | 0.7 |
| Russian Federation | 0.0(a) |
| South Africa | 1.1 |
| South Korea | 10.8 |
| Taiwan | 12.8 |
| Thailand | 1.8 |
| United States(b) | 2.3 |
| Uruguay | 0.6 |
| 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, excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 700.80 | 1,019.19 | 4.77 | 5.66 | 1.13 |
| Class 2 | 1,000.00 | 1,000.00 | 700.40 | 1,017.95 | 5.82 | 6.90 | 1.38 |
| Class 3 | 1,000.00 | 1,000.00 | 700.30 | 1,018.60 | 5.27 | 6.26 | 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.
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 95.8% |
| Issuer | Shares | Value ($) |
| Argentina 2.8% |
| Globant SA(a) | 19,844 | 3,452,856 |
| MercadoLibre, Inc.(a) | 5,558 | 3,539,723 |
| Total | 6,992,579 |
| Brazil 5.4% |
| Afya Ltd., Class A(a) | 109,185 | 1,086,391 |
| Banco BTG Pactual SA | 215,931 | 924,219 |
| Itaú Unibanco Holding SA, ADR | 626,378 | 2,680,898 |
| Localiza Rent a Car SA | 252,944 | 2,531,639 |
| NU Holdings Ltd., Class A(a) | 262,960 | 983,470 |
| Pagseguro Digital Ltd., Class A(a) | 144,907 | 1,483,848 |
| Petro Rio SA(a) | 527,706 | 2,215,307 |
| XP, Inc., Class A(a) | 101,268 | 1,818,773 |
| Total | 13,724,545 |
| Canada 0.8% |
| Parex Resources, Inc. | 118,123 | 2,000,529 |
| China 35.1% |
| Alibaba Group Holding Ltd.(a) | 234,700 | 3,348,088 |
| Alibaba Group Holding Ltd., ADR(a) | 27,015 | 3,071,065 |
| Bafang Electric Suzhou Co., Ltd., Class A | 45,269 | 1,317,205 |
| Baidu, Inc. Class A(a) | 165,950 | 3,143,623 |
| Beijing Kingsoft Office Software, Inc., Class A | 27,178 | 801,928 |
| Beijing Oriental Yuhong Waterproof Technology Co., Ltd., Class A | 113,800 | 876,698 |
| Bilibili, Inc.(a) | 24,300 | 622,959 |
| China Animal Healthcare Ltd.(a),(b),(c) | 4,603,000 | 1 |
| China Tourism Group Duty Free Corp., Ltd., Class A(a) | 72,000 | 2,510,116 |
| Contemporary Amperex Technology Co., Ltd., Class A | 19,600 | 1,570,204 |
| Country Garden Services Holdings Co., Ltd. | 644,000 | 2,890,189 |
| Full Truck Alliance Co., Ltd., ADR(a) | 125,079 | 1,133,216 |
| JD.com, Inc., ADR | 112,335 | 7,214,154 |
| JD.com, Inc., Class A | 43,714 | 1,408,598 |
| KE Holdings, Inc., ADR(a) | 94,593 | 1,697,944 |
| Kingdee International Software Group Co., Ltd.(a) | 627,150 | 1,477,572 |
| Kuaishou Technology(a) | 179,200 | 2,013,971 |
| Li Ning Co., Ltd. | 473,000 | 4,404,147 |
| Medlive Technology Co., Ltd. | 216,754 | 319,856 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Meituan, Class B(a) | 388,800 | 9,702,228 |
| Midea Group Co., Ltd., Class A | 377,500 | 3,416,774 |
| NetEase, Inc. | 64,800 | 1,220,800 |
| NetEase, Inc., ADR | 46,021 | 4,296,520 |
| New Horizon Health Ltd.(a) | 251,000 | 757,513 |
| Pinduoduo, Inc., ADR(a) | 28,481 | 1,760,126 |
| Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A | 54,100 | 2,536,768 |
| Shenzhou International Group Holdings Ltd. | 186,800 | 2,280,008 |
| Silergy Corp. | 15,000 | 1,212,891 |
| Tencent Holdings Ltd. | 278,601 | 12,610,915 |
| WuXi AppTec Co., Ltd., Class H | 173,539 | 2,321,597 |
| WuXi Biologics Cayman, Inc.(a) | 603,000 | 5,587,050 |
| Zhejiang Sanhua Intelligent Controls Co., Ltd., Class A | 341,000 | 1,402,456 |
| Total | 88,927,180 |
| Hong Kong 3.3% |
| AIA Group Ltd. | 310,200 | 3,389,422 |
| Hong Kong Exchanges and Clearing Ltd. | 32,300 | 1,597,438 |
| Techtronic Industries Co., Ltd. | 326,003 | 3,404,173 |
| Total | 8,391,033 |
| India 13.1% |
| Apollo Hospitals Enterprise Ltd. | 58,978 | 2,759,399 |
| AU Small Finance Bank Ltd.(a) | 220,006 | 1,655,608 |
| Bajaj Finance Ltd. | 25,450 | 1,751,142 |
| Balkrishna Industries Ltd. | 68,938 | 1,884,924 |
| Cholamandalam Investment and Finance Co., Ltd. | 286,411 | 2,256,156 |
| Divi’s Laboratories Ltd. | 17,218 | 793,640 |
| Dixon Technologies India Ltd. | 13,953 | 634,259 |
| Eicher Motors Ltd. | 39,021 | 1,386,324 |
| Godrej Properties Ltd.(a) | 34,332 | 516,199 |
| HDFC Bank Ltd., ADR | 76,497 | 4,204,275 |
| HDFC Life Insurance Co., Ltd. | 138,529 | 967,240 |
| ICICI Bank Ltd., ADR | 280,335 | 4,973,143 |
| Infosys Ltd., ADR | 203,619 | 3,768,988 |
| InterGlobe Aviation Ltd.(a) | 57,455 | 1,175,756 |
| Reliance Industries Ltd.(a) | 132,461 | 4,373,780 |
| Total | 33,100,833 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Indonesia 6.6% |
| PT Ace Hardware Indonesia Tbk | 10,507,500 | 543,096 |
| PT Astra International Tbk | 4,813,000 | 2,144,993 |
| PT Bank BTPN Syariah Tbk | 7,985,800 | 1,513,261 |
| PT Bank Central Asia Tbk | 10,691,000 | 5,205,875 |
| PT Bank Rakyat Indonesia Persero Tbk | 26,224,539 | 7,323,617 |
| Total | 16,730,842 |
| Kazakhstan 0.4% |
| Kaspi.KZ JSC, GDR(b),(c),(d) | 19,550 | 889,525 |
| Malaysia 0.3% |
| Public Bank Bhd | 684,900 | 679,397 |
| Mexico 1.0% |
| Wal-Mart de Mexico SAB de CV, Class V | 764,245 | 2,629,889 |
| Philippines 0.5% |
| Ayala Land, Inc. | 2,859,200 | 1,329,005 |
| Poland 0.7% |
| Dino Polska SA(a) | 26,266 | 1,873,469 |
| Russian Federation 0.0% |
| Detsky Mir PJSC(b),(c),(e) | 911,435 | 0 |
| Fix Price Group Ltd., GDR(b),(c),(d),(e) | 502,952 | 1 |
| Ozon Holdings PLC, ADR(a),(b),(c),(e) | 58,548 | 0 |
| TCS Group Holding PLC, GDR(a),(b),(c),(e) | 26,653 | 0 |
| Yandex NV, Class A(a),(b),(c),(e) | 73,098 | 0 |
| Total | 1 |
| South Africa 1.1% |
| Capitec Bank Holdings Ltd. | 16,405 | 2,010,602 |
| Clicks Group Ltd. | 43,489 | 730,602 |
| Total | 2,741,204 |
| South Korea 9.5% |
| Coupang, Inc.(a) | 132,068 | 1,683,867 |
| Hana Financial Group, Inc. | 62,844 | 1,910,064 |
| NAVER Corp. | 8,844 | 1,649,641 |
| Samsung Biologics Co., Ltd.(a) | 2,096 | 1,281,425 |
| Samsung Electro-Mechanics Co., Ltd. | 17,173 | 1,737,456 |
| Samsung Electronics Co., Ltd. | 207,814 | 9,166,127 |
| Samsung SDI Co., Ltd. | 6,506 | 2,682,977 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| SK Hynix, Inc. | 56,922 | 4,019,497 |
| Total | 24,131,054 |
| Taiwan 12.8% |
| ASMedia Technology, Inc. | 30,000 | 1,129,788 |
| Cathay Financial Holding Co., Ltd. | 2,105,000 | 3,604,543 |
| Chailease Holding Co., Ltd. | 113,400 | 795,665 |
| Delta Electronics | 212,000 | 1,580,726 |
| MediaTek, Inc. | 88,000 | 1,931,704 |
| Parade Technologies Ltd. | 42,000 | 1,635,088 |
| Sea Ltd. ADR(a) | 10,466 | 699,757 |
| Taiwan Semiconductor Manufacturing Co., Ltd. | 1,184,838 | 18,988,631 |
| Unimicron Technology Corp. | 394,356 | 2,110,537 |
| Total | 32,476,439 |
| Thailand 1.8% |
| Kasikornbank PCL, Foreign Registered Shares | 592,500 | 2,528,382 |
| Muangthai Capital PCL, Foreign Registered Shares | 1,576,900 | 1,908,861 |
| Total | 4,437,243 |
| Uruguay 0.6% |
| Dlocal Ltd.(a) | 61,043 | 1,602,379 |
Total Common Stocks
(Cost $255,986,883) | 242,657,146 |
| Preferred Stocks 2.1% |
| Issuer | | Shares | Value ($) |
| Brazil 0.8% |
| Azul SA(a) | | 884,592 | 2,089,168 |
| South Korea 1.3% |
| Samsung Electronics Co., Ltd. | | 80,792 | 3,247,467 |
Total Preferred Stocks
(Cost $6,490,590) | 5,336,635 |
| Money Market Funds 2.3% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(f),(g) | 5,736,670 | 5,733,228 |
Total Money Market Funds
(Cost $5,733,215) | 5,733,228 |
Total Investments in Securities
(Cost $268,210,688) | 253,727,009 |
| Other Assets & Liabilities, Net | | (577,732) |
| Net Assets | $253,149,277 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
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, 2022, the total value of these securities amounted to $889,527, which represents 0.35% of total net assets. |
| (c) | Valuation based on significant unobservable inputs. |
| (d) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2022, the total value of these securities amounted to $889,526, which represents 0.35% of total net assets. |
| (e) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. 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, 2022, the total market value of these securities amounted to $1, which represents less than 0.01% of total net assets. Additional information on these securities is as follows: |
| Security | Acquisition
Dates | Shares | Cost ($) | Value ($) |
| Yandex NV, Class A | 09/01/2017-04/02/2020 | 73,098 | 2,575,554 | — |
| Detsky Mir PJSC | 02/08/2017-09/21/2020 | 911,435 | 1,345,538 | — |
| TCS Group Holding PLC, GDR | 01/10/2018-01/25/2022 | 26,653 | 726,918 | — |
| Ozon Holdings PLC, ADR | 12/17/2020-09/21/2021 | 58,548 | 2,951,530 | — |
| Fix Price Group Ltd., GDR | 03/05/2021-03/08/2021 | 502,952 | 4,907,336 | 1 |
| | | | 12,506,876 | 1 |
| (f) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (g) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 11,904,161 | 44,885,492 | (51,057,024) | 599 | 5,733,228 | (4,286) | 15,473 | 5,736,670 |
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.). |
| ■ | 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.
| 8 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Fair value measurements (continued)
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 market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Argentina | 6,992,579 | — | — | 6,992,579 |
| Brazil | 13,724,545 | — | — | 13,724,545 |
| Canada | 2,000,529 | — | — | 2,000,529 |
| China | 19,173,025 | 69,754,154 | 1 | 88,927,180 |
| Hong Kong | — | 8,391,033 | — | 8,391,033 |
| India | 12,946,406 | 20,154,427 | — | 33,100,833 |
| Indonesia | — | 16,730,842 | — | 16,730,842 |
| Kazakhstan | — | — | 889,525 | 889,525 |
| Malaysia | — | 679,397 | — | 679,397 |
| Mexico | 2,629,889 | — | — | 2,629,889 |
| Philippines | — | 1,329,005 | — | 1,329,005 |
| Poland | — | 1,873,469 | — | 1,873,469 |
| Russian Federation | — | — | 1 | 1 |
| South Africa | — | 2,741,204 | — | 2,741,204 |
| South Korea | 1,683,867 | 22,447,187 | — | 24,131,054 |
| Taiwan | 699,757 | 31,776,682 | — | 32,476,439 |
| Thailand | — | 4,437,243 | — | 4,437,243 |
| Uruguay | 1,602,379 | — | — | 1,602,379 |
| Total Common Stocks | 61,452,976 | 180,314,643 | 889,527 | 242,657,146 |
| Preferred Stocks | | | | |
| Brazil | 2,089,168 | — | — | 2,089,168 |
| South Korea | — | 3,247,467 | — | 3,247,467 |
| Total Preferred Stocks | 2,089,168 | 3,247,467 | — | 5,336,635 |
| Money Market Funds | 5,733,228 | — | — | 5,733,228 |
| Total Investments in Securities | 69,275,372 | 183,562,110 | 889,527 | 253,727,009 |
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.
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022
| 9 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $262,477,473) | $247,993,781 |
| Affiliated issuers (cost $5,733,215) | 5,733,228 |
| Foreign currency (cost $156,859) | 156,859 |
| Receivable for: | |
| Capital shares sold | 1,017 |
| Dividends | 514,221 |
| Foreign tax reclaims | 35,983 |
| Expense reimbursement due from Investment Manager | 813 |
| Prepaid expenses | 6,690 |
| Total assets | 254,442,592 |
| Liabilities | |
| Due to custodian | 2,041 |
| Payable for: | |
| Investments purchased | 156,859 |
| Capital shares purchased | 181,938 |
| Foreign capital gains taxes deferred | 786,880 |
| Management services fees | 5,319 |
| Distribution and/or service fees | 599 |
| Service fees | 10,385 |
| Compensation of board members | 111,694 |
| Compensation of chief compliance officer | 32 |
| Other expenses | 37,568 |
| Total liabilities | 1,293,315 |
| Net assets applicable to outstanding capital stock | $253,149,277 |
| Represented by | |
| Paid in capital | 259,832,431 |
| Total distributable earnings (loss) | (6,683,154) |
| Total - representing net assets applicable to outstanding capital stock | $253,149,277 |
| Class 1 | |
| Net assets | $61,474,972 |
| Shares outstanding | 6,539,708 |
| Net asset value per share | $9.40 |
| Class 2 | |
| Net assets | $59,716,588 |
| Shares outstanding | 6,477,868 |
| Net asset value per share | $9.22 |
| Class 3 | |
| Net assets | $131,957,717 |
| Shares outstanding | 14,155,894 |
| Net asset value per share | $9.32 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $2,263,034 |
| Dividends — affiliated issuers | 15,473 |
| Interfund lending | 3 |
| Foreign taxes withheld | (420,586) |
| Total income | 1,857,924 |
| Expenses: | |
| Management services fees | 1,620,213 |
| Distribution and/or service fees | |
| Class 2 | 84,755 |
| Class 3 | 97,731 |
| Service fees | 69,609 |
| Compensation of board members | 2,840 |
| Custodian fees | 62,104 |
| Printing and postage fees | 19,958 |
| Audit fees | 23,117 |
| Legal fees | 6,760 |
| Compensation of chief compliance officer | 15 |
| Other | 30,663 |
| Total expenses | 2,017,765 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (176,084) |
| Total net expenses | 1,841,681 |
| Net investment income | 16,243 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 10,298,104 |
| Investments — affiliated issuers | (4,286) |
| Foreign currency translations | (109,931) |
| Net realized gain | 10,183,887 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (120,032,255) |
| Investments — affiliated issuers | 599 |
| Foreign currency translations | (1,360) |
| Foreign capital gains tax | 1,363,845 |
| Net change in unrealized appreciation (depreciation) | (118,669,171) |
| Net realized and unrealized loss | (108,485,284) |
| Net decrease in net assets resulting from operations | $(108,469,041) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022
| 11 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income (loss) | $16,243 | $(1,132,869) |
| Net realized gain | 10,183,887 | 80,156,583 |
| Net change in unrealized appreciation (depreciation) | (118,669,171) | (104,820,839) |
| Net decrease in net assets resulting from operations | (108,469,041) | (25,797,125) |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class 1 | (19,236,412) | (6,131,794) |
| Class 2 | (18,957,219) | (3,847,632) |
| Class 3 | (41,600,090) | (10,278,225) |
| Total distributions to shareholders | (79,793,721) | (20,257,651) |
| Increase (decrease) in net assets from capital stock activity | 80,395,822 | (61,812,019) |
| Total decrease in net assets | (107,866,940) | (107,866,795) |
| Net assets at beginning of period | 361,016,217 | 468,883,012 |
| Net assets at end of period | $253,149,277 | $361,016,217 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 142,737 | 2,193,438 | 185,706 | 4,005,276 |
| Distributions reinvested | 2,022,756 | 19,236,412 | 272,325 | 6,131,794 |
| Redemptions | (36,000) | (535,929) | (3,867,668) | (86,223,548) |
| Net increase (decrease) | 2,129,493 | 20,893,921 | (3,409,637) | (76,086,478) |
| Class 2 | | | | |
| Subscriptions | 388,690 | 6,207,877 | 787,974 | 17,403,719 |
| Distributions reinvested | 2,034,037 | 18,957,219 | 172,269 | 3,847,632 |
| Redemptions | (149,378) | (2,243,134) | (242,592) | (5,172,823) |
| Net increase | 2,273,349 | 22,921,962 | 717,651 | 16,078,528 |
| Class 3 | | | | |
| Subscriptions | 159,912 | 2,605,708 | 273,093 | 5,991,387 |
| Distributions reinvested | 4,411,462 | 41,600,090 | 457,739 | 10,278,225 |
| Redemptions | (496,135) | (7,625,859) | (840,148) | (18,073,681) |
| Net increase (decrease) | 4,075,239 | 36,579,939 | (109,316) | (1,804,069) |
| Total net increase (decrease) | 8,478,081 | 80,395,822 | (2,801,302) | (61,812,019) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
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Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022
| 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.
| | 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 | Total
distributions to
shareholders |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $19.42 | 0.01 | (5.77) | (5.76) | — | (4.26) | (4.26) |
| Year Ended 12/31/2021 | $21.90 | (0.03) | (1.41) | (1.44) | (0.24) | (0.80) | (1.04) |
| Year Ended 12/31/2020 | $18.98 | (0.01) | 5.36 | 5.35 | (0.12) | (2.31) | (2.43) |
| Year Ended 12/31/2019 | $16.38 | 0.09 | 4.79 | 4.88 | (0.04) | (2.25) | (2.29) |
| Year Ended 12/31/2018 | $21.04 | 0.14 | (4.67) | (4.53) | (0.13) | — | (0.13) |
| Year Ended 12/31/2017 | $14.29 | 0.05 | 6.73 | 6.78 | (0.03) | — | (0.03) |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $19.18 | (0.01) | (5.69) | (5.70) | — | (4.26) | (4.26) |
| Year Ended 12/31/2021 | $21.66 | (0.08) | (1.40) | (1.48) | (0.20) | (0.80) | (1.00) |
| Year Ended 12/31/2020 | $18.78 | (0.05) | 5.32 | 5.27 | (0.08) | (2.31) | (2.39) |
| Year Ended 12/31/2019 | $16.26 | 0.06 | 4.73 | 4.79 | (0.02) | (2.25) | (2.27) |
| Year Ended 12/31/2018 | $20.84 | 0.06 | (4.59) | (4.53) | (0.05) | — | (0.05) |
| Year Ended 12/31/2017 | $14.17 | 0.01 | 6.66 | 6.67 | (0.00)(g) | — | (0.00)(g) |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $19.32 | 0.00(g) | (5.74) | (5.74) | — | (4.26) | (4.26) |
| Year Ended 12/31/2021 | $21.80 | (0.06) | (1.40) | (1.46) | (0.22) | (0.80) | (1.02) |
| Year Ended 12/31/2020 | $18.89 | (0.03) | 5.35 | 5.32 | (0.10) | (2.31) | (2.41) |
| Year Ended 12/31/2019 | $16.33 | 0.08 | 4.76 | 4.84 | (0.03) | (2.25) | (2.28) |
| Year Ended 12/31/2018 | $20.96 | 0.09 | (4.63) | (4.54) | (0.09) | — | (0.09) |
| Year Ended 12/31/2017 | $14.24 | 0.03 | 6.71 | 6.74 | (0.02) | — | (0.02) |
| 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) | Annualized. |
| (d) | Ratios include interfund lending expense which is less than 0.01%. |
| (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 0.04%. |
| (g) | Rounds to zero. |
| (h) | 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.
| 14 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | Reimbursement
from affiliate | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | — | $9.40 | (29.92%) | 1.25%(c) | 1.13%(c) | 0.14%(c) | 29% | $61,475 |
| Year Ended 12/31/2021 | — | $19.42 | (7.20%) | 1.22%(d) | 1.14%(d) | (0.16%) | 28% | $85,630 |
| Year Ended 12/31/2020 | — | $21.90 | 33.61% | 1.23%(d),(e) | 1.14%(d),(e) | (0.05%) | 26% | $171,261 |
| Year Ended 12/31/2019 | 0.01 | $18.98 | 31.50%(f) | 1.22%(d) | 1.17%(d) | 0.53% | 26% | $133,990 |
| Year Ended 12/31/2018 | — | $16.38 | (21.62%) | 1.20%(d) | 1.20%(d) | 0.70% | 41% | $196,720 |
| Year Ended 12/31/2017 | — | $21.04 | 47.51% | 1.25%(e) | 1.24%(e) | 0.31% | 43% | $457,065 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | — | $9.22 | (29.96%) | 1.50%(c) | 1.38%(c) | (0.10%)(c) | 29% | $59,717 |
| Year Ended 12/31/2021 | — | $19.18 | (7.47%) | 1.48%(d) | 1.39%(d) | (0.39%) | 28% | $80,663 |
| Year Ended 12/31/2020 | — | $21.66 | 33.31% | 1.48%(d),(e) | 1.39%(d),(e) | (0.30%) | 26% | $75,522 |
| Year Ended 12/31/2019 | 0.00(g) | $18.78 | 31.13%(h) | 1.47%(d) | 1.42%(d) | 0.33% | 26% | $55,859 |
| Year Ended 12/31/2018 | — | $16.26 | (21.78%) | 1.47%(d) | 1.46%(d) | 0.33% | 41% | $42,531 |
| Year Ended 12/31/2017 | — | $20.84 | 47.10% | 1.50%(e) | 1.48%(e) | 0.04% | 43% | $46,421 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | — | $9.32 | (29.97%) | 1.37%(c) | 1.25%(c) | 0.00%(c),(g) | 29% | $131,958 |
| Year Ended 12/31/2021 | — | $19.32 | (7.33%) | 1.35%(d) | 1.26%(d) | (0.27%) | 28% | $194,723 |
| Year Ended 12/31/2020 | — | $21.80 | 33.51% | 1.35%(d),(e) | 1.27%(d),(e) | (0.18%) | 26% | $222,100 |
| Year Ended 12/31/2019 | 0.00(g) | $18.89 | 31.29%(h) | 1.34%(d) | 1.29%(d) | 0.45% | 26% | $196,505 |
| Year Ended 12/31/2018 | — | $16.33 | (21.73%) | 1.34%(d) | 1.33%(d) | 0.44% | 41% | $173,529 |
| Year Ended 12/31/2017 | — | $20.96 | 47.34% | 1.37%(e) | 1.36%(e) | 0.18% | 43% | $244,408 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements
June 30, 2022 (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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 16 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (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 investment company taxable income and net capital gain, 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 in 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 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 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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 1.10% to 0.70% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2022 was 1.10% of the Fund’s average daily net assets.
| 18 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.05% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | May 1, 2022
through
April 30, 2023 | Prior to
May 1, 2022 |
| Class 1 | 1.12% | 1.13% |
| Class 2 | 1.37 | 1.38 |
| Class 3 | 1.245 | 1.255 |
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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, 2022, the approximate cost of all 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) ($) |
| 268,211,000 | 39,772,000 | (54,256,000) | (14,484,000) |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
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 $92,263,785 and $86,276,499, respectively, for the six months ended June 30, 2022. 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
| 20 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended June 30, 2022 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Lender | 200,000 | 0.61 | 1 |
Interest income earned by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at June 30, 2022.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 9. Significant risks
Consumer discretionary sector risk
The Fund is more susceptible to the particular risks that may affect companies in the consumer discretionary sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the consumer 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.
Financial sector risk
The Fund is 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 one or more industries or sectors, which makes them vulnerable to economic conditions that affect such industries or sectors. Performance of such companies may be affected by competitive pressures and exposure to investments, agreements and counterparties, including credit products that, under certain circumstances, may lead to losses (e.g., subprime loans). Companies in the financial services sector are
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 involve heightened risks relative to investments in U.S. securities. Investing in foreign securities subjects the Fund to the risks associated with the issuer’s country of organization and places of business operations, including risks associated with political, regulatory, economic, social, diplomatic and other conditions or events occurring in the country or region, which may result in significant market volatility. In addition, certain foreign securities may be more volatile and less liquid than U.S. securities. Investing in emerging markets may increase these risks and expose the Fund to elevated risks associated with increased inflation, deflation or currency devaluation. 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 risks associated with the conditions, events or other factors impacting those countries or regions and may, therefore, have a greater risk than that of a fund that is more geographically diversified. The financial information and disclosure made available by issuers of emerging market securities may be considerably less reliable than publicly available information about other foreign securities. The Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in certain foreign countries. Investors in foreign countries often have limited rights and few practical remedies to pursue shareholder claims, including class actions or fraud claims, and the ability of the U.S. Securities and Exchange Commission, the U.S. Department of Justice and other authorities to bring and enforce actions against foreign issuers or foreign persons is limited.
Geographic focus risk
The Fund may be particularly susceptible to risks related to economic, political, regulatory or other events or conditions affecting issuers and countries within the specific geographic regions in which the Fund invests. The Fund’s net asset value may be more volatile than the net asset value of a more geographically diversified fund.
Asia Pacific Region. The Fund is particularly susceptible to economic, political, regulatory or other events or conditions affecting issuers and countries in the Asia Pacific region. Many of the countries in the region are considered underdeveloped or developing, including from a political, economic and/or social perspective, and may have relatively unstable governments and economies based on limited business, industries and/or natural resources or commodities. Events in any one country within the region may impact other countries in the region or the region as a whole. As a result, events in the region will generally have a greater effect on the Fund than if the Fund were more geographically diversified. This could result in increased volatility in the value of the Fund’s investments and losses for the Fund. Also, securities of some companies in the region can be less liquid than U.S. or other foreign securities, potentially making it difficult for the Fund to sell such securities at a desirable time and price.
Greater China. The Fund is particularly susceptible to economic, political, regulatory or other events or conditions affecting issuers in the Greater China region. The region consists of Hong Kong, The People’s Republic of China and Taiwan, among other countries, and the Fund’s investments in the region are particularly susceptible to risks in that region. The Hong Kong, Taiwanese, and Chinese economies are dependent on the economies of other countries and can be significantly affected by currency fluctuations and increasing competition from other emerging economies in Asia with lower costs. Adverse events in any one country within the region may impact the other countries in the region or Asia as a whole. As a result, adverse events in the region will generally have a greater effect on the Fund than if the Fund were more geographically diversified, which could result in greater volatility in the Fund’s net asset value and losses. Markets in the Greater China region can experience significant volatility due to social, economic, regulatory and political uncertainties. Changes in Chinese government policy and economic growth rates could significantly affect local markets and the entire Greater China region. China has yet to develop comprehensive securities, corporate, or commercial laws, its market is relatively new and less developed, and its economy is experiencing a relative slowdown. Export growth continues to be a major driver of China’s economic growth. As a result, a reduction in spending on Chinese products and services, the institution of additional tariffs or other trade barriers, including as a result of heightened trade tensions between China and the United States, or a downturn in any of the economies of China’s key trading partners may have an adverse impact on the Chinese economy.
| 22 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Information technology sector risk
The Fund is more susceptible to the particular risks that may affect companies in the information technology sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the information technology sector 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 information 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. Some companies in the information technology sector are facing increased government and regulatory scrutiny and may be subject to adverse government or regulatory action, which could negatively impact the value of their securities.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022
| 23 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, affiliated shareholders of record owned 99.6% 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Variable interest entity risk
Many Chinese companies to which the Fund seeks investment exposure use a structure known as a variable interest entity (a VIE) to address Chinese restrictions on direct foreign investment in Chinese companies operating in certain sectors. The Fund’s investment exposure to VIEs may pose additional risks because the Fund’s investment is in a holding company domiciled outside of China (a Holding Company) whose interests in the business of the underlying Chinese operating company (the VIE) are established through contracts rather than equity ownership. The VIE structure is a longstanding practice in China but, until recently, was not acknowledged by the Chinese government, creating uncertainty over the possibility that the Chinese government might cease to tolerate VIE structures at any time or impose new restrictions on the structure. In such a scenario, the Chinese operating company could be subject to penalties, including revocation of its business and operating license, or the Holding Company could forfeit its interest in the business of the Chinese operating company. Further, in case of a dispute, the remedies and rights of the Fund may be limited, and legal uncertainty may be exploited against the interests of the Fund. Control over a VIE may also be jeopardized if a natural person who holds the equity interest in the VIE breaches the terms of the contractual arrangements, is subject to legal proceedings, or if any physical instruments or property of the VIE, such as seals, business registration certificates, financial data and licensing arrangements (sometimes referred to as “chops”), are used without authorization. In the event of such an occurrence, the Fund, as a foreign investor, may have little or no legal recourse. In addition to the risk of government intervention, investments through a VIE structure are subject to the risks that the China-based company (or its officers, directors, or Chinese equity owners) may breach the contractual arrangements, that Chinese law changes in a way that adversely affects the enforceability of the arrangements and that the contracts are otherwise not enforceable under Chinese law, in which case a Fund may suffer significant losses on its investments through a VIE structure with little or no recourse available. Further, the Fund is not a VIE owner/shareholder and cannot exert influence through proxy voting or other means. Foreign companies listed on stock exchanges in the United States, including companies using the VIE structure, could also face delisting or other ramifications for failure to meet the expectations and/or requirements of U.S. regulators. Recently, however, China has proposed the adoption of rules which would affirm that VIEs are legally permissible, though there remains significant uncertainty over how these rules will operate. Any of these risks could reduce the liquidity and value of the Fund’s investments in Holding Companies or render them valueless.
Note 10. 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 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual
| 24 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
(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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022
| 25 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
| 26 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
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| 27 |
Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Manager and discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had
| 28 | Columbia Variable Portfolio – Emerging Markets Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
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Columbia Variable Portfolio – Emerging Markets Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – Disciplined Core Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with capital appreciation.
Portfolio management
Raghavendran Sivaraman, Ph.D., CFA
Co-Portfolio Manager
Managed Fund since 2019
Oleg Nusinzon, CFA
Co-Portfolio Manager
Managed Fund since 2021
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/03/10 | -19.56 | -9.01 | 10.81 | 12.42 |
| Class 2 | 05/03/10 | -19.67 | -9.24 | 10.53 | 12.14 |
| Class 3 | 10/13/81 | -19.62 | -9.13 | 10.67 | 12.28 |
| S&P 500 Index | | -19.96 | -10.62 | 11.31 | 12.96 |
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 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.
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Common Stocks | 98.7 |
| Money Market Funds | 1.3 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 9.1 |
| Consumer Discretionary | 10.5 |
| Consumer Staples | 6.7 |
| Energy | 4.1 |
| Financials | 10.6 |
| Health Care | 15.4 |
| Industrials | 8.5 |
| Information Technology | 26.9 |
| Materials | 2.5 |
| Real Estate | 3.1 |
| Utilities | 2.6 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 804.40 | 1,021.47 | 3.00 | 3.36 | 0.67 |
| Class 2 | 1,000.00 | 1,000.00 | 803.30 | 1,020.23 | 4.11 | 4.61 | 0.92 |
| Class 3 | 1,000.00 | 1,000.00 | 803.80 | 1,020.88 | 3.53 | 3.96 | 0.79 |
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.
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 98.8% |
| Issuer | Shares | Value ($) |
| Communication Services 9.0% |
| Diversified Telecommunication Services 0.6% |
| Verizon Communications, Inc. | 422,265 | 21,429,949 |
| Interactive Media & Services 7.3% |
| Alphabet, Inc., Class A(a) | 89,327 | 194,666,758 |
| Meta Platforms, Inc., Class A(a) | 442,943 | 71,424,559 |
| Total | | 266,091,317 |
| Media 1.1% |
| Interpublic Group of Companies, Inc. (The) | 1,457,972 | 40,137,969 |
| Total Communication Services | 327,659,235 |
| Consumer Discretionary 10.4% |
| Automobiles 0.6% |
| Tesla Motors, Inc.(a) | 32,559 | 21,925,882 |
| Hotels, Restaurants & Leisure 1.1% |
| Darden Restaurants, Inc. | 44,509 | 5,034,858 |
| Expedia Group, Inc.(a) | 376,608 | 35,713,737 |
| Total | | 40,748,595 |
| Household Durables 1.7% |
| Lennar Corp., Class A | 470,505 | 33,203,538 |
| PulteGroup, Inc. | 746,258 | 29,574,204 |
| Total | | 62,777,742 |
| Internet & Direct Marketing Retail 1.7% |
| Amazon.com, Inc.(a) | 564,680 | 59,974,663 |
| Specialty Retail 3.5% |
| AutoZone, Inc.(a) | 27,878 | 59,913,167 |
| O’Reilly Automotive, Inc.(a) | 89,961 | 56,833,761 |
| Ulta Beauty, Inc.(a) | 29,200 | 11,256,016 |
| Total | | 128,002,944 |
| Textiles, Apparel & Luxury Goods 1.8% |
| Ralph Lauren Corp. | 416,036 | 37,297,628 |
| Tapestry, Inc. | 317,495 | 9,689,947 |
| Under Armour, Inc., Class A(a) | 2,172,603 | 18,097,783 |
| Total | | 65,085,358 |
| Total Consumer Discretionary | 378,515,184 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Consumer Staples 6.6% |
| Food & Staples Retailing 0.7% |
| Kroger Co. (The) | 538,433 | 25,484,034 |
| Food Products 1.6% |
| Tyson Foods, Inc., Class A | 692,906 | 59,631,491 |
| Household Products 2.0% |
| Procter & Gamble Co. (The) | 510,509 | 73,406,089 |
| Tobacco 2.3% |
| Altria Group, Inc. | 1,210,234 | 50,551,474 |
| Philip Morris International, Inc. | 318,234 | 31,422,425 |
| Total | | 81,973,899 |
| Total Consumer Staples | 240,495,513 |
| Energy 4.1% |
| Oil, Gas & Consumable Fuels 4.1% |
| ConocoPhillips Co. | 154,259 | 13,854,001 |
| Devon Energy Corp. | 182,700 | 10,068,597 |
| Exxon Mobil Corp. | 1,064,491 | 91,163,009 |
| Marathon Petroleum Corp. | 417,162 | 34,294,888 |
| Total | | 149,380,495 |
| Total Energy | 149,380,495 |
| Financials 10.4% |
| Banks 2.0% |
| Wells Fargo & Co. | 1,829,007 | 71,642,204 |
| Capital Markets 2.3% |
| Bank of New York Mellon Corp. (The) | 341,457 | 14,242,171 |
| Morgan Stanley | 928,831 | 70,646,886 |
| Total | | 84,889,057 |
| Consumer Finance 2.0% |
| Capital One Financial Corp. | 489,930 | 51,045,807 |
| Discover Financial Services | 252,317 | 23,864,142 |
| Total | | 74,909,949 |
| Diversified Financial Services 0.2% |
| Voya Financial, Inc. | 119,711 | 7,126,396 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Insurance 3.9% |
| Allstate Corp. (The) | 131,764 | 16,698,452 |
| Aon PLC, Class A | 32,247 | 8,696,371 |
| Marsh & McLennan Companies, Inc. | 424,824 | 65,953,926 |
| MetLife, Inc. | 817,374 | 51,322,913 |
| Total | | 142,671,662 |
| Total Financials | 381,239,268 |
| Health Care 15.2% |
| Biotechnology 2.5% |
| AbbVie, Inc. | 231,422 | 35,444,594 |
| Amgen, Inc. | 14,883 | 3,621,034 |
| BioMarin Pharmaceutical, Inc.(a) | 128,947 | 10,685,838 |
| Regeneron Pharmaceuticals, Inc.(a) | 23,360 | 13,808,797 |
| Vertex Pharmaceuticals, Inc.(a) | 95,493 | 26,908,972 |
| Total | | 90,469,235 |
| Health Care Equipment & Supplies 1.6% |
| Abbott Laboratories | 536,894 | 58,333,533 |
| Health Care Providers & Services 3.8% |
| CVS Health Corp. | 494,845 | 45,852,338 |
| McKesson Corp. | 185,685 | 60,572,304 |
| Molina Healthcare, Inc.(a) | 123,666 | 34,578,250 |
| Total | | 141,002,892 |
| Life Sciences Tools & Services 1.9% |
| IQVIA Holdings, Inc.(a) | 321,706 | 69,806,985 |
| Pharmaceuticals 5.4% |
| Bristol-Myers Squibb Co. | 1,118,091 | 86,093,007 |
| Pfizer, Inc. | 1,978,083 | 103,710,891 |
| Viatris, Inc. | 587,706 | 6,153,282 |
| Total | | 195,957,180 |
| Total Health Care | 555,569,825 |
| Industrials 8.3% |
| Aerospace & Defense 3.7% |
| General Dynamics Corp. | 297,240 | 65,764,350 |
| Lockheed Martin Corp. | 107,314 | 46,140,728 |
| Textron, Inc. | 385,776 | 23,559,340 |
| Total | | 135,464,418 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Air Freight & Logistics 0.8% |
| United Parcel Service, Inc., Class B | 158,609 | 28,952,487 |
| Airlines 0.2% |
| Delta Air Lines, Inc.(a) | 103,415 | 2,995,933 |
| Southwest Airlines Co.(a) | 95,552 | 3,451,338 |
| Total | | 6,447,271 |
| Commercial Services & Supplies 0.9% |
| Cintas Corp. | 73,119 | 27,312,140 |
| Republic Services, Inc. | 54,903 | 7,185,156 |
| Total | | 34,497,296 |
| Electrical Equipment 1.1% |
| Emerson Electric Co. | 494,750 | 39,352,415 |
| Machinery 1.0% |
| Otis Worldwide Corp. | 299,694 | 21,179,375 |
| Snap-On, Inc. | 79,825 | 15,727,920 |
| Total | | 36,907,295 |
| Professional Services 0.3% |
| Robert Half International, Inc. | 140,132 | 10,494,485 |
| Road & Rail 0.3% |
| Norfolk Southern Corp. | 57,512 | 13,071,902 |
| Total Industrials | 305,187,569 |
| Information Technology 26.6% |
| Communications Equipment 2.0% |
| Cisco Systems, Inc. | 1,698,099 | 72,406,941 |
| IT Services 2.2% |
| Accenture PLC, Class A | 65,636 | 18,223,835 |
| Gartner, Inc.(a) | 62,800 | 15,186,924 |
| MasterCard, Inc., Class A | 83,956 | 26,486,439 |
| VeriSign, Inc.(a) | 126,381 | 21,147,333 |
| Total | | 81,044,531 |
| Semiconductors & Semiconductor Equipment 4.8% |
| Advanced Micro Devices, Inc.(a) | 680,940 | 52,071,482 |
| Lam Research Corp. | 135,948 | 57,934,240 |
| QUALCOMM, Inc. | 495,094 | 63,243,308 |
| Total | | 173,249,030 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Software 10.8% |
| Adobe, Inc.(a) | 163,032 | 59,679,494 |
| Autodesk, Inc.(a) | 97,231 | 16,719,843 |
| Fortinet, Inc.(a) | 1,175,485 | 66,508,941 |
| Microsoft Corp. | 985,100 | 253,003,233 |
| Total | | 395,911,511 |
| Technology Hardware, Storage & Peripherals 6.8% |
| Apple, Inc.(b) | 1,811,977 | 247,733,495 |
| Total Information Technology | 970,345,508 |
| Materials 2.5% |
| Chemicals 1.6% |
| Dow, Inc. | 1,115,921 | 57,592,683 |
| Metals & Mining 0.9% |
| Nucor Corp. | 311,221 | 32,494,585 |
| Total Materials | 90,087,268 |
| Real Estate 3.1% |
| Equity Real Estate Investment Trusts (REITS) 3.1% |
| SBA Communications Corp. | 128,558 | 41,144,988 |
| Simon Property Group, Inc. | 89,289 | 8,475,312 |
| Weyerhaeuser Co. | 1,937,946 | 64,184,771 |
| Total | | 113,805,071 |
| Total Real Estate | 113,805,071 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Utilities 2.6% |
| Electric Utilities 2.6% |
| American Electric Power Co., Inc. | 362,062 | 34,736,228 |
| Evergy, Inc. | 456,589 | 29,792,432 |
| NRG Energy, Inc. | 784,880 | 29,958,870 |
| Total | | 94,487,530 |
| Total Utilities | 94,487,530 |
Total Common Stocks
(Cost $3,326,835,799) | 3,606,772,466 |
|
| Money Market Funds 1.3% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(c),(d) | 49,330,722 | 49,301,124 |
Total Money Market Funds
(Cost $49,307,539) | 49,301,124 |
Total Investments in Securities
(Cost: $3,376,143,338) | 3,656,073,590 |
| Other Assets & Liabilities, Net | | (5,178,025) |
| Net Assets | 3,650,895,565 |
At June 30, 2022, securities and/or cash totaling $5,229,540 were pledged as collateral.
Investments in derivatives
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| S&P 500 Index E-mini | 295 | 09/2022 | USD | 55,895,125 | — | (2,733,014) |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (c) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Notes to Portfolio of Investments (continued)
| (d) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 65,296,168 | 170,067,617 | (186,056,246) | (6,415) | 49,301,124 | (17,794) | 89,534 | 49,330,722 |
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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 327,659,235 | — | — | 327,659,235 |
| Consumer Discretionary | 378,515,184 | — | — | 378,515,184 |
| Consumer Staples | 240,495,513 | — | — | 240,495,513 |
| Energy | 149,380,495 | — | — | 149,380,495 |
| Financials | 381,239,268 | — | — | 381,239,268 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Fair value measurements (continued)
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Health Care | 555,569,825 | — | — | 555,569,825 |
| Industrials | 305,187,569 | — | — | 305,187,569 |
| Information Technology | 970,345,508 | — | — | 970,345,508 |
| Materials | 90,087,268 | — | — | 90,087,268 |
| Real Estate | 113,805,071 | — | — | 113,805,071 |
| Utilities | 94,487,530 | — | — | 94,487,530 |
| Total Common Stocks | 3,606,772,466 | — | — | 3,606,772,466 |
| Money Market Funds | 49,301,124 | — | — | 49,301,124 |
| Total Investments in Securities | 3,656,073,590 | — | — | 3,656,073,590 |
| Investments in Derivatives | | | | |
| Liability | | | | |
| Futures Contracts | (2,733,014) | — | — | (2,733,014) |
| Total | 3,653,340,576 | — | — | 3,653,340,576 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
Derivative instruments are valued at unrealized appreciation (depreciation).
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $3,326,835,799) | $3,606,772,466 |
| Affiliated issuers (cost $49,307,539) | 49,301,124 |
| Receivable for: | |
| Investments sold | 93,016,895 |
| Dividends | 3,662,704 |
| Variation margin for futures contracts | 47,361 |
| Prepaid expenses | 26,386 |
| Total assets | 3,752,826,936 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 99,490,928 |
| Capital shares purchased | 1,595,039 |
| Variation margin for futures contracts | 387,350 |
| Management services fees | 65,240 |
| Distribution and/or service fees | 4,406 |
| Service fees | 63,381 |
| Compensation of board members | 265,828 |
| Compensation of chief compliance officer | 403 |
| Other expenses | 58,796 |
| Total liabilities | 101,931,371 |
| Net assets applicable to outstanding capital stock | $3,650,895,565 |
| Represented by | |
| Trust capital | $3,650,895,565 |
| Total - representing net assets applicable to outstanding capital stock | $3,650,895,565 |
| Class 1 | |
| Net assets | $2,421,607,436 |
| Shares outstanding | 33,970,338 |
| Net asset value per share | $71.29 |
| Class 2 | |
| Net assets | $46,041,587 |
| Shares outstanding | 665,575 |
| Net asset value per share | $69.18 |
| Class 3 | |
| Net assets | $1,183,246,542 |
| Shares outstanding | 16,859,686 |
| Net asset value per share | $70.18 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022
| 11 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $39,333,581 |
| Dividends — affiliated issuers | 89,534 |
| Total income | 39,423,115 |
| Expenses: | |
| Management services fees | 13,310,095 |
| Distribution and/or service fees | |
| Class 2 | 63,065 |
| Class 3 | 848,146 |
| Service fees | 423,196 |
| Compensation of board members | 14,875 |
| Custodian fees | 12,528 |
| Printing and postage fees | 39,783 |
| Audit fees | 14,669 |
| Legal fees | 26,928 |
| Interest on collateral | 467 |
| Compensation of chief compliance officer | 295 |
| Other | 29,977 |
| Total expenses | 14,784,024 |
| Net investment income | 24,639,091 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 164,544,559 |
| Investments — affiliated issuers | (17,794) |
| Foreign currency translations | (151) |
| Futures contracts | (7,360,938) |
| Net realized gain | 157,165,676 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (1,078,363,243) |
| Investments — affiliated issuers | (6,415) |
| Futures contracts | (4,652,301) |
| Net change in unrealized appreciation (depreciation) | (1,083,021,959) |
| Net realized and unrealized loss | (925,856,283) |
| Net decrease in net assets resulting from operations | $(901,217,192) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $24,639,091 | $42,506,234 |
| Net realized gain | 157,165,676 | 1,047,675,021 |
| Net change in unrealized appreciation (depreciation) | (1,083,021,959) | 204,271,682 |
| Net increase (decrease) in net assets resulting from operations | (901,217,192) | 1,294,452,937 |
| Decrease in net assets from capital stock activity | (156,400,281) | (1,627,511,802) |
| Total decrease in net assets | (1,057,617,473) | (333,058,865) |
| Net assets at beginning of period | 4,708,513,038 | 5,041,571,903 |
| Net assets at end of period | $3,650,895,565 | $4,708,513,038 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 196,115 | 14,577,294 | 157,955 | 12,007,746 |
| Redemptions | (1,329,176) | (109,555,303) | (20,676,360) | (1,495,894,104) |
| Net decrease | (1,133,061) | (94,978,009) | (20,518,405) | (1,483,886,358) |
| Class 2 | | | | |
| Subscriptions | 57,306 | 4,480,452 | 75,216 | 5,837,666 |
| Redemptions | (29,319) | (2,272,754) | (74,199) | (5,692,992) |
| Net increase | 27,987 | 2,207,698 | 1,017 | 144,674 |
| Class 3 | | | | |
| Subscriptions | 1,186 | 93,382 | 16,044 | 1,225,611 |
| Redemptions | (805,378) | (63,723,352) | (1,884,721) | (144,995,729) |
| Net decrease | (804,192) | (63,629,970) | (1,868,677) | (143,770,118) |
| Total net decrease | (1,909,266) | (156,400,281) | (22,386,065) | (1,627,511,802) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $88.63 | 0.49 | (17.83) | (17.34) |
| Year Ended 12/31/2021 | $66.77 | 0.75 | 21.11 | 21.86 |
| Year Ended 12/31/2020 | $58.51 | 0.79 | 7.47 | 8.26 |
| Year Ended 12/31/2019 | $46.89 | 0.76 | 10.86 | 11.62 |
| Year Ended 12/31/2018 | $48.64 | 0.72 | (2.47) | (1.75) |
| Year Ended 12/31/2017 | $39.11 | 0.77 | 8.76 | 9.53 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $86.12 | 0.38 | (17.32) | (16.94) |
| Year Ended 12/31/2021 | $65.04 | 0.55 | 20.53 | 21.08 |
| Year Ended 12/31/2020 | $57.13 | 0.63 | 7.28 | 7.91 |
| Year Ended 12/31/2019 | $45.90 | 0.61 | 10.62 | 11.23 |
| Year Ended 12/31/2018 | $47.74 | 0.60 | (2.44) | (1.84) |
| Year Ended 12/31/2017 | $38.48 | 0.65 | 8.61 | 9.26 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $87.31 | 0.43 | (17.56) | (17.13) |
| Year Ended 12/31/2021 | $65.86 | 0.65 | 20.80 | 21.45 |
| Year Ended 12/31/2020 | $57.78 | 0.71 | 7.37 | 8.08 |
| Year Ended 12/31/2019 | $46.36 | 0.68 | 10.74 | 11.42 |
| Year Ended 12/31/2018 | $48.16 | 0.65 | (2.45) | (1.80) |
| Year Ended 12/31/2017 | $38.77 | 0.71 | 8.68 | 9.39 |
| 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) | Annualized. |
| (d) | Ratios include interest on collateral expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $71.29 | (19.56%) | 0.67%(c),(d) | 0.67%(c),(d) | 1.23%(c) | 26% | $2,421,607 |
| Year Ended 12/31/2021 | $88.63 | 32.74% | 0.67%(d) | 0.67%(d) | 0.96% | 58% | $3,111,300 |
| Year Ended 12/31/2020 | $66.77 | 14.12% | 0.66% | 0.66% | 1.36% | 74% | $3,713,795 |
| Year Ended 12/31/2019 | $58.51 | 24.78% | 0.66% | 0.66% | 1.41% | 69% | $4,290,429 |
| Year Ended 12/31/2018 | $46.89 | (3.60%) | 0.66% | 0.66% | 1.42% | 74% | $3,650,498 |
| Year Ended 12/31/2017 | $48.64 | 24.37% | 0.68% | 0.68% | 1.79% | 69% | $4,219,124 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $69.18 | (19.67%) | 0.92%(c),(d) | 0.92%(c),(d) | 0.98%(c) | 26% | $46,042 |
| Year Ended 12/31/2021 | $86.12 | 32.41% | 0.92%(d) | 0.92%(d) | 0.73% | 58% | $54,906 |
| Year Ended 12/31/2020 | $65.04 | 13.85% | 0.91% | 0.91% | 1.12% | 74% | $41,400 |
| Year Ended 12/31/2019 | $57.13 | 24.46% | 0.91% | 0.91% | 1.17% | 69% | $39,356 |
| Year Ended 12/31/2018 | $45.90 | (3.85%) | 0.91% | 0.91% | 1.21% | 74% | $28,322 |
| Year Ended 12/31/2017 | $47.74 | 24.07% | 0.93% | 0.93% | 1.54% | 69% | $23,671 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $70.18 | (19.62%) | 0.79%(c),(d) | 0.79%(c),(d) | 1.11%(c) | 26% | $1,183,247 |
| Year Ended 12/31/2021 | $87.31 | 32.57% | 0.79%(d) | 0.79%(d) | 0.85% | 58% | $1,542,306 |
| Year Ended 12/31/2020 | $65.86 | 13.98% | 0.79% | 0.79% | 1.24% | 74% | $1,286,377 |
| Year Ended 12/31/2019 | $57.78 | 24.63% | 0.78% | 0.78% | 1.29% | 69% | $1,260,116 |
| Year Ended 12/31/2018 | $46.36 | (3.74%) | 0.78% | 0.78% | 1.29% | 74% | $1,139,339 |
| Year Ended 12/31/2017 | $48.16 | 24.22% | 0.81% | 0.81% | 1.67% | 69% | $1,328,984 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements
June 30, 2022 (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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 16 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 a settlement price, 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, if available.
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, in seeking 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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. 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 clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing 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 counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts and 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 instruments’ 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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as well. 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 may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in the Statement of Operations. 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 determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, 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
| 18 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
unrealized gains or losses. The Fund generally expects to earn interest income on its margin deposits. 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, 2022:
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 2,733,014* |
| * | 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, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Equity risk | (7,360,938) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Equity risk | (4,652,301) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 52,640,150 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
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 an ex-dividend notification in the case of certain foreign securities.
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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
| 20 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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 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, 2022 was 0.64% of the Fund’s average daily net assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.02% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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.
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Notes to Financial Statements (continued)
June 30, 2022 (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 classes’ average daily net assets:
| | Contractual
expense cap
July 1, 2022
through
April 30, 2023 | Voluntary
expense cap
May 1, 2022
through
June 30, 2022 | Contractual
expense cap
prior to
May 1, 2022 |
| Class 1 | 0.69% | 0.69% | 0.69% |
| Class 2 | 0.94 | 0.94 | 0.94 |
| Class 3 | 0.815 | 0.815 | 0.815 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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 $1,103,500,081 and $1,232,292,735, respectively, for the six months ended June 30, 2022. 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
| 22 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The Fund did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 8. Significant risks
Information technology sector risk
The Fund is more susceptible to the particular risks that may affect companies in the information technology sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the information technology sector 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 information 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. Some companies in the information technology sector are facing increased government and regulatory scrutiny and may be subject to adverse government or regulatory action, which could negatively impact the value of their securities.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. 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 and noted 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 are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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.
| 24 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022
| 25 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
| 26 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
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| 27 |
Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management
| 28 | Columbia Variable Portfolio – Disciplined Core Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
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| 29 |
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Columbia Variable Portfolio – Disciplined Core Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Select Large Cap 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – Select Large Cap Equity Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks long-term capital appreciation.
Portfolio management
Melda Mergen, CFA, CAIA
Co-Portfolio Manager
Managed Fund since 2018
Tiffany Wade
Co-Portfolio Manager
Managed Fund since 2019
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | Life |
| Class 1 | 01/04/18 | -20.26 | -11.62 | 8.94 |
| Class 2 | 01/04/18 | -20.41 | -11.85 | 8.65 |
| S&P 500 Index | | -19.96 | -10.62 | 9.54 |
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.
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Common Stocks | 98.4 |
| Money Market Funds | 1.6 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 10.4 |
| Consumer Discretionary | 8.7 |
| Consumer Staples | 6.0 |
| Energy | 2.9 |
| Financials | 10.0 |
| Health Care | 17.9 |
| Industrials | 10.4 |
| Information Technology | 27.9 |
| Real Estate | 2.3 |
| Utilities | 3.5 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 797.40 | 1,021.47 | 2.99 | 3.36 | 0.67 |
| Class 2 | 1,000.00 | 1,000.00 | 795.90 | 1,020.18 | 4.14 | 4.66 | 0.93 |
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.
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 97.3% |
| Issuer | Shares | Value ($) |
| Communication Services 10.2% |
| Diversified Telecommunication Services 1.8% |
| AT&T, Inc. | 2,526,462 | 52,954,643 |
| Entertainment 1.4% |
| Electronic Arts, Inc. | 350,785 | 42,672,995 |
| Interactive Media & Services 5.1% |
| Alphabet, Inc., Class C(a) | 71,397 | 156,177,368 |
| Media 1.9% |
| Comcast Corp., Class A | 1,444,495 | 56,681,984 |
| Total Communication Services | 308,486,990 |
| Consumer Discretionary 8.4% |
| Automobiles 0.7% |
| Tesla Motors, Inc.(a) | 33,765 | 22,738,026 |
| Hotels, Restaurants & Leisure 1.0% |
| Hilton Worldwide Holdings, Inc. | 279,401 | 31,136,447 |
| Internet & Direct Marketing Retail 3.8% |
| Amazon.com, Inc.(a) | 1,090,740 | 115,847,495 |
| Multiline Retail 1.0% |
| Target Corp. | 204,598 | 28,895,376 |
| Specialty Retail 1.9% |
| Home Depot, Inc. (The) | 211,091 | 57,895,929 |
| Total Consumer Discretionary | 256,513,273 |
| Consumer Staples 5.8% |
| Food & Staples Retailing 1.4% |
| Walgreens Boots Alliance, Inc. | 1,131,433 | 42,881,311 |
| Food Products 1.8% |
| Hershey Co. (The) | 253,966 | 54,643,324 |
| Household Products 2.6% |
| Procter & Gamble Co. (The) | 547,921 | 78,785,561 |
| Total Consumer Staples | 176,310,196 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Energy 2.8% |
| Oil, Gas & Consumable Fuels 2.8% |
| ConocoPhillips Co. | 538,029 | 48,320,385 |
| Valero Energy Corp. | 351,057 | 37,310,338 |
| Total | | 85,630,723 |
| Total Energy | 85,630,723 |
| Financials 9.7% |
| Banks 2.5% |
| Bank of America Corp. | 1,780,843 | 55,437,643 |
| Popular, Inc. | 273,922 | 21,072,819 |
| Total | | 76,510,462 |
| Capital Markets 4.2% |
| Morgan Stanley | 643,082 | 48,912,817 |
| S&P Global, Inc. | 127,334 | 42,919,198 |
| State Street Corp. | 585,388 | 36,089,170 |
| Total | | 127,921,185 |
| Consumer Finance 1.3% |
| Discover Financial Services | 406,706 | 38,466,254 |
| Insurance 1.7% |
| MetLife, Inc. | 840,194 | 52,755,781 |
| Total Financials | 295,653,682 |
| Health Care 17.4% |
| Biotechnology 3.5% |
| AbbVie, Inc. | 370,970 | 56,817,765 |
| BioMarin Pharmaceutical, Inc.(a) | 222,957 | 18,476,447 |
| Vertex Pharmaceuticals, Inc.(a) | 107,329 | 30,244,239 |
| Total | | 105,538,451 |
| Health Care Equipment & Supplies 2.3% |
| Boston Scientific Corp.(a) | 965,591 | 35,987,576 |
| Stryker Corp. | 171,272 | 34,071,139 |
| Total | | 70,058,715 |
| Health Care Providers & Services 4.1% |
| Elevance Health, Inc. | 90,881 | 43,857,353 |
| UnitedHealth Group, Inc. | 157,188 | 80,736,472 |
| Total | | 124,593,825 |
The accompanying Notes to Portfolio of Investments are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Life Sciences Tools & Services 3.0% |
| IQVIA Holdings, Inc.(a) | 178,483 | 38,729,026 |
| Thermo Fisher Scientific, Inc. | 98,017 | 53,250,676 |
| Total | | 91,979,702 |
| Pharmaceuticals 4.5% |
| Eli Lilly & Co. | 181,945 | 58,992,028 |
| Johnson & Johnson | 431,826 | 76,653,433 |
| Total | | 135,645,461 |
| Total Health Care | 527,816,154 |
| Industrials 10.1% |
| Aerospace & Defense 1.6% |
| Raytheon Technologies Corp. | 502,381 | 48,283,838 |
| Air Freight & Logistics 1.5% |
| United Parcel Service, Inc., Class B | 243,858 | 44,513,839 |
| Building Products 1.1% |
| Trane Technologies PLC | 255,816 | 33,222,824 |
| Commercial Services & Supplies 2.3% |
| Cintas Corp. | 93,309 | 34,853,711 |
| Republic Services, Inc. | 281,668 | 36,861,891 |
| Total | | 71,715,602 |
| Construction & Engineering 1.0% |
| MasTec, Inc.(a) | 409,843 | 29,369,349 |
| Machinery 1.1% |
| Parker-Hannifin Corp. | 133,631 | 32,879,908 |
| Road & Rail 1.5% |
| Union Pacific Corp. | 221,104 | 47,157,061 |
| Total Industrials | 307,142,421 |
| Information Technology 27.2% |
| Communications Equipment 1.7% |
| Cisco Systems, Inc. | 1,172,055 | 49,976,425 |
| Electronic Equipment, Instruments & Components 1.2% |
| TE Connectivity Ltd. | 321,408 | 36,367,315 |
| IT Services 2.1% |
| MasterCard, Inc., Class A | 201,527 | 63,577,738 |
| Semiconductors & Semiconductor Equipment 4.4% |
| Applied Materials, Inc. | 422,987 | 38,483,357 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Broadcom, Inc. | 96,234 | 46,751,440 |
| NVIDIA Corp. | 319,502 | 48,433,308 |
| Total | | 133,668,105 |
| Software 12.7% |
| Adobe, Inc.(a) | 128,061 | 46,878,010 |
| Intuit, Inc. | 111,977 | 43,160,415 |
| Microsoft Corp. | 845,455 | 217,138,207 |
| Palo Alto Networks, Inc.(a) | 72,231 | 35,677,780 |
| ServiceNow, Inc.(a) | 91,919 | 43,709,323 |
| Total | | 386,563,735 |
| Technology Hardware, Storage & Peripherals 5.1% |
| Apple, Inc. | 1,142,069 | 156,143,674 |
| Total Information Technology | 826,296,992 |
| Real Estate 2.2% |
| Equity Real Estate Investment Trusts (REITS) 2.2% |
| Extra Space Storage, Inc. | 198,971 | 33,848,946 |
| Invitation Homes, Inc. | 957,372 | 34,063,296 |
| Total | | 67,912,242 |
| Total Real Estate | 67,912,242 |
| Utilities 3.5% |
| Electric Utilities 1.8% |
| American Electric Power Co., Inc. | 564,168 | 54,126,278 |
| Multi-Utilities 1.7% |
| Ameren Corp. | 559,493 | 50,555,788 |
| Total Utilities | 104,682,066 |
Total Common Stocks
(Cost $2,688,897,673) | 2,956,444,739 |
|
| Money Market Funds 1.6% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(b),(c) | 47,063,394 | 47,035,156 |
Total Money Market Funds
(Cost $47,035,243) | 47,035,156 |
Total Investments in Securities
(Cost: $2,735,932,916) | 3,003,479,895 |
| Other Assets & Liabilities, Net | | 34,076,409 |
| Net Assets | 3,037,556,304 |
The accompanying Notes to Portfolio of Investments are an integral part of this statement.
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 5,247,185 | 289,939,239 | (248,151,162) | (106) | 47,035,156 | (5,250) | 48,660 | 47,063,394 |
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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 308,486,990 | — | — | 308,486,990 |
| Consumer Discretionary | 256,513,273 | — | — | 256,513,273 |
| Consumer Staples | 176,310,196 | — | — | 176,310,196 |
| Energy | 85,630,723 | — | — | 85,630,723 |
| Financials | 295,653,682 | — | — | 295,653,682 |
| Health Care | 527,816,154 | — | — | 527,816,154 |
| Industrials | 307,142,421 | — | — | 307,142,421 |
The accompanying Notes to Portfolio of Investments are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Fair value measurements (continued)
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Information Technology | 826,296,992 | — | — | 826,296,992 |
| Real Estate | 67,912,242 | — | — | 67,912,242 |
| Utilities | 104,682,066 | — | — | 104,682,066 |
| Total Common Stocks | 2,956,444,739 | — | — | 2,956,444,739 |
| Money Market Funds | 47,035,156 | — | — | 47,035,156 |
| Total Investments in Securities | 3,003,479,895 | — | — | 3,003,479,895 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The accompanying Notes to Portfolio of Investments are an integral part of this statement.
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022
| 9 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $2,688,897,673) | $2,956,444,739 |
| Affiliated issuers (cost $47,035,243) | 47,035,156 |
| Receivable for: | |
| Investments sold | 33,727,449 |
| Capital shares sold | 10,219 |
| Dividends | 1,177,255 |
| Foreign tax reclaims | 42,849 |
| Prepaid expenses | 15,078 |
| Total assets | 3,038,452,745 |
| Liabilities | |
| Due to custodian | 42,849 |
| Payable for: | |
| Capital shares purchased | 712,837 |
| Management services fees | 56,159 |
| Compensation of board members | 57,470 |
| Compensation of chief compliance officer | 339 |
| Other expenses | 26,787 |
| Total liabilities | 896,441 |
| Net assets applicable to outstanding capital stock | $3,037,556,304 |
| Represented by | |
| Trust capital | $3,037,556,304 |
| Total - representing net assets applicable to outstanding capital stock | $3,037,556,304 |
| Class 1 | |
| Net assets | $3,037,531,318 |
| Shares outstanding | 206,888,910 |
| Net asset value per share | $14.68 |
| Class 2 | |
| Net assets | $24,986 |
| Shares outstanding | 1,721 |
| Net asset value per share(a) | $14.51 |
| (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.
| 10 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $23,691,947 |
| Dividends — affiliated issuers | 48,660 |
| Foreign taxes withheld | (34,903) |
| Total income | 23,705,704 |
| Expenses: | |
| Management services fees | 11,413,621 |
| Distribution and/or service fees | |
| Class 2 | 12 |
| Compensation of board members | 23,633 |
| Custodian fees | 9,566 |
| Printing and postage fees | 1,871 |
| Audit fees | 14,669 |
| Legal fees | 23,436 |
| Interest on interfund lending | 62 |
| Compensation of chief compliance officer | 233 |
| Other | 21,789 |
| Total expenses | 11,508,892 |
| Net investment income | 12,196,812 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 57,148,678 |
| Investments — affiliated issuers | (5,250) |
| Net realized gain | 57,143,428 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (848,924,909) |
| Investments — affiliated issuers | (106) |
| Net change in unrealized appreciation (depreciation) | (848,925,015) |
| Net realized and unrealized loss | (791,781,587) |
| Net decrease in net assets resulting from operations | $(779,584,775) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022
| 11 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $12,196,812 | $25,211,560 |
| Net realized gain | 57,143,428 | 152,248,817 |
| Net change in unrealized appreciation (depreciation) | (848,925,015) | 721,257,304 |
| Net increase (decrease) in net assets resulting from operations | (779,584,775) | 898,717,681 |
| Increase (decrease) in net assets from capital stock activity | (143,077,083) | 991,765,438 |
| Total increase (decrease) in net assets | (922,661,858) | 1,890,483,119 |
| Net assets at beginning of period | 3,960,218,162 | 2,069,735,043 |
| Net assets at end of period | $3,037,556,304 | $3,960,218,162 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 1,085,195 | 16,589,056 | 95,447,317 | 1,434,389,211 |
| Redemptions | (9,295,061) | (159,688,160) | (25,798,421) | (442,623,773) |
| Net increase (decrease) | (8,209,866) | (143,099,104) | 69,648,896 | 991,765,438 |
| Class 2 | | | | |
| Subscriptions | 1,473 | 22,053 | — | — |
| Redemptions | (2) | (32) | — | — |
| Net increase | 1,471 | 22,021 | — | — |
| Total net increase (decrease) | (8,208,395) | (143,077,083) | 69,648,896 | 991,765,438 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
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Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $18.41 | 0.06 | (3.79) | (3.73) |
| Year Ended 12/31/2021 | $14.23 | 0.12 | 4.06 | 4.18 |
| Year Ended 12/31/2020 | $11.89 | 0.19 | 2.15 | 2.34 |
| Year Ended 12/31/2019 | $9.29 | 0.13 | 2.47 | 2.60 |
| Year Ended 12/31/2018(e) | $10.00 | 0.13 | (0.84) | (0.71) |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $18.23 | 0.05 | (3.77) | (3.72) |
| Year Ended 12/31/2021 | $14.12 | 0.07 | 4.04 | 4.11 |
| Year Ended 12/31/2020 | $11.83 | 0.16 | 2.13 | 2.29 |
| Year Ended 12/31/2019 | $9.27 | 0.10 | 2.46 | 2.56 |
| Year Ended 12/31/2018(e) | $10.00 | 0.09 | (0.82) | (0.73) |
| 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) | Annualized. |
| (d) | Ratios include interfund lending expense which is less than 0.01%. |
| (e) | The Fund commenced operations on January 4, 2018. Per share data and total return reflect activity from that date. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $14.68 | (20.26%) | 0.67%(c),(d) | 0.67%(c),(d) | 0.71%(c) | 27% | $3,037,531 |
| Year Ended 12/31/2021 | $18.41 | 29.37% | 0.66%(d) | 0.66%(d) | 0.71% | 60% | $3,960,214 |
| Year Ended 12/31/2020 | $14.23 | 19.68% | 0.73% | 0.69% | 1.59% | 65% | $2,069,732 |
| Year Ended 12/31/2019 | $11.89 | 27.99% | 0.74% | 0.69% | 1.25% | 59% | $1,347,827 |
| Year Ended 12/31/2018(e) | $9.29 | (7.10%) | 0.75%(c) | 0.69%(c) | 1.27%(c) | 58% | $1,070,480 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $14.51 | (20.41%) | 0.93%(c),(d) | 0.93%(c),(d) | 0.67%(c) | 27% | $25 |
| Year Ended 12/31/2021 | $18.23 | 29.11% | 0.91%(d) | 0.91%(d) | 0.45% | 60% | $5 |
| Year Ended 12/31/2020 | $14.12 | 19.36% | 0.97% | 0.94% | 1.32% | 65% | $4 |
| Year Ended 12/31/2019 | $11.83 | 27.62% | 0.97% | 0.94% | 0.97% | 59% | $3 |
| Year Ended 12/31/2018(e) | $9.27 | (7.30%) | 0.97%(c) | 0.94%(c) | 0.84%(c) | 58% | $2 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Select Large Cap 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 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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 16 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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 – Select Large Cap Equity Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (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 in 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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, 2022 was 0.66% of the Fund’s average daily net assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
| 18 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. For the six months ended June 30, 2022, there were no assets subject to the service fee.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | Contractual
expense cap
July 1, 2022
through
April 30, 2023 | Voluntary
expense cap
May 1, 2022
through
June 30, 2022 | Contractual
expense cap
prior to
May 1, 2022 |
| Class 1 | 0.69% | 0.69% | 0.69% |
| Class 2 | 0.94 | 0.94 | 0.94 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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 $928,046,571 and $1,118,623,363, respectively, for the six months ended June 30, 2022. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended June 30, 2022 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Borrower | 3,700,000 | 0.61 | 1 |
Interest expense incurred by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at June 30, 2022.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
| 20 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 8. Significant risks
Information technology sector risk
The Fund is more susceptible to the particular risks that may affect companies in the information technology sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the information technology sector 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 information 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. Some companies in the information technology sector are facing increased government and regulatory scrutiny and may be subject to adverse government or regulatory action, which could negatively impact the value of their securities.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. 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 and noted 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 are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
| 22 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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 Equity Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022
| 23 |
Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
| 24 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Manager and discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had
Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022
| 25 |
Approval of Management Agreement (continued)
(Unaudited)
considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
| 26 | Columbia Variable Portfolio – Select Large Cap Equity Fund | Semiannual Report 2022 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – Select Large Cap Equity Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Global Strategic Income 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – Global Strategic Income Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with high total return through income and growth of capital.
Portfolio management
Adrian Hilton
Co-Portfolio Manager
Managed Fund since 2020
Ryan Staszewski, CFA
Co-Portfolio Manager
Managed Fund since 2018
David Janssen, CFA
Co-Portfolio Manager
Managed Fund since 2021
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/03/10 | -13.02 | -13.12 | -0.16 | -0.72 |
| Class 2 | 05/03/10 | -13.15 | -13.35 | -0.42 | -0.97 |
| Class 3 | 05/01/96 | -13.01 | -13.21 | -0.27 | -0.84 |
| Bloomberg Global Aggregate Hedged USD Index | | -9.06 | -8.94 | 1.16 | 2.23 |
| Bloomberg Global Credit Hedged USD Index | | -12.83 | -12.75 | 1.18 | 2.65 |
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 Global Aggregate Hedged USD Index provides a broad-based measure of global investment-grade fixed-income debt markets, including government-related debt, corporate debt, securitized debt, and global Treasury, and it is hedged back to the US dollar.
The Bloomberg Global Credit Hedged USD Index measures the global investment grade local currency corporate and government-related bond 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.
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Quality breakdown (%) (at June 30, 2022) |
| AAA rating | 2.1 |
| AA rating | 7.5 |
| A rating | 10.1 |
| BBB rating | 37.1 |
| BB rating | 22.4 |
| B rating | 12.1 |
| CCC rating | 2.8 |
| CC rating | 0.0(a) |
| C rating | 0.0(a) |
| Not rated | 5.9 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments.
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, 2022) |
| Angola | 0.4 |
| Australia | 0.5 |
| Belarus | 0.0(a) |
| Belgium | 0.4 |
| Bermuda | 1.0 |
| Brazil | 0.2 |
| Canada | 0.5 |
| Cayman Islands | 0.6 |
| China | 0.2 |
| Colombia | 1.0 |
| Denmark | 0.1 |
| Dominican Republic | 1.1 |
| Egypt | 0.4 |
| France | 1.8 |
| Germany | 3.0 |
| Guatemala | 0.2 |
| Country breakdown (%) (at June 30, 2022) |
| India | 1.2 |
| Indonesia | 1.2 |
| Ireland | 0.3 |
| Isle of Man | 0.3 |
| Italy | 0.5 |
| Ivory Coast | 0.5 |
| Jersey | 0.7 |
| Kazakhstan | 0.3 |
| Liberia | 0.1 |
| Luxembourg | 0.8 |
| Malaysia | 0.2 |
| Mauritius | 0.5 |
| Mexico | 1.2 |
| Netherlands | 4.2 |
| Oman | 0.2 |
| Panama | 0.7 |
| Paraguay | 0.2 |
| Poland | 0.2 |
| Qatar | 1.3 |
| Romania | 0.5 |
| Russian Federation | 0.1 |
| Saudi Arabia | 1.0 |
| South Africa | 0.4 |
| Spain | 0.6 |
| Sweden | 1.0 |
| Switzerland | 0.4 |
| Turkey | 0.7 |
| Ukraine | 0.1 |
| United Arab Emirates | 1.0 |
| United Kingdom | 10.3 |
| United States(b) | 57.6 |
| Virgin Islands | 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 excluding investments in derivatives, if any. 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, 2022, the Fund invested at least 40% of its net assets in foreign companies in accordance with its principal investment strategy.
| 4 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 869.80 | 1,021.77 | 2.83 | 3.06 | 0.61 |
| Class 2 | 1,000.00 | 1,000.00 | 868.50 | 1,020.53 | 3.98 | 4.31 | 0.86 |
| Class 3 | 1,000.00 | 1,000.00 | 869.90 | 1,021.12 | 3.43 | 3.71 | 0.74 |
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.
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Asset-Backed Securities — Non-Agency 3.3% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Cayman Islands 0.5% |
| Octagon Investment Partners Ltd.(a),(b) |
| Series 2018-18A Class A2 |
3-month USD LIBOR + 1.470%
04/16/2031 | 2.514% | | 500,000 | 475,352 |
| United States 2.8% |
| Exeter Automobile Receivables Trust(a) |
| Subordinated Series 2021-2A Class E |
| 07/17/2028 | 2.900% | | 600,000 | 558,819 |
| FREED ABS Trust(a) |
| Subordinated Series 2021-1CP Class B |
| 03/20/2028 | 1.410% | | 692,195 | 684,047 |
| Marlette Funding Trust(a) |
| Series 2021-1A Class D |
| 06/16/2031 | 2.470% | | 400,000 | 381,699 |
| RR 3 Ltd.(a),(b) |
| Series 2014-14A Class A1R2 |
3-month USD LIBOR + 1.090%
Floor 1.090%
01/15/2030 | 2.134% | | 250,000 | 245,920 |
| Upstart Pass-Through Trust(a) |
| Series 2021-ST6 Class A |
| 08/20/2027 | 1.850% | | 511,304 | 485,708 |
| Total | 2,356,193 |
Total Asset-Backed Securities — Non-Agency
(Cost $2,943,011) | 2,831,545 |
|
| Commercial Mortgage-Backed Securities - Non-Agency(c) 4.0% |
| | | | |
| United Kingdom 0.4% |
| Tesco Property Finance 3 PLC(a) |
| 04/13/2040 | 5.744% | GBP | 274,509 | 351,372 |
| United States 3.6% |
| BAMLL Commercial Mortgage Securities Trust(a),(b) |
| Subordinated Series 2018-DSNY Class D |
1-month USD LIBOR + 1.700%
Floor 1.700%
09/15/2034 | 3.024% | | 500,000 | 472,703 |
| BX Trust(a) |
| Series 2019-OC11 Class A |
| 12/09/2041 | 3.202% | | 600,000 | 537,241 |
| BX Trust(a),(d) |
| Subordinated Series 2019-OC11 Class D |
| 12/09/2041 | 4.076% | | 500,000 | 435,786 |
| Credit Suisse Mortgage Capital Certificates OA LLC(a) |
| Subordinated Series 2014-USA Class E |
| 09/15/2037 | 4.373% | | 750,000 | 588,220 |
| Commercial Mortgage-Backed Securities - Non-Agency(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Subordinated Series 2014-USA Class F |
| 09/15/2037 | 4.373% | | 260,000 | 186,399 |
| CSMC Trust(a),(d) |
| Subordinated Series 2019-UVIL Class E |
| 12/15/2041 | 3.393% | | 300,000 | 226,287 |
| Hilton USA Trust(a) |
| Subordinated Series 2016-SFP Class F |
| 11/05/2035 | 6.155% | | 550,000 | 526,635 |
| Progress Residential Trust(a) |
| Series 2020-SFR1 Class F |
| 04/17/2037 | 3.431% | | 100,000 | 93,237 |
| Total | 3,066,508 |
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $3,802,467) | 3,417,880 |
|
| Convertible Bonds 0.0% |
| | | | |
| United States 0.0% |
| DISH Network Corp. |
| Subordinated |
| 08/15/2026 | 3.375% | | 28,000 | 18,914 |
Total Convertible Bonds
(Cost $26,575) | 18,914 |
|
| Corporate Bonds & Notes(c) 51.1% |
| | | | |
| Australia 0.5% |
| APT Pipelines Ltd.(a) |
| 07/15/2030 | 2.000% | EUR | 300,000 | 270,833 |
| Ausgrid Finance Pty, Ltd.(a) |
| 10/07/2031 | 0.875% | EUR | 200,000 | 159,509 |
| Total | 430,342 |
| Belgium 0.4% |
| Anheuser-Busch InBev SA/NV(a) |
| 04/02/2040 | 3.700% | EUR | 150,000 | 151,248 |
| House of Finance NV (The)(a) |
| 07/15/2026 | 4.375% | EUR | 100,000 | 101,750 |
| Solvay SA(a),(e) |
| 12/31/2049 | 2.500% | EUR | 100,000 | 90,123 |
| Total | 343,121 |
| Bermuda 1.0% |
| Bacardi Ltd.(a) |
| 07/03/2023 | 2.750% | EUR | 450,000 | 475,243 |
| 05/15/2048 | 5.300% | | 345,000 | 324,172 |
| Total | 799,415 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Canada 0.4% |
| 1011778 BC ULC/New Red Finance, Inc.(a) |
| 04/15/2025 | 5.750% | | 14,000 | 14,100 |
| Air Canada(a) |
| 08/15/2026 | 3.875% | | 35,000 | 29,708 |
| Bausch Health Companies, Inc.(a) |
| 02/01/2027 | 6.125% | | 19,000 | 16,193 |
| 06/01/2028 | 4.875% | | 7,000 | 5,478 |
| Bombardier, Inc.(a) |
| 04/15/2027 | 7.875% | | 40,000 | 33,293 |
| GFL Environmental, Inc.(a) |
| 08/01/2025 | 3.750% | | 30,000 | 27,815 |
| 12/15/2026 | 5.125% | | 10,000 | 9,548 |
| 08/01/2028 | 4.000% | | 41,000 | 34,067 |
| 06/15/2029 | 4.750% | | 19,000 | 15,883 |
| Hudbay Minerals, Inc.(a) |
| 04/01/2029 | 6.125% | | 22,000 | 17,839 |
| Panther BF Aggregator 2 LP/Finance Co., Inc.(a) |
| 05/15/2027 | 8.500% | | 26,000 | 25,150 |
| Rockpoint Gas Storage Canada Ltd.(a) |
| 03/31/2023 | 7.000% | | 18,000 | 17,778 |
| Videotron Ltd.(a) |
| 06/15/2029 | 3.625% | | 124,000 | 102,359 |
| Total | 349,211 |
| Cayman Islands 0.0% |
| Global Aircraft Leasing Co., Ltd.(a),(f) |
| 09/15/2024 | 6.500% | | 22,565 | 17,090 |
| China 0.2% |
| JD.com, Inc. |
| 01/14/2030 | 3.375% | | 200,000 | 182,838 |
| Denmark 0.1% |
| Danske Bank A/S(a),(e) |
| Subordinated |
| 05/15/2031 | 1.000% | EUR | 100,000 | 91,398 |
| France 1.4% |
| Altice France SA(a) |
| 02/01/2027 | 8.125% | | 16,000 | 14,743 |
| 01/15/2028 | 5.500% | | 24,000 | 19,078 |
| 07/15/2029 | 5.125% | | 23,000 | 17,354 |
| Cab SELAS(a) |
| 02/01/2028 | 3.375% | EUR | 100,000 | 84,251 |
| Casino Guichard Perrachon SA(a) |
| 01/15/2026 | 6.625% | EUR | 100,000 | 76,065 |
| Credit Agricole SA(a) |
| 07/03/2029 | 1.000% | EUR | 200,000 | 182,872 |
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Elis SA(a) |
| 04/11/2024 | 1.750% | EUR | 100,000 | 100,732 |
| Faurecia SE(a) |
| 06/15/2027 | 2.375% | EUR | 100,000 | 78,411 |
| Foncia Management SASU(a) |
| 03/31/2028 | 3.375% | EUR | 100,000 | 85,172 |
| Iliad Holding SA(a) |
| 10/15/2026 | 5.125% | EUR | 100,000 | 93,394 |
| Iliad Holding SAS(a) |
| 10/15/2026 | 6.500% | | 35,000 | 31,489 |
| 10/15/2028 | 7.000% | | 50,000 | 43,703 |
| Rexel SA(a) |
| 06/15/2028 | 2.125% | EUR | 100,000 | 82,432 |
| SANEF SA(a) |
| 03/16/2026 | 1.875% | EUR | 200,000 | 200,081 |
| Verallia SA(a) |
| 11/10/2031 | 1.875% | EUR | 100,000 | 78,097 |
| Total | 1,187,874 |
| Germany 2.3% |
| ADLER Real Estate AG(a) |
| 02/06/2024 | 2.125% | EUR | 100,000 | 75,936 |
| Amprion GmbH(a) |
| 09/23/2033 | 0.625% | EUR | 300,000 | 220,909 |
| Aroundtown SA(a) |
| 01/31/2028 | 1.625% | EUR | 300,000 | 253,244 |
| Bayer AG(a) |
| 01/06/2030 | 1.125% | EUR | 300,000 | 263,115 |
| Cheplapharm Arzneimittel GmbH(a) |
| 02/11/2027 | 3.500% | EUR | 100,000 | 89,327 |
| Commerzbank AG(a) |
| 12/04/2026 | 0.500% | EUR | 350,000 | 332,112 |
| Deutsche Bank AG(a),(e) |
| 11/19/2030 | 1.750% | EUR | 100,000 | 86,420 |
| Deutsche Lufthansa AG(a) |
| 02/11/2025 | 2.875% | EUR | 100,000 | 93,485 |
| Eurogrid GmbH(a) |
| 04/21/2033 | 0.741% | EUR | 100,000 | 78,084 |
| Grand City Properties SA(a) |
| 01/11/2028 | 0.125% | EUR | 100,000 | 80,706 |
| Gruenenthal GmbH(a) |
| 11/15/2026 | 3.625% | EUR | 100,000 | 94,650 |
| Techem Verwaltungsgesellschaft 674 mbH(a) |
| 07/30/2026 | 6.000% | EUR | 87,920 | 77,982 |
| thyssenkrupp AG(a) |
| 02/22/2024 | 2.875% | EUR | 100,000 | 100,389 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| TK Elevator Midco GmbH(a) |
| 07/15/2027 | 4.375% | EUR | 100,000 | 90,576 |
| Total | 1,936,935 |
| India 0.7% |
| Adani Ports & Special Economic Zone Ltd.(a) |
| 07/30/2027 | 4.000% | | 400,000 | 368,498 |
| GMR Hyderabad International Airport Ltd.(a) |
| 10/27/2027 | 4.250% | | 300,000 | 251,901 |
| Total | 620,399 |
| Ireland 0.3% |
| AIB Group PLC(a),(e) |
| Subordinated |
| 05/30/2031 | 2.875% | EUR | 120,000 | 114,071 |
| Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) |
| 08/15/2027 | 5.250% | | 15,000 | 10,508 |
| 08/15/2027 | 5.250% | | 8,000 | 5,611 |
| eircom Finance DAC(a) |
| 05/15/2026 | 3.500% | EUR | 100,000 | 88,948 |
| Endo Dac/Finance LLC/Finco, Inc.(a) |
| 06/30/2028 | 6.000% | | 11,000 | 875 |
| Total | 220,013 |
| Isle of Man 0.3% |
| AngloGold Ashanti Holdings PLC |
| 10/01/2030 | 3.750% | | 200,000 | 166,022 |
| Playtech PLC(a) |
| 10/12/2023 | 3.750% | EUR | 100,000 | 102,597 |
| Total | 268,619 |
| Italy 0.5% |
| Autostrade per l’Italia SpA(a) |
| 02/01/2027 | 1.750% | EUR | 100,000 | 92,198 |
| 09/26/2029 | 1.875% | EUR | 200,000 | 166,264 |
| Marcolin SpA(a) |
| 11/15/2026 | 6.125% | EUR | 100,000 | 90,735 |
| Nexi SpA(a) |
| 04/30/2029 | 2.125% | EUR | 100,000 | 72,939 |
| Total | 422,136 |
| Jersey 0.6% |
| Adient Global Holdings Ltd.(a) |
| 08/15/2024 | 3.500% | EUR | 100,000 | 95,066 |
| Avis Budget Finance PLC(a) |
| 05/15/2025 | 4.500% | EUR | 100,000 | 97,708 |
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Galaxy Pipeline Assets Bidco Ltd.(a) |
| 03/31/2036 | 2.625% | | 400,000 | 324,128 |
| Total | 516,902 |
| Liberia 0.1% |
| Royal Caribbean Cruises Ltd. |
| 11/15/2022 | 5.250% | | 34,000 | 33,769 |
| 03/15/2028 | 3.700% | | 33,000 | 21,007 |
| Royal Caribbean Cruises Ltd.(a) |
| 07/01/2026 | 4.250% | | 19,000 | 13,494 |
| 08/31/2026 | 5.500% | | 20,000 | 14,699 |
| 07/15/2027 | 5.375% | | 11,000 | 7,990 |
| 04/01/2028 | 5.500% | | 19,000 | 13,204 |
| Total | 104,163 |
| Luxembourg 0.8% |
| Altice Financing SA(a) |
| 01/15/2025 | 2.250% | EUR | 100,000 | 92,033 |
| Altice France Holding SA(a) |
| 05/15/2027 | 8.000% | EUR | 100,000 | 86,581 |
| 02/15/2028 | 6.000% | | 50,000 | 34,484 |
| FAGE International SA/USA Dairy Industry, Inc.(a) |
| 08/15/2026 | 5.625% | | 45,000 | 39,372 |
| Garfunkelux Holdco 3 SA(a) |
| 11/01/2025 | 6.750% | EUR | 100,000 | 93,274 |
| Herens Holdco Sarl(a) |
| 05/15/2028 | 4.750% | | 19,000 | 15,844 |
| ION Trading Technologies Sarl(a) |
| 05/15/2028 | 5.750% | | 19,000 | 15,115 |
| P3 Group Sarl(a) |
| 01/26/2029 | 1.625% | EUR | 250,000 | 193,648 |
| Sani/Ikos Financial Holdings 1 Sarl(a) |
| 12/15/2026 | 5.625% | EUR | 100,000 | 90,609 |
| Total | 660,960 |
| Mauritius 0.5% |
| Network i2i Ltd.(a),(e) |
| 12/31/2049 | 5.650% | | 450,000 | 416,983 |
| Netherlands 3.2% |
| Braskem Netherlands Finance BV(a) |
| 01/31/2050 | 5.875% | | 200,000 | 158,832 |
| Clear Channel International BV(a) |
| 08/01/2025 | 6.625% | | 30,000 | 27,876 |
| Constellium SE(a) |
| 02/15/2026 | 4.250% | EUR | 100,000 | 94,785 |
| 06/15/2028 | 5.625% | | 15,000 | 13,574 |
| 04/15/2029 | 3.750% | | 33,000 | 26,285 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Darling Global Finance BV(a) |
| 05/15/2026 | 3.625% | EUR | 100,000 | 97,244 |
| Diageo Capital BV(a) |
| 06/08/2034 | 1.875% | EUR | 100,000 | 92,112 |
| Digital Dutch Finco BV(a) |
| 03/15/2030 | 1.500% | EUR | 200,000 | 170,515 |
| E.ON International Finance BV(a) |
| 06/03/2030 | 6.250% | GBP | 315,000 | 442,308 |
| ING Groep NV(a),(e) |
| 02/01/2030 | 0.250% | EUR | 200,000 | 168,555 |
| LKQ European Holdings BV(a) |
| 04/01/2028 | 4.125% | EUR | 100,000 | 99,092 |
| Nobel Bidco BV(a) |
| 06/15/2028 | 3.125% | EUR | 100,000 | 71,291 |
| NXP BV/Funding LLC/USA, Inc. |
| 05/01/2030 | 3.400% | | 30,000 | 26,725 |
| OCI NV(a) |
| 10/15/2025 | 3.625% | EUR | 90,000 | 92,277 |
| Phoenix PIB Dutch Finance BV(a) |
| 08/05/2025 | 2.375% | EUR | 100,000 | 95,372 |
| PPF Telecom Group BV(a) |
| 03/27/2026 | 3.125% | EUR | 100,000 | 95,453 |
| Repsol International Finance BV(a),(e) |
| 12/31/2049 | 3.750% | EUR | 100,000 | 94,577 |
| Stichting AK Rabobank Certificaten(a),(e) |
| 12/31/2049 | 6.500% | EUR | 150,000 | 152,636 |
| Telefonica Europe BV(a),(e) |
| 12/31/2049 | 3.875% | EUR | 100,000 | 93,792 |
| Thermo Fisher Scientific Finance I BV |
| 10/18/2041 | 1.625% | EUR | 200,000 | 151,240 |
| Trivium Packaging Finance BV(a) |
| 08/15/2026 | 5.500% | | 25,000 | 23,567 |
| 08/15/2027 | 8.500% | | 14,000 | 13,190 |
| United Group BV(a) |
| 07/01/2024 | 4.875% | EUR | 100,000 | 95,098 |
| Volkswagen International Finance NV(a) |
| 11/16/2038 | 4.125% | EUR | 100,000 | 98,628 |
| Vonovia Finance BV(a) |
| 10/07/2039 | 1.625% | EUR | 200,000 | 123,119 |
| VZ Secured Financing BV(a) |
| 01/15/2032 | 5.000% | | 35,000 | 29,050 |
| Ziggo Bond Co. BV(a) |
| 02/28/2030 | 5.125% | | 28,000 | 21,963 |
| Ziggo Bond Finance BV(a) |
| 01/15/2027 | 6.000% | | 15,000 | 13,371 |
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Ziggo BV(a) |
| 01/15/2030 | 4.875% | | 40,000 | 33,908 |
| Total | 2,716,435 |
| Panama 0.3% |
| Carnival Corp.(a) |
| 02/01/2026 | 10.125% | EUR | 100,000 | 103,683 |
| 03/01/2026 | 7.625% | | 38,000 | 29,664 |
| 03/01/2027 | 5.750% | | 102,000 | 73,684 |
| 08/01/2028 | 4.000% | | 19,000 | 15,586 |
| 05/01/2029 | 6.000% | | 40,000 | 28,007 |
| Total | 250,624 |
| Poland 0.2% |
| CANPACK SA/Eastern PA Land Investment Holding LLC(a) |
| 11/01/2025 | 3.125% | | 9,000 | 7,920 |
| Canpack SA/US LLC(a) |
| 11/15/2029 | 3.875% | | 33,000 | 26,081 |
| InPost SA(a) |
| 07/15/2027 | 2.250% | EUR | 100,000 | 82,056 |
| Total | 116,057 |
| Spain 0.6% |
| Cirsa Finance International Sarl(a) |
| 12/20/2023 | 6.250% | EUR | 84,917 | 85,043 |
| Grifols Escrow Issuer SA(a) |
| 10/15/2028 | 4.750% | | 8,000 | 6,939 |
| Grifols SA(a) |
| 11/15/2027 | 2.250% | EUR | 100,000 | 87,729 |
| Lorca Telecom Bondco SA(a) |
| 09/18/2027 | 4.000% | EUR | 100,000 | 88,057 |
| NorteGas Energia Distribucion SA(a) |
| 09/28/2027 | 2.065% | EUR | 235,000 | 230,044 |
| Total | 497,812 |
| Sweden 0.9% |
| Heimstaden Bostad AB(a),(e) |
| 12/31/2049 | 3.375% | EUR | 100,000 | 62,306 |
| Sagax AB(a) |
| 01/17/2024 | 2.000% | EUR | 365,000 | 374,237 |
| 01/30/2027 | 1.125% | EUR | 300,000 | 264,661 |
| Verisure Holding AB(a) |
| 02/15/2027 | 3.250% | EUR | 100,000 | 86,500 |
| Total | 787,704 |
| Switzerland 0.4% |
| Credit Suisse Group AG(a) |
| 01/18/2033 | 0.625% | EUR | 250,000 | 169,649 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Peach Property Finance GmbH(a) |
| 11/15/2025 | 4.375% | EUR | 100,000 | 82,177 |
| SIG Combibloc PurchaseCo Sarl(a) |
| 06/18/2025 | 2.125% | EUR | 100,000 | 100,003 |
| Total | 351,829 |
| United Kingdom 7.2% |
| B&M European Value Retail SA(a) |
| 07/15/2025 | 3.625% | GBP | 100,000 | 103,123 |
| BAT International Finance PLC(a) |
| 03/25/2025 | 2.750% | EUR | 200,000 | 207,311 |
| Boparan Finance PLC(a) |
| 11/30/2025 | 7.625% | GBP | 100,000 | 86,048 |
| BP Capital Markets PLC(a),(e) |
| 12/31/2049 | 3.250% | EUR | 200,000 | 189,679 |
| BUPA Finance PLC(a) |
| Subordinated |
| 12/08/2026 | 5.000% | GBP | 200,000 | 241,982 |
| Cadent Finance PLC(a) |
| 09/22/2024 | 0.625% | EUR | 330,000 | 330,311 |
| Cadent Finance, PLC(a) |
| 03/19/2030 | 0.625% | EUR | 200,000 | 166,030 |
| Co-operative Group Holdings Ltd.(a),(e) |
| 07/08/2026 | 7.500% | GBP | 100,000 | 108,418 |
| Deuce Finco PLC(a) |
| 06/15/2027 | 5.500% | GBP | 100,000 | 96,600 |
| DS Smith PLC(a) |
| 07/26/2029 | 2.875% | GBP | 270,000 | 298,109 |
| EnQuest PLC(a),(f) |
| 10/15/2023 | 7.000% | | 36,068 | 32,438 |
| GKN Holdings Ltd.(a) |
| 09/19/2022 | 5.375% | GBP | 275,000 | 336,056 |
| HBOS PLC(e) |
| Subordinated |
| 03/18/2030 | 4.500% | EUR | 255,000 | 264,282 |
| HSBC Bank PLC |
| Subordinated |
| 03/24/2046 | 4.750% | GBP | 75,000 | 80,210 |
| HSBC Holdings PLC(e) |
| 05/24/2032 | 2.804% | | 225,000 | 184,720 |
| 11/22/2032 | 2.871% | | 32,000 | 26,212 |
| Imperial Brands Finance PLC(a) |
| 02/26/2026 | 3.375% | EUR | 425,000 | 439,451 |
| INEOS Finance PLC(a) |
| 05/01/2026 | 2.875% | EUR | 100,000 | 91,285 |
| International Game Technology PLC(a) |
| 07/15/2024 | 3.500% | EUR | 100,000 | 102,252 |
| 02/15/2025 | 6.500% | | 8,000 | 7,952 |
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Jaguar Land Rover Automotive PLC(a) |
| 01/15/2026 | 4.500% | EUR | 100,000 | 86,479 |
| Marks & Spencer PLC(a) |
| 05/19/2026 | 3.750% | GBP | 100,000 | 107,109 |
| NGG Finance PLC(a),(e) |
| 09/05/2082 | 2.125% | EUR | 250,000 | 208,432 |
| Pinewood Finance Co., Ltd.(a) |
| 09/30/2025 | 3.250% | GBP | 100,000 | 106,336 |
| Pinnacle Bidco PLC(a) |
| 02/15/2025 | 5.500% | EUR | 100,000 | 94,420 |
| Royal Bank of Scotland Group PLC(a),(e) |
| 03/02/2026 | 1.750% | EUR | 335,000 | 337,336 |
| Sherwood Financing, PLC(a) |
| 11/15/2026 | 4.500% | EUR | 100,000 | 87,868 |
| Southern Water Services Finance Ltd.(a) |
| 05/28/2028 | 2.375% | GBP | 200,000 | 227,033 |
| Thames Water Utilities Finance PLC(a) |
| 01/31/2028 | 0.875% | EUR | 250,000 | 228,352 |
| Travis Perkins PLC(a) |
| 02/17/2026 | 3.750% | GBP | 100,000 | 105,820 |
| UBS AG(a) |
| 03/31/2031 | 0.500% | EUR | 200,000 | 166,808 |
| Victoria PLC(a) |
| 08/24/2026 | 3.625% | EUR | 100,000 | 81,414 |
| Virgin Media Finance PLC(a) |
| 07/15/2030 | 5.000% | | 35,000 | 27,737 |
| Virgin Media Secured Finance PLC(a) |
| 04/15/2027 | 5.000% | GBP | 100,000 | 110,716 |
| 05/15/2029 | 5.500% | | 19,000 | 17,023 |
| Virgin Money UK PLC(a),(e) |
| 06/24/2025 | 2.875% | EUR | 200,000 | 207,576 |
| Vmed O2 UK Financing I PLC(a) |
| 01/31/2029 | 4.000% | GBP | 100,000 | 97,080 |
| 01/31/2031 | 4.250% | | 33,000 | 26,941 |
| 07/15/2031 | 4.750% | | 65,000 | 53,384 |
| Vodafone Group PLC(a),(e) |
| 10/03/2078 | 4.200% | EUR | 100,000 | 92,407 |
| Western Power Distribution PLC(a) |
| 10/16/2026 | 3.500% | GBP | 205,000 | 249,068 |
| Total | 6,111,808 |
| United States 28.2% |
| AbbVie, Inc. |
| 06/01/2029 | 2.125% | EUR | 250,000 | 245,988 |
| 06/15/2044 | 4.850% | | 70,000 | 67,119 |
| 11/14/2048 | 4.875% | | 56,000 | 53,960 |
| 11/21/2049 | 4.250% | | 115,000 | 101,932 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Acadia Healthcare Co., Inc.(a) |
| 07/01/2028 | 5.500% | | 4,000 | 3,742 |
| 04/15/2029 | 5.000% | | 5,000 | 4,517 |
| AdaptHealth LLC(a) |
| 08/01/2029 | 4.625% | | 6,000 | 4,933 |
| 03/01/2030 | 5.125% | | 29,000 | 24,382 |
| Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) |
| 02/15/2028 | 5.875% | | 11,000 | 10,286 |
| Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) |
| 02/15/2030 | 4.875% | | 26,000 | 22,161 |
| Allegheny Technologies, Inc. |
| 10/01/2029 | 4.875% | | 5,000 | 4,042 |
| 10/01/2031 | 5.125% | | 43,000 | 33,718 |
| Alliant Holdings Intermediate LLC/Co-Issuer(a) |
| 10/15/2027 | 4.250% | | 16,000 | 13,972 |
| 10/15/2027 | 6.750% | | 33,000 | 29,258 |
| 11/01/2029 | 5.875% | | 23,000 | 19,088 |
| American Airlines, Inc.(a) |
| 07/15/2025 | 11.750% | | 27,000 | 27,945 |
| American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) |
| 04/20/2026 | 5.500% | | 61,750 | 56,891 |
| 04/20/2029 | 5.750% | | 22,343 | 19,077 |
| American Axle & Manufacturing, Inc. |
| 04/01/2027 | 6.500% | | 2,000 | 1,771 |
| American Builders & Contractors Supply Co., Inc.(a) |
| 01/15/2028 | 4.000% | | 64,000 | 55,227 |
| American Tower Corp. |
| 08/15/2029 | 3.800% | | 53,000 | 48,664 |
| 06/15/2030 | 2.100% | | 15,000 | 11,985 |
| Amgen, Inc. |
| 02/22/2062 | 4.400% | | 97,000 | 84,355 |
| Anheuser-Busch Companies LLC/InBev Worldwide, Inc. |
| 02/01/2046 | 4.900% | | 405,000 | 381,984 |
| Apache Corp. |
| 09/01/2040 | 5.100% | | 29,000 | 24,493 |
| 02/01/2042 | 5.250% | | 9,000 | 7,493 |
| 04/15/2043 | 4.750% | | 19,000 | 14,849 |
| 01/15/2044 | 4.250% | | 11,000 | 8,202 |
| Appalachian Power Co. |
| 05/15/2044 | 4.400% | | 400,000 | 350,918 |
| APX Group, Inc.(a) |
| 07/15/2029 | 5.750% | | 21,000 | 16,304 |
| Arches Buyer, Inc.(a) |
| 12/01/2028 | 6.125% | | 25,000 | 20,406 |
| Archrock Partners LP/Finance Corp.(a) |
| 04/01/2028 | 6.250% | | 15,000 | 13,223 |
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Ardagh Metal Packaging Finance USA LLC/PLC(a) |
| 06/15/2027 | 6.000% | | 20,000 | 19,787 |
| 09/01/2028 | 2.000% | EUR | 100,000 | 82,864 |
| 09/01/2029 | 4.000% | | 38,000 | 30,472 |
| Aretec Escrow Issuer, Inc.(a) |
| 04/01/2029 | 7.500% | | 14,000 | 12,028 |
| Asbury Automotive Group, Inc.(a) |
| 11/15/2029 | 4.625% | | 6,000 | 4,956 |
| 02/15/2032 | 5.000% | | 6,000 | 4,908 |
| Ashland Services BV(a) |
| 01/30/2028 | 2.000% | EUR | 100,000 | 85,645 |
| AssuredPartners, Inc.(a) |
| 01/15/2029 | 5.625% | | 32,000 | 25,878 |
| AT&T, Inc. |
| 09/04/2036 | 3.150% | EUR | 100,000 | 96,837 |
| 12/01/2057 | 3.800% | | 245,000 | 190,013 |
| Avantor Funding, Inc.(a) |
| 11/01/2025 | 2.625% | EUR | 100,000 | 97,477 |
| 07/15/2028 | 4.625% | | 21,000 | 19,227 |
| 11/01/2029 | 3.875% | | 66,000 | 57,744 |
| Axalta Coating Systems LLC(a) |
| 02/15/2029 | 3.375% | | 14,000 | 11,435 |
| Axalta Coating Systems LLC/Dutch Holding B BV(a) |
| 06/15/2027 | 4.750% | | 8,000 | 7,138 |
| Bank of America Corp.(a),(e) |
| 03/22/2031 | 0.694% | EUR | 400,000 | 340,515 |
| Bank of America Corp.(e) |
| 07/21/2032 | 2.299% | | 600,000 | 484,982 |
| 02/04/2033 | 2.972% | | 120,000 | 102,284 |
| Bausch Health Companies, Inc.(a) |
| 11/01/2025 | 5.500% | | 22,000 | 19,350 |
| 04/01/2026 | 9.250% | | 6,000 | 4,292 |
| 01/30/2030 | 5.250% | | 12,000 | 6,248 |
| 02/15/2031 | 5.250% | | 21,000 | 10,783 |
| Beacon Roofing Supply, Inc.(a) |
| 11/15/2026 | 4.500% | | 21,000 | 19,109 |
| 05/15/2029 | 4.125% | | 14,000 | 11,498 |
| Becton Dickinson and Co. |
| 02/11/2031 | 1.957% | | 225,000 | 181,988 |
| Becton Dickinson Euro Finance Sarl |
| 02/12/2036 | 1.213% | EUR | 100,000 | 74,679 |
| Berkshire Hathaway Finance Corp. |
| 03/18/2030 | 1.500% | EUR | 150,000 | 140,334 |
| 03/15/2052 | 3.850% | | 200,000 | 171,164 |
| Berkshire Hathaway, Inc. |
| 01/15/2041 | 0.500% | EUR | 100,000 | 61,127 |
| Boeing Co. (The) |
| 08/01/2059 | 3.950% | | 250,000 | 168,794 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 11 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Boyd Gaming Corp.(a) |
| 06/15/2031 | 4.750% | | 39,000 | 33,004 |
| Broadcom, Inc.(a) |
| 04/15/2034 | 3.469% | | 119,000 | 96,522 |
| BroadStreet Partners, Inc.(a) |
| 04/15/2029 | 5.875% | | 32,000 | 24,958 |
| Caesars Entertainment, Inc.(a) |
| 10/15/2029 | 4.625% | | 41,000 | 31,997 |
| Callon Petroleum Co. |
| 10/01/2024 | 6.125% | | 14,000 | 14,212 |
| 07/01/2026 | 6.375% | | 44,000 | 40,520 |
| Camelot Finance SA(a) |
| 11/01/2026 | 4.500% | | 12,000 | 10,999 |
| Carrier Global Corp. |
| 04/05/2050 | 3.577% | | 250,000 | 189,716 |
| Catalent Pharma Solutions, Inc.(a) |
| 07/15/2027 | 5.000% | | 8,000 | 7,529 |
| 03/01/2028 | 2.375% | EUR | 100,000 | 85,583 |
| 02/15/2029 | 3.125% | | 6,000 | 4,939 |
| 04/01/2030 | 3.500% | | 12,000 | 9,848 |
| CCO Holdings LLC/Capital Corp.(a) |
| 03/01/2030 | 4.750% | | 34,000 | 29,081 |
| 08/15/2030 | 4.500% | | 29,000 | 24,235 |
| 02/01/2032 | 4.750% | | 25,000 | 20,583 |
| CD&R Smokey Buyer, Inc.(a) |
| 07/15/2025 | 6.750% | | 31,000 | 27,520 |
| CDK Global, Inc. |
| 06/01/2027 | 4.875% | | 21,000 | 20,817 |
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) |
| 05/01/2025 | 5.500% | | 25,000 | 24,304 |
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC |
| 10/01/2028 | 6.500% | | 8,000 | 7,625 |
| Cengage Learning, Inc.(a) |
| 06/15/2024 | 9.500% | | 23,000 | 21,280 |
| Centene Corp. |
| 12/15/2029 | 4.625% | | 16,000 | 14,920 |
| 02/15/2030 | 3.375% | | 16,000 | 13,569 |
| 10/15/2030 | 3.000% | | 32,000 | 26,523 |
| 08/01/2031 | 2.625% | | 74,000 | 59,385 |
| CenturyLink, Inc. |
| 04/01/2025 | 5.625% | | 25,000 | 23,732 |
| CenturyLink, Inc.(a) |
| 12/15/2026 | 5.125% | | 9,000 | 7,587 |
| Charles River Laboratories International, Inc.(a) |
| 05/01/2028 | 4.250% | | 6,000 | 5,396 |
| 03/15/2029 | 3.750% | | 13,000 | 11,282 |
| 03/15/2031 | 4.000% | | 9,000 | 7,707 |
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Charter Communications Operating LLC/Capital |
| 05/01/2047 | 5.375% | | 155,000 | 132,682 |
| 06/30/2062 | 3.950% | | 179,000 | 119,308 |
| 04/01/2063 | 5.500% | | 317,000 | 270,378 |
| Cheniere Energy Partners LP |
| 10/01/2029 | 4.500% | | 5,000 | 4,467 |
| 03/01/2031 | 4.000% | | 24,000 | 20,461 |
| Cheniere Energy Partners LP(a) |
| 01/31/2032 | 3.250% | | 30,000 | 23,648 |
| Cheniere Energy, Inc. |
| 10/15/2028 | 4.625% | | 21,000 | 18,999 |
| CHS/Community Health Systems, Inc.(a) |
| 03/15/2026 | 8.000% | | 14,000 | 12,748 |
| 03/15/2027 | 5.625% | | 6,000 | 5,078 |
| 04/15/2029 | 6.875% | | 24,000 | 15,364 |
| 05/15/2030 | 5.250% | | 48,000 | 36,638 |
| Cinemark USA, Inc.(a) |
| 03/15/2026 | 5.875% | | 23,000 | 20,532 |
| 07/15/2028 | 5.250% | | 21,000 | 16,858 |
| Citigroup, Inc.(e) |
| 06/03/2031 | 2.572% | | 170,000 | 143,008 |
| 01/25/2033 | 3.057% | | 170,000 | 144,398 |
| Clarivate Science Holdings Corp.(a) |
| 07/01/2028 | 3.875% | | 12,000 | 10,088 |
| 07/01/2029 | 4.875% | | 29,000 | 23,806 |
| Clear Channel Outdoor Holdings, Inc.(a) |
| 04/15/2028 | 7.750% | | 19,000 | 13,825 |
| 06/01/2029 | 7.500% | | 33,000 | 23,842 |
| Clear Channel Worldwide Holdings, Inc.(a) |
| 08/15/2027 | 5.125% | | 19,000 | 16,044 |
| Clearway Energy Operating LLC(a) |
| 02/15/2031 | 3.750% | | 35,000 | 28,383 |
| 01/15/2032 | 3.750% | | 9,000 | 7,118 |
| CMS Energy Corp. |
| 11/15/2025 | 3.600% | | 682,000 | 669,753 |
| CNX Midstream Partners LP(a) |
| 04/15/2030 | 4.750% | | 20,000 | 16,771 |
| CNX Resources Corp.(a) |
| 03/14/2027 | 7.250% | | 21,000 | 20,609 |
| 01/15/2029 | 6.000% | | 13,000 | 12,090 |
| Colgate Energy Partners III LLC(a) |
| 07/01/2029 | 5.875% | | 25,000 | 21,902 |
| Colt Merger Sub, Inc.(a) |
| 07/01/2025 | 5.750% | | 13,000 | 12,458 |
| 07/01/2025 | 6.250% | | 42,000 | 40,480 |
| 07/01/2027 | 8.125% | | 23,000 | 22,178 |
| Commercial Metals Co. |
| 02/15/2031 | 3.875% | | 5,000 | 4,012 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CommScope Technologies LLC(a) |
| 06/15/2025 | 6.000% | | 12,000 | 10,380 |
| Comstock Resources, Inc.(a) |
| 03/01/2029 | 6.750% | | 12,000 | 10,775 |
| 01/15/2030 | 5.875% | | 12,000 | 10,382 |
| CrownRock LP/Finance, Inc.(a) |
| 05/01/2029 | 5.000% | | 12,000 | 10,771 |
| CSC Holdings LLC(a) |
| 02/01/2028 | 5.375% | | 66,000 | 57,684 |
| 01/15/2030 | 5.750% | | 23,000 | 16,733 |
| 12/01/2030 | 4.125% | | 26,000 | 20,266 |
| 12/01/2030 | 4.625% | | 24,000 | 16,075 |
| CSX Corp. |
| 11/01/2046 | 3.800% | | 128,000 | 108,218 |
| CVS Health Corp. |
| 03/25/2048 | 5.050% | | 270,000 | 258,323 |
| Darling Ingredients, Inc.(a) |
| 06/15/2030 | 6.000% | | 26,000 | 25,933 |
| DCP Midstream Operating LP |
| 05/15/2029 | 5.125% | | 16,000 | 14,404 |
| 04/01/2044 | 5.600% | | 19,000 | 15,374 |
| Delta Air Lines, Inc./SkyMiles IP Ltd.(a) |
| 10/20/2028 | 4.750% | | 20,000 | 18,877 |
| DIRECTV Holdings LLC/Financing Co., Inc.(a) |
| 08/15/2027 | 5.875% | | 32,000 | 27,301 |
| DISH DBS Corp. |
| 07/01/2026 | 7.750% | | 18,000 | 13,970 |
| 06/01/2029 | 5.125% | | 49,000 | 29,776 |
| DISH DBS Corp.(a) |
| 12/01/2028 | 5.750% | | 48,000 | 35,526 |
| DT Midstream, Inc.(a) |
| 06/15/2029 | 4.125% | | 14,000 | 11,904 |
| DTE Energy Co. |
| 10/01/2026 | 2.850% | | 490,000 | 463,495 |
| Duke Energy Corp. |
| 09/01/2046 | 3.750% | | 345,000 | 272,096 |
| Element Solutions, Inc.(a) |
| 09/01/2028 | 3.875% | | 29,000 | 23,982 |
| Eli Lilly & Co. |
| 09/14/2061 | 1.375% | EUR | 100,000 | 58,691 |
| Emera US Finance LP |
| 06/15/2046 | 4.750% | | 620,000 | 546,849 |
| Encompass Health Corp. |
| 02/01/2028 | 4.500% | | 13,000 | 11,190 |
| Entegris Escrow Corp.(a) |
| 04/15/2029 | 4.750% | | 7,000 | 6,525 |
| 06/15/2030 | 5.950% | | 26,000 | 24,775 |
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Enterprise Products Operating LLC |
| 03/15/2044 | 4.850% | | 36,000 | 32,703 |
| 01/31/2060 | 3.950% | | 87,000 | 68,531 |
| EQM Midstream Partners LP(a) |
| 07/01/2025 | 6.000% | | 14,000 | 13,465 |
| 07/01/2027 | 6.500% | | 16,000 | 14,883 |
| 01/15/2029 | 4.500% | | 24,000 | 19,497 |
| 01/15/2031 | 4.750% | | 86,000 | 68,601 |
| EQM Midstream Partners LP |
| 07/15/2048 | 6.500% | | 49,000 | 36,514 |
| Exelon Corp.(a) |
| 03/15/2052 | 4.100% | | 17,000 | 14,585 |
| FedEx Corp. |
| 04/01/2046 | 4.550% | | 200,000 | 179,245 |
| Fertitta Entertainment LLC/Finance Co., Inc.(a) |
| 01/15/2030 | 6.750% | | 48,000 | 36,873 |
| Fidelity National Information Services, Inc. |
| 05/21/2027 | 1.500% | EUR | 271,000 | 262,995 |
| Five Corners Funding Trust(a) |
| 11/15/2023 | 4.419% | | 1,200,000 | 1,204,742 |
| Ford Motor Co. |
| 02/12/2032 | 3.250% | | 64,000 | 47,839 |
| 01/15/2043 | 4.750% | | 16,000 | 11,405 |
| Ford Motor Credit Co. LLC |
| 09/08/2024 | 3.664% | | 91,000 | 86,603 |
| 11/13/2025 | 3.375% | | 18,000 | 16,206 |
| 11/25/2025 | 2.330% | EUR | 100,000 | 92,750 |
| 01/08/2026 | 4.389% | | 22,000 | 20,312 |
| 08/17/2027 | 4.125% | | 63,000 | 55,470 |
| 02/16/2028 | 2.900% | | 12,000 | 9,676 |
| 11/13/2030 | 4.000% | | 6,000 | 4,864 |
| Freeport-McMoRan, Inc. |
| 09/01/2029 | 5.250% | | 36,000 | 34,386 |
| 03/15/2043 | 5.450% | | 214,000 | 197,984 |
| Front Range BidCo, Inc.(a) |
| 03/01/2027 | 4.000% | | 26,000 | 21,569 |
| Frontier Communications Holdings LLC(a) |
| 05/15/2030 | 8.750% | | 12,000 | 12,140 |
| Gartner, Inc.(a) |
| 07/01/2028 | 4.500% | | 16,000 | 14,558 |
| 06/15/2029 | 3.625% | | 12,000 | 10,348 |
| 10/01/2030 | 3.750% | | 74,000 | 63,969 |
| Gates Global LLC/Co.(a) |
| 01/15/2026 | 6.250% | | 38,000 | 35,327 |
| General Electric Co.(b) |
| Junior Subordinated |
3-month USD LIBOR + 3.330%
12/31/2049 | 5.159% | | 35,000 | 30,618 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 13 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Georgia Power Co. |
| 03/15/2042 | 4.300% | | 195,000 | 169,580 |
| Goldman Sachs Group, Inc. (The)(e) |
| 07/21/2032 | 2.383% | | 158,000 | 127,884 |
| 02/24/2033 | 3.102% | | 127,000 | 108,606 |
| Goldman Sachs Group, Inc. (The)(a) |
| 03/18/2033 | 1.000% | EUR | 150,000 | 118,168 |
| Goodyear Tire & Rubber Co. (The) |
| 07/15/2029 | 5.000% | | 17,000 | 14,170 |
| Guardian Life Insurance Co. of America (The)(a) |
| Subordinated |
| 06/19/2064 | 4.875% | | 275,000 | 266,304 |
| H&E Equipment Services, Inc.(a) |
| 12/15/2028 | 3.875% | | 35,000 | 28,286 |
| Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(a) |
| 01/20/2026 | 5.750% | | 30,741 | 27,548 |
| HB Fuller Co. |
| 10/15/2028 | 4.250% | | 34,000 | 28,564 |
| HCA, Inc.(a) |
| 03/15/2052 | 4.625% | | 179,000 | 143,208 |
| HealthEquity, Inc.(a) |
| 10/01/2029 | 4.500% | | 24,000 | 21,008 |
| Helios Software Holdings, Inc.(a) |
| 05/01/2028 | 4.625% | | 37,000 | 29,733 |
| Herc Holdings, Inc.(a) |
| 07/15/2027 | 5.500% | | 19,000 | 17,390 |
| Hess Midstream Operations LP(a) |
| 02/15/2030 | 4.250% | | 10,000 | 8,472 |
| Hightower Holding LLC(a) |
| 04/15/2029 | 6.750% | | 14,000 | 10,540 |
| Hilcorp Energy I LP/Finance Co.(a) |
| 11/01/2028 | 6.250% | | 11,000 | 10,230 |
| 02/01/2029 | 5.750% | | 7,000 | 6,110 |
| 04/15/2030 | 6.000% | | 15,000 | 13,207 |
| 02/01/2031 | 6.000% | | 22,000 | 19,044 |
| 04/15/2032 | 6.250% | | 9,000 | 7,868 |
| Hilton Domestic Operating Co., Inc.(a) |
| 05/01/2025 | 5.375% | | 14,000 | 13,748 |
| Holly Energy Partners LP/Finance Corp.(a) |
| 04/15/2027 | 6.375% | | 11,000 | 10,373 |
| 02/01/2028 | 5.000% | | 21,000 | 18,008 |
| HT Troplast GmbH(a) |
| 07/15/2025 | 9.250% | EUR | 100,000 | 92,832 |
| HUB International Ltd.(a) |
| 05/01/2026 | 7.000% | | 60,000 | 56,653 |
| 12/01/2029 | 5.625% | | 29,000 | 24,298 |
| IAA Spinco, Inc.(a) |
| 06/15/2027 | 5.500% | | 25,000 | 23,281 |
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| iHeartCommunications, Inc. |
| 05/01/2026 | 6.375% | | 10,082 | 9,342 |
| 05/01/2027 | 8.375% | | 43,385 | 34,669 |
| iHeartCommunications, Inc.(a) |
| 01/15/2028 | 4.750% | | 15,000 | 12,360 |
| Illuminate Buyer LLC/Holdings IV, Inc.(a) |
| 07/01/2028 | 9.000% | | 31,000 | 24,585 |
| Ingevity Corp.(a) |
| 11/01/2028 | 3.875% | | 15,000 | 12,561 |
| Innophos Holdings, Inc.(a) |
| 02/15/2028 | 9.375% | | 12,000 | 10,934 |
| Inspired Entertainment Financing PLC(a) |
| 06/01/2026 | 7.875% | GBP | 100,000 | 118,235 |
| IQVIA, Inc.(a) |
| 01/15/2028 | 2.250% | EUR | 100,000 | 86,718 |
| IRB Holding Corp.(a) |
| 06/15/2025 | 7.000% | | 16,000 | 15,615 |
| Iris Holdings, Inc.(a),(f) |
| 02/15/2026 | 8.750% | | 10,000 | 8,199 |
| JBS USA LUX SA/Food Co./Finance, Inc.(a) |
| 12/01/2031 | 3.750% | | 19,000 | 15,583 |
| JPMorgan Chase & Co.(a),(e) |
| 07/25/2031 | 1.001% | EUR | 400,000 | 350,060 |
| JPMorgan Chase & Co.(e) |
| 04/22/2032 | 2.580% | | 311,000 | 261,864 |
| 11/08/2032 | 2.545% | | 173,000 | 143,742 |
| Kaiser Aluminum Corp.(a) |
| 03/01/2028 | 4.625% | | 4,000 | 3,348 |
| 06/01/2031 | 4.500% | | 30,000 | 22,970 |
| KAR Auction Services, Inc.(a) |
| 06/01/2025 | 5.125% | | 48,000 | 45,167 |
| Kinder Morgan Energy Partners LP |
| 03/01/2043 | 5.000% | | 105,000 | 91,899 |
| Kinder Morgan, Inc. |
| 02/15/2046 | 5.050% | | 90,000 | 80,430 |
| Kraft Heinz Foods Co.(a) |
| 05/25/2028 | 2.250% | EUR | 400,000 | 394,128 |
| Kraft Heinz Foods Co. |
| 06/01/2046 | 4.375% | | 505,000 | 420,700 |
| L Brands, Inc.(a) |
| 07/01/2025 | 9.375% | | 5,000 | 5,069 |
| 10/01/2030 | 6.625% | | 6,000 | 5,182 |
| L Brands, Inc. |
| 06/15/2029 | 7.500% | | 9,000 | 8,206 |
| 11/01/2035 | 6.875% | | 20,000 | 16,245 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Ladder Capital Finance Holdings LLLP/Corp.(a) |
| 10/01/2025 | 5.250% | | 50,000 | 45,685 |
| 02/01/2027 | 4.250% | | 13,000 | 10,527 |
| 06/15/2029 | 4.750% | | 42,000 | 32,417 |
| Lamb Weston Holdings, Inc.(a) |
| 01/31/2030 | 4.125% | | 20,000 | 17,399 |
| 01/31/2032 | 4.375% | | 14,000 | 12,175 |
| Leeward Renewable Energy Operations LLC(a) |
| 07/01/2029 | 4.250% | | 6,000 | 4,854 |
| Logan Merger Sub, Inc.(a) |
| 09/01/2027 | 5.500% | | 48,000 | 32,851 |
| Lowe’s Companies, Inc. |
| 04/01/2062 | 4.450% | | 139,000 | 118,789 |
| Madison IAQ LLC(a) |
| 06/30/2028 | 4.125% | | 41,000 | 33,966 |
| 06/30/2029 | 5.875% | | 16,000 | 12,204 |
| Magallanes, Inc.(a) |
| 03/15/2062 | 5.391% | | 200,000 | 167,732 |
| Matador Resources Co. |
| 09/15/2026 | 5.875% | | 38,000 | 36,615 |
| Mattel, Inc.(a) |
| 04/01/2026 | 3.375% | | 8,000 | 7,347 |
| 04/01/2029 | 3.750% | | 43,000 | 38,677 |
| Mattel, Inc. |
| 10/01/2040 | 6.200% | | 25,000 | 24,067 |
| 11/01/2041 | 5.450% | | 14,000 | 12,361 |
| Medtronic Global Holdings SCA |
| 10/15/2040 | 1.375% | EUR | 250,000 | 185,095 |
| Meritage Homes Corp.(a) |
| 04/15/2029 | 3.875% | | 48,000 | 39,816 |
| Midwest Gaming Borrower LLC(a) |
| 05/01/2029 | 4.875% | | 27,000 | 22,046 |
| Minerva Merger Sub, Inc.(a) |
| 02/15/2030 | 6.500% | | 29,000 | 24,198 |
| Morgan Stanley(e) |
| 10/20/2032 | 2.511% | | 245,000 | 202,869 |
| Subordinated |
| 04/20/2037 | 5.297% | | 85,000 | 82,461 |
| Mozart Debt Merger Sub, Inc.(a) |
| 04/01/2029 | 3.875% | | 8,000 | 6,820 |
| 10/01/2029 | 5.250% | | 9,000 | 7,481 |
| NCL Corp., Ltd.(a) |
| 03/15/2026 | 5.875% | | 10,000 | 7,846 |
| NCR Corp.(a) |
| 09/01/2027 | 5.750% | | 21,000 | 18,649 |
| 10/01/2028 | 5.000% | | 18,000 | 15,333 |
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Netflix, Inc. |
| 04/15/2028 | 4.875% | | 56,000 | 52,871 |
| 11/15/2028 | 5.875% | | 17,000 | 16,642 |
| 05/15/2029 | 4.625% | EUR | 550,000 | 545,464 |
| 05/15/2029 | 6.375% | | 3,000 | 3,024 |
| Netflix, Inc.(a) |
| 11/15/2029 | 5.375% | | 24,000 | 22,685 |
| 06/15/2030 | 4.875% | | 40,000 | 36,710 |
| Newell Brands, Inc. |
| 06/01/2025 | 4.875% | | 11,000 | 10,850 |
| NextEra Energy Operating Partners LP(a) |
| 09/15/2027 | 4.500% | | 23,000 | 21,302 |
| NFP Corp.(a) |
| 08/15/2028 | 4.875% | | 22,000 | 18,860 |
| 08/15/2028 | 6.875% | | 50,000 | 41,579 |
| Nielsen Finance LLC/Co.(a) |
| 10/01/2028 | 5.625% | | 13,000 | 12,069 |
| 07/15/2029 | 4.500% | | 20,000 | 18,109 |
| 07/15/2031 | 4.750% | | 14,000 | 12,633 |
| NiSource, Inc. |
| 05/15/2047 | 4.375% | | 93,000 | 81,832 |
| Novelis Corp.(a) |
| 11/15/2026 | 3.250% | | 12,000 | 10,173 |
| 01/30/2030 | 4.750% | | 25,000 | 20,790 |
| 08/15/2031 | 3.875% | | 15,000 | 11,554 |
| NRG Energy, Inc.(a) |
| 02/15/2029 | 3.375% | | 12,000 | 9,698 |
| 02/15/2031 | 3.625% | | 152,000 | 119,611 |
| NuStar Logistics LP |
| 10/01/2025 | 5.750% | | 18,000 | 16,832 |
| 06/01/2026 | 6.000% | | 10,000 | 9,260 |
| Occidental Petroleum Corp. |
| 07/15/2025 | 8.000% | | 48,000 | 50,597 |
| 09/01/2030 | 6.625% | | 56,000 | 57,692 |
| 01/01/2031 | 6.125% | | 53,000 | 53,776 |
| 05/01/2031 | 7.500% | | 13,000 | 14,007 |
| 09/15/2036 | 6.450% | | 45,000 | 46,872 |
| 03/15/2046 | 6.600% | | 40,000 | 42,460 |
| Oracle Corp. |
| 04/01/2050 | 3.600% | | 174,000 | 121,437 |
| 03/25/2061 | 4.100% | | 168,000 | 120,371 |
| Organon Finance 1 LLC(a) |
| 04/30/2028 | 4.125% | | 44,000 | 38,938 |
| 04/30/2031 | 5.125% | | 36,000 | 31,070 |
| Outfront Media Capital LLC/Corp.(a) |
| 01/15/2029 | 4.250% | | 9,000 | 7,179 |
| 03/15/2030 | 4.625% | | 8,000 | 6,421 |
| Owens & Minor, Inc.(a) |
| 04/01/2030 | 6.625% | | 19,000 | 17,326 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 15 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Pacific Gas and Electric Co. |
| 07/01/2050 | 4.950% | | 105,000 | 83,729 |
| Par Pharmaceutical, Inc.(a) |
| 04/01/2027 | 7.500% | | 3,000 | 2,280 |
| Park Intermediate Holdings LLC/PK Domestic Property LLC/Finance Co-Issuer(a) |
| 05/15/2029 | 4.875% | | 15,000 | 12,902 |
| Peachtree Corners Funding Trust(a) |
| 02/15/2025 | 3.976% | | 1,100,000 | 1,094,707 |
| Penn National Gaming, Inc.(a) |
| 07/01/2029 | 4.125% | | 19,000 | 14,529 |
| PetSmart, Inc./Finance Corp.(a) |
| 02/15/2028 | 4.750% | | 19,000 | 16,417 |
| 02/15/2029 | 7.750% | | 22,000 | 19,848 |
| Pilgrim’s Pride Corp.(a) |
| 09/30/2027 | 5.875% | | 29,000 | 27,757 |
| 04/15/2031 | 4.250% | | 97,000 | 80,923 |
| 03/01/2032 | 3.500% | | 93,000 | 72,909 |
| Plains All American Pipeline LP/Finance Corp. |
| 06/15/2044 | 4.700% | | 475,000 | 376,141 |
| Plantronics, Inc.(a) |
| 03/01/2029 | 4.750% | | 17,000 | 16,946 |
| Playtika Holding Corp.(a) |
| 03/15/2029 | 4.250% | | 14,000 | 11,637 |
| Post Holdings, Inc.(a) |
| 03/01/2027 | 5.750% | | 9,000 | 8,720 |
| 04/15/2030 | 4.625% | | 18,000 | 15,186 |
| 09/15/2031 | 4.500% | | 28,000 | 22,988 |
| Prestige Brands, Inc.(a) |
| 01/15/2028 | 5.125% | | 14,000 | 13,026 |
| Primo Water Holdings, Inc.(a) |
| 04/30/2029 | 4.375% | | 24,000 | 19,593 |
| Quicken Loans LLC/Co-Issuer, Inc.(a) |
| 03/01/2029 | 3.625% | | 15,000 | 11,780 |
| 03/01/2031 | 3.875% | | 78,000 | 58,701 |
| Radiate Holdco LLC/Finance, Inc.(a) |
| 09/15/2026 | 4.500% | | 23,000 | 19,863 |
| 09/15/2028 | 6.500% | | 35,000 | 27,081 |
| Radiology Partners, Inc.(a) |
| 02/01/2028 | 9.250% | | 12,000 | 9,018 |
| Resideo Funding, Inc.(a) |
| 09/01/2029 | 4.000% | | 16,000 | 12,495 |
| RLJ Lodging Trust LP(a) |
| 07/01/2026 | 3.750% | | 10,000 | 8,789 |
| 09/15/2029 | 4.000% | | 11,000 | 9,094 |
| Roblox Corp.(a) |
| 05/01/2030 | 3.875% | | 19,000 | 15,395 |
| Rocket Mortgage LLC/Co-Issuer, Inc.(a) |
| 10/15/2033 | 4.000% | | 54,000 | 38,527 |
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Rockies Express Pipeline LLC(a) |
| 05/15/2025 | 3.600% | | 14,000 | 12,578 |
| RP Escrow Issuer LLC(a) |
| 12/15/2025 | 5.250% | | 22,000 | 19,063 |
| Ryan Specialty Group LLC(a) |
| 02/01/2030 | 4.375% | | 8,000 | 6,962 |
| Sabre GLBL, Inc.(a) |
| 04/15/2025 | 9.250% | | 4,000 | 3,862 |
| Scientific Games Holdings LP/US FinCo, Inc.(a) |
| 03/01/2030 | 6.625% | | 28,000 | 23,813 |
| Scientific Games International, Inc.(a) |
| 05/15/2028 | 7.000% | | 13,000 | 12,273 |
| Select Medical Corp.(a) |
| 08/15/2026 | 6.250% | | 39,000 | 36,485 |
| Sempra Energy |
| 06/15/2027 | 3.250% | | 260,000 | 246,583 |
| Service Properties Trust |
| 03/15/2024 | 4.650% | | 9,000 | 7,794 |
| Shea Homes LP/Funding Corp.(a) |
| 02/15/2028 | 4.750% | | 38,000 | 30,605 |
| Shift4 Payments LLC/Finance Sub, Inc.(a) |
| 11/01/2026 | 4.625% | | 28,000 | 24,866 |
| Silgan Holdings, Inc. |
| 06/01/2028 | 2.250% | EUR | 100,000 | 82,156 |
| Sirius XM Radio, Inc.(a) |
| 09/01/2026 | 3.125% | | 18,000 | 16,093 |
| 07/01/2030 | 4.125% | | 25,000 | 20,877 |
| Six Flags Entertainment Corp.(a) |
| 07/31/2024 | 4.875% | | 21,000 | 20,010 |
| Six Flags Theme Parks, Inc.(a) |
| 07/01/2025 | 7.000% | | 13,000 | 13,194 |
| Southern Co. (The) |
| 07/01/2046 | 4.400% | | 220,000 | 191,804 |
| Southern Co. (The)(e) |
| 09/15/2081 | 1.875% | EUR | 100,000 | 72,031 |
| Southwestern Energy Co. |
| 02/01/2029 | 5.375% | | 9,000 | 8,362 |
| 02/01/2032 | 4.750% | | 46,000 | 39,348 |
| Spectrum Brands, Inc. |
| 07/15/2025 | 5.750% | | 28,000 | 27,708 |
| Spectrum Brands, Inc.(a) |
| 10/01/2026 | 4.000% | EUR | 100,000 | 99,441 |
| Sprint Capital Corp. |
| 11/15/2028 | 6.875% | | 81,000 | 85,353 |
| Sprint Corp. |
| 03/01/2026 | 7.625% | | 29,000 | 30,590 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Square, Inc.(a) |
| 06/01/2026 | 2.750% | | 8,000 | 7,111 |
| SRS Distribution, Inc.(a) |
| 07/01/2028 | 4.625% | | 22,000 | 19,216 |
| 07/01/2029 | 6.125% | | 15,000 | 11,821 |
| 12/01/2029 | 6.000% | | 22,000 | 17,258 |
| Staples, Inc.(a) |
| 04/15/2026 | 7.500% | | 29,000 | 24,048 |
| 04/15/2027 | 10.750% | | 4,000 | 2,648 |
| Sunoco LP/Finance Corp. |
| 05/15/2029 | 4.500% | | 10,000 | 8,242 |
| Surgery Center Holdings, Inc.(a) |
| 07/01/2025 | 6.750% | | 6,000 | 5,500 |
| 04/15/2027 | 10.000% | | 11,000 | 10,776 |
| Switch Ltd.(a) |
| 06/15/2029 | 4.125% | | 22,000 | 21,829 |
| Syneos Health, Inc.(a) |
| 01/15/2029 | 3.625% | | 7,000 | 5,956 |
| Targa Resources Partners LP/Finance Corp. |
| 03/01/2030 | 5.500% | | 36,000 | 34,278 |
| Teachers Insurance & Annuity Association of America(a) |
| Subordinated |
| 09/15/2044 | 4.900% | | 240,000 | 233,395 |
| Tempo Acquisition LLC/Finance Corp.(a) |
| 06/01/2025 | 5.750% | | 9,000 | 8,591 |
| Tempur Sealy International, Inc.(a) |
| 10/15/2031 | 3.875% | | 7,000 | 5,248 |
| Tenet Healthcare Corp.(a) |
| 02/01/2027 | 6.250% | | 18,000 | 16,636 |
| 11/01/2027 | 5.125% | | 18,000 | 16,263 |
| 06/15/2028 | 4.625% | | 10,000 | 8,728 |
| 10/01/2028 | 6.125% | | 32,000 | 27,536 |
| 01/15/2030 | 4.375% | | 21,000 | 17,841 |
| TerraForm Power Operating LLC(a) |
| 01/15/2030 | 4.750% | | 28,000 | 23,995 |
| T-Mobile USA, Inc. |
| 02/15/2029 | 2.625% | | 26,000 | 21,863 |
| 02/15/2031 | 2.875% | | 14,000 | 11,622 |
| 04/15/2031 | 3.500% | | 5,000 | 4,329 |
| T-Mobile USA, Inc.(a) |
| 04/15/2031 | 3.500% | | 48,000 | 41,227 |
| 10/15/2052 | 3.400% | | 109,000 | 80,387 |
| TransDigm, Inc.(a) |
| 12/15/2025 | 8.000% | | 18,000 | 18,234 |
| 03/15/2026 | 6.250% | | 63,000 | 60,877 |
| TransDigm, Inc. |
| 11/15/2027 | 5.500% | | 40,000 | 34,062 |
| 01/15/2029 | 4.625% | | 17,000 | 13,686 |
| 05/01/2029 | 4.875% | | 17,000 | 13,819 |
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| TransMontaigne Partners LP/TLP Finance Corp. |
| 02/15/2026 | 6.125% | | 45,000 | 39,771 |
| Transocean Guardian Ltd.(a) |
| 01/15/2024 | 5.875% | | 12,735 | 11,803 |
| Transocean Sentry Ltd.(a) |
| 05/15/2023 | 5.375% | | 64,271 | 61,119 |
| Uber Technologies, Inc.(a) |
| 05/15/2025 | 7.500% | | 16,000 | 15,952 |
| 01/15/2028 | 6.250% | | 12,000 | 11,094 |
| 08/15/2029 | 4.500% | | 35,000 | 28,792 |
| Unifrax Escrow Issuer Corp.(a) |
| 09/30/2028 | 5.250% | | 15,000 | 11,985 |
| United Airlines, Inc.(a) |
| 04/15/2026 | 4.375% | | 10,000 | 8,869 |
| US Foods, Inc.(a) |
| 06/01/2030 | 4.625% | | 16,000 | 13,641 |
| USI, Inc.(a) |
| 05/01/2025 | 6.875% | | 15,000 | 14,487 |
| Venture Global Calcasieu Pass LLC(a) |
| 08/15/2029 | 3.875% | | 35,000 | 30,685 |
| 08/15/2031 | 4.125% | | 66,000 | 56,686 |
| 11/01/2033 | 3.875% | | 31,000 | 25,569 |
| Verscend Escrow Corp.(a) |
| 08/15/2026 | 9.750% | | 28,000 | 27,225 |
| Vistra Operations Co. LLC(a) |
| 09/01/2026 | 5.500% | | 14,000 | 13,211 |
| 05/01/2029 | 4.375% | | 20,000 | 16,801 |
| Waste Pro USA, Inc.(a) |
| 02/15/2026 | 5.500% | | 38,000 | 33,705 |
| Welbilt, Inc. |
| 02/15/2024 | 9.500% | | 9,000 | 9,008 |
| Wells Fargo & Co.(a),(e) |
| 05/04/2030 | 1.741% | EUR | 200,000 | 186,760 |
| Wells Fargo & Co.(e) |
| 02/11/2031 | 2.572% | | 405,000 | 348,209 |
| WESCO Distribution, Inc.(a) |
| 06/15/2025 | 7.125% | | 32,000 | 31,926 |
| 06/15/2028 | 7.250% | | 15,000 | 14,831 |
| White Cap Buyer LLC(a) |
| 10/15/2028 | 6.875% | | 14,000 | 11,216 |
| Williams Companies, Inc. (The) |
| 09/15/2045 | 5.100% | | 79,000 | 73,601 |
| 10/15/2051 | 3.500% | | 95,000 | 70,834 |
| WR Grace Holdings LLC(a) |
| 06/15/2027 | 4.875% | | 32,000 | 27,842 |
| 08/15/2029 | 5.625% | | 45,000 | 33,200 |
| Wynn Las Vegas LLC/Capital Corp.(a) |
| 03/01/2025 | 5.500% | | 30,000 | 27,460 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 17 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes(c) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Wynn Resorts Finance LLC/Capital Corp.(a) |
| 10/01/2029 | 5.125% | | 9,000 | 7,046 |
| ZoomInfo Technologies LLC/Finance Corp.(a) |
| 02/01/2029 | 3.875% | | 14,000 | 11,725 |
| Total | 23,877,478 |
Total Corporate Bonds & Notes
(Cost $51,676,987) | 43,278,146 |
|
| Foreign Government Obligations(c),(g) 16.2% |
| | | | |
| Angola 0.4% |
| Angolan Government International Bond(a) |
| 11/26/2029 | 8.000% | | 200,000 | 158,658 |
| 11/26/2049 | 9.125% | | 200,000 | 142,841 |
| Total | 301,499 |
| Belarus 0.0% |
| Republic of Belarus International Bond(a) |
| 06/29/2027 | 7.625% | | 200,000 | 29,612 |
| Brazil 0.2% |
| Brazilian Government International Bond |
| 01/27/2045 | 5.000% | | 200,000 | 143,232 |
| Canada 0.1% |
| NOVA Chemicals Corp.(a) |
| 05/01/2025 | 5.000% | | 6,000 | 5,496 |
| 06/01/2027 | 5.250% | | 22,000 | 18,903 |
| 05/15/2029 | 4.250% | | 24,000 | 18,826 |
| Total | 43,225 |
| Colombia 0.9% |
| Colombia Government International Bond |
| 01/30/2030 | 3.000% | | 800,000 | 609,202 |
| 04/15/2031 | 3.125% | | 200,000 | 148,241 |
| Total | 757,443 |
| Dominican Republic 1.0% |
| Dominican Republic International Bond(a) |
| 04/20/2027 | 8.625% | | 642,000 | 667,872 |
| 09/23/2032 | 4.875% | | 150,000 | 115,420 |
| 01/30/2060 | 5.875% | | 150,000 | 102,554 |
| Total | 885,846 |
| Egypt 0.4% |
| Egypt Government International Bond(a) |
| 05/29/2032 | 7.625% | | 200,000 | 130,381 |
| 03/01/2049 | 8.700% | | 355,000 | 211,703 |
| Total | 342,084 |
| Foreign Government Obligations(c),(g) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| France 0.3% |
| Electricite de France SA(a),(e) |
| 12/31/2049 | 3.375% | EUR | 200,000 | 136,741 |
| 12/31/2049 | 6.000% | GBP | 100,000 | 107,406 |
| Total | 244,147 |
| Germany 0.5% |
| Bundesrepublik Deutschland Bundesanleihe(a) |
| 02/15/2026 | 0.500% | EUR | 400,000 | 413,925 |
| Guatemala 0.2% |
| Guatemala Government Bond(a) |
| 06/01/2050 | 6.125% | | 200,000 | 168,245 |
| India 0.4% |
| Export-Import Bank of India(a) |
| 01/15/2030 | 3.250% | | 200,000 | 174,158 |
| Indian Railway Finance Corp., Ltd.(a) |
| 02/13/2030 | 3.249% | | 200,000 | 174,039 |
| Total | 348,197 |
| Indonesia 1.1% |
| Indonesia Government International Bond(a) |
| 01/08/2027 | 4.350% | | 400,000 | 399,890 |
| 01/15/2045 | 5.125% | | 200,000 | 190,746 |
| Perusahaan Penerbit SBSN Indonesia III(a) |
| 06/23/2025 | 2.300% | | 200,000 | 190,521 |
| PT Indonesia Asahan Aluminium Persero(a) |
| 11/15/2048 | 6.757% | | 200,000 | 181,385 |
| Total | 962,542 |
| Ivory Coast 0.5% |
| Ivory Coast Government International Bond(a) |
| 03/03/2028 | 6.375% | | 250,000 | 221,918 |
| 06/15/2033 | 6.125% | | 200,000 | 156,524 |
| Total | 378,442 |
| Kazakhstan 0.3% |
| KazMunayGas National Co. JSC(a) |
| 04/24/2030 | 5.375% | | 300,000 | 265,557 |
| Malaysia 0.2% |
| Petronas Capital Ltd.(a) |
| 04/21/2030 | 3.500% | | 200,000 | 188,550 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Foreign Government Obligations(c),(g) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Mexico 1.1% |
| Petroleos Mexicanos |
| 01/28/2031 | 5.950% | | 400,000 | 291,087 |
| 02/16/2032 | 6.700% | | 587,000 | 447,543 |
| 01/23/2050 | 7.690% | | 273,000 | 183,095 |
| Total | 921,725 |
| Netherlands 0.8% |
| Stedin Holding NV(a),(e) |
| 12/31/2049 | 1.500% | EUR | 250,000 | 220,668 |
| Syngenta Finance NV(a) |
| 04/24/2028 | 5.182% | | 200,000 | 198,230 |
| TenneT Holding BV(a),(e) |
| 12/31/2049 | 2.374% | EUR | 250,000 | 242,784 |
| Total | 661,682 |
| Oman 0.2% |
| Oman Government International Bond(a) |
| 01/17/2048 | 6.750% | | 200,000 | 172,357 |
| Panama 0.4% |
| Panama Government International Bond |
| 01/23/2030 | 3.160% | | 200,000 | 178,053 |
| 07/23/2060 | 3.870% | | 200,000 | 142,112 |
| Total | 320,165 |
| Paraguay 0.2% |
| Paraguay Government International Bond(a) |
| 03/30/2050 | 5.400% | | 200,000 | 154,822 |
| Qatar 1.2% |
| Qatar Government International Bond(a) |
| 03/14/2029 | 4.000% | | 400,000 | 403,877 |
| 04/16/2030 | 3.750% | | 200,000 | 198,415 |
| 04/23/2048 | 5.103% | | 250,000 | 261,082 |
| Qatar Petroleum(a) |
| 07/12/2031 | 2.250% | | 200,000 | 170,957 |
| Total | 1,034,331 |
| Romania 0.5% |
| Romanian Government International Bond(a) |
| 01/22/2024 | 4.875% | | 232,000 | 231,019 |
| 02/27/2027 | 3.000% | | 128,000 | 113,085 |
| 02/14/2051 | 4.000% | | 116,000 | 75,424 |
| Total | 419,528 |
| Russian Federation 0.0% |
| Russian Foreign Bond - Eurobond(a),(h),(i),(j),(k) |
| 03/28/2035 | 0.000% | | 200,000 | 36,084 |
| Foreign Government Obligations(c),(g) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Saudi Arabia 0.9% |
| Saudi Arabian Oil Co.(a) |
| 04/16/2029 | 3.500% | | 300,000 | 286,012 |
| Saudi Government International Bond(a) |
| 01/21/2055 | 3.750% | | 625,000 | 511,172 |
| Total | 797,184 |
| South Africa 0.4% |
| Eskom Holdings SOC Ltd.(a) |
| 02/11/2025 | 7.125% | | 200,000 | 168,783 |
| Republic of South Africa Government International Bond |
| 09/30/2049 | 5.750% | | 200,000 | 136,613 |
| Total | 305,396 |
| Turkey 0.7% |
| Turkey Government International Bond |
| 03/25/2027 | 6.000% | | 250,000 | 205,403 |
| 02/17/2028 | 5.125% | | 300,000 | 228,730 |
| 01/14/2041 | 6.000% | | 200,000 | 127,290 |
| Total | 561,423 |
| Ukraine 0.1% |
| NAK Naftogaz Ukraine via Kondor Finance PLC(a) |
| 11/08/2026 | 7.625% | | 200,000 | 61,225 |
| Ukraine Government International Bond(a) |
| 09/01/2026 | 7.750% | | 100,000 | 25,743 |
| Total | 86,968 |
| United Arab Emirates 1.0% |
| Abu Dhabi Government International Bond(a) |
| 09/30/2049 | 3.125% | | 250,000 | 194,233 |
| 04/16/2050 | 3.875% | | 200,000 | 177,647 |
| DP World PLC(a) |
| 07/02/2037 | 6.850% | | 400,000 | 431,846 |
| Total | 803,726 |
| United Kingdom 2.0% |
| United Kingdom Gilt(a) |
| 06/07/2032 | 4.250% | GBP | 1,200,000 | 1,722,450 |
| Virgin Islands 0.2% |
| State Grid Overseas Investment Ltd.(a) |
| 05/04/2027 | 3.500% | | 200,000 | 198,214 |
Total Foreign Government Obligations
(Cost $16,665,162) | 13,668,601 |
|
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 19 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Agency 0.9% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| United States 0.9% |
| Federal National Mortgage Association(b),(l) |
| CMO Series 2019-33 Class SB |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
07/25/2049 | 4.426% | | 148,985 | 21,588 |
| Federal National Mortgage Association(l) |
| CMO Series 2021-3 Class TI |
| 02/25/2051 | 2.500% | | 557,383 | 97,379 |
| Freddie Mac STACR REMIC Trust(a),(b) |
| Subordinated CMO Series 2021-HQA2 Class B2 |
30-day Average SOFR + 5.450%
12/25/2033 | 6.376% | | 500,000 | 370,264 |
| Government National Mortgage Association(b),(l) |
| CMO Series 2017-141 Class ES |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
09/20/2047 | 4.605% | | 103,158 | 13,976 |
| CMO Series 2018-155 Class ES |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
11/20/2048 | 4.505% | | 73,959 | 8,697 |
| CMO Series 2019-23 Class LS |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
02/20/2049 | 4.455% | | 315,837 | 39,330 |
| CMO Series 2019-23 Class SQ |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
02/20/2049 | 4.455% | | 334,672 | 53,204 |
| Government National Mortgage Association(l) |
| CMO Series 2020-153 Class CI |
| 10/20/2050 | 2.500% | | 847,404 | 130,733 |
| CMO Series 2021-9 Class MI |
| 01/20/2051 | 2.500% | | 210,312 | 27,528 |
| Total | 762,699 |
Total Residential Mortgage-Backed Securities - Agency
(Cost $904,928) | 762,699 |
|
| Residential Mortgage-Backed Securities - Non-Agency 12.9% |
| | | | |
| United States 12.9% |
| Bellemeade Re Ltd.(a),(b) |
| CMO Series 2019-1A Class M1B |
1-month USD LIBOR + 1.750%
Floor 1.750%
03/25/2029 | 3.374% | | 134,913 | 133,752 |
| CMO Series 2019-3A Class M1B |
1-month USD LIBOR + 1.600%
Floor 1.600%
07/25/2029 | 3.224% | | 81,695 | 80,907 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2020-4A Class M2B |
1-month USD LIBOR + 3.600%
Floor 3.600%
06/25/2030 | 5.224% | | 322,444 | 323,599 |
| BVRT Financing Trust(a),(b),(k) |
| CMO Series 2021-3F Class M2 |
30-day Average SOFR + 2.900%
Floor 2.900%
07/12/2033 | 3.126% | | 500,000 | 500,000 |
| CIM Trust(a),(d) |
| CMO Series 2021-NR2 Class A1 |
| 07/25/2059 | 2.568% | | 346,755 | 330,185 |
| Connecticut Avenue Securities Trust(a),(b) |
| Subordinated CMO Series 2019-R01 Class 2B1 |
1-month USD LIBOR + 4.350%
Floor 4.350%
07/25/2031 | 5.974% | | 700,000 | 698,402 |
| Subordinated CMO Series 2022-R01 Class 1B2 |
30-day Average SOFR + 6.000%
12/25/2041 | 6.926% | | 500,000 | 407,970 |
| Eagle Re Ltd.(a),(b) |
| CMO Series 2019-1 Class M1B |
1-month USD LIBOR + 1.800%
04/25/2029 | 2.806% | | 421,095 | 417,401 |
| Subordinated CMO Series 2020-1 Class M1C |
1-month USD LIBOR + 1.800%
01/25/2030 | 2.806% | | 797,000 | 781,244 |
| Freddie Mac STACR(a),(b) |
| Subordinated CMO Series 2019-HQA3 Class B1 |
1-month USD LIBOR + 3.000%
09/25/2049 | 4.624% | | 400,000 | 374,616 |
| Freddie Mac STACR REMIC Trust(a),(b) |
| Subordinated CMO Series 2020-HQA1 Class B1 |
1-month USD LIBOR + 2.350%
01/25/2050 | 3.974% | | 700,000 | 644,341 |
| Freddie Mac STACR Trust(a),(b) |
| Subordinated CMO Series 2019-DNA4 Class B1 |
1-month USD LIBOR + 2.700%
10/25/2049 | 4.324% | | 600,000 | 568,474 |
| Subordinated CMO Series 2019-HQA2 Class B1 |
1-month USD LIBOR + 4.100%
04/25/2049 | 5.724% | | 500,000 | 491,910 |
| Homeward Opportunities Fund I Trust(a),(d) |
| Subordinated CMO Series 2020-2 Class B1 |
| 05/25/2065 | 5.450% | | 389,000 | 386,707 |
| Oaktown Re II Ltd.(a),(b) |
| Subordinated CMO Series 2018-1A Class M2 |
1-month USD LIBOR + 2.850%
07/25/2028 | 4.474% | | 500,000 | 496,117 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Oaktown Re V Ltd.(a),(b) |
| CMO Series 2020-2A Class M2 |
1-month USD LIBOR + 5.250%
Floor 5.250%
10/25/2030 | 6.874% | | 500,000 | 511,610 |
| PNMAC GMSR Issuer Trust(a),(b) |
| CMO Series 2018-GT2 Class A |
1-month USD LIBOR + 2.650%
08/25/2025 | 4.274% | | 1,000,000 | 986,784 |
| Preston Ridge Partners Mortgage Trust(a),(d) |
| CMO Series 2021-1 Class A1 |
| 01/25/2026 | 2.115% | | 118,639 | 112,147 |
| Pretium Mortgage Credit Partners(a),(d) |
| CMO Series 2022-NPL1 Class A1 |
| 01/25/2052 | 2.981% | | 440,320 | 410,301 |
| SG Residential Mortgage Trust(a),(d) |
| CMO Series 2019-3 Class M1 |
| 09/25/2059 | 3.526% | | 400,000 | 397,938 |
| Triangle Re Ltd.(a),(b) |
| Subordinated CMO Series 2021-1 Class B1 |
1-month USD LIBOR + 4.500%
Floor 4.500%
08/25/2033 | 5.506% | | 500,000 | 491,914 |
| Verus Securitization Trust(a),(d) |
| CMO Series 2020-1 Class M1 |
| 01/25/2060 | 3.021% | | 400,000 | 372,907 |
| CMO Series 2020-NPL1 Class A2 |
| 08/25/2050 | 5.682% | | 500,000 | 497,750 |
| Verus Securitization Trust(a) |
| CMO Series 2020-INV1 Class M1 |
| 03/25/2060 | 5.500% | | 500,000 | 484,529 |
| Total | 10,901,505 |
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $11,314,977) | 10,901,505 |
|
| Senior Loans 0.2% |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| United States 0.2% |
| Ascend Learning LLC(b),(m) |
| 1st Lien Term Loan |
1-month USD LIBOR + 3.500%
Floor 0.500%
12/11/2028 | 2.500% | | 32,918 | 30,325 |
| Senior Loans (continued) |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 2nd Lien Term Loan |
1-month USD LIBOR + 5.750%
Floor 0.500%
12/10/2029 | 4.750% | | 20,000 | 18,300 |
| Cengage Learning, Inc.(b),(m) |
| Tranche B 1st Lien Term Loan |
1-month USD LIBOR + 4.750%
Floor 1.000%
07/14/2026 | 5.750% | | 35,141 | 31,611 |
| SWF Holdings I Corp.(b),(m) |
| 1st Lien Term Loan |
1-month USD LIBOR + 4.000%
Floor 0.750%
10/06/2028 | 5.595% | | 49,000 | 40,119 |
| UKG, Inc.(b),(m) |
| 1st Lien Term Loan |
1-month USD LIBOR + 3.250%
Floor 0.500%
05/04/2026 | 4.212% | | 19,577 | 18,292 |
| 2nd Lien Term Loan |
1-month USD LIBOR + 5.250%
Floor 0.500%
05/03/2027 | 6.212% | | 38,000 | 34,960 |
| Total | 173,607 |
Total Senior Loans
(Cost $194,006) | 173,607 |
| Money Market Funds 5.8% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(n),(o) | 4,876,541 | 4,873,615 |
Total Money Market Funds
(Cost $4,873,967) | 4,873,615 |
Total Investments in Securities
(Cost $92,402,080) | 79,926,512 |
| Other Assets & Liabilities, Net | | 4,717,228 |
| Net Assets | $84,643,740 |
At June 30, 2022, securities and/or cash totaling $305,857 were pledged as collateral.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 21 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Investments in derivatives
| Forward foreign currency exchange contracts |
Currency to
be sold | Currency to
be purchased | Counterparty | Settlement
date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| 20,132,000 EUR | 21,264,747 USD | UBS | 08/08/2022 | 117,597 | — |
| 4,480,000 GBP | 5,500,956 USD | UBS | 08/08/2022 | 44,030 | — |
| Total | | | | 161,627 | — |
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| Long Gilt | 8 | 09/2022 | GBP | 911,840 | — | (45,246) |
| U.S. Treasury 10-Year Note | 61 | 09/2022 | USD | 7,230,406 | — | (41,112) |
| U.S. Ultra Treasury Bond | 5 | 09/2022 | USD | 771,719 | 36,866 | — |
| U.S. Ultra Treasury Bond | 11 | 09/2022 | USD | 1,697,781 | — | (46,610) |
| Total | | | | | 36,866 | (132,968) |
| Cleared credit default swap contracts - buy protection |
Reference
entity | Counterparty | Maturity
date | Pay
fixed
rate
(%) | Payment
frequency | Notional
currency | Notional
amount | Value
($) | Upfront
payments
($) | Upfront
receipts
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Markit CDX North America High Yield Index, Series 38 | Morgan Stanley | 06/20/2027 | 5.000 | Quarterly | USD | 990,000 | 15,908 | — | — | 15,908 | — |
Notes to Portfolio of Investments
| (a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2022, the total value of these securities amounted to $57,100,600, which represents 67.46% of total net assets. |
| (b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2022. |
| (c) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
| (d) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of June 30, 2022. |
| (e) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2022. |
| (f) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
| (g) | Principal and interest may not be guaranteed by a governmental entity. |
| (h) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2022, the total value of these securities amounted to $36,084, which represents 0.04% of total net assets. |
| (i) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. 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, 2022, the total market value of these securities amounted to $36,084, which represents 0.04% of total net assets. Additional information on these securities is as follows: |
| Security | Acquisition
Dates | Shares | Cost ($) | Value ($) |
| Russian Foreign Bond - Eurobond | 08/05/2020 | 200,000 | 247,098 | 36,084 |
| (j) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2022, the total value of these securities amounted to $36,084, which represents 0.04% of total net assets. |
| (k) | Valuation based on significant unobservable inputs. |
| (l) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 22 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Notes to Portfolio of Investments (continued)
| (m) | The stated interest rate represents the weighted average interest rate at June 30, 2022 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
| (n) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (o) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 2,760,780 | 30,760,800 | (28,647,729) | (236) | 4,873,615 | (2,014) | 11,051 | 4,876,541 |
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
| LIBOR | London Interbank Offered Rate |
| SOFR | Secured Overnight Financing Rate |
Currency Legend
| EUR | Euro |
| GBP | British Pound |
| 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.
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.
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 23 |
Portfolio of Investments (continued)
June 30, 2022 (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.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Asset-Backed Securities — Non-Agency | — | 2,831,545 | — | 2,831,545 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 3,417,880 | — | 3,417,880 |
| Convertible Bonds | — | 18,914 | — | 18,914 |
| Corporate Bonds & Notes | — | 43,278,146 | — | 43,278,146 |
| Foreign Government Obligations | — | 13,632,517 | 36,084 | 13,668,601 |
| Residential Mortgage-Backed Securities - Agency | — | 762,699 | — | 762,699 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 10,401,505 | 500,000 | 10,901,505 |
| Senior Loans | — | 173,607 | — | 173,607 |
| Money Market Funds | 4,873,615 | — | — | 4,873,615 |
| Total Investments in Securities | 4,873,615 | 74,516,813 | 536,084 | 79,926,512 |
| Investments in Derivatives | | | | |
| Asset | | | | |
| Forward Foreign Currency Exchange Contracts | — | 161,627 | — | 161,627 |
| Futures Contracts | 36,866 | — | — | 36,866 |
| Swap Contracts | — | 15,908 | — | 15,908 |
| Liability | | | | |
| Futures Contracts | (132,968) | — | — | (132,968) |
| Total | 4,777,513 | 74,694,348 | 536,084 | 80,007,945 |
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 Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 24 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $87,528,113) | $75,052,897 |
| Affiliated issuers (cost $4,873,967) | 4,873,615 |
| Cash | 7,865 |
| Foreign currency (cost $3,669,146) | 3,631,137 |
| Margin deposits on: | |
| Futures contracts | 241,149 |
| Swap contracts | 64,708 |
| Unrealized appreciation on forward foreign currency exchange contracts | 161,627 |
| Receivable for: | |
| Investments sold | 28,453 |
| Dividends | 5,688 |
| Interest | 795,189 |
| Foreign tax reclaims | 1,611 |
| Variation margin for futures contracts | 109,971 |
| Variation margin for swap contracts | 1,807 |
| Expense reimbursement due from Investment Manager | 627 |
| Prepaid expenses | 4,887 |
| Total assets | 84,981,231 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 35,256 |
| Capital shares purchased | 141,166 |
| Management services fees | 1,509 |
| Distribution and/or service fees | 324 |
| Service fees | 4,258 |
| Compensation of board members | 124,051 |
| Compensation of chief compliance officer | 10 |
| Audit fees | 17,774 |
| Other expenses | 13,143 |
| Total liabilities | 337,491 |
| Net assets applicable to outstanding capital stock | $84,643,740 |
| Represented by | |
| Paid in capital | 101,225,965 |
| Total distributable earnings (loss) | (16,582,225) |
| Total - representing net assets applicable to outstanding capital stock | $84,643,740 |
| Class 1 | |
| Net assets | $9,397 |
| Shares outstanding | 1,273 |
| Net asset value per share | $7.38 |
| Class 2 | |
| Net assets | $9,893,001 |
| Shares outstanding | 1,363,639 |
| Net asset value per share | $7.25 |
| Class 3 | |
| Net assets | $74,741,342 |
| Shares outstanding | 10,198,671 |
| Net asset value per share | $7.33 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 25 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $11,051 |
| Interest | 1,752,832 |
| Foreign taxes withheld | (401) |
| Total income | 1,763,482 |
| Expenses: | |
| Management services fees | 302,001 |
| Distribution and/or service fees | |
| Class 2 | 13,166 |
| Class 3 | 51,489 |
| Service fees | 27,843 |
| Compensation of board members | 921 |
| Custodian fees | 19,449 |
| Printing and postage fees | 13,824 |
| Audit fees | 20,274 |
| Legal fees | 5,656 |
| Interest on collateral | 897 |
| Compensation of chief compliance officer | 6 |
| Other | 3,366 |
| Total expenses | 458,892 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (109,896) |
| Total net expenses | 348,996 |
| Net investment income | 1,414,486 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (1,807,613) |
| Investments — affiliated issuers | (2,014) |
| Foreign currency translations | (115,284) |
| Forward foreign currency exchange contracts | 1,993,660 |
| Futures contracts | (49,780) |
| Swap contracts | 46,142 |
| Net realized gain | 65,111 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (14,690,627) |
| Investments — affiliated issuers | (236) |
| Foreign currency translations | (28,723) |
| Forward foreign currency exchange contracts | 166,705 |
| Futures contracts | 38,091 |
| Swap contracts | 18,146 |
| Net change in unrealized appreciation (depreciation) | (14,496,644) |
| Net realized and unrealized loss | (14,431,533) |
| Net decrease in net assets resulting from operations | $(13,017,047) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 26 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $1,414,486 | $2,900,582 |
| Net realized gain | 65,111 | 3,790,059 |
| Net change in unrealized appreciation (depreciation) | (14,496,644) | (5,484,633) |
| Net increase (decrease) in net assets resulting from operations | (13,017,047) | 1,206,008 |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class 1 | (332) | (422) |
| Class 2 | (326,274) | (409,583) |
| Class 3 | (2,643,494) | (3,703,346) |
| Total distributions to shareholders | (2,970,100) | (4,113,351) |
| Decrease in net assets from capital stock activity | (2,000,689) | (2,602,044) |
| Total decrease in net assets | (17,987,836) | (5,509,387) |
| Net assets at beginning of period | 102,631,576 | 108,140,963 |
| Net assets at end of period | $84,643,740 | $102,631,576 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Distributions reinvested | 42 | 332 | 49 | 422 |
| Net increase | 42 | 332 | 49 | 422 |
| Class 2 | | | | |
| Subscriptions | 93,234 | 733,745 | 251,111 | 2,174,426 |
| Distributions reinvested | 41,458 | 326,274 | 48,357 | 409,583 |
| Redemptions | (84,233) | (660,261) | (201,814) | (1,751,121) |
| Net increase | 50,459 | 399,758 | 97,654 | 832,888 |
| Class 3 | | | | |
| Subscriptions | 38,695 | 309,586 | 348,257 | 3,057,713 |
| Distributions reinvested | 332,515 | 2,643,494 | 433,140 | 3,703,346 |
| Redemptions | (673,821) | (5,353,859) | (1,163,505) | (10,196,413) |
| Net decrease | (302,611) | (2,400,779) | (382,108) | (3,435,354) |
| Total net decrease | (252,110) | (2,000,689) | (284,405) | (2,602,044) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 27 |
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.
| | 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 | Total
distributions to
shareholders |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $8.77 | 0.13 | (1.25) | — | (1.12) | (0.27) | (0.27) |
| Year Ended 12/31/2021 | $9.01 | 0.25 | (0.13) | — | 0.12 | (0.36) | (0.36) |
| Year Ended 12/31/2020 | $9.11 | 0.27 | 0.09 | — | 0.36 | (0.46) | (0.46) |
| Year Ended 12/31/2019 | $8.21 | 0.29 | 0.61 | 0.00(e) | 0.90 | — | — |
| Year Ended 12/31/2018 | $9.03 | 0.29 | (0.74) | — | (0.45) | (0.37) | (0.37) |
| Year Ended 12/31/2017 | $8.53 | 0.29 | 0.21 | — | 0.50 | — | — |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $8.61 | 0.12 | (1.23) | — | (1.11) | (0.25) | (0.25) |
| Year Ended 12/31/2021 | $8.86 | 0.23 | (0.14) | — | 0.09 | (0.34) | (0.34) |
| Year Ended 12/31/2020 | $8.96 | 0.24 | 0.10 | — | 0.34 | (0.44) | (0.44) |
| Year Ended 12/31/2019 | $8.09 | 0.26 | 0.61 | 0.00(e) | 0.87 | — | — |
| Year Ended 12/31/2018 | $8.91 | 0.26 | (0.73) | — | (0.47) | (0.35) | (0.35) |
| Year Ended 12/31/2017 | $8.43 | 0.27 | 0.21 | — | 0.48 | — | — |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $8.70 | 0.12 | (1.23) | — | (1.11) | (0.26) | (0.26) |
| Year Ended 12/31/2021 | $8.95 | 0.24 | (0.14) | — | 0.10 | (0.35) | (0.35) |
| Year Ended 12/31/2020 | $9.05 | 0.26 | 0.09 | — | 0.35 | (0.45) | (0.45) |
| Year Ended 12/31/2019 | $8.16 | 0.27 | 0.62 | 0.00(e) | 0.89 | — | — |
| Year Ended 12/31/2018 | $8.98 | 0.28 | (0.74) | — | (0.46) | (0.36) | (0.36) |
| Year Ended 12/31/2017 | $8.49 | 0.28 | 0.21 | — | 0.49 | — | — |
| 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) | Annualized. |
| (d) | Ratios include interest on collateral expense which is less than 0.01%. |
| (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.
| 28 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $7.38 | (13.02%) | 0.85%(c),(d) | 0.61%(c),(d) | 3.19%(c) | 17% | $9 |
| Year Ended 12/31/2021 | $8.77 | 1.37% | 0.89%(d) | 0.61%(d) | 2.87% | 42% | $11 |
| Year Ended 12/31/2020 | $9.01 | 4.79% | 0.87% | 0.60% | 3.11% | 53% | $11 |
| Year Ended 12/31/2019 | $9.11 | 10.96%(f) | 0.87% | 0.59% | 3.27% | 57% | $10 |
| Year Ended 12/31/2018 | $8.21 | (5.20%) | 0.86%(d) | 0.64%(d) | 3.34% | 86% | $9 |
| Year Ended 12/31/2017 | $9.03 | 5.86% | 0.85% | 0.68% | 3.33% | 37% | $10 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $7.25 | (13.15%) | 1.10%(c),(d) | 0.86%(c),(d) | 2.94%(c) | 17% | $9,893 |
| Year Ended 12/31/2021 | $8.61 | 1.03% | 1.14%(d) | 0.86%(d) | 2.62% | 42% | $11,301 |
| Year Ended 12/31/2020 | $8.86 | 4.59% | 1.12% | 0.85% | 2.87% | 53% | $10,766 |
| Year Ended 12/31/2019 | $8.96 | 10.75%(f) | 1.12% | 0.84% | 3.01% | 57% | $10,750 |
| Year Ended 12/31/2018 | $8.09 | (5.51%) | 1.10%(d) | 0.89%(d) | 3.08% | 86% | $9,512 |
| Year Ended 12/31/2017 | $8.91 | 5.69% | 1.10% | 0.93% | 3.07% | 37% | $9,719 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $7.33 | (13.01%) | 0.97%(c),(d) | 0.74%(c),(d) | 3.06%(c) | 17% | $74,741 |
| Year Ended 12/31/2021 | $8.70 | 1.14% | 1.01%(d) | 0.74%(d) | 2.74% | 42% | $91,320 |
| Year Ended 12/31/2020 | $8.95 | 4.68% | 0.99% | 0.73% | 2.99% | 53% | $97,365 |
| Year Ended 12/31/2019 | $9.05 | 10.91%(f) | 1.00% | 0.72% | 3.14% | 57% | $102,668 |
| Year Ended 12/31/2018 | $8.16 | (5.34%) | 0.97%(d) | 0.76%(d) | 3.25% | 86% | $104,256 |
| Year Ended 12/31/2017 | $8.98 | 5.77% | 0.98% | 0.80% | 3.18% | 37% | $131,599 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 29 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Global Strategic Income 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 net investment income 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 market value, unless this method results in a valuation that management believes does not approximate fair 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. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management believes does not approximate fair 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 30 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 a settlement price, 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, if available.
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, in seeking 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
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 31 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
and the seller of the contract; therefore, failure of the clearinghouse or CCP may pose additional counterparty credit risk. 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 clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing 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 counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts and 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 instruments’ 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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as well. 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 may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in the Statement of Operations. 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 determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, 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. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without delivery of foreign currency.
| 32 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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.
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 generally expects to earn interest income on its margin deposits. 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. For a bilateral swap contract, the Fund has credit exposure to the broker, but exchanges daily variation margin with the broker based on the mark-to-market value of the swap contract to minimize that exposure. 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, that 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 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. Additionally, credit default swap contracts were used to manage credit risk exposure. These instruments may be used for other purposes in future periods. Credit default swap contracts are transactions in which one
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 33 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 typically 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).
Any upfront payment or receipt 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, 2022:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 15,908* |
| Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 161,627 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 36,866* |
| Total | | 214,401 |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 132,968* |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
| 34 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | — | 46,142 | 46,142 |
| Foreign exchange risk | 1,993,660 | — | — | 1,993,660 |
| Interest rate risk | — | (49,780) | — | (49,780) |
| Total | 1,993,660 | (49,780) | 46,142 | 1,990,022 |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | — | 18,146 | 18,146 |
| Foreign exchange risk | 166,705 | — | — | 166,705 |
| Interest rate risk | — | 38,091 | — | 38,091 |
| Total | 166,705 | 38,091 | 18,146 | 222,942 |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 9,968,101 |
| Futures contracts — short | 1,943,438 |
| Credit default swap contracts — buy protection | 495,000 |
| Derivative instrument | Average unrealized
appreciation ($)* | Average unrealized
depreciation ($)* |
| Forward foreign currency exchange contracts | 80,814 | (27,329) |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
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.
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 35 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if any, 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.
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 may 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 may 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 in 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 in 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.
| 36 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, 2022:
| | Morgan
Stanley ($) | UBS ($) | Total ($) |
| Assets | | | |
| Centrally cleared credit default swap contracts (a) | 1,807 | - | 1,807 |
| Forward foreign currency exchange contracts | - | 161,627 | 161,627 |
| Total assets | 1,807 | 161,627 | 163,434 |
| Total financial and derivative net assets | 1,807 | 161,627 | 163,434 |
| Total collateral received (pledged) (b) | - | - | - |
| Net amount (c) | 1,807 | 161,627 | 163,434 |
| (a) | Centrally cleared swaps are included within payable/receivable for variation margin in 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 classifies gains and losses realized on prepayments received on mortgage-backed securities as adjustments to interest income. For convertible securities, premiums attributable to the conversion feature are not amortized.
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 collectability of interest is reasonably assured.
Dividend income is recorded on the ex-dividend date.
The value of additional securities received as an income payment through a payment in kind, if any, is recorded as interest 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.
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 37 |
Notes to Financial Statements (continued)
June 30, 2022 (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 investment company taxable income and net capital gain, 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 in 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 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 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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 0.65% to 0.52% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2022 was 0.65% 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 provide services to
| 38 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 other inter-company arrangements, and the Fund pays 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, as appropriate, with 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.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.06% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 – Global Strategic Income Fund | Semiannual Report 2022
| 39 |
Notes to Financial Statements (continued)
June 30, 2022 (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 classes’ average daily net assets:
| | Contractual
expense cap
May 1, 2022
through
April 30, 2023 | Voluntary
expense cap
May 1, 2022
through
June 30, 2022 | Contractual
expense cap
prior to
May 1, 2022 |
| Class 1 | 0.66% | 0.61% | 0.61% |
| Class 2 | 0.91 | 0.86 | 0.86 |
| Class 3 | 0.785 | 0.735 | 0.735 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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, 2022, the approximate cost of all 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) ($) |
| 92,402,000 | 369,000 | (12,763,000) | (12,394,000) |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss carryforwards, determined at December 31, 2021, may be available to reduce future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code.
No expiration
short-term ($) | No expiration
long-term ($) | Total ($) |
| (1,744,023) | (3,031,073) | (4,775,096) |
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.
| 40 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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 $15,247,382 and $21,130,210, respectively, for the six months ended June 30, 2022. 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 41 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 9. Significant risks
Credit risk
Credit risk is the risk that the value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower-rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
Derivatives risk
Losses involving derivative instruments may be substantial, because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency, 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, liquidity risk and pricing risk.
Foreign securities and emerging market countries risk
Investing in foreign securities may involve heightened risks relative to investments in U.S. securities. Investing in foreign securities subjects the Fund to the risks associated with the issuer’s country of organization and places of business operations, including risks associated with political, regulatory, economic, social, diplomatic and other conditions or events occurring in the country or region, which may result in significant market volatility. In addition, certain foreign securities may be more volatile and less liquid than U.S. securities. Investing in emerging markets may increase these risks and expose the Fund to elevated risks associated with increased inflation, deflation or currency devaluation. 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 risks associated with the conditions, events or other factors impacting those countries or regions and may, therefore, have a greater risk than that of a fund that is more geographically diversified. The financial information and disclosure made available by issuers of emerging market securities may be considerably less reliable than publicly available information about other foreign securities. The Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in certain foreign countries. Investors in foreign countries often have limited rights and few practical remedies to pursue shareholder claims, including class actions or fraud claims, and the ability of the U.S. Securities and Exchange Commission, the U.S. Department of Justice and other authorities to bring and enforce actions against foreign issuers or foreign persons is limited.
Geographic focus risk
The Fund may be particularly susceptible to risks related to economic, political, regulatory or other events or conditions affecting issuers and countries within the specific geographic regions in which the Fund invests. The Fund’s net asset value may be more volatile than the net asset value of a more geographically diversified fund.
Europe. The Fund is particularly susceptible to risks related to economic, political, regulatory or other events or conditions, including acts of war or other conflicts in the region, affecting issuers and countries in Europe. Countries in Europe are often closely connected and interdependent, and events in one European country can have an adverse impact on, and potentially spread to, other European countries. In addition, private and public sectors’ significant debt problems of a single European Union (EU) country can pose economic risks to the EU as a whole. As a result, the Fund’s net asset value may be more volatile than the net asset value of a more geographically diversified fund. If securities of issuers in Europe fall out of favor, it may cause the Fund to underperform other funds that do not focus their investments in this region of the world. The departure of the United Kingdom (UK) from the EU single market became effective January 1, 2021 with the end of the Brexit transition period and the post-Brexit trade deal between the UK and EU taking effect on December 31, 2020. The impact of Brexit on the UK and European economies and the broader global economy could be significant, resulting in negative impacts on currency and financial markets generally, such as increased volatility and illiquidity, and potentially lower economic growth in markets in Europe, which may adversely affect the value of your investment in the Fund.
| 42 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 debt instruments. 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 instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise 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. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
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.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 43 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Mortgage- and other asset-backed securities risk
The value of any mortgage-backed and other asset-backed securities including collateralized debt obligations, if any, 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 liquidity risk and prepayment risk. A decline or flattening of housing values may cause delinquencies in mortgages (especially sub-prime or non-prime mortgages) underlying mortgage-backed securities and thereby adversely affect the ability of the mortgage-backed securities issuer to make principal and/or interest payments to mortgage-backed securities holders, including the Fund. 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, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. 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 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its
| 44 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 45 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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 - Global Strategic Income Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
| 46 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 47 |
Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment
| 48 | Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
Columbia Variable Portfolio – Global Strategic Income Fund | Semiannual Report 2022
| 49 |
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[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – Global Strategic Income Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Intermediate 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – Intermediate Bond Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
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
Jason Callan
Lead Portfolio Manager
Managed Fund since 2016
Gene Tannuzzo, CFA
Portfolio Manager
Managed Fund since 2017
Alex Christensen, CFA
Portfolio Manager
Managed Fund since 2021
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/03/10 | -13.00 | -13.58 | 1.63 | 2.27 |
| Class 2 | 05/03/10 | -13.06 | -13.78 | 1.40 | 2.02 |
| Class 3 | 10/13/81 | -13.08 | -13.76 | 1.51 | 2.14 |
| Bloomberg U.S. Aggregate Bond Index | | -10.35 | -10.29 | 0.88 | 1.54 |
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 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 – Intermediate Bond Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Asset-Backed Securities — Agency | 0.0(a) |
| Asset-Backed Securities — Non-Agency | 14.3 |
| Commercial Mortgage-Backed Securities - Agency | 1.6 |
| Commercial Mortgage-Backed Securities - Non-Agency | 6.6 |
| Convertible Bonds | 0.0(a) |
| Corporate Bonds & Notes | 22.4 |
| Foreign Government Obligations | 2.1 |
| Money Market Funds | 6.9 |
| Municipal Bonds | 0.5 |
| Options Purchased Calls | 0.7 |
| Residential Mortgage-Backed Securities - Agency | 21.5 |
| Residential Mortgage-Backed Securities - Non-Agency | 22.3 |
| Senior Loans | 0.2 |
| U.S. Treasury Obligations | 0.9 |
| Total | 100.0 |
Percentages indicated are based upon total investments including options purchased and excluding all other investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at June 30, 2022) |
| AAA rating | 28.4 |
| AA rating | 10.4 |
| A rating | 15.1 |
| BBB rating | 24.0 |
| BB rating | 6.5 |
| B rating | 3.5 |
| CCC rating | 1.3 |
| CC rating | 0.0(a) |
| C rating | 0.0(a) |
| Not rated | 10.8 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments.
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. If a security is not rated but has a rating by Kroll and/or DBRS, the same methodology is applied to those bonds that would otherwise be not rated. 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, 2022)(a) |
| | Long | Short | Net |
| Fixed Income Derivative Contracts | 177.7 | (77.3) | 100.4 |
| Foreign Currency Derivative Contracts | — | (0.4) | (0.4) |
| Total Notional Market Value of Derivative Contracts | 177.7 | (77.7) | 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 of the Notes to Financial Statements.
| 4 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 870.00 | 1,022.36 | 2.27 | 2.46 | 0.49 |
| Class 2 | 1,000.00 | 1,000.00 | 869.40 | 1,021.12 | 3.43 | 3.71 | 0.74 |
| Class 3 | 1,000.00 | 1,000.00 | 869.20 | 1,021.77 | 2.83 | 3.06 | 0.61 |
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.
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Asset-Backed Securities — Agency 0.0% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| United States Small Business Administration |
| Series 2014-20I Class 1 |
| 09/01/2034 | 2.920% | | 151,818 | 148,846 |
Total Asset-Backed Securities — Agency
(Cost $154,131) | 148,846 |
|
| Asset-Backed Securities — Non-Agency 15.4% |
| | | | |
| Ares LVIII CLO Ltd.(a),(b) |
| Series 2020-58A Class DR |
3-month Term SOFR + 3.200%
Floor 3.200%
01/15/2035 | 4.046% | | 6,500,000 | 5,916,364 |
| Ares XLVI CLO Ltd.(a),(b) |
| Series 2017-46A Class B1 |
3-month USD LIBOR + 1.350%
Floor 1.350%
01/15/2030 | 2.394% | | 18,020,000 | 17,205,712 |
| Bain Capital Credit CLO Ltd.(a),(b) |
| Series 2018-1A Class B |
3-month USD LIBOR + 1.400%
04/23/2031 | 2.584% | | 22,300,000 | 21,194,009 |
| Series 2020-3A Class DR |
3-month USD LIBOR + 3.250%
Floor 3.250%
10/23/2034 | 4.434% | | 5,000,000 | 4,550,105 |
| Series 2020-4A Class D |
3-month USD LIBOR + 4.250%
Floor 4.250%
10/20/2033 | 5.313% | | 7,000,000 | 6,675,249 |
| Carlyle Group LP(a),(b) |
| Series 2017-5A Class A2 |
3-month USD LIBOR + 1.400%
01/20/2030 | 2.463% | | 12,000,000 | 11,374,488 |
| Cent CLO Ltd.(a),(b) |
| Series 2018-C17A Class A2R |
3-month USD LIBOR + 1.600%
Floor 1.600%
04/30/2031 | 2.886% | | 21,000,000 | 20,019,027 |
| Dryden CLO Ltd.(a),(b) |
| Series 2018-57A Class B |
3-month USD LIBOR + 1.350%
Floor 1.350%
05/15/2031 | 2.761% | | 14,617,500 | 13,913,287 |
| Series 2020-83A Class D |
3-month USD LIBOR + 3.500%
Floor 3.500%
01/18/2032 | 4.544% | | 8,000,000 | 7,409,056 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Goldentree Loan Opportunities XI Ltd.(a),(b) |
| Series 2015-11A Class BR2 |
3-month USD LIBOR + 1.350%
01/18/2031 | 2.394% | | 10,000,000 | 9,611,640 |
| LendingClub Receivables Trust(a),(c),(d),(e) |
| Series 2020-JPSL Class R |
| 02/15/2025 | 0.000% | | 93,000 | 2,285,010 |
| LendingPoint Asset Securitization Trust(a) |
| Series 2021-A Class A |
| 12/15/2028 | 1.000% | | 4,665,980 | 4,631,348 |
| Series 2021-B Class A |
| 02/15/2029 | 1.110% | | 8,605,980 | 8,455,729 |
| LL ABS Trust(a) |
| Series 2021-1A Class A |
| 05/15/2029 | 1.070% | | 4,905,380 | 4,757,545 |
| LP LMS Asset Securitization Trust(a) |
| Series 2021-2A Class A |
| 01/15/2029 | 1.750% | | 11,522,371 | 11,326,561 |
| Lucali CLO Ltd.(a),(b) |
| Series 2020-1A Class D |
3-month USD LIBOR + 3.600%
Floor 3.600%
01/15/2033 | 4.644% | | 9,750,000 | 8,887,652 |
| Madison Park Funding XLVII Ltd.(a),(b) |
| Series 2020-47A Class D |
3-month USD LIBOR + 4.100%
Floor 4.000%
01/19/2034 | 5.044% | | 13,175,000 | 12,556,276 |
| Madison Park Funding XXIV Ltd.(a),(b) |
| Series 2016-24A Class BR |
3-month USD LIBOR + 1.750%
10/20/2029 | 2.813% | | 20,000,000 | 19,464,320 |
| Madison Park Funding XXVII Ltd.(a),(b) |
| Series 2018-27A Class A2 |
3-month USD LIBOR + 1.350%
04/20/2030 | 2.413% | | 11,300,000 | 10,775,092 |
| Marlette Funding Trust(a) |
| Series 2020-2A Class D |
| 09/16/2030 | 4.650% | | 4,145,000 | 4,077,186 |
| Series 2021-1A Class A |
| 06/16/2031 | 0.600% | | 444,871 | 443,981 |
| Octagon 55 Ltd.(a),(b) |
| Series 2021-1A Class D |
3-month USD LIBOR + 3.100%
Floor 3.100%
07/20/2034 | 4.163% | | 6,000,000 | 5,498,034 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Octagon Investment Partners 35 Ltd.(a),(b) |
| Series 2018-1A Class A2 |
3-month USD LIBOR + 1.400%
Floor 1.400%
01/20/2031 | 2.463% | | 20,375,000 | 19,472,326 |
| Octagon Investment Partners XXII Ltd.(a),(b) |
| Series 2014-1A Class BRR |
3-month USD LIBOR + 1.450%
Floor 1.450%
01/22/2030 | 2.586% | | 45,625,000 | 43,813,140 |
| Oportun Issuance Trust(a) |
| Series 2021-B Class A |
| 05/08/2031 | 1.470% | | 27,500,000 | 26,489,502 |
| Subordinated Series 2021-B Class B |
| 05/08/2031 | 1.960% | | 3,065,000 | 2,951,439 |
| OZLM Funding IV Ltd.(a),(b) |
| Series 2013-4A Class D2R |
3-month USD LIBOR + 7.250%
Floor 7.250%
10/22/2030 | 8.386% | | 1,962,500 | 1,644,247 |
| OZLM XXI(a),(b) |
| Series 2017-21A Class A2 |
3-month USD LIBOR + 1.450%
01/20/2031 | 2.513% | | 20,000,000 | 19,039,040 |
| Pagaya AI Debt Selection Trust(a) |
| Series 2019-3 Class A |
| 11/16/2026 | 3.821% | | 257,820 | 257,791 |
| Series 2020-3 Class B |
| 05/17/2027 | 3.220% | | 13,000,000 | 12,919,007 |
| Series 2021-1 Class A |
| 11/15/2027 | 1.180% | | 6,375,785 | 6,261,643 |
| Series 2021-3 Class A |
| 05/15/2029 | 1.150% | | 23,837,036 | 23,308,585 |
| Series 2021-5 Class A |
| 08/15/2029 | 1.530% | | 14,645,455 | 14,177,162 |
| Subordinated Series 2021-3 Class B |
| 05/15/2029 | 1.740% | | 9,049,508 | 8,527,806 |
| Subordinated Series 2021-5 Class B |
| 08/15/2029 | 2.630% | | 10,998,704 | 10,121,829 |
| Pagaya AI Debt Trust(a) |
| Series 2022-1 Class A |
| 10/15/2029 | 2.030% | | 16,991,527 | 16,416,760 |
| Subordinated Series 2022-1 Class B |
| 10/15/2029 | 3.344% | | 10,200,000 | 9,318,732 |
| Prosper Pass-Through Trust(a),(c),(e) |
| Series 2019-ST2 Class A |
| 11/15/2025 | 3.750% | | 2,154,793 | 2,176,341 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Research-Driven Pagaya Motor Asset Trust IV(a) |
| Series 2021-2A Class A |
| 03/25/2030 | 2.650% | | 9,237,643 | 8,795,038 |
| RR 3 Ltd.(a),(b) |
| Series 2014-14A Class A2R2 |
3-month USD LIBOR + 1.400%
Floor 1.400%
01/15/2030 | 2.444% | | 28,000,000 | 26,893,104 |
| Stewart Park CLO Ltd.(a),(b) |
| Series 2017-1A Class BR |
3-month USD LIBOR + 1.370%
Floor 1.370%
01/15/2030 | 2.414% | | 11,171,429 | 10,668,637 |
| Theorem Funding Trust(a) |
| Series 2021-1A Class A |
| 12/15/2027 | 1.210% | | 8,504,975 | 8,351,403 |
| Upstart Pass-Through Trust(a) |
| Series 2020-ST6 Class A |
| 01/20/2027 | 3.000% | | 5,134,300 | 4,947,614 |
| Series 2021-ST1 Class A |
| 02/20/2027 | 2.750% | | 7,369,445 | 7,123,907 |
| Series 2021-ST10 Class A |
| 01/20/2030 | 2.250% | | 15,187,797 | 14,688,085 |
| Upstart Securitization Trust(a) |
| Series 2021-3 Class A |
| 07/20/2031 | 0.830% | | 7,259,185 | 7,072,682 |
| Series 2021-4 Class A |
| 09/20/2031 | 0.840% | | 14,388,392 | 13,926,895 |
| Subordinated Series 2021-3 Class B |
| 07/20/2031 | 1.660% | | 11,050,000 | 10,506,019 |
| Subordinated Series 2021-4 Class B |
| 09/20/2031 | 1.840% | | 11,370,000 | 10,460,726 |
Total Asset-Backed Securities — Non-Agency
(Cost $574,440,247) | 551,357,131 |
|
| Commercial Mortgage-Backed Securities - Agency 1.7% |
| | | | |
| Federal National Mortgage Association(f) |
| Series 2017-M15 Class ATS2 |
| 11/25/2027 | 3.209% | | 49,605,029 | 48,797,087 |
| FRESB Mortgage Trust(f) |
| Series 2018-SB45 Class A10F (FHLMC) |
| 11/25/2027 | 3.160% | | 8,023,237 | 7,844,760 |
| Government National Mortgage Association(f),(g) |
| Series 2019-147 Class IO |
| 06/16/2061 | 0.396% | | 126,356,413 | 5,525,806 |
Total Commercial Mortgage-Backed Securities - Agency
(Cost $70,257,576) | 62,167,653 |
|
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Commercial Mortgage-Backed Securities - Non-Agency 7.1% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| American Homes 4 Rent Trust(a) |
| Series 2014-SFR3 Class A |
| 12/17/2036 | 3.678% | | 2,161,388 | 2,140,538 |
| BAMLL Commercial Mortgage Securities Trust(a),(f) |
| Series 2013-WBRK Class A |
| 03/10/2037 | 3.652% | | 5,550,000 | 5,359,024 |
| BBCMS Trust(a),(b) |
| Subordinated Series 2018-BXH Class E |
1-month USD LIBOR + 2.250%
Floor 2.250%
10/15/2037 | 3.574% | | 10,581,000 | 9,760,085 |
| BFLD Trust(a),(b) |
| Series 2019-DPLO Class F |
1-month USD LIBOR + 2.540%
Floor 2.540%
10/15/2034 | 3.864% | | 4,900,000 | 4,530,766 |
| Subordinated Series 2019-DPLO Class D |
1-month USD LIBOR + 1.840%
Floor 1.840%
10/15/2034 | 3.164% | | 3,050,000 | 2,934,927 |
| Braemar Hotels & Resorts Trust(a),(b) |
| Series 2018-PRME Class E |
1-month USD LIBOR + 2.400%
Floor 2.400%
06/15/2035 | 3.724% | | 6,310,000 | 5,927,661 |
| Subordinated Series 2018-PRME Class D |
1-month USD LIBOR + 1.800%
Floor 1.925%
06/15/2035 | 3.124% | | 6,950,000 | 6,663,777 |
| CLNY Trust(a),(b) |
| Series 2019-IKPR Class A |
1-month USD LIBOR + 1.129%
Floor 1.129%
11/15/2038 | 2.453% | | 4,400,000 | 4,256,727 |
| Series 2019-IKPR Class E |
1-month USD LIBOR + 2.721%
Floor 2.721%
11/15/2038 | 4.045% | | 14,900,000 | 13,705,561 |
| Cold Storage Trust(a),(b) |
| Subordinated Series 2020-ICE5 Class F |
1-month USD LIBOR + 3.492%
Floor 3.333%
11/15/2037 | 4.817% | | 3,096,420 | 2,942,112 |
| COMM Mortgage Trust(a),(f) |
| Subordinated Series 2020-CBM Class E |
| 02/10/2037 | 3.754% | | 10,950,000 | 9,831,737 |
| Credit Suisse Mortgage Capital Certificates OA LLC(a) |
| Series 2014-USA Class A2 |
| 09/15/2037 | 3.953% | | 15,735,000 | 14,885,903 |
| Subordinated Series 2014-USA Class D |
| 09/15/2037 | 4.373% | | 3,600,000 | 3,024,861 |
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Subordinated Series 2014-USA Class E |
| 09/15/2037 | 4.373% | | 19,065,000 | 14,952,546 |
| Subordinated Series 2014-USA Class F |
| 09/15/2037 | 4.373% | | 17,500,000 | 12,546,086 |
| Extended Stay America Trust(a),(b) |
| Series 2021-ESH Class D |
1-month USD LIBOR + 2.250%
Floor 2.250%
07/15/2038 | 3.125% | | 9,938,832 | 9,590,286 |
| Hilton USA Trust(a),(f) |
| Series 2016-HHV Class F |
| 11/05/2038 | 4.333% | | 4,500,000 | 3,938,701 |
| Hilton USA Trust(a) |
| Subordinated Series 2016-SFP Class E |
| 11/05/2035 | 5.519% | | 10,901,000 | 10,507,426 |
| Morgan Stanley Capital I Trust(a),(f) |
| Series 2019-MEAD Class E |
| 11/10/2036 | 3.283% | | 13,400,000 | 11,976,459 |
| One New York Plaza Trust(a),(b) |
| Subordinated Series 2020-1NYP Class C |
1-month USD LIBOR + 2.200%
Floor 2.200%
01/15/2036 | 3.524% | | 6,600,000 | 6,415,494 |
| Subordinated Series 2020-1NYP Class D |
1-month USD LIBOR + 2.750%
Floor 2.750%
01/15/2036 | 4.074% | | 4,150,000 | 4,011,764 |
| Progress Residential 2020-SFR3 Trust(a) |
| Series 2020-SFR3 Class A |
| 10/17/2027 | 1.294% | | 7,982,076 | 7,329,190 |
| Progress Residential Trust(a) |
| Series 2020-SFR1 Class E |
| 04/17/2037 | 3.032% | | 19,775,000 | 18,455,501 |
| Subordinated Series 2019-SFR3 Class F |
| 09/17/2036 | 3.867% | | 2,775,000 | 2,681,582 |
| Subordinated Series 2019-SFR4 Class F |
| 10/17/2036 | 3.684% | | 1,735,000 | 1,673,883 |
| Subordinated Series 2020-SFR2 Class E |
| 06/17/2037 | 5.115% | | 5,900,000 | 5,682,009 |
| SFO Commercial Mortgage Trust(a),(b) |
| Series 2021-555 Class A |
1-month USD LIBOR + 1.150%
Floor 1.150%
05/15/2038 | 2.474% | | 22,000,000 | 21,007,067 |
| UBS Commercial Mortgage Trust(a),(b) |
| Series 2018-NYCH Class B |
1-month USD LIBOR + 1.250%
Floor 1.250%
02/15/2032 | 2.574% | | 10,469,000 | 10,212,890 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2018-NYCH Class E |
1-month USD LIBOR + 2.900%
Floor 3.200%
02/15/2032 | 4.224% | | 12,509,000 | 11,736,520 |
| Wells Fargo Commercial Mortgage Trust(a),(b) |
| Series 2021-FCMT Class A |
1-month USD LIBOR + 1.200%
Floor 1.200%
05/15/2031 | 2.524% | | 6,250,000 | 6,007,178 |
| Subordinated Series 2017-SMP Class C |
1-month USD LIBOR + 1.325%
Floor 1.200%
12/15/2034 | 2.649% | | 9,000,000 | 8,870,353 |
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $270,295,408) | 253,558,614 |
|
| Convertible Bonds 0.0% |
| | | | |
| Cable and Satellite 0.0% |
| DISH Network Corp. |
| Subordinated |
| 08/15/2026 | 3.375% | | 721,000 | 487,035 |
Total Convertible Bonds
(Cost $684,684) | 487,035 |
|
| Corporate Bonds & Notes 24.2% |
| | | | |
| Aerospace & Defense 0.6% |
| Boeing Co. (The) |
| 08/01/2059 | 3.950% | | 3,440,000 | 2,322,606 |
| 05/01/2060 | 5.930% | | 8,845,000 | 8,091,690 |
| Bombardier, Inc.(a) |
| 12/01/2024 | 7.500% | | 534,000 | 500,925 |
| 04/15/2027 | 7.875% | | 440,000 | 366,220 |
| Northrop Grumman Corp. |
| 01/15/2028 | 3.250% | | 6,000,000 | 5,700,120 |
| TransDigm, Inc.(a) |
| 03/15/2026 | 6.250% | | 1,995,000 | 1,927,780 |
| TransDigm, Inc. |
| 06/15/2026 | 6.375% | | 1,198,000 | 1,121,861 |
| 11/15/2027 | 5.500% | | 795,000 | 676,982 |
| 05/01/2029 | 4.875% | | 460,000 | 373,934 |
| Total | 21,082,118 |
| Airlines 0.1% |
| Air Canada(a) |
| 08/15/2026 | 3.875% | | 987,000 | 837,754 |
| American Airlines, Inc.(a) |
| 07/15/2025 | 11.750% | | 600,000 | 620,994 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) |
| 04/20/2026 | 5.500% | | 2,077,095 | 1,913,642 |
| 04/20/2029 | 5.750% | | 207,779 | 177,402 |
| Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(a) |
| 01/20/2026 | 5.750% | | 802,736 | 719,350 |
| United Airlines, Inc.(a) |
| 04/15/2026 | 4.375% | | 347,000 | 307,761 |
| 04/15/2029 | 4.625% | | 389,000 | 329,870 |
| Total | 4,906,773 |
| Automotive 0.2% |
| Ford Motor Co. |
| 02/12/2032 | 3.250% | | 1,569,000 | 1,172,796 |
| Ford Motor Credit Co. LLC |
| 11/13/2025 | 3.375% | | 1,595,000 | 1,436,024 |
| 01/09/2027 | 4.271% | | 934,000 | 836,593 |
| 08/17/2027 | 4.125% | | 334,000 | 294,078 |
| 02/16/2028 | 2.900% | | 368,000 | 296,739 |
| 02/10/2029 | 2.900% | | 960,000 | 752,644 |
| Goodyear Tire & Rubber Co. (The) |
| 07/15/2029 | 5.000% | | 357,000 | 297,561 |
| IAA Spinco, Inc.(a) |
| 06/15/2027 | 5.500% | | 727,000 | 677,014 |
| KAR Auction Services, Inc.(a) |
| 06/01/2025 | 5.125% | | 1,615,000 | 1,519,667 |
| Panther BF Aggregator 2 LP/Finance Co., Inc.(a) |
| 05/15/2027 | 8.500% | | 665,000 | 643,263 |
| Tenneco, Inc.(a) |
| 01/15/2029 | 7.875% | | 335,000 | 324,458 |
| Total | 8,250,837 |
| Banking 6.1% |
| Bank of America Corp.(h) |
| 07/23/2031 | 1.898% | | 32,855,000 | 26,286,893 |
| 10/20/2032 | 2.572% | | 10,390,000 | 8,573,203 |
| 02/04/2033 | 2.972% | | 18,020,000 | 15,359,662 |
| Citigroup, Inc.(h) |
| 06/03/2031 | 2.572% | | 4,618,000 | 3,884,777 |
| 01/25/2033 | 3.057% | | 19,236,000 | 16,339,094 |
| Goldman Sachs Group, Inc. (The)(h) |
| 07/21/2032 | 2.383% | | 13,579,000 | 10,990,728 |
| 02/24/2033 | 3.102% | | 18,433,000 | 15,763,208 |
| HSBC Holdings PLC(h) |
| 05/24/2032 | 2.804% | | 9,154,000 | 7,515,219 |
| 11/22/2032 | 2.871% | | 16,633,000 | 13,624,455 |
| JPMorgan Chase & Co.(h) |
| 10/15/2030 | 2.739% | | 7,987,000 | 6,963,358 |
| 04/22/2032 | 2.580% | | 27,720,000 | 23,340,418 |
| 11/08/2032 | 2.545% | | 24,791,000 | 20,598,265 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Morgan Stanley(h) |
| 07/21/2032 | 2.239% | | 7,128,000 | 5,791,956 |
| 10/20/2032 | 2.511% | | 12,103,000 | 10,021,733 |
| Subordinated |
| 04/20/2037 | 5.297% | | 6,635,000 | 6,436,827 |
| Wells Fargo & Co.(h) |
| 10/30/2030 | 2.879% | | 609,000 | 535,609 |
| 02/11/2031 | 2.572% | | 32,216,000 | 27,698,536 |
| Total | 219,723,941 |
| Brokerage/Asset Managers/Exchanges 0.1% |
| Hightower Holding LLC(a) |
| 04/15/2029 | 6.750% | | 364,000 | 274,034 |
| NFP Corp.(a) |
| 08/15/2028 | 4.875% | | 366,000 | 313,764 |
| 08/15/2028 | 6.875% | | 1,494,000 | 1,242,391 |
| Total | 1,830,189 |
| Building Materials 0.1% |
| American Builders & Contractors Supply Co., Inc.(a) |
| 01/15/2028 | 4.000% | | 742,000 | 640,294 |
| Beacon Roofing Supply, Inc.(a) |
| 11/15/2026 | 4.500% | | 1,217,000 | 1,107,439 |
| SRS Distribution, Inc.(a) |
| 07/01/2028 | 4.625% | | 470,000 | 410,524 |
| 07/01/2029 | 6.125% | | 385,000 | 303,403 |
| 12/01/2029 | 6.000% | | 515,000 | 403,985 |
| White Cap Buyer LLC(a) |
| 10/15/2028 | 6.875% | | 493,000 | 394,956 |
| Total | 3,260,601 |
| Cable and Satellite 1.3% |
| CCO Holdings LLC/Capital Corp.(a) |
| 03/01/2030 | 4.750% | | 626,000 | 535,427 |
| 08/15/2030 | 4.500% | | 2,052,000 | 1,714,857 |
| 02/01/2031 | 4.250% | | 459,000 | 376,924 |
| 02/01/2032 | 4.750% | | 552,000 | 454,475 |
| CCO Holdings LLC/Capital Corp. |
| 05/01/2032 | 4.500% | | 558,000 | 451,762 |
| Charter Communications Operating LLC/Capital |
| 05/01/2047 | 5.375% | | 4,412,000 | 3,776,716 |
| 06/30/2062 | 3.950% | | 6,039,000 | 4,025,133 |
| 04/01/2063 | 5.500% | | 22,842,000 | 19,482,603 |
| CSC Holdings LLC(a) |
| 02/01/2028 | 5.375% | | 1,434,000 | 1,253,318 |
| 01/15/2030 | 5.750% | | 1,311,000 | 953,772 |
| 12/01/2030 | 4.125% | | 1,466,000 | 1,142,668 |
| 12/01/2030 | 4.625% | | 284,000 | 190,226 |
| 11/15/2031 | 5.000% | | 258,000 | 173,247 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| DIRECTV Holdings LLC/Financing Co., Inc.(a) |
| 08/15/2027 | 5.875% | | 756,000 | 644,976 |
| DISH DBS Corp. |
| 07/01/2026 | 7.750% | | 466,000 | 361,675 |
| 06/01/2029 | 5.125% | | 1,327,000 | 806,391 |
| DISH DBS Corp.(a) |
| 12/01/2028 | 5.750% | | 1,086,000 | 803,782 |
| Radiate Holdco LLC/Finance, Inc.(a) |
| 09/15/2026 | 4.500% | | 604,000 | 521,618 |
| 09/15/2028 | 6.500% | | 907,000 | 701,772 |
| Sirius XM Radio, Inc.(a) |
| 09/01/2026 | 3.125% | | 552,000 | 493,515 |
| 07/01/2030 | 4.125% | | 266,000 | 222,136 |
| Videotron Ltd.(a) |
| 06/15/2029 | 3.625% | | 3,204,000 | 2,644,829 |
| Virgin Media Finance PLC(a) |
| 07/15/2030 | 5.000% | | 1,218,000 | 965,255 |
| Virgin Media Secured Finance PLC(a) |
| 05/15/2029 | 5.500% | | 566,000 | 507,110 |
| VZ Secured Financing BV(a) |
| 01/15/2032 | 5.000% | | 901,000 | 747,835 |
| Ziggo Bond Co. BV(a) |
| 02/28/2030 | 5.125% | | 432,000 | 338,853 |
| Ziggo Bond Finance BV(a) |
| 01/15/2027 | 6.000% | | 419,000 | 373,490 |
| Ziggo BV(a) |
| 01/15/2030 | 4.875% | | 1,060,000 | 898,557 |
| Total | 45,562,922 |
| Chemicals 0.2% |
| Axalta Coating Systems LLC(a) |
| 02/15/2029 | 3.375% | | 390,000 | 318,542 |
| Axalta Coating Systems LLC/Dutch Holding B BV(a) |
| 06/15/2027 | 4.750% | | 555,000 | 495,199 |
| Element Solutions, Inc.(a) |
| 09/01/2028 | 3.875% | | 732,000 | 605,336 |
| HB Fuller Co. |
| 10/15/2028 | 4.250% | | 600,000 | 504,071 |
| Herens Holdco Sarl(a) |
| 05/15/2028 | 4.750% | | 544,000 | 453,645 |
| Illuminate Buyer LLC/Holdings IV, Inc.(a) |
| 07/01/2028 | 9.000% | | 845,000 | 670,150 |
| Innophos Holdings, Inc.(a) |
| 02/15/2028 | 9.375% | | 535,000 | 487,481 |
| Iris Holdings, Inc.(a),(i) |
| 02/15/2026 | 8.750% | | 323,000 | 264,822 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| SPCM SA(a) |
| 03/15/2027 | 3.125% | | 228,000 | 192,384 |
| Unifrax Escrow Issuer Corp.(a) |
| 09/30/2028 | 5.250% | | 417,000 | 333,194 |
| WR Grace Holdings LLC(a) |
| 06/15/2027 | 4.875% | | 816,000 | 709,966 |
| 08/15/2029 | 5.625% | | 1,174,000 | 866,158 |
| Total | 5,900,948 |
| Construction Machinery 0.0% |
| H&E Equipment Services, Inc.(a) |
| 12/15/2028 | 3.875% | | 967,000 | 781,503 |
| Herc Holdings, Inc.(a) |
| 07/15/2027 | 5.500% | | 162,000 | 148,269 |
| Ritchie Bros. Auctioneers, Inc.(a) |
| 01/15/2025 | 5.375% | | 223,000 | 218,407 |
| Total | 1,148,179 |
| Consumer Cyclical Services 0.1% |
| APX Group, Inc.(a) |
| 07/15/2029 | 5.750% | | 171,000 | 132,762 |
| Arches Buyer, Inc.(a) |
| 12/01/2028 | 6.125% | | 635,000 | 518,316 |
| Staples, Inc.(a) |
| 04/15/2026 | 7.500% | | 623,000 | 516,619 |
| Uber Technologies, Inc.(a) |
| 05/15/2025 | 7.500% | | 315,000 | 314,057 |
| 08/15/2029 | 4.500% | | 1,999,000 | 1,644,425 |
| Total | 3,126,179 |
| Consumer Products 0.1% |
| CD&R Smokey Buyer, Inc.(a) |
| 07/15/2025 | 6.750% | | 699,000 | 620,531 |
| Mattel, Inc.(a) |
| 12/15/2027 | 5.875% | | 380,000 | 371,471 |
| 04/01/2029 | 3.750% | | 788,000 | 708,780 |
| Mattel, Inc. |
| 10/01/2040 | 6.200% | | 1,049,000 | 1,009,871 |
| Prestige Brands, Inc.(a) |
| 01/15/2028 | 5.125% | | 470,000 | 437,288 |
| Spectrum Brands, Inc. |
| 07/15/2025 | 5.750% | | 254,000 | 251,355 |
| Tempur Sealy International, Inc.(a) |
| 10/15/2031 | 3.875% | | 133,000 | 99,705 |
| Total | 3,499,001 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Diversified Manufacturing 1.0% |
| Carrier Global Corp. |
| 04/05/2050 | 3.577% | | 16,993,000 | 12,895,347 |
| Gates Global LLC/Co.(a) |
| 01/15/2026 | 6.250% | | 1,054,000 | 979,854 |
| GE Capital International Funding Co. Unlimited Co. |
| 11/15/2035 | 4.418% | | 11,333,000 | 10,606,907 |
| General Electric Co.(b) |
| Junior Subordinated |
3-month USD LIBOR + 3.330%
12/31/2049 | 5.159% | | 9,285,000 | 8,122,443 |
| Madison IAQ LLC(a) |
| 06/30/2028 | 4.125% | | 1,154,000 | 956,025 |
| 06/30/2029 | 5.875% | | 407,000 | 310,429 |
| Resideo Funding, Inc.(a) |
| 09/01/2029 | 4.000% | | 516,000 | 402,951 |
| Vertical US Newco, Inc.(a) |
| 07/15/2027 | 5.250% | | 401,000 | 358,117 |
| WESCO Distribution, Inc.(a) |
| 06/15/2025 | 7.125% | | 1,398,000 | 1,394,753 |
| 06/15/2028 | 7.250% | | 299,000 | 295,631 |
| Total | 36,322,457 |
| Electric 2.0% |
| AEP Texas, Inc. |
| 01/15/2050 | 3.450% | | 6,785,000 | 5,230,934 |
| Appalachian Power Co. |
| 05/15/2044 | 4.400% | | 6,365,000 | 5,583,990 |
| Clearway Energy Operating LLC(a) |
| 02/15/2031 | 3.750% | | 760,000 | 616,311 |
| 01/15/2032 | 3.750% | | 229,000 | 181,115 |
| DTE Energy Co. |
| 10/01/2026 | 2.850% | | 10,003,000 | 9,461,913 |
| Emera US Finance LP |
| 06/15/2046 | 4.750% | | 13,116,000 | 11,568,494 |
| Georgia Power Co. |
| 03/15/2042 | 4.300% | | 4,675,000 | 4,065,569 |
| NextEra Energy Operating Partners LP(a) |
| 07/15/2024 | 4.250% | | 631,000 | 604,301 |
| NRG Energy, Inc.(a) |
| 02/15/2029 | 3.375% | | 322,000 | 260,239 |
| 06/15/2029 | 5.250% | | 776,000 | 693,250 |
| 02/15/2031 | 3.625% | | 3,930,000 | 3,092,586 |
| 02/15/2032 | 3.875% | | 659,000 | 523,176 |
| Pacific Gas and Electric Co. |
| 07/01/2050 | 4.950% | | 14,610,000 | 11,650,346 |
| Southern Co. (The) |
| 07/01/2046 | 4.400% | | 3,505,000 | 3,055,779 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 11 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Vistra Operations Co. LLC(a) |
| 02/15/2027 | 5.625% | | 225,000 | 211,550 |
| 05/01/2029 | 4.375% | | 657,000 | 551,915 |
| Xcel Energy, Inc. |
| 12/01/2029 | 2.600% | | 3,308,000 | 2,908,203 |
| 06/01/2030 | 3.400% | | 11,830,000 | 10,880,607 |
| Total | 71,140,278 |
| Environmental 0.1% |
| GFL Environmental, Inc.(a) |
| 08/01/2025 | 3.750% | | 1,336,000 | 1,238,695 |
| 12/15/2026 | 5.125% | | 481,000 | 459,256 |
| 08/01/2028 | 4.000% | | 612,000 | 508,511 |
| 06/15/2029 | 4.750% | | 497,000 | 415,456 |
| Waste Pro USA, Inc.(a) |
| 02/15/2026 | 5.500% | | 987,000 | 875,438 |
| Total | 3,497,356 |
| Finance Companies 0.1% |
| Navient Corp. |
| 01/25/2023 | 5.500% | | 272,000 | 270,076 |
| Provident Funding Associates LP/Finance Corp.(a) |
| 06/15/2025 | 6.375% | | 556,000 | 498,303 |
| Quicken Loans LLC/Co-Issuer, Inc.(a) |
| 03/01/2029 | 3.625% | | 968,000 | 760,175 |
| Rocket Mortgage LLC/Co-Issuer, Inc.(a) |
| 10/15/2033 | 4.000% | | 1,580,000 | 1,127,276 |
| Total | 2,655,830 |
| Food and Beverage 1.8% |
| Anheuser-Busch Companies LLC/InBev Worldwide, Inc. |
| 02/01/2046 | 4.900% | | 18,916,000 | 17,840,994 |
| Bacardi Ltd.(a) |
| 05/15/2048 | 5.300% | | 13,380,000 | 12,572,225 |
| Darling Ingredients, Inc.(a) |
| 06/15/2030 | 6.000% | | 429,000 | 427,898 |
| FAGE International SA/USA Dairy Industry, Inc.(a) |
| 08/15/2026 | 5.625% | | 1,961,000 | 1,715,768 |
| Grupo Bimbo SAB de CV(a) |
| 06/27/2024 | 3.875% | | 2,256,000 | 2,238,739 |
| JBS USA LUX SA/Food Co./Finance, Inc.(a) |
| 01/15/2030 | 5.500% | | 496,000 | 470,770 |
| 12/01/2031 | 3.750% | | 715,000 | 586,405 |
| Kraft Heinz Foods Co. |
| 06/01/2046 | 4.375% | | 20,454,000 | 17,039,585 |
| Lamb Weston Holdings, Inc.(a) |
| 01/31/2030 | 4.125% | | 375,000 | 326,241 |
| 01/31/2032 | 4.375% | | 373,000 | 324,366 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Pilgrim’s Pride Corp.(a) |
| 09/30/2027 | 5.875% | | 971,000 | 929,366 |
| 04/15/2031 | 4.250% | | 1,471,000 | 1,227,192 |
| 03/01/2032 | 3.500% | | 5,544,000 | 4,346,318 |
| Post Holdings, Inc.(a) |
| 03/01/2027 | 5.750% | | 510,000 | 494,118 |
| 09/15/2031 | 4.500% | | 897,000 | 736,453 |
| Primo Water Holdings, Inc.(a) |
| 04/30/2029 | 4.375% | | 770,000 | 628,621 |
| Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) |
| 03/01/2029 | 4.625% | | 833,000 | 704,045 |
| US Foods, Inc.(a) |
| 04/15/2025 | 6.250% | | 342,000 | 341,010 |
| 02/15/2029 | 4.750% | | 535,000 | 467,477 |
| 06/01/2030 | 4.625% | | 377,000 | 321,411 |
| Total | 63,739,002 |
| Gaming 0.3% |
| Boyd Gaming Corp.(a) |
| 06/15/2031 | 4.750% | | 1,070,000 | 905,483 |
| Caesars Entertainment, Inc.(a) |
| 10/15/2029 | 4.625% | | 1,045,000 | 815,532 |
| Colt Merger Sub, Inc.(a) |
| 07/01/2025 | 5.750% | | 924,000 | 885,489 |
| 07/01/2025 | 6.250% | | 1,994,000 | 1,921,819 |
| 07/01/2027 | 8.125% | | 756,000 | 728,978 |
| International Game Technology PLC(a) |
| 04/15/2026 | 4.125% | | 244,000 | 221,433 |
| Midwest Gaming Borrower LLC(a) |
| 05/01/2029 | 4.875% | | 660,000 | 538,905 |
| Penn National Gaming, Inc.(a) |
| 07/01/2029 | 4.125% | | 730,000 | 558,231 |
| Scientific Games Holdings LP/US FinCo, Inc.(a) |
| 03/01/2030 | 6.625% | | 618,000 | 525,590 |
| VICI Properties LP/Note Co., Inc.(a) |
| 06/15/2025 | 4.625% | | 905,000 | 862,316 |
| 09/01/2026 | 4.500% | | 512,000 | 471,730 |
| 12/01/2026 | 4.250% | | 770,000 | 706,831 |
| Wynn Las Vegas LLC/Capital Corp.(a) |
| 03/01/2025 | 5.500% | | 311,000 | 284,664 |
| Wynn Resorts Finance LLC/Capital Corp.(a) |
| 04/15/2025 | 7.750% | | 285,000 | 277,245 |
| 10/01/2029 | 5.125% | | 241,000 | 188,680 |
| Total | 9,892,926 |
| Health Care 0.9% |
| Acadia Healthcare Co., Inc.(a) |
| 07/01/2028 | 5.500% | | 233,000 | 217,983 |
| 04/15/2029 | 5.000% | | 243,000 | 219,549 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| AdaptHealth LLC(a) |
| 08/01/2029 | 4.625% | | 121,000 | 99,475 |
| 03/01/2030 | 5.125% | | 920,000 | 773,487 |
| Avantor Funding, Inc.(a) |
| 07/15/2028 | 4.625% | | 574,000 | 525,529 |
| 11/01/2029 | 3.875% | | 1,816,000 | 1,588,842 |
| Becton Dickinson and Co. |
| 02/11/2031 | 1.957% | | 3,098,000 | 2,505,772 |
| Charles River Laboratories International, Inc.(a) |
| 03/15/2029 | 3.750% | | 423,000 | 367,095 |
| 03/15/2031 | 4.000% | | 128,000 | 109,609 |
| CHS/Community Health Systems, Inc.(a) |
| 03/15/2026 | 8.000% | | 464,000 | 422,511 |
| 03/15/2027 | 5.625% | | 154,000 | 130,332 |
| 04/15/2029 | 6.875% | | 489,000 | 313,042 |
| 05/15/2030 | 5.250% | | 1,032,000 | 787,720 |
| CVS Health Corp. |
| 03/25/2048 | 5.050% | | 8,930,000 | 8,543,809 |
| HCA, Inc.(a) |
| 03/15/2052 | 4.625% | | 14,563,000 | 11,651,033 |
| Mozart Debt Merger Sub, Inc.(a) |
| 04/01/2029 | 3.875% | | 151,000 | 128,724 |
| 10/01/2029 | 5.250% | | 228,000 | 189,507 |
| Owens & Minor, Inc.(a) |
| 04/01/2030 | 6.625% | | 376,000 | 342,875 |
| Radiology Partners, Inc.(a) |
| 02/01/2028 | 9.250% | | 159,000 | 119,492 |
| RP Escrow Issuer LLC(a) |
| 12/15/2025 | 5.250% | | 495,000 | 428,927 |
| Select Medical Corp.(a) |
| 08/15/2026 | 6.250% | | 1,454,000 | 1,360,242 |
| Tenet Healthcare Corp. |
| 07/15/2024 | 4.625% | | 574,000 | 551,508 |
| Tenet Healthcare Corp.(a) |
| 01/01/2026 | 4.875% | | 495,000 | 456,640 |
| 02/01/2027 | 6.250% | | 627,000 | 579,489 |
| 10/01/2028 | 6.125% | | 820,000 | 705,605 |
| 06/01/2029 | 4.250% | | 91,000 | 76,899 |
| 01/15/2030 | 4.375% | | 674,000 | 572,616 |
| Total | 33,768,312 |
| Healthcare Insurance 0.2% |
| Centene Corp. |
| 12/15/2029 | 4.625% | | 834,000 | 777,695 |
| 10/15/2030 | 3.000% | | 734,000 | 608,369 |
| 08/01/2031 | 2.625% | | 5,606,000 | 4,498,815 |
| Total | 5,884,879 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Home Construction 0.0% |
| Meritage Homes Corp.(a) |
| 04/15/2029 | 3.875% | | 974,000 | 807,930 |
| Taylor Morrison Communities, Inc./Holdings II(a) |
| 04/15/2023 | 5.875% | | 623,000 | 620,841 |
| Total | 1,428,771 |
| Independent Energy 1.0% |
| Apache Corp. |
| 01/15/2030 | 4.250% | | 1,243,000 | 1,108,237 |
| 09/01/2040 | 5.100% | | 873,000 | 737,310 |
| 02/01/2042 | 5.250% | | 398,000 | 331,349 |
| 04/15/2043 | 4.750% | | 434,000 | 339,183 |
| 01/15/2044 | 4.250% | | 424,000 | 316,167 |
| Callon Petroleum Co. |
| 07/01/2026 | 6.375% | | 1,124,000 | 1,035,094 |
| Callon Petroleum Co.(a) |
| 08/01/2028 | 8.000% | | 213,000 | 204,854 |
| CNX Resources Corp.(a) |
| 03/14/2027 | 7.250% | | 538,000 | 527,978 |
| 01/15/2029 | 6.000% | | 337,000 | 313,411 |
| Colgate Energy Partners III LLC(a) |
| 07/01/2029 | 5.875% | | 465,000 | 407,382 |
| Comstock Resources, Inc.(a) |
| 03/01/2029 | 6.750% | | 307,000 | 275,670 |
| 01/15/2030 | 5.875% | | 566,000 | 489,666 |
| Endeavor Energy Resources LP/Finance, Inc.(a) |
| 07/15/2025 | 6.625% | | 435,000 | 437,635 |
| Hilcorp Energy I LP/Finance Co.(a) |
| 02/01/2029 | 5.750% | | 571,000 | 498,367 |
| 04/15/2030 | 6.000% | | 334,000 | 294,080 |
| 04/15/2032 | 6.250% | | 231,000 | 201,957 |
| Matador Resources Co. |
| 09/15/2026 | 5.875% | | 1,058,000 | 1,019,451 |
| Occidental Petroleum Corp. |
| 07/15/2025 | 8.000% | | 494,000 | 520,728 |
| 09/01/2030 | 6.625% | | 1,880,000 | 1,936,807 |
| 01/01/2031 | 6.125% | | 5,569,000 | 5,650,533 |
| 09/15/2036 | 6.450% | | 11,432,000 | 11,907,616 |
| 03/15/2040 | 6.200% | | 1,074,000 | 1,063,021 |
| 03/15/2046 | 6.600% | | 5,510,000 | 5,848,838 |
| Southwestern Energy Co. |
| 02/01/2029 | 5.375% | | 249,000 | 231,357 |
| 02/01/2032 | 4.750% | | 1,181,000 | 1,010,223 |
| Total | 36,706,914 |
| Integrated Energy 0.1% |
| Cenovus Energy, Inc. |
| 02/15/2052 | 3.750% | | 3,240,000 | 2,464,356 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 13 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Lukoil International Finance BV(a) |
| 04/24/2023 | 4.563% | | 2,256,000 | 1,567,892 |
| Total | 4,032,248 |
| Leisure 0.2% |
| Carnival Corp.(a) |
| 03/01/2026 | 7.625% | | 1,125,000 | 878,216 |
| 03/01/2027 | 5.750% | | 2,562,000 | 1,850,757 |
| 08/01/2028 | 4.000% | | 510,000 | 418,358 |
| 05/01/2029 | 6.000% | | 1,103,000 | 772,304 |
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC(a) |
| 05/01/2025 | 5.500% | | 564,000 | 548,297 |
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Operations LLC |
| 10/01/2028 | 6.500% | | 284,000 | 270,684 |
| Cinemark USA, Inc.(a) |
| 05/01/2025 | 8.750% | | 168,000 | 170,464 |
| 03/15/2026 | 5.875% | | 751,000 | 670,415 |
| 07/15/2028 | 5.250% | | 371,000 | 297,829 |
| NCL Corp., Ltd.(a) |
| 03/15/2026 | 5.875% | | 350,000 | 274,598 |
| 02/15/2029 | 7.750% | | 91,000 | 69,229 |
| NCL Finance Ltd.(a) |
| 03/15/2028 | 6.125% | | 181,000 | 131,690 |
| Royal Caribbean Cruises Ltd.(a) |
| 06/15/2023 | 9.125% | | 176,000 | 174,716 |
| 07/01/2026 | 4.250% | | 474,000 | 336,639 |
| 08/31/2026 | 5.500% | | 600,000 | 440,985 |
| 07/15/2027 | 5.375% | | 235,000 | 170,690 |
| 04/01/2028 | 5.500% | | 619,000 | 430,167 |
| Royal Caribbean Cruises Ltd. |
| 03/15/2028 | 3.700% | | 620,000 | 394,671 |
| Total | 8,300,709 |
| Life Insurance 0.3% |
| Massachusetts Mutual Life Insurance Co.(a) |
| Subordinated |
| 12/01/2061 | 3.200% | | 2,890,000 | 1,988,107 |
| 10/15/2070 | 3.729% | | 2,810,000 | 2,065,558 |
| Peachtree Corners Funding Trust(a) |
| 02/15/2025 | 3.976% | | 4,984,000 | 4,960,016 |
| Teachers Insurance & Annuity Association of America(a) |
| Subordinated |
| 09/15/2044 | 4.900% | | 992,000 | 964,701 |
| Total | 9,978,382 |
| Lodging 0.0% |
| Hilton Domestic Operating Co., Inc.(a) |
| 02/15/2032 | 3.625% | | 535,000 | 425,767 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Media and Entertainment 0.7% |
| Cengage Learning, Inc.(a) |
| 06/15/2024 | 9.500% | | 841,000 | 778,091 |
| Clear Channel Outdoor Holdings, Inc.(a) |
| 04/15/2028 | 7.750% | | 249,000 | 181,182 |
| 06/01/2029 | 7.500% | | 1,070,000 | 773,075 |
| Clear Channel Worldwide Holdings, Inc.(a) |
| 08/15/2027 | 5.125% | | 401,000 | 338,620 |
| iHeartCommunications, Inc. |
| 05/01/2026 | 6.375% | | 566,350 | 524,790 |
| 05/01/2027 | 8.375% | | 801,774 | 640,699 |
| iHeartCommunications, Inc.(a) |
| 08/15/2027 | 5.250% | | 439,000 | 375,736 |
| 01/15/2028 | 4.750% | | 313,000 | 257,907 |
| Magallanes, Inc.(a) |
| 03/15/2062 | 5.391% | | 21,377,000 | 17,928,087 |
| Netflix, Inc. |
| 11/15/2028 | 5.875% | | 1,470,000 | 1,439,036 |
| 05/15/2029 | 6.375% | | 1,124,000 | 1,132,960 |
| Netflix, Inc.(a) |
| 11/15/2029 | 5.375% | | 379,000 | 358,231 |
| 06/15/2030 | 4.875% | | 276,000 | 253,297 |
| Outfront Media Capital LLC/Corp.(a) |
| 08/15/2027 | 5.000% | | 318,000 | 278,161 |
| 01/15/2029 | 4.250% | | 245,000 | 195,432 |
| 03/15/2030 | 4.625% | | 177,000 | 142,060 |
| Roblox Corp.(a) |
| 05/01/2030 | 3.875% | | 479,000 | 388,119 |
| Univision Communications, Inc.(a) |
| 05/01/2029 | 4.500% | | 252,000 | 217,760 |
| Total | 26,203,243 |
| Metals and Mining 0.2% |
| Allegheny Technologies, Inc. |
| 10/01/2029 | 4.875% | | 129,000 | 104,280 |
| 10/01/2031 | 5.125% | | 1,135,000 | 889,998 |
| Constellium SE(a) |
| 06/15/2028 | 5.625% | | 1,541,000 | 1,394,532 |
| 04/15/2029 | 3.750% | | 1,110,000 | 884,134 |
| Hudbay Minerals, Inc.(a) |
| 04/01/2029 | 6.125% | | 776,000 | 629,239 |
| Kaiser Aluminum Corp.(a) |
| 03/01/2028 | 4.625% | | 74,000 | 61,947 |
| 06/01/2031 | 4.500% | | 1,076,000 | 823,867 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Novelis Corp.(a) |
| 11/15/2026 | 3.250% | | 321,000 | 272,137 |
| 01/30/2030 | 4.750% | | 713,000 | 592,918 |
| 08/15/2031 | 3.875% | | 387,000 | 298,097 |
| Total | 5,951,149 |
| Midstream 1.4% |
| Cheniere Energy Partners LP |
| 10/01/2029 | 4.500% | | 463,000 | 413,660 |
| 03/01/2031 | 4.000% | | 801,000 | 682,886 |
| Cheniere Energy Partners LP(a) |
| 01/31/2032 | 3.250% | | 778,000 | 613,263 |
| Cheniere Energy, Inc. |
| 10/15/2028 | 4.625% | | 597,000 | 540,111 |
| CNX Midstream Partners LP(a) |
| 04/15/2030 | 4.750% | | 602,000 | 504,813 |
| DCP Midstream Operating LP |
| 05/15/2029 | 5.125% | | 385,000 | 346,608 |
| 04/01/2044 | 5.600% | | 210,000 | 169,924 |
| Delek Logistics Partners LP/Finance Corp. |
| 05/15/2025 | 6.750% | | 164,000 | 152,650 |
| DT Midstream, Inc.(a) |
| 06/15/2031 | 4.375% | | 685,000 | 572,620 |
| Enterprise Products Operating LLC |
| 03/15/2044 | 4.850% | | 1,496,000 | 1,358,993 |
| 01/31/2060 | 3.950% | | 3,571,000 | 2,812,934 |
| EQM Midstream Partners LP(a) |
| 07/01/2025 | 6.000% | | 195,000 | 187,551 |
| 07/01/2027 | 6.500% | | 492,000 | 457,666 |
| 01/15/2029 | 4.500% | | 679,000 | 551,592 |
| 01/15/2031 | 4.750% | | 1,517,000 | 1,210,092 |
| EQM Midstream Partners LP |
| 07/15/2048 | 6.500% | | 313,000 | 233,240 |
| Galaxy Pipeline Assets Bidco Ltd.(a) |
| 09/30/2040 | 3.250% | | 2,775,000 | 2,193,293 |
| Holly Energy Partners LP/Finance Corp.(a) |
| 04/15/2027 | 6.375% | | 225,000 | 212,177 |
| 02/01/2028 | 5.000% | | 695,000 | 595,988 |
| Kinder Morgan Energy Partners LP |
| 03/01/2043 | 5.000% | | 202,000 | 176,796 |
| Kinder Morgan, Inc. |
| 02/15/2046 | 5.050% | | 10,253,000 | 9,162,819 |
| NuStar Logistics LP |
| 10/01/2025 | 5.750% | | 840,000 | 785,516 |
| 06/01/2026 | 6.000% | | 344,000 | 318,533 |
| 04/28/2027 | 5.625% | | 190,000 | 169,399 |
| Plains All American Pipeline LP/Finance Corp. |
| 06/15/2044 | 4.700% | | 18,015,000 | 14,265,653 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Rockpoint Gas Storage Canada Ltd.(a) |
| 03/31/2023 | 7.000% | | 230,000 | 227,166 |
| Targa Resources Partners LP/Finance Corp. |
| 01/15/2028 | 5.000% | | 351,000 | 335,327 |
| 03/01/2030 | 5.500% | | 574,000 | 546,540 |
| TransMontaigne Partners LP/TLP Finance Corp. |
| 02/15/2026 | 6.125% | | 610,000 | 539,120 |
| Venture Global Calcasieu Pass LLC(a) |
| 08/15/2029 | 3.875% | | 908,000 | 796,065 |
| 08/15/2031 | 4.125% | | 1,461,000 | 1,254,827 |
| 11/01/2033 | 3.875% | | 707,000 | 583,132 |
| Western Gas Partners LP |
| 08/15/2048 | 5.500% | | 1,265,000 | 1,036,854 |
| Williams Companies, Inc. (The) |
| 09/15/2045 | 5.100% | | 3,178,000 | 2,960,827 |
| 10/15/2051 | 3.500% | | 3,776,000 | 2,815,451 |
| Total | 49,784,086 |
| Natural Gas 0.4% |
| NiSource, Inc. |
| 05/01/2030 | 3.600% | | 4,570,000 | 4,187,860 |
| 02/15/2043 | 5.250% | | 990,000 | 960,537 |
| 05/15/2047 | 4.375% | | 10,560,000 | 9,291,914 |
| Total | 14,440,311 |
| Oil Field Services 0.0% |
| Transocean Sentry Ltd.(a) |
| 05/15/2023 | 5.375% | | 988,738 | 940,231 |
| Other REIT 0.1% |
| Ladder Capital Finance Holdings LLLP/Corp.(a) |
| 10/01/2025 | 5.250% | | 1,295,000 | 1,183,249 |
| 02/01/2027 | 4.250% | | 407,000 | 329,565 |
| 06/15/2029 | 4.750% | | 1,141,000 | 880,658 |
| RHP Hotel Properties LP/Finance Corp.(a) |
| 02/15/2029 | 4.500% | | 269,000 | 227,998 |
| RLJ Lodging Trust LP(a) |
| 07/01/2026 | 3.750% | | 354,000 | 311,119 |
| Service Properties Trust |
| 03/15/2024 | 4.650% | | 262,000 | 226,904 |
| Total | 3,159,493 |
| Packaging 0.1% |
| Ardagh Metal Packaging Finance USA LLC/PLC(a) |
| 06/15/2027 | 6.000% | | 418,000 | 413,541 |
| 09/01/2029 | 4.000% | | 1,197,000 | 959,877 |
| Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) |
| 08/15/2026 | 4.125% | | 364,000 | 308,394 |
| 08/15/2027 | 5.250% | | 248,000 | 173,737 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 15 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| BWAY Holding Co.(a) |
| 04/15/2024 | 5.500% | | 351,000 | 335,269 |
| CANPACK SA/Eastern PA Land Investment Holding LLC(a) |
| 11/01/2025 | 3.125% | | 261,000 | 229,681 |
| Canpack SA/US LLC(a) |
| 11/15/2029 | 3.875% | | 837,000 | 661,526 |
| Trivium Packaging Finance BV(a) |
| 08/15/2026 | 5.500% | | 1,507,000 | 1,420,614 |
| 08/15/2027 | 8.500% | | 373,000 | 351,410 |
| Total | 4,854,049 |
| Pharmaceuticals 0.7% |
| AbbVie, Inc. |
| 06/15/2044 | 4.850% | | 7,435,000 | 7,128,953 |
| 11/14/2048 | 4.875% | | 917,000 | 883,593 |
| 11/21/2049 | 4.250% | | 1,845,000 | 1,635,351 |
| Amgen, Inc. |
| 02/22/2062 | 4.400% | | 14,092,000 | 12,254,938 |
| Bausch Health Companies, Inc.(a) |
| 04/01/2026 | 9.250% | | 540,000 | 386,253 |
| 02/01/2027 | 6.125% | | 415,000 | 353,689 |
| 06/01/2028 | 4.875% | | 243,000 | 190,173 |
| 02/15/2031 | 5.250% | | 602,000 | 309,122 |
| Endo Dac/Finance LLC/Finco, Inc.(a) |
| 06/30/2028 | 6.000% | | 381,000 | 30,289 |
| Grifols Escrow Issuer SA(a) |
| 10/15/2028 | 4.750% | | 394,000 | 341,727 |
| Organon Finance 1 LLC(a) |
| 04/30/2028 | 4.125% | | 857,000 | 758,400 |
| 04/30/2031 | 5.125% | | 951,000 | 820,760 |
| Par Pharmaceutical, Inc.(a) |
| 04/01/2027 | 7.500% | | 85,000 | 64,601 |
| Total | 25,157,849 |
| Property & Casualty 0.6% |
| Alliant Holdings Intermediate LLC/Co-Issuer(a) |
| 10/15/2027 | 4.250% | | 346,000 | 302,135 |
| 10/15/2027 | 6.750% | | 983,000 | 871,545 |
| 11/01/2029 | 5.875% | | 641,000 | 531,976 |
| AssuredPartners, Inc.(a) |
| 01/15/2029 | 5.625% | | 410,000 | 331,564 |
| Berkshire Hathaway Finance Corp. |
| 03/15/2052 | 3.850% | | 18,442,000 | 15,783,044 |
| BroadStreet Partners, Inc.(a) |
| 04/15/2029 | 5.875% | | 994,000 | 775,260 |
| GTCR AP Finance, Inc.(a) |
| 05/15/2027 | 8.000% | | 167,000 | 156,886 |
| HUB International Ltd.(a) |
| 12/01/2029 | 5.625% | | 662,000 | 554,659 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Ryan Specialty Group LLC(a) |
| 02/01/2030 | 4.375% | | 172,000 | 149,680 |
| Total | 19,456,749 |
| Restaurants 0.1% |
| Fertitta Entertainment LLC/Finance Co., Inc.(a) |
| 01/15/2030 | 6.750% | | 935,000 | 718,264 |
| IRB Holding Corp.(a) |
| 06/15/2025 | 7.000% | | 554,000 | 540,659 |
| Yum! Brands, Inc. |
| 04/01/2032 | 5.375% | | 457,000 | 421,615 |
| Total | 1,680,538 |
| Retailers 0.4% |
| Asbury Automotive Group, Inc.(a) |
| 11/15/2029 | 4.625% | | 151,000 | 124,732 |
| 02/15/2032 | 5.000% | | 151,000 | 123,512 |
| L Brands, Inc.(a) |
| 10/01/2030 | 6.625% | | 361,000 | 311,812 |
| L Brands, Inc. |
| 11/01/2035 | 6.875% | | 237,000 | 192,507 |
| Lowe’s Companies, Inc. |
| 10/15/2050 | 3.000% | | 11,031,000 | 7,691,507 |
| 04/01/2062 | 4.450% | | 5,199,000 | 4,443,061 |
| PetSmart, Inc./Finance Corp.(a) |
| 02/15/2028 | 4.750% | | 659,000 | 569,404 |
| 02/15/2029 | 7.750% | | 515,000 | 464,630 |
| Total | 13,921,165 |
| Supermarkets 0.0% |
| Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) |
| 02/15/2028 | 5.875% | | 357,000 | 333,832 |
| Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) |
| 02/15/2030 | 4.875% | | 924,000 | 787,561 |
| Total | 1,121,393 |
| Technology 1.4% |
| Broadcom, Inc.(a) |
| 04/15/2034 | 3.469% | | 11,191,000 | 9,077,112 |
| 11/15/2036 | 3.187% | | 2,726,000 | 2,070,649 |
| Clarivate Science Holdings Corp.(a) |
| 07/01/2028 | 3.875% | | 364,000 | 306,014 |
| 07/01/2029 | 4.875% | | 732,000 | 600,900 |
| CommScope Technologies LLC(a) |
| 06/15/2025 | 6.000% | | 181,000 | 156,567 |
| Condor Merger Sub, Inc.(a) |
| 02/15/2030 | 7.375% | | 493,000 | 400,741 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Entegris Escrow Corp.(a) |
| 04/15/2029 | 4.750% | | 140,000 | 130,500 |
| 06/15/2030 | 5.950% | | 503,000 | 479,302 |
| Gartner, Inc.(a) |
| 07/01/2028 | 4.500% | | 252,000 | 229,295 |
| 10/01/2030 | 3.750% | | 476,000 | 411,475 |
| HealthEquity, Inc.(a) |
| 10/01/2029 | 4.500% | | 774,000 | 677,517 |
| Helios Software Holdings, Inc.(a) |
| 05/01/2028 | 4.625% | | 1,370,000 | 1,100,911 |
| ION Trading Technologies Sarl(a) |
| 05/15/2028 | 5.750% | | 434,000 | 345,264 |
| Logan Merger Sub, Inc.(a) |
| 09/01/2027 | 5.500% | | 1,302,000 | 891,096 |
| Minerva Merger Sub, Inc.(a) |
| 02/15/2030 | 6.500% | | 889,000 | 741,798 |
| NCR Corp.(a) |
| 04/15/2029 | 5.125% | | 1,323,000 | 1,121,685 |
| Nielsen Finance LLC/Co.(a) |
| 10/01/2028 | 5.625% | | 453,000 | 420,557 |
| 07/15/2029 | 4.500% | | 735,000 | 665,491 |
| 07/15/2031 | 4.750% | | 302,000 | 272,505 |
| NXP BV/Funding LLC/USA, Inc. |
| 05/01/2030 | 3.400% | | 2,090,000 | 1,861,828 |
| 01/15/2033 | 5.000% | | 4,258,000 | 4,161,170 |
| 02/15/2042 | 3.125% | | 3,869,000 | 2,833,876 |
| Oracle Corp. |
| 04/01/2050 | 3.600% | | 16,051,000 | 11,202,252 |
| 03/25/2061 | 4.100% | | 5,017,000 | 3,594,640 |
| Plantronics, Inc.(a) |
| 03/01/2029 | 4.750% | | 976,000 | 972,919 |
| Sabre GLBL, Inc.(a) |
| 04/15/2025 | 9.250% | | 132,000 | 127,457 |
| 09/01/2025 | 7.375% | | 183,000 | 169,782 |
| Switch Ltd.(a) |
| 09/15/2028 | 3.750% | | 60,000 | 59,365 |
| 06/15/2029 | 4.125% | | 820,000 | 813,641 |
| Tempo Acquisition LLC/Finance Corp.(a) |
| 06/01/2025 | 5.750% | | 344,000 | 328,379 |
| Tencent Holdings Ltd.(a) |
| 06/03/2050 | 3.240% | | 4,250,000 | 2,954,902 |
| Verscend Escrow Corp.(a) |
| 08/15/2026 | 9.750% | | 874,000 | 849,798 |
| ZoomInfo Technologies LLC/Finance Corp.(a) |
| 02/01/2029 | 3.875% | | 371,000 | 310,712 |
| Total | 50,340,100 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Wireless 0.8% |
| Altice France Holding SA(a) |
| 02/15/2028 | 6.000% | | 715,000 | 493,123 |
| Altice France SA(a) |
| 02/01/2027 | 8.125% | | 160,000 | 147,430 |
| 01/15/2028 | 5.500% | | 771,000 | 612,891 |
| 07/15/2029 | 5.125% | | 484,000 | 365,189 |
| 10/15/2029 | 5.500% | | 261,000 | 199,942 |
| American Tower Corp. |
| 08/15/2029 | 3.800% | | 10,707,000 | 9,830,991 |
| 06/15/2030 | 2.100% | | 2,980,000 | 2,381,000 |
| T-Mobile USA, Inc. |
| 02/01/2028 | 4.750% | | 322,000 | 310,387 |
| 04/15/2031 | 3.500% | | 683,000 | 591,319 |
| T-Mobile USA, Inc.(a) |
| 04/15/2031 | 3.500% | | 670,000 | 575,459 |
| 10/15/2052 | 3.400% | | 12,306,000 | 9,075,594 |
| Vmed O2 UK Financing I PLC(a) |
| 01/31/2031 | 4.250% | | 866,000 | 707,008 |
| 07/15/2031 | 4.750% | | 2,033,000 | 1,669,677 |
| Total | 26,960,010 |
| Wirelines 0.4% |
| AT&T, Inc. |
| 12/01/2057 | 3.800% | | 14,269,000 | 11,066,502 |
| CenturyLink, Inc. |
| 04/01/2025 | 5.625% | | 619,000 | 587,603 |
| CenturyLink, Inc.(a) |
| 12/15/2026 | 5.125% | | 258,000 | 217,483 |
| Front Range BidCo, Inc.(a) |
| 03/01/2027 | 4.000% | | 801,000 | 664,476 |
| 03/01/2028 | 6.125% | | 520,000 | 376,779 |
| Frontier Communications Holdings LLC(a) |
| 05/15/2030 | 8.750% | | 277,000 | 280,236 |
| Iliad Holding SAS(a) |
| 10/15/2026 | 6.500% | | 953,000 | 857,400 |
| 10/15/2028 | 7.000% | | 1,180,000 | 1,031,400 |
| Total | 15,081,879 |
Total Corporate Bonds & Notes
(Cost $1,026,614,334) | 865,117,764 |
|
| Foreign Government Obligations(j) 2.3% |
| | | | |
| Belarus 0.0% |
| Republic of Belarus International Bond(a) |
| 02/28/2023 | 6.875% | | 1,365,000 | 245,330 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 17 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Foreign Government Obligations(j) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Canada 0.0% |
| NOVA Chemicals Corp.(a) |
| 06/01/2027 | 5.250% | | 346,000 | 297,284 |
| 05/15/2029 | 4.250% | | 647,000 | 507,522 |
| Total | 804,806 |
| Colombia 0.5% |
| Colombia Government International Bond |
| 04/22/2032 | 3.250% | | 4,160,000 | 3,015,852 |
| 02/26/2044 | 5.625% | | 2,500,000 | 1,794,836 |
| 05/15/2049 | 5.200% | | 9,733,000 | 6,590,555 |
| Ecopetrol SA |
| 04/29/2030 | 6.875% | | 8,700,000 | 7,701,681 |
| Total | 19,102,924 |
| Dominican Republic 0.1% |
| Dominican Republic International Bond(a) |
| 01/25/2027 | 5.950% | | 1,630,000 | 1,563,417 |
| Egypt 0.1% |
| Egypt Government International Bond(a) |
| 02/16/2031 | 5.875% | | 909,000 | 563,644 |
| 01/31/2047 | 8.500% | | 2,105,000 | 1,244,136 |
| Total | 1,807,780 |
| India 0.1% |
| Export-Import Bank of India(a) |
| 01/15/2030 | 3.250% | | 4,650,000 | 4,049,186 |
| Indonesia 0.1% |
| PT Indonesia Asahan Aluminium Persero(a) |
| 05/15/2025 | 4.750% | | 708,000 | 703,735 |
| 05/15/2030 | 5.450% | | 3,550,000 | 3,334,211 |
| Total | 4,037,946 |
| Ivory Coast 0.0% |
| Ivory Coast Government International Bond(a) |
| 06/15/2033 | 6.125% | | 782,000 | 612,007 |
| Mexico 0.6% |
| Petroleos Mexicanos |
| 09/21/2047 | 6.750% | | 20,422,000 | 12,636,163 |
| 01/23/2050 | 7.690% | | 10,000,000 | 6,706,782 |
| 01/28/2060 | 6.950% | | 5,920,000 | 3,662,303 |
| Total | 23,005,248 |
| Paraguay 0.0% |
| Paraguay Government International Bond(a) |
| 08/11/2044 | 6.100% | | 688,000 | 598,156 |
| Foreign Government Obligations(j) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Qatar 0.3% |
| Qatar Government International Bond(a) |
| 03/14/2049 | 4.817% | | 5,000,000 | 5,030,982 |
| Qatar Petroleum(a) |
| 07/12/2031 | 2.250% | | 5,445,000 | 4,654,304 |
| Total | 9,685,286 |
| Russian Federation 0.0% |
| Gazprom OAO Via Gaz Capital SA(a) |
| 02/06/2028 | 4.950% | | 2,740,000 | 946,130 |
| Saudi Arabia 0.2% |
| Saudi Government International Bond(a) |
| 04/17/2049 | 5.000% | | 5,250,000 | 5,147,860 |
| South Africa 0.1% |
| Republic of South Africa Government International Bond |
| 09/30/2029 | 4.850% | | 5,000,000 | 4,272,054 |
| 09/30/2049 | 5.750% | | 880,000 | 601,099 |
| Total | 4,873,153 |
| Ukraine 0.0% |
| Ukraine Government International Bond(a) |
| 09/25/2032 | 7.375% | | 1,800,000 | 449,401 |
| United Arab Emirates 0.2% |
| DP World Ltd.(a) |
| 09/25/2048 | 5.625% | | 2,982,000 | 2,783,515 |
| DP World PLC(a) |
| 07/02/2037 | 6.850% | | 3,290,000 | 3,551,933 |
| Total | 6,335,448 |
Total Foreign Government Obligations
(Cost $115,690,780) | 83,264,078 |
|
| Municipal Bonds 0.6% |
| Issue Description | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Local General Obligation 0.2% |
| City of New York |
| Unlimited General Obligation Bonds |
| Series 2021A-1 |
| 08/01/2047 | 5.000% | | 6,045,000 | 6,573,583 |
| Municipal Power 0.1% |
| Los Angeles Department of Water & Power |
| Refunding Revenue Bonds |
| Series 2021B |
| 07/01/2051 | 5.000% | | 3,105,000 | 3,397,521 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Municipal Bonds (continued) |
| Issue Description | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Special Non Property Tax 0.3% |
| New York State Urban Development Corp. |
| Refunding Revenue Bonds |
| State Personal Income Tax |
| Series 2020 |
| 03/15/2050 | 5.000% | | 10,010,000 | 10,786,279 |
Total Municipal Bonds
(Cost $20,714,864) | 20,757,383 |
|
| Residential Mortgage-Backed Securities - Agency 23.2% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal Home Loan Mortgage Corp.(k) |
| 08/01/2045 | 3.500% | | 14,709,945 | 14,528,847 |
| 10/01/2045 | 4.000% | | 3,567,608 | 3,568,475 |
| Federal Home Loan Mortgage Corp. |
| 10/01/2045 | 4.000% | | 2,975,678 | 2,974,188 |
| 12/01/2051 | 2.500% | | 28,154,497 | 25,419,650 |
| 05/01/2052 | 3.000% | | 27,810,762 | 26,056,160 |
| Federal Home Loan Mortgage Corp.(b),(g) |
| CMO Series 3922 Class SH |
-1.0 x 1-month USD LIBOR + 5.900%
Cap 5.900%
09/15/2041 | 4.576% | | 387,328 | 50,748 |
| CMO Series 4097 Class ST |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
08/15/2042 | 4.726% | | 1,029,742 | 208,282 |
| CMO Series 4620 Class AS |
-1.0 x 1-month USD LIBOR + 0.440%
11/15/2042 | 0.958% | | 1,238,814 | 56,125 |
| CMO Series 4831 Class SD |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
10/15/2048 | 4.876% | | 9,002,709 | 1,494,151 |
| CMO Series 4903 Class SA |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
08/25/2049 | 4.426% | | 27,016,148 | 4,035,159 |
| CMO Series 4979 Class KS |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
06/25/2048 | 4.426% | | 11,628,286 | 1,993,879 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO STRIPS Series 2012-278 Class S1 |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
09/15/2042 | 4.726% | | 2,226,094 | 272,351 |
| CMO STRIPS Series 309 Class S4 |
-1.0 x 1-month USD LIBOR + 5.970%
Cap 5.970%
08/15/2043 | 4.646% | | 1,125,251 | 144,834 |
| Federal Home Loan Mortgage Corp.(g) |
| CMO Series 4176 Class BI |
| 03/15/2043 | 3.500% | | 1,014,529 | 145,855 |
| Federal National Mortgage Association |
02/01/2027-
05/01/2052 | 3.000% | | 131,264,230 | 123,661,064 |
| 08/01/2040 | 4.500% | | 1,460,404 | 1,488,425 |
08/01/2043-
05/01/2052 | 3.500% | | 83,107,348 | 80,807,830 |
| 05/01/2048 | 4.000% | | 1,241,738 | 1,244,286 |
| CMO Series 2017-72 Class B |
| 09/25/2047 | 3.000% | | 12,919,239 | 12,347,802 |
| Federal National Mortgage Association(k) |
05/01/2044-
02/01/2048 | 4.000% | | 15,890,140 | 16,017,789 |
| 06/01/2044 | 4.500% | | 4,881,943 | 5,044,595 |
| 10/01/2051 | 2.500% | | 42,278,106 | 38,298,558 |
| Federal National Mortgage Association(g) |
| CMO Series 2012-131 Class MI |
| 01/25/2040 | 3.500% | | 1,038,865 | 49,819 |
| CMO Series 2020-76 Class EI |
| 11/25/2050 | 2.500% | | 28,957,065 | 4,592,984 |
| CMO Series 2021-3 Class TI |
| 02/25/2051 | 2.500% | | 94,755,106 | 16,554,333 |
| Federal National Mortgage Association(b),(g) |
| CMO Series 2013-101 Class CS |
-1.0 x 1-month USD LIBOR + 5.900%
Cap 5.900%
10/25/2043 | 4.276% | | 2,007,207 | 266,778 |
| CMO Series 2014-93 Class ES |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
01/25/2045 | 4.526% | | 2,699,707 | 426,499 |
| CMO Series 2016-31 Class VS |
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
06/25/2046 | 4.376% | | 1,494,521 | 198,178 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 19 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2016-53 Class KS |
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
08/25/2046 | 4.376% | | 9,321,360 | 1,405,681 |
| CMO Series 2016-57 Class SA |
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
08/25/2046 | 4.376% | | 23,109,489 | 3,405,218 |
| CMO Series 2017-109 Class SA |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
01/25/2048 | 4.526% | | 11,340,405 | 1,798,010 |
| CMO Series 2017-20 Class SA |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
04/25/2047 | 4.476% | | 9,774,904 | 1,497,600 |
| CMO Series 2017-54 Class NS |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
07/25/2047 | 4.526% | | 8,644,853 | 1,489,790 |
| CMO Series 2017-54 Class SN |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
07/25/2047 | 4.526% | | 16,722,519 | 3,011,930 |
| CMO Series 2018-66 Class SM |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
09/25/2048 | 4.576% | | 11,364,819 | 2,053,664 |
| CMO Series 2018-67 MS Class MS |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
09/25/2048 | 4.576% | | 8,534,729 | 1,463,934 |
| CMO Series 2018-74 Class SA |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
10/25/2048 | 4.526% | | 16,543,541 | 2,467,972 |
| CMO Series 2019-33 Class SB |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
07/25/2049 | 4.426% | | 36,108,967 | 5,232,276 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2019-60 Class SH |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
10/25/2049 | 4.426% | | 26,343,280 | 3,971,621 |
| CMO Series 2019-67 Class SE |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
11/25/2049 | 4.426% | | 19,797,346 | 3,672,121 |
| Freddie Mac REMICS(g) |
| CMO Series 5152 Class XI |
| 11/25/2050 | 2.500% | | 62,092,859 | 9,069,165 |
| Government National Mortgage Association(k) |
| 04/20/2048 | 4.500% | | 9,454,903 | 9,704,603 |
| Government National Mortgage Association(g) |
| CMO Series 2014-184 Class CI |
| 11/16/2041 | 3.500% | | 3,547,013 | 376,091 |
| CMO Series 2020-175 Class KI |
| 11/20/2050 | 2.500% | | 62,173,275 | 8,997,331 |
| CMO Series 2020-191 Class UG |
| 12/20/2050 | 3.500% | | 38,078,870 | 6,456,295 |
| CMO Series 2021-119 Class QI |
| 07/20/2051 | 3.000% | | 34,643,498 | 5,233,489 |
| CMO Series 2021-16 Class KI |
| 01/20/2051 | 2.500% | | 42,585,051 | 6,675,411 |
| CMO Series 2021-179 Class IB |
| 09/20/2051 | 3.000% | | 43,034,808 | 6,373,666 |
| CMO Series 2021-9 Class MI |
| 01/20/2051 | 2.500% | | 39,959,191 | 5,230,279 |
| Government National Mortgage Association(b),(g) |
| CMO Series 2017-130 Class HS |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
08/20/2047 | 4.605% | | 11,493,213 | 1,618,505 |
| CMO Series 2017-149 Class BS |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
10/20/2047 | 4.605% | | 14,755,000 | 2,007,666 |
| CMO Series 2017-163 Class SA |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
11/20/2047 | 4.605% | | 6,204,372 | 810,473 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2017-37 Class SB |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
03/20/2047 | 4.555% | | 8,833,343 | 1,161,242 |
| CMO Series 2018-103 Class SA |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
08/20/2048 | 4.605% | | 8,532,045 | 980,018 |
| CMO Series 2018-112 Class LS |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
08/20/2048 | 4.605% | | 10,487,763 | 1,285,927 |
| CMO Series 2018-125 Class SK |
-1.0 x 1-month USD LIBOR + 6.250%
Cap 6.250%
09/20/2048 | 4.655% | | 13,746,311 | 1,663,174 |
| CMO Series 2018-134 Class KS |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
10/20/2048 | 4.605% | | 10,732,843 | 1,364,424 |
| CMO Series 2018-139 Class SC |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
10/20/2048 | 4.555% | | 7,638,111 | 910,296 |
| CMO Series 2018-148 Class SB |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
01/20/2048 | 4.605% | | 21,060,545 | 2,780,603 |
| CMO Series 2018-151 Class SA |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
11/20/2048 | 4.555% | | 17,816,153 | 2,185,005 |
| CMO Series 2018-89 Class MS |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
06/20/2048 | 4.605% | | 11,113,272 | 1,371,419 |
| CMO Series 2018-91 Class DS |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
07/20/2048 | 4.605% | | 11,389,199 | 1,426,724 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2018-97 Class SM |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
07/20/2048 | 4.605% | | 10,875,554 | 1,253,407 |
| CMO Series 2019-20 Class JS |
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
02/20/2049 | 4.405% | | 17,176,979 | 2,143,933 |
| CMO Series 2019-5 Class SH |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
01/20/2049 | 4.555% | | 12,626,344 | 1,654,650 |
| CMO Series 2019-56 Class SG |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
05/20/2049 | 4.555% | | 13,654,145 | 1,580,415 |
| CMO Series 2019-59 Class KS |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
05/20/2049 | 4.455% | | 13,385,806 | 1,415,323 |
| CMO Series 2019-85 Class SC |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
07/20/2049 | 4.555% | | 12,065,623 | 1,651,863 |
| CMO Series 2019-90 Class SD |
-1.0 x 1-month USD LIBOR + 6.150%
07/20/2049 | 4.555% | | 17,277,941 | 2,243,409 |
| CMO Series 2020-188 Class SA |
1-month USD LIBOR + 6.300%
Cap 6.300%
12/20/2050 | 4.705% | | 20,794,030 | 3,577,906 |
| CMO Series 2020-21 Class VS |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
02/20/2050 | 4.455% | | 8,649,452 | 1,178,447 |
| CMO Series 2020-62 Class SG |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
05/20/2050 | 4.555% | | 13,246,772 | 1,634,735 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 21 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2022-63 Class GS |
-1.0 x 30-day Average SOFR + 5.500%
Cap 5.500%
04/20/2052 | 4.729% | | 29,831,979 | 4,739,192 |
| Government National Mortgage Association TBA(l) |
| 08/18/2052 | 4.000% | | 105,000,000 | 104,413,477 |
| Uniform Mortgage-Backed Security TBA(l) |
| 08/16/2037 | 2.500% | | 41,500,000 | 39,638,074 |
08/16/2037-
08/11/2052 | 3.000% | | 135,000,000 | 128,689,185 |
| 08/16/2037 | 3.500% | | 8,000,000 | 7,940,312 |
| 08/11/2052 | 4.000% | | 35,000,000 | 34,490,039 |
Total Residential Mortgage-Backed Securities - Agency
(Cost $852,038,828) | 829,343,634 |
|
| Residential Mortgage-Backed Securities - Non-Agency 24.0% |
| | | | |
| 510 Asset Backed Trust(a),(f) |
| CMO Series 2021-NPL2 Class A1 |
| 06/25/2061 | 2.116% | | 14,032,064 | 13,039,521 |
| AlphaFlow Transitional Mortgage Trust(a) |
| CMO Series 2021-WL1 Class A1 |
| 01/25/2026 | 3.280% | | 5,000,000 | 4,817,856 |
| Angel Oak Mortgage Trust(a),(f) |
| CMO Series 2020-R1 Class M1 |
| 04/25/2053 | 2.621% | | 3,918,000 | 3,692,939 |
| Angel Oak Mortgage Trust I LLC(a),(f) |
| CMO Series 2018-3 Class M1 |
| 09/25/2048 | 4.421% | | 10,544,000 | 10,407,643 |
| CMO Series 2019-2 Class A2 |
| 03/25/2049 | 3.782% | | 315,369 | 314,513 |
| CMO Series 2019-2 Class A3 |
| 03/25/2049 | 3.833% | | 262,254 | 261,559 |
| Arroyo Mortgage Trust(a),(f) |
| CMO Series 2019-2 Class A3 |
| 04/25/2049 | 3.800% | | 2,756,430 | 2,642,846 |
| Bellemeade Re Ltd.(a),(b) |
| CMO Series 2017-1 Class M2 |
1-month USD LIBOR + 3.350%
10/25/2027 | 4.974% | | 2,698,079 | 2,698,235 |
| CMO Series 2019-2A Class M1C |
1-month USD LIBOR + 2.000%
Floor 2.000%
04/25/2029 | 3.624% | | 9,907,000 | 9,807,445 |
| CMO Series 2019-3A Class M1B |
1-month USD LIBOR + 1.600%
Floor 1.600%
07/25/2029 | 3.224% | | 11,845,739 | 11,731,442 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2020-3A Class M1B |
1-month USD LIBOR + 2.850%
Floor 2.850%
10/25/2030 | 4.474% | | 3,984,119 | 3,958,268 |
| CMO Series 2020-3A Class M1C |
1-month USD LIBOR + 3.700%
Floor 3.700%
10/25/2030 | 4.706% | | 13,300,000 | 13,406,385 |
| CMO Series 2021-1A Class M1B |
30-day Average SOFR + 2.200%
Floor 2.200%
03/25/2031 | 2.489% | | 15,350,000 | 14,788,899 |
| CMO Series 2021-2A Class M1B |
30-day Average SOFR + 1.500%
Floor 1.500%
06/25/2031 | 1.789% | | 7,000,000 | 6,538,263 |
| BRAVO Residential Funding Trust(a),(f) |
| CMO Series 2019-NQM2 Class A1 |
| 11/25/2059 | 2.748% | | 1,689,850 | 1,657,466 |
| CMO Series 2019-NQM2 Class A3 |
| 11/25/2059 | 3.108% | | 758,342 | 743,322 |
| CMO Series 2019-NQM2 Class M1 |
| 11/25/2059 | 3.451% | | 3,750,000 | 3,473,802 |
| Bunker Hill Loan Depositary Trust(a),(f) |
| CMO Series 2019-3 Class A3 |
| 11/25/2059 | 3.135% | | 3,809,784 | 3,699,368 |
| BVRT Financing Trust(a),(b),(e) |
| CMO Series 2021-3F Class M1 |
30-day Average SOFR + 1.750%
Floor 1.750%
07/12/2033 | 1.976% | | 18,411,620 | 18,411,620 |
| CMO Series 2021-3F Class M2 |
30-day Average SOFR + 2.900%
Floor 2.900%
07/12/2033 | 3.126% | | 23,700,000 | 23,700,000 |
| CHL GMSR Issuer Trust(a),(b) |
| CMO Series 2018-GT1 Class A |
1-month USD LIBOR + 1.000%
05/25/2023 | 4.374% | | 14,900,000 | 14,749,035 |
| CHNGE Mortgage Trust(a),(f) |
| CMO Series 2022-2 Class A1 |
| 03/25/2067 | 3.757% | | 16,106,517 | 15,304,765 |
| CIM Trust(a),(b) |
| CMO Series 2018-R6 Class A1 |
1-month USD LIBOR + 1.076%
Floor 1.076%
09/25/2058 | 2.789% | | 1,049,103 | 1,021,143 |
| Citigroup Mortgage Loan Trust, Inc.(a) |
| CMO Series 2015-RP2 Class B3 |
| 01/25/2053 | 4.250% | | 2,412,372 | 2,334,396 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 22 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Subordinated CMO Series 2014-C Class B1 |
| 02/25/2054 | 4.250% | | 3,694,059 | 3,530,707 |
| COLT Mortgage Loan Trust(a),(f) |
| CMO Series 2020-2 Class A2 |
| 03/25/2065 | 3.094% | | 3,906,000 | 3,785,405 |
| CMO Series 2021-3 Class A1 |
| 09/27/2066 | 0.956% | | 11,865,584 | 10,297,033 |
| CMO Series 2021-3 Class A2 |
| 09/27/2066 | 1.162% | | 4,909,897 | 4,258,144 |
| CMO Series 2021-5 Class A3 |
| 11/26/2066 | 2.807% | | 8,381,000 | 6,515,424 |
| CSMC Trust(a),(f) |
| CMO Series 2020-RPL2 Class A12 |
| 02/25/2060 | 3.418% | | 7,596,261 | 7,309,000 |
| Deephaven Residential Mortgage Trust(a),(f) |
| CMO Series 2021-4 Class A3 |
| 11/25/2066 | 2.239% | | 7,009,647 | 6,393,561 |
| Ellington Financial Mortgage Trust(a),(f) |
| CMO Series 2019-2 Class M1 |
| 11/25/2059 | 3.469% | | 5,761,000 | 5,479,721 |
| Figure Line of Credit Trust(a),(f) |
| CMO Series 2020-1 Class A |
| 09/25/2049 | 4.040% | | 2,614,400 | 2,541,144 |
| Freddie Mac STACR REMIC Trust(a),(b) |
| CMO Series 2021-DNA5 Class M2 |
30-day Average SOFR + 1.650%
01/25/2034 | 2.576% | | 6,802,651 | 6,560,892 |
| CMO Series 2022-DNA1 Class M1B |
30-day Average SOFR + 1.850%
01/25/2042 | 2.776% | | 8,250,000 | 7,413,466 |
| Subordinated CMO Series 2020-HQA3 Class B1 |
1-month USD LIBOR + 5.750%
07/25/2050 | 7.374% | | 3,600,000 | 3,709,632 |
| GCAT LLC(a),(f) |
| CMO Series 2020-3 Class A1 |
| 09/25/2025 | 2.981% | | 10,383,999 | 10,203,450 |
| CMO Series 2021-CM1 Class A1 |
| 04/25/2065 | 1.469% | | 11,932,280 | 11,518,885 |
| GCAT Trust(a),(f) |
| CMO Series 2019-NQM3 Class A3 |
| 11/25/2059 | 3.043% | | 4,917,478 | 4,755,605 |
| CMO Series 2021-CM2 Class A1 |
| 08/25/2066 | 2.352% | | 6,754,512 | 6,476,326 |
| CMO Series 2021-NQM6 Class A2 |
| 08/25/2066 | 2.710% | | 5,000,000 | 4,307,768 |
| CMO Series 2021-NQM6 Class A3 |
| 08/25/2066 | 2.810% | | 8,003,000 | 6,773,401 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Home Re Ltd.(a),(b) |
| CMO Series 2020-1 Class M1B |
1-month USD LIBOR + 3.250%
Floor 3.250%
10/25/2030 | 4.874% | | 917,149 | 916,199 |
| CMO Series 2021-2 Class M1B |
30-day Average SOFR + 1.600%
01/25/2034 | 1.889% | | 15,662,000 | 15,069,716 |
| Subordinated CMO Series 2022-1 Class M1A |
30-day Average SOFR + 2.850%
10/25/2034 | 3.776% | | 9,750,000 | 9,728,635 |
| Homeward Opportunities Fund Trust(a),(f) |
| CMO Series 2020-BPL1 Class A1 |
| 08/25/2025 | 3.228% | | 12,513,377 | 12,480,885 |
| Imperial Fund Mortgage Trust(a),(f) |
| CMO Series 2021-NQM4 Class A2 |
| 01/25/2057 | 2.296% | | 4,757,153 | 4,142,558 |
| Legacy Mortgage Asset Trust(a),(f) |
| CMO Series 2021-SL2 Class A |
| 10/25/2068 | 1.875% | | 19,059,788 | 18,236,257 |
| Loan Revolving Advance Investment Trust(a),(b),(c),(e) |
| CMO Series 2021-2 Class A1X |
1-month USD LIBOR + 2.750%
Floor 2.750%
06/30/2023 | 3.625% | | 26,000,000 | 26,000,000 |
| Mello Warehouse Securitization Trust(a),(b) |
| CMO Series 2020-2 Class B |
1-month USD LIBOR + 1.100%
Floor 1.100%
11/25/2053 | 2.724% | | 4,410,000 | 4,373,701 |
| CMO Series 2020-2 Class C |
1-month USD LIBOR + 1.300%
Floor 1.300%
11/25/2053 | 2.924% | | 6,720,000 | 6,533,117 |
| CMO Series 2020-2 Class D |
1-month USD LIBOR + 1.450%
Floor 1.450%
11/25/2053 | 3.074% | | 2,490,000 | 2,461,350 |
| CMO Series 2020-2 Class E |
1-month USD LIBOR + 2.250%
Floor 2.250%
11/25/2053 | 3.874% | | 1,050,000 | 1,038,052 |
| MFA Trust(a),(f) |
| CMO Series 2020-NQM2 Class M1 |
| 04/25/2065 | 3.034% | | 10,000,000 | 9,560,373 |
| NRZ Excess Spread-Collateralized Notes(a) |
| CMO Series 2021-GNT1 Class A |
| 11/25/2026 | 3.474% | | 13,660,518 | 12,729,421 |
| Series 2020-PLS1 Class A |
| 12/25/2025 | 3.844% | | 7,005,135 | 6,656,434 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 23 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Oaktown Re II Ltd.(a),(b) |
| CMO Series 2018-1A Class M1 |
1-month USD LIBOR + 1.550%
07/25/2028 | 3.174% | | 1,962,255 | 1,955,087 |
| Oaktown Re III Ltd.(a),(b) |
| CMO Series 2019-1A Class M1A |
1-month USD LIBOR + 1.400%
Floor 1.400%
07/25/2029 | 3.024% | | 257,839 | 257,195 |
| CMO Series 2019-1A Class M1B |
1-month USD LIBOR + 1.950%
Floor 1.950%
07/25/2029 | 3.574% | | 14,000,000 | 13,808,747 |
| Oaktown Re VI Ltd.(a),(b) |
| CMO Series 2021-1A Class M1B |
30-day Average SOFR + 2.050%
Floor 2.050%
10/25/2033 | 2.976% | | 4,100,000 | 3,966,196 |
| PMT Credit Risk Transfer Trust(a),(b) |
| Series 2019-2R Class A |
1-month USD LIBOR + 2.750%
Floor 2.750%
05/27/2023 | 4.402% | | 5,899,154 | 5,531,211 |
| PNMAC GMSR Issuer Trust(a),(b) |
| CMO Series 2018-GT1 Class A |
1-month USD LIBOR + 2.850%
Floor 2.850%
02/25/2023 | 4.474% | | 54,900,000 | 54,560,185 |
| CMO Series 2018-GT2 Class A |
1-month USD LIBOR + 2.650%
08/25/2025 | 4.274% | | 73,650,000 | 72,676,612 |
| Point Securitization Trust(a),(f) |
| CMO Series 2021-1 Class A1 |
| 02/25/2052 | 3.228% | | 16,354,985 | 16,315,566 |
| Preston Ridge Partners Mortgage Trust(a),(f) |
| CMO Series 2021-1 Class A1 |
| 01/25/2026 | 2.115% | | 27,247,523 | 25,756,481 |
| CMO Series 2021-3 Class A1 |
| 04/25/2026 | 1.867% | | 13,395,475 | 12,543,577 |
| CMO Series 2021-7 Class A1 |
| 08/25/2026 | 1.867% | | 10,643,556 | 10,016,471 |
| CMO Series 2021-8 Class A1 |
| 09/25/2026 | 1.743% | | 11,715,769 | 10,853,374 |
| Pretium Mortgage Credit Partners(a),(f) |
| CMO Series 2022-NPL1 Class A1 |
| 01/25/2052 | 2.981% | | 8,806,401 | 8,206,025 |
| Pretium Mortgage Credit Partners LLC(a),(f) |
| CMO Series 2021-RN2 Class A1 |
| 07/25/2051 | 1.744% | | 7,789,027 | 7,285,210 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| PRPM LLC(a),(f) |
| CMO Series 2021-RPL1 Class A1 |
| 07/25/2051 | 1.319% | | 7,594,417 | 6,812,278 |
| Radnor Re Ltd.(a),(b) |
| CMO Series 2019-2 Class M1B |
1-month USD LIBOR + 1.750%
Floor 1.750%
06/25/2029 | 3.374% | | 3,785,523 | 3,738,141 |
| Residential Mortgage Loan Trust(a),(f) |
| CMO Series 2019-3 Class A3 |
| 09/25/2059 | 3.044% | | 741,802 | 727,075 |
| Saluda Grade Alternative Mortgage Trust(a) |
| CMO Series 2020-FIG1 Class A1 |
| 09/25/2050 | 3.568% | | 1,212,380 | 1,199,935 |
| SG Residential Mortgage Trust(a),(f) |
| CMO Series 2019-3 Class M1 |
| 09/25/2059 | 3.526% | | 7,700,000 | 7,660,303 |
| Stanwich Mortgage Loan Co. LLC(a),(f) |
| CMO Series 2021-NPB1 Class A1 |
| 10/16/2026 | 2.735% | | 11,548,826 | 11,120,301 |
| Starwood Mortgage Residential Trust(a) |
| CMO Series 2020-INV1 Class M1 |
| 11/25/2055 | 2.501% | | 2,900,000 | 2,653,874 |
| Starwood Mortgage Residential Trust(a),(f) |
| CMO Series 2021-3 Class A1 |
| 06/25/2056 | 1.127% | | 3,732,856 | 3,345,307 |
| Stonnington Mortgage Trust(a),(c),(e),(f) |
| CMO Series 2020-1 Class A |
| 07/28/2024 | 3.500% | | 7,060,963 | 7,060,963 |
| Toorak Mortgage Corp., Ltd.(f) |
| CMO Series 2019-2 Class A1 |
| 09/25/2022 | 3.721% | | 3,006,491 | 3,001,201 |
| Toorak Mortgage Corp., Ltd.(a),(f) |
| CMO Series 2021-1 Class A1 |
| 06/25/2024 | 2.240% | | 11,000,000 | 10,455,654 |
| Towd Point Mortgage Trust(a),(f) |
| CMO Series 2019-4 Class M1B |
| 10/25/2059 | 3.000% | | 24,114,000 | 20,580,069 |
| Triangle Re Ltd.(a),(b) |
| CMO Series 2021-1 Class M1C |
1-month USD LIBOR + 3.400%
Floor 3.400%
08/25/2033 | 5.024% | | 11,104,439 | 11,110,536 |
| CMO Series 2021-2 Class M1B |
1-month USD LIBOR + 2.600%
Floor 2.600%
10/25/2033 | 4.224% | | 15,000,000 | 14,495,333 |
| VCAT Asset Securitization LLC(a),(f) |
| CMO Series 2021-NPL6 Class A1 |
| 09/25/2051 | 1.917% | | 15,520,654 | 14,564,354 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 24 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| VCAT LLC(a),(f) |
| CMO Series 2021-NPL5 Class A1 |
| 08/25/2051 | 1.868% | | 20,853,756 | 19,699,795 |
| Vericrest Opportunity Loan Transferee XCIX LLC(a),(f) |
| CMO Series 2021-NPL8 Class A1 |
| 04/25/2051 | 2.116% | | 11,383,594 | 10,777,480 |
| Verus Securitization Trust(a),(f) |
| CMO Series 2019-4 Class A3 |
| 11/25/2059 | 3.000% | | 2,253,464 | 2,201,242 |
| CMO Series 2019-INV3 Class A3 |
| 11/25/2059 | 3.100% | | 5,227,483 | 5,070,653 |
| CMO Series 2020-1 Class A3 |
| 01/25/2060 | 2.724% | | 11,905,020 | 11,496,498 |
| CMO Series 2020-NPL1 Class A1 |
| 08/25/2050 | 3.598% | | 444,683 | 444,149 |
| CMO Series 2021-5 Class A2 |
| 09/25/2066 | 1.218% | | 3,472,965 | 3,061,351 |
| CMO Series 2021-5 Class A3 |
| 09/25/2066 | 1.373% | | 6,573,827 | 5,816,726 |
| CMO Series 2021-5 Class M1 |
| 09/25/2066 | 2.331% | | 3,800,000 | 2,821,970 |
| CMO Series 2021-7 Class A3 |
| 10/25/2066 | 2.240% | | 9,861,028 | 8,676,289 |
| Visio Trust(a),(f) |
| CMO Series 2019-2 Class A3 |
| 11/25/2054 | 3.076% | | 3,159,354 | 3,082,041 |
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $891,671,816) | 860,362,448 |
|
| Senior Loans 0.2% |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Chemicals 0.0% |
| WR Grace Holdings LLC(b),(m) |
| Term Loan |
1-month USD LIBOR + 3.750%
Floor 0.500%
09/22/2028 | 6.063% | | 855,700 | 809,920 |
| Consumer Cyclical Services 0.0% |
| 8th Avenue Food & Provisions, Inc.(b),(m) |
| 1st Lien Term Loan |
1-month USD LIBOR + 3.750%
10/01/2025 | 5.416% | | 469,893 | 394,038 |
| Senior Loans (continued) |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Consumer Products 0.1% |
| SWF Holdings I Corp.(b),(m) |
| 1st Lien Term Loan |
1-month USD LIBOR + 4.000%
Floor 0.750%
10/06/2028 | 5.595% | | 1,670,000 | 1,367,313 |
| Media and Entertainment 0.0% |
| Cengage Learning, Inc.(b),(m) |
| Tranche B 1st Lien Term Loan |
1-month USD LIBOR + 4.750%
Floor 1.000%
07/14/2026 | 5.750% | | 1,396,345 | 1,256,054 |
| Technology 0.1% |
| Ascend Learning LLC(b),(m) |
| 1st Lien Term Loan |
1-month USD LIBOR + 3.500%
Floor 0.500%
12/11/2028 | 2.500% | | 796,005 | 733,320 |
| 2nd Lien Term Loan |
1-month USD LIBOR + 5.750%
Floor 0.500%
12/10/2029 | 4.750% | | 475,000 | 434,625 |
| DCert Buyer, Inc.(b),(e),(m) |
| 2nd Lien Term Loan |
1-month USD LIBOR + 7.000%
02/19/2029 | 8.666% | | 790,000 | 730,750 |
| Epicore Software Corp.(b),(m) |
| 2nd Lien Term Loan |
1-month USD LIBOR + 7.750%
Floor 1.000%
07/31/2028 | 9.416% | | 235,000 | 227,480 |
| UKG, Inc.(b),(m) |
| 1st Lien Term Loan |
1-month USD LIBOR + 3.250%
Floor 0.500%
05/04/2026 | 4.212% | | 476,277 | 445,023 |
| 2nd Lien Term Loan |
1-month USD LIBOR + 5.250%
Floor 0.500%
05/03/2027 | 6.212% | | 923,000 | 849,160 |
| Total | 3,420,358 |
Total Senior Loans
(Cost $8,042,932) | 7,247,683 |
|
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 25 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| U.S. Treasury Obligations 1.0% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| U.S. Treasury |
| 08/15/2027 | 2.250% | | 30,048,500 | 28,853,603 |
| 08/15/2048 | 3.000% | | 7,560,000 | 7,141,837 |
Total U.S. Treasury Obligations
(Cost $37,272,716) | 35,995,440 |
| Options Purchased Calls 0.7% |
| | | | | Value ($) |
| (Cost $29,912,815) | 26,971,567 |
| Money Market Funds 7.5% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(n),(o) | 267,255,372 | 267,095,019 |
Total Money Market Funds
(Cost $267,105,840) | 267,095,019 |
Total Investments in Securities
(Cost: $4,164,896,971) | 3,863,874,295 |
| Other Assets & Liabilities, Net | | (283,936,059) |
| Net Assets | 3,579,938,236 |
At June 30, 2022, securities and/or cash totaling $96,727,002 were pledged as collateral.
Investments in derivatives
| Forward foreign currency exchange contracts |
Currency to
be sold | Currency to
be purchased | Counterparty | Settlement
date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| 6,236,000 EUR | 6,586,875 USD | UBS | 08/08/2022 | 36,427 | — |
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| Long Gilt | 1,474 | 09/2022 | GBP | 168,006,520 | — | (7,320,520) |
| U.S. Treasury 10-Year Note | 1,200 | 09/2022 | USD | 142,237,500 | 4,912,415 | — |
| U.S. Treasury 10-Year Note | 6,712 | 09/2022 | USD | 795,581,750 | — | (4,179,683) |
| U.S. Treasury Ultra 10-Year Note | 145 | 09/2022 | USD | 18,469,375 | — | (132,279) |
| U.S. Ultra Treasury Bond | 1,534 | 09/2022 | USD | 236,763,313 | — | (6,499,938) |
| Total | | | | | 4,912,415 | (18,132,420) |
| Short futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| Euro-Bund | (610) | 09/2022 | EUR | (90,755,800) | 1,710,540 | — |
| Euro-Bund | (622) | 09/2022 | EUR | (92,541,160) | — | (576,901) |
| Japanese 10-Year Government Bond | (110) | 09/2022 | JPY | (16,347,100,000) | — | (1,440,645) |
| U.S. Treasury 5-Year Note | (6,928) | 09/2022 | USD | (777,668,000) | 3,843,339 | — |
| Total | | | | | 5,553,879 | (2,017,546) |
| Call option contracts purchased |
| Description | Counterparty | Trading
currency | Notional
amount | Number of
contracts | Exercise
price/Rate | Expiration
date | Cost ($) | Value ($) |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | 50,000,000 | 50,000,000 | 1.00 | 07/08/2022 | 510,000 | 5 |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 93,240,000 | 93,240,000 | 2.25 | 04/27/2023 | 2,237,760 | 1,367,234 |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 190,320,000 | 190,320,000 | 2.50 | 05/12/2023 | 5,690,568 | 4,290,308 |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 131,500,000 | 131,500,000 | 2.25 | 05/26/2023 | 2,695,750 | 2,098,950 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 26 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Call option contracts purchased (continued) |
| Description | Counterparty | Trading
currency | Notional
amount | Number of
contracts | Exercise
price/Rate | Expiration
date | Cost ($) | Value ($) |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 197,200,000 | 197,200,000 | 2.90 | 06/21/2023 | 6,418,860 | 8,083,051 |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 199,800,000 | 199,800,000 | 2.75 | 06/26/2023 | 6,488,505 | 6,841,711 |
| 10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 190,320,000 | 190,320,000 | 2.50 | 05/12/2023 | 5,871,372 | 4,290,308 |
| Total | | | | | | | 29,912,815 | 26,971,567 |
| Put option contracts written |
| Description | Counterparty | Trading
currency | Notional
amount | Number of
contracts | Exercise
price/Rate | Expiration
date | Premium
received ($) | Value ($) |
| 10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | (100,000,000) | (100,000,000) | 2.55 | 07/13/2022 | (1,600,000) | (2,253,820) |
| 5-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA | Citi | USD | (185,700,000) | (185,700,000) | 1.75 | 07/05/2022 | (1,439,175) | (11,114,108) |
| 5-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay 3-Month USD LIBOR BBA | Morgan Stanley | USD | (258,700,000) | (258,700,000) | 1.85 | 07/07/2022 | (2,198,950) | (14,319,097) |
| Total | | | | | | | (5,238,125) | (27,687,025) |
| Credit default swap contracts - buy protection |
Reference
entity | Counterparty | Maturity
date | Pay
fixed
rate
(%) | Payment
frequency | Notional
currency | Notional
amount | Value
($) | Periodic
payments
receivable
(payable)
($) | Upfront
payments
($) | Upfront
receipts
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | USD | 17,000,000 | 2,985,625 | (8,500) | 701,521 | — | 2,275,604 | — |
| Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | USD | 3,700,000 | 597,781 | (1,850) | 127,708 | — | 468,223 | — |
| Markit CMBX North America Index, Series 11 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | USD | 4,000,000 | 702,500 | (2,000) | 236,122 | — | 464,378 | — |
| Total | | | | | | | 4,285,906 | (12,350) | 1,065,351 | — | 3,208,205 | — |
| Cleared credit default swap contracts - buy protection |
Reference
entity | Counterparty | Maturity
date | Pay
fixed
rate
(%) | Payment
frequency | Notional
currency | Notional
amount | Value
($) | Upfront
payments
($) | Upfront
receipts
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Markit CDX North America High Yield Index, Series 38 | Morgan Stanley | 06/20/2027 | 5.000 | Quarterly | USD | 251,558,010 | 17,324,786 | — | — | 17,324,786 | — |
| Credit default swap contracts - sell protection |
Reference
entity | Counterparty | Maturity
date | Receive
fixed
rate
(%) | Payment
frequency | Implied
credit
spread
(%)* | Notional
currency | Notional
amount | Value
($) | Periodic
payments
receivable
(payable)
($) | Upfront
payments
($) | Upfront
receipts
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 9,000,000 | (1,580,625) | 4,500 | — | (1,990,309) | 414,184 | — |
| Markit CMBX North America Index, Series 13 BBB- | Citi | 12/16/2072 | 3.000 | Monthly | 6.865 | USD | 6,900,000 | (1,384,313) | 3,450 | — | (349,144) | — | (1,031,719) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 27 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Credit default swap contracts - sell protection (continued) |
Reference
entity | Counterparty | Maturity
date | Receive
fixed
rate
(%) | Payment
frequency | Implied
credit
spread
(%)* | Notional
currency | Notional
amount | Value
($) | Periodic
payments
receivable
(payable)
($) | Upfront
payments
($) | Upfront
receipts
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Markit CMBX North America Index, Series 10 BBB- | Goldman Sachs International | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 8,000,000 | (1,405,000) | 4,000 | — | (913,848) | — | (487,152) |
| Markit CMBX North America Index, Series 12 BBB- | Goldman Sachs International | 08/17/2061 | 3.000 | Monthly | 6.852 | USD | 7,100,000 | (1,253,594) | 3,550 | — | (385,530) | — | (864,514) |
| Markit CMBX North America Index, Series 13 BBB- | Goldman Sachs International | 12/16/2072 | 3.000 | Monthly | 6.865 | USD | 4,100,000 | (822,563) | 2,050 | — | (335,589) | — | (484,924) |
| Markit CMBX North America Index, Series 13 BBB- | Goldman Sachs International | 12/16/2072 | 3.000 | Monthly | 6.865 | USD | 7,600,000 | (1,524,750) | 3,800 | — | (389,702) | — | (1,131,248) |
| Markit CMBX North America Index, Series 13 BBB- | Goldman Sachs International | 12/16/2072 | 3.000 | Monthly | 6.865 | USD | 10,400,000 | (2,086,500) | 5,200 | — | (558,411) | — | (1,522,889) |
| Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 10,000,000 | (1,756,250) | 5,000 | — | (2,190,016) | 438,766 | — |
| Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 10,000,000 | (1,756,250) | 5,000 | — | (1,696,460) | — | (54,790) |
| Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 9,500,000 | (1,668,437) | 4,750 | — | (1,551,909) | — | (111,778) |
| Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 11,250,000 | (1,975,781) | 5,625 | — | (1,778,434) | — | (191,722) |
| Markit CMBX North America Index, Series 13 BBB- | JPMorgan | 12/16/2072 | 3.000 | Monthly | 6.865 | USD | 5,400,000 | (1,083,375) | 2,700 | — | (335,755) | — | (744,920) |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 15,000,000 | (2,634,375) | 7,500 | — | (3,275,577) | 648,702 | — |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 10,000,000 | (1,756,250) | 5,000 | — | (1,982,031) | 230,781 | — |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 7,000,000 | (1,229,375) | 3,500 | — | (1,346,399) | 120,524 | — |
| Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 8.150 | USD | 14,250,000 | (2,502,656) | 7,125 | — | (2,327,863) | — | (167,668) |
| Total | | | | | | | | (26,420,094) | 72,750 | — | (21,406,977) | 1,852,957 | (6,793,324) |
| * | 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.
| 28 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Notes to Portfolio of Investments
| (a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2022, the total value of these securities amounted to $1,946,978,627, which represents 54.39% of total net assets. |
| (b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2022. |
| (c) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2022, the total value of these securities amounted to $37,522,314, which represents 1.05% of total net assets. |
| (d) | Security represents a pool of loans that generate cash payments generally over fixed periods of time. Such securities entitle the security holders to receive distributions (i.e. principal and interest, net of fees and expenses) that are tied to the payments made by the borrower on the underlying loans. Due to the structure of the security the cash payments received are not known until the time of payment. The interest rate shown is the stated coupon rate as of June 30, 2022 and is not reflective of the cash flow payments. |
| (e) | Valuation based on significant unobservable inputs. |
| (f) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of June 30, 2022. |
| (g) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (h) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2022. |
| (i) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
| (j) | Principal and interest may not be guaranteed by a governmental entity. |
| (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 when-issued basis. |
| (m) | The stated interest rate represents the weighted average interest rate at June 30, 2022 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
| (n) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (o) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 191,934,307 | 943,740,881 | (868,573,470) | (6,699) | 267,095,019 | (58,286) | 496,548 | 267,255,372 |
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
| FHLMC | Federal Home Loan Mortgage Corporation |
| LIBOR | London Interbank Offered Rate |
| SOFR | Secured Overnight Financing Rate |
| STRIPS | Separate Trading of Registered Interest and Principal Securities |
| TBA | To Be Announced |
Currency Legend
| EUR | Euro |
| GBP | British Pound |
| JPY | Japanese Yen |
| USD | US Dollar |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 29 |
Portfolio of Investments (continued)
June 30, 2022 (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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Asset-Backed Securities — Agency | — | 148,846 | — | 148,846 |
| Asset-Backed Securities — Non-Agency | — | 546,895,780 | 4,461,351 | 551,357,131 |
| Commercial Mortgage-Backed Securities - Agency | — | 62,167,653 | — | 62,167,653 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 253,558,614 | — | 253,558,614 |
| Convertible Bonds | — | 487,035 | — | 487,035 |
| Corporate Bonds & Notes | — | 865,117,764 | — | 865,117,764 |
| Foreign Government Obligations | — | 83,264,078 | — | 83,264,078 |
| Municipal Bonds | — | 20,757,383 | — | 20,757,383 |
| Residential Mortgage-Backed Securities - Agency | — | 829,343,634 | — | 829,343,634 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 785,189,865 | 75,172,583 | 860,362,448 |
| Senior Loans | — | 6,516,933 | 730,750 | 7,247,683 |
| U.S. Treasury Obligations | 35,995,440 | — | — | 35,995,440 |
| Options Purchased Calls | — | 26,971,567 | — | 26,971,567 |
| Money Market Funds | 267,095,019 | — | — | 267,095,019 |
| Total Investments in Securities | 303,090,459 | 3,480,419,152 | 80,364,684 | 3,863,874,295 |
| Investments in Derivatives | | | | |
| Asset | | | | |
| Forward Foreign Currency Exchange Contracts | — | 36,427 | — | 36,427 |
| Futures Contracts | 10,466,294 | — | — | 10,466,294 |
| Swap Contracts | — | 22,385,948 | — | 22,385,948 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 30 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Fair value measurements (continued)
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Liability | | | | |
| Futures Contracts | (20,149,966) | — | — | (20,149,966) |
| Options Contracts Written | — | (27,687,025) | — | (27,687,025) |
| Swap Contracts | — | (6,793,324) | — | (6,793,324) |
| Total | 293,406,787 | 3,468,361,178 | 80,364,684 | 3,842,132,649 |
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).
The following table is a reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
| | Balance
as of
12/31/2021
($) | Increase
(decrease)
in accrued
discounts/
premiums
($) | Realized
gain (loss)
($) | Change
in unrealized
appreciation
(depreciation)(a)
($) | Purchases
($) | Sales
($) | Transfers
into
Level 3
($) | Transfers
out of
Level 3
($) | Balance
as of
06/30/2022
($) |
| Asset-Backed Securities — Non-Agency | 70,733,084 | (3,211,090) | — | 3,099,942 | — | (1,692,354) | — | (64,468,231) | 4,461,351 |
| Residential Mortgage-Backed Securities — Non-Agency | 124,730,661 | — | (32) | (9,781) | — | (49,548,265) | — | — | 75,172,583 |
| Senior Loans | — | — | — | (59,250) | — | — | 790,000 | — | 730,750 |
| Total | 195,463,745 | (3,211,090) | (32) | 3,030,911 | — | (51,240,619) | 790,000 | (64,468,231) | 80,364,684 |
(a) Change in unrealized appreciation (depreciation) relating to securities held at June 30, 2022 was $3,040,692, which is comprised of Asset-Backed Securities — Non-Agency of $3,099,942 and Senior Loans of $(59,250).
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 mortgage backed securities, asset backed securities and 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 have resulted in a significantly higher (lower) valuation measurement.
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.
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 31 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $3,867,878,316) | $3,569,807,709 |
| Affiliated issuers (cost $267,105,840) | 267,095,019 |
| Options purchased (cost $29,912,815) | 26,971,567 |
| Cash | 947,176 |
| Foreign currency (cost $71) | 71 |
| Cash collateral held at broker for: | |
| Swap contracts | 15,792,000 |
| TBA | 5,513,445 |
| Other(a) | 21,097,000 |
| Margin deposits on: | |
| Swap contracts | 16,442,227 |
| Unrealized appreciation on forward foreign currency exchange contracts | 36,427 |
| Unrealized appreciation on swap contracts | 5,061,162 |
| Upfront payments on swap contracts | 1,065,351 |
| Receivable for: | |
| Investments sold | 1,138,485 |
| Investments sold on a delayed delivery basis | 313,484,315 |
| Capital shares sold | 6,992 |
| Dividends | 190,481 |
| Interest | 20,657,962 |
| Foreign tax reclaims | 20,673 |
| Variation margin for futures contracts | 13,777,574 |
| Variation margin for swap contracts | 459,260 |
| Prepaid expenses | 24,994 |
| Total assets | 4,279,589,890 |
| Liabilities | |
| Option contracts written, at value (premiums received $5,238,125) | 27,687,025 |
| Unrealized depreciation on swap contracts | 6,793,324 |
| Upfront receipts on swap contracts | 21,406,977 |
| Payable for: | |
| Investments purchased | 2,317,138 |
| Investments purchased on a delayed delivery basis | 631,338,152 |
| Capital shares purchased | 2,269,227 |
| Variation margin for futures contracts | 7,182,273 |
| Management services fees | 46,274 |
| Distribution and/or service fees | 1,963 |
| Service fees | 25,947 |
| Compensation of board members | 423,904 |
| Compensation of chief compliance officer | 400 |
| Other expenses | 57,553 |
| Other liabilities | 101,497 |
| Total liabilities | 699,651,654 |
| Net assets applicable to outstanding capital stock | $3,579,938,236 |
| Represented by | |
| Paid in capital | 3,947,057,673 |
| Total distributable earnings (loss) | (367,119,437) |
| Total - representing net assets applicable to outstanding capital stock | $3,579,938,236 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 32 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Statement of Assets and Liabilities (continued)
June 30, 2022 (Unaudited)
| Class 1 | |
| Net assets | $3,072,388,103 |
| Shares outstanding | 342,454,697 |
| Net asset value per share | $8.97 |
| Class 2 | |
| Net assets | $68,578,028 |
| Shares outstanding | 7,691,383 |
| Net asset value per share | $8.92 |
| Class 3 | |
| Net assets | $438,972,105 |
| Shares outstanding | 48,916,638 |
| Net asset value per share | $8.97 |
| (a) | Includes collateral related to options contracts written and swap contracts. |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 33 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $496,548 |
| Interest | 68,425,810 |
| Total income | 68,922,358 |
| Expenses: | |
| Management services fees | 9,076,639 |
| Distribution and/or service fees | |
| Class 2 | 90,985 |
| Class 3 | 301,065 |
| Service fees | 168,254 |
| Compensation of board members | 3,898 |
| Custodian fees | 30,970 |
| Printing and postage fees | 27,625 |
| Audit fees | 25,247 |
| Legal fees | 25,186 |
| Interest on collateral | 20,759 |
| Compensation of chief compliance officer | 248 |
| Other | 29,055 |
| Total expenses | 9,799,931 |
| Net investment income | 59,122,427 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (67,318,276) |
| Investments — affiliated issuers | (58,286) |
| Foreign currency translations | (130,779) |
| Forward foreign currency exchange contracts | 728,384 |
| Futures contracts | (164,509,965) |
| Options purchased | 41,707,308 |
| Options contracts written | (14,241,450) |
| Swap contracts | (2,335,364) |
| Net realized loss | (206,158,428) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (362,189,453) |
| Investments — affiliated issuers | (6,699) |
| Foreign currency translations | 3,883 |
| Forward foreign currency exchange contracts | 20,484 |
| Futures contracts | (13,814,062) |
| Options purchased | 4,388,763 |
| Options contracts written | (26,530,637) |
| Swap contracts | 3,954,905 |
| Net change in unrealized appreciation (depreciation) | (394,172,816) |
| Net realized and unrealized loss | (600,331,244) |
| Net decrease in net assets resulting from operations | $(541,208,817) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 34 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $59,122,427 | $127,551,633 |
| Net realized loss | (206,158,428) | (8,532,852) |
| Net change in unrealized appreciation (depreciation) | (394,172,816) | (131,660,820) |
| Net decrease in net assets resulting from operations | (541,208,817) | (12,642,039) |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class 1 | — | (410,469,394) |
| Class 2 | — | (8,010,306) |
| Class 3 | — | (59,202,042) |
| Total distributions to shareholders | — | (477,681,742) |
| Increase (decrease) in net assets from capital stock activity | (238,384,472) | 68,873,765 |
| Total decrease in net assets | (779,593,289) | (421,450,016) |
| Net assets at beginning of period | 4,359,531,525 | 4,780,981,541 |
| Net assets at end of period | $3,579,938,236 | $4,359,531,525 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 2,891,890 | 27,102,710 | 14,701,589 | 166,294,346 |
| Distributions reinvested | — | — | 39,316,992 | 410,469,394 |
| Redemptions | (22,791,312) | (227,155,622) | (48,043,731) | (530,446,805) |
| Net increase (decrease) | (19,899,422) | (200,052,912) | 5,974,850 | 46,316,935 |
| Class 2 | | | | |
| Subscriptions | 593,345 | 5,601,835 | 1,508,641 | 16,465,741 |
| Distributions reinvested | — | — | 770,222 | 8,010,306 |
| Redemptions | (786,054) | (7,528,017) | (909,535) | (9,952,699) |
| Net increase (decrease) | (192,709) | (1,926,182) | 1,369,328 | 14,523,348 |
| Class 3 | | | | |
| Subscriptions | 111,029 | 1,035,104 | 823,642 | 9,245,599 |
| Distributions reinvested | — | — | 5,665,267 | 59,202,042 |
| Redemptions | (3,918,110) | (37,440,482) | (5,517,208) | (60,414,159) |
| Net increase (decrease) | (3,807,081) | (36,405,378) | 971,701 | 8,033,482 |
| Total net increase (decrease) | (23,899,212) | (238,384,472) | 8,315,879 | 68,873,765 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 35 |
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.
| | 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 | Total
distributions to
shareholders |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $10.31 | 0.15 | (1.49) | (1.34) | — | — | — |
| Year Ended 12/31/2021 | $11.53 | 0.31 | (0.32) | (0.01) | (0.38) | (0.83) | (1.21) |
| Year Ended 12/31/2020 | $10.66 | 0.35 | 0.98 | 1.33 | (0.33) | (0.13) | (0.46) |
| Year Ended 12/31/2019 | $10.08 | 0.36 | 0.57 | 0.93 | (0.35) | — | (0.35) |
| Year Ended 12/31/2018 | $10.36 | 0.33 | (0.29) | 0.04 | (0.25) | (0.07) | (0.32) |
| Year Ended 12/31/2017 | $10.35 | 0.28 | 0.12 | 0.40 | (0.30) | (0.09) | (0.39) |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $10.26 | 0.13 | (1.47) | (1.34) | — | — | — |
| Year Ended 12/31/2021 | $11.48 | 0.28 | (0.32) | (0.04) | (0.35) | (0.83) | (1.18) |
| Year Ended 12/31/2020 | $10.62 | 0.32 | 0.97 | 1.29 | (0.30) | (0.13) | (0.43) |
| Year Ended 12/31/2019 | $10.04 | 0.33 | 0.57 | 0.90 | (0.32) | — | (0.32) |
| Year Ended 12/31/2018 | $10.32 | 0.30 | (0.29) | 0.01 | (0.22) | (0.07) | (0.29) |
| Year Ended 12/31/2017 | $10.31 | 0.25 | 0.12 | 0.37 | (0.27) | (0.09) | (0.36) |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $10.32 | 0.14 | (1.49) | (1.35) | — | — | — |
| Year Ended 12/31/2021 | $11.54 | 0.30 | (0.33) | (0.03) | (0.36) | (0.83) | (1.19) |
| Year Ended 12/31/2020 | $10.67 | 0.34 | 0.97 | 1.31 | (0.31) | (0.13) | (0.44) |
| Year Ended 12/31/2019 | $10.09 | 0.35 | 0.56 | 0.91 | (0.33) | — | (0.33) |
| Year Ended 12/31/2018 | $10.37 | 0.31 | (0.29) | 0.02 | (0.23) | (0.07) | (0.30) |
| Year Ended 12/31/2017 | $10.36 | 0.27 | 0.11 | 0.38 | (0.28) | (0.09) | (0.37) |
| 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) | Annualized. |
| (d) | Ratios include interest on collateral expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 36 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $8.97 | (13.00%) | 0.49%(c),(d) | 0.49%(c),(d) | 3.10%(c) | 87% | $3,072,388 |
| Year Ended 12/31/2021 | $10.31 | (0.24%) | 0.49%(d) | 0.49%(d) | 2.81% | 204% | $3,734,781 |
| Year Ended 12/31/2020 | $11.53 | 12.58% | 0.49%(d) | 0.49%(d) | 3.16% | 312% | $4,108,990 |
| Year Ended 12/31/2019 | $10.66 | 9.25% | 0.49%(d) | 0.49%(d) | 3.46% | 256% | $4,074,589 |
| Year Ended 12/31/2018 | $10.08 | 0.40% | 0.49%(d) | 0.49%(d) | 3.21% | 222% | $3,919,654 |
| Year Ended 12/31/2017 | $10.36 | 3.86% | 0.51% | 0.51% | 2.69% | 396% | $4,242,173 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $8.92 | (13.06%) | 0.74%(c),(d) | 0.74%(c),(d) | 2.85%(c) | 87% | $68,578 |
| Year Ended 12/31/2021 | $10.26 | (0.49%) | 0.74%(d) | 0.74%(d) | 2.56% | 204% | $80,859 |
| Year Ended 12/31/2020 | $11.48 | 12.28% | 0.74%(d) | 0.74%(d) | 2.93% | 312% | $74,775 |
| Year Ended 12/31/2019 | $10.62 | 9.03% | 0.74%(d) | 0.74%(d) | 3.19% | 256% | $53,012 |
| Year Ended 12/31/2018 | $10.04 | 0.14% | 0.74%(d) | 0.74%(d) | 2.96% | 222% | $37,454 |
| Year Ended 12/31/2017 | $10.32 | 3.61% | 0.76% | 0.76% | 2.44% | 396% | $37,866 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $8.97 | (13.08%) | 0.61%(c),(d) | 0.61%(c),(d) | 2.97%(c) | 87% | $438,972 |
| Year Ended 12/31/2021 | $10.32 | (0.35%) | 0.61%(d) | 0.61%(d) | 2.69% | 204% | $543,892 |
| Year Ended 12/31/2020 | $11.54 | 12.45% | 0.61%(d) | 0.61%(d) | 3.04% | 312% | $597,217 |
| Year Ended 12/31/2019 | $10.67 | 9.12% | 0.61%(d) | 0.61%(d) | 3.33% | 256% | $532,441 |
| Year Ended 12/31/2018 | $10.09 | 0.27% | 0.61%(d) | 0.61%(d) | 3.07% | 222% | $518,931 |
| Year Ended 12/31/2017 | $10.37 | 3.73% | 0.64% | 0.64% | 2.56% | 396% | $617,144 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 37 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Intermediate 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 net investment income 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 market value, unless this method results in a valuation that management believes does not approximate fair 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. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management believes does not approximate fair 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 38 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 a settlement price, 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 mid-market evaluations from independent third-party vendors.
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, if available.
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, in seeking 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
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 39 |
Notes to Financial Statements (continued)
June 30, 2022 (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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. 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 clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing 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 counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts and 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 instruments’ 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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as well. 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 may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in the Statement of Operations. 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 determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, 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 shift foreign currency exposure back to U.S. dollars. These instruments may be used for other purposes in future periods.
| 40 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without delivery of foreign currency.
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.
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 generally expects to earn interest income on its margin deposits. 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 has written option contracts to manage exposure to fluctuations in interest rates. 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. Collateral may be collected or posted by the Fund to secure over-the-counter option contract trades. 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 realizes 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
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 41 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 contract 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.
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. For a bilateral swap contract, the Fund has credit exposure to the broker, but exchanges daily variation margin with the broker based on the mark-to-market value of the swap contract to minimize that exposure. 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, that 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 credit risk exposure. These instruments may be used for other purposes in future periods. Credit default swap contracts are transactions 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 typically bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium.
| 42 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 upfront receipts 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 upfront payment or receipt 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.
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 43 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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, 2022:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 22,385,948* |
| Credit risk | Upfront payments on swap contracts | 1,065,351 |
| Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 36,427 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 10,466,294* |
| Interest rate risk | Investments, at value — Options purchased | 26,971,567 |
| Total | | 60,925,587 |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 6,793,324* |
| Credit risk | Upfront receipts on swap contracts | 21,406,977 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 20,149,966* |
| Interest rate risk | Options contracts written, at value | 27,687,025 |
| Total | | 76,037,292 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Options
contracts
written
($) | Options
contracts
purchased
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | — | — | — | (2,335,364) | (2,335,364) |
| Foreign exchange risk | 728,384 | — | — | — | — | 728,384 |
| Interest rate risk | — | (164,509,965) | (14,241,450) | 41,707,308 | — | (137,044,107) |
| Total | 728,384 | (164,509,965) | (14,241,450) | 41,707,308 | (2,335,364) | (138,651,087) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Options
contracts
written
($) | Options
contracts
purchased
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | — | — | — | 3,954,905 | 3,954,905 |
| Foreign exchange risk | 20,484 | — | — | — | — | 20,484 |
| Interest rate risk | — | (13,814,062) | (26,530,637) | 4,388,763 | — | (35,955,936) |
| Total | 20,484 | (13,814,062) | (26,530,637) | 4,388,763 | 3,954,905 | (31,980,547) |
| 44 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 1,540,608,964 |
| Futures contracts — short | 874,386,215 |
| Credit default swap contracts — buy protection | 230,528,505 |
| Credit default swap contracts — sell protection | 173,325,000 |
| Derivative instrument | Average
value ($)* |
| Options contracts — purchased | 31,684,034 |
| Options contracts — written | (29,862,908) |
| Derivative instrument | Average unrealized
appreciation ($)* | Average unrealized
depreciation ($)* |
| Forward foreign currency exchange contracts | 18,214 | (8,307) |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
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, if any, 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.
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 45 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 may 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 may 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 in 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 in 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.
| 46 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, 2022:
| | Citi ($)(a) | Citi ($)(a) | Goldman
Sachs
International ($) | JPMorgan ($) | Morgan
Stanley ($) (a) | Morgan
Stanley ($) (a) | UBS ($) | Total ($) |
| Assets | | | | | | | | |
| Forward foreign currency exchange contracts | - | - | - | - | - | - | 36,427 | 36,427 |
| Options purchased calls | - | 22,681,259 | - | - | 4,290,308 | - | - | 26,971,567 |
| OTC credit default swap contracts (b) | 414,184 | - | - | 4,011,822 | 1,700,507 | - | - | 6,126,513 |
| Total assets | 414,184 | 22,681,259 | - | 4,011,822 | 5,990,815 | - | 36,427 | 33,134,507 |
| Liabilities | | | | | | | | |
| Centrally cleared credit default swap contracts (c) | - | - | - | - | - | 459,260 | - | 459,260 |
| Options contracts written | - | 13,367,928 | - | - | 14,319,097 | - | - | 27,687,025 |
| OTC credit default swap contracts (b) | 3,371,172 | - | 7,073,807 | 8,655,784 | 9,099,538 | - | - | 28,200,301 |
| Total liabilities | 3,371,172 | 13,367,928 | 7,073,807 | 8,655,784 | 23,418,635 | 459,260 | - | 56,346,586 |
| Total financial and derivative net assets | (2,956,988) | 9,313,331 | (7,073,807) | (4,643,962) | (17,427,820) | (459,260) | 36,427 | (23,212,079) |
| Total collateral received (pledged) (d) | (2,902,000) | 3,761,000 | (6,920,000) | (4,643,962) | (17,427,820) | (459,260) | - | (28,592,042) |
| Net amount (e) | (54,988) | 5,552,331 | (153,807) | - | - | - | 36,427 | 5,379,963 |
| (a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
| (b) | Over-the-Counter (OTC) swap contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
| (c) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
| (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. |
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. For convertible securities, premiums attributable to the conversion feature are not amortized.
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 collectability of interest is reasonably assured.
Dividend income is recorded on the ex-dividend date.
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 47 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The value of additional securities received as an income payment through a payment in kind, if any, is recorded as interest 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 investment company taxable income and net capital gain, 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 in 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 annually. 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 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.
| 48 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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 0.50% to 0.34% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2022 was 0.47% of the Fund’s average daily net assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.01% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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.
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| 49 |
Notes to Financial Statements (continued)
June 30, 2022 (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 classes’ average daily net assets:
| | Contractual
expense cap
July 1, 2022
through
April 30, 2023 | Voluntary
expense cap
May 1, 2022
through
June 30, 2022 | Contractual
expense cap
prior to
May 1, 2022 |
| Class 1 | 0.55% | 0.55% | 0.55% |
| Class 2 | 0.80 | 0.80 | 0.80 |
| Class 3 | 0.675 | 0.675 | 0.675 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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, 2022, the approximate cost of all 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) ($) |
| 4,139,317,000 | 54,903,000 | (372,429,000) | (317,526,000) |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
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 $3,490,386,868 and $4,018,082,982, respectively, for the six months ended June 30, 2022, of which $3,004,297,039 and $2,780,006,663, respectively, were U.S. government securities. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
| 50 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 9. Significant risks
Credit risk
Credit risk is the risk that the value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower-rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
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| 51 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Derivatives risk
Losses involving derivative instruments may be substantial, because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency, 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, liquidity risk and pricing risk.
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 debt instruments. 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 instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise 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. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
LIBOR replacement risk
The elimination of London Inter-Bank Offered Rate (LIBOR), among other "inter-bank offered" reference rates, may adversely affect the interest rates on, and value of, certain Fund investments for which the value is tied to LIBOR. The U.K. Financial Conduct Authority and the ICE Benchmark Administration have announced that a majority of U.S. dollar LIBOR settings will cease publication after June 30, 2023. A subset of non-U.S. dollar LIBOR settings is continuing to be published on a “synthetic” basis and it is possible that a subset of U.S. dollar LIBOR settings will also be published after June 30, 2023 on a “synthetic” basis. Any such publications are, or would be considered, non-representative of the underlying market. Markets are slowly developing in response to the elimination of LIBOR. Uncertainty related to the liquidity impact of the change in rates, and how to appropriately adjust these rates at the time of transition, poses risks for the Fund. These risks are likely to persist until new reference rates and fallbacks for both legacy and new instruments and contracts are commercially accepted and market practices become more settled. Alternatives to LIBOR have been established or are in development in most major currencies, including the Secured Overnight Financing Rate (SOFR), which the U.S. Federal Reserve is promoting as the alternative reference rate to U.S. dollar LIBOR.
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.
| 52 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Mortgage- and other asset-backed securities risk
The value of any mortgage-backed and other asset-backed securities including collateralized debt obligations, if any, 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 liquidity risk and prepayment risk. A decline or flattening of housing values may cause delinquencies in mortgages (especially sub-prime or
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 53 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
non-prime mortgages) underlying mortgage-backed securities and thereby adversely affect the ability of the mortgage-backed securities issuer to make principal and/or interest payments to mortgage-backed securities holders, including the Fund. 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, 2022, affiliated shareholders of record owned 99.9% 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. 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 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
| 54 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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 - Intermediate Bond Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 55 |
Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
| 56 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Manager and discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had
Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022
| 57 |
Approval of Management Agreement (continued)
(Unaudited)
considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
| 58 | Columbia Variable Portfolio – Intermediate Bond Fund | Semiannual Report 2022 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – Intermediate Bond Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
CTIVP® – BlackRock Global Inflation-Protected Securities 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which CTIVP® – BlackRock Global Inflation-Protected Securities Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
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. (subadviser)
Akiva Dickstein
David Rogal
BlackRock International Limited (sub-subadviser)
Christopher Allen, CFA
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/03/10 | -12.38 | -8.23 | 2.07 | 2.31 |
| Class 2 | 05/03/10 | -12.52 | -8.49 | 1.78 | 2.05 |
| Class 3 | 09/13/04 | -12.46 | -8.39 | 1.94 | 2.18 |
| Bloomberg World Government Inflation-Linked Bond Index USD Hedged | | -12.31 | -7.66 | 2.57 | 2.77 |
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 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 World Government Inflation-Linked Bond Index USD Hedged 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.
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Quality breakdown (%) (at June 30, 2022) |
| AAA rating | 59.4 |
| AA rating | 29.3 |
| A rating | 3.7 |
| BBB rating | 7.5 |
| BB rating | 0.1 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments.
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. If a security is not rated but has a rating by Kroll and/or DBRS, the same methodology is applied to those bonds that would otherwise be not rated. 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.
| 4 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
Fund at a Glance (continued)
(Unaudited)
| Country breakdown (%) (at June 30, 2022) |
| Australia | 1.0 |
| Canada | 1.6 |
| Colombia | 0.1 |
| Denmark | 0.3 |
| France | 8.4 |
| Germany | 2.3 |
| Italy | 5.5 |
| Japan | 2.9 |
| Mexico | 0.1 |
| New Zealand | 0.4 |
| Panama | 0.1 |
| Spain | 2.4 |
| Sweden | 0.7 |
| United Kingdom | 21.0 |
| United States(a) | 53.2 |
| 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 including options purchased and excluding all other investments in derivatives, if any. 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, 2022, 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, 2022)(a) |
| | Long | Short | Net |
| Fixed Income Derivative Contracts | 58.0 | (61.0) | (3.0) |
| Foreign Currency Derivative Contracts | 111.0 | (208.0) | (97.0) |
| Total Notional Market Value of Derivative Contracts | 169.0 | (269.0) | (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 of the Notes to Financial Statements.
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022
| 5 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 876.20 | 1,021.82 | 2.79 | 3.01 | 0.60 |
| Class 2 | 1,000.00 | 1,000.00 | 874.80 | 1,020.58 | 3.95 | 4.26 | 0.85 |
| Class 3 | 1,000.00 | 1,000.00 | 875.40 | 1,021.17 | 3.39 | 3.66 | 0.73 |
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.
| 6 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Foreign Government Obligations(a) 0.4% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Colombia 0.1% |
| Colombia Government International Bond |
| 01/30/2030 | 3.000% | | 100,000 | 76,150 |
| Mexico 0.2% |
| Mexico Government International Bond |
| 04/27/2051 | 5.000% | | 200,000 | 165,509 |
| Panama 0.1% |
| Panama Government International Bond |
| 09/29/2032 | 2.252% | | 200,000 | 156,381 |
Total Foreign Government Obligations
(Cost $415,600) | 398,040 |
|
| Inflation-Indexed Bonds(b) 98.8% |
| | | | |
| Australia 1.0% |
| Australia Government Bond(c) |
| 09/20/2030 | 2.500% | AUD | 376,044 | 285,427 |
| 08/21/2035 | 2.000% | AUD | 291,123 | 211,786 |
| 08/21/2040 | 1.250% | AUD | 131,124 | 85,418 |
| 02/21/2050 | 1.000% | AUD | 124,289 | 73,103 |
| Australia Government Index-Linked Bond(c) |
| 09/20/2025 | 3.000% | AUD | 568,448 | 436,376 |
| Total | 1,092,110 |
| Canada 1.6% |
| Canadian Government Real Return Bond |
| 12/01/2026 | 4.250% | CAD | 247,319 | 221,567 |
| 12/01/2031 | 4.000% | CAD | 336,048 | 329,015 |
| 12/01/2036 | 3.000% | CAD | 254,536 | 241,680 |
| 12/01/2041 | 2.000% | CAD | 289,581 | 247,458 |
| 12/01/2044 | 1.500% | CAD | 382,276 | 301,714 |
| 12/01/2047 | 1.250% | CAD | 285,530 | 214,277 |
| 12/01/2050 | 0.500% | CAD | 293,913 | 182,166 |
| 12/01/2054 | 0.250% | CAD | 37,539 | 20,933 |
| Total | 1,758,810 |
| Denmark 0.3% |
| Denmark Government Bond |
| 11/15/2023 | 0.100% | DKK | 1,823,602 | 268,368 |
| Denmark I/L Government Bond(c) |
| 11/15/2030 | 0.100% | DKK | 652,852 | 97,760 |
| Total | 366,128 |
| Inflation-Indexed Bonds(b) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| France 8.6% |
| France Government Bond OAT(c) |
| 07/25/2023 | 2.100% | EUR | 701,939 | 787,606 |
| 03/01/2025 | 0.100% | EUR | 413,674 | 457,623 |
| 07/25/2027 | 1.850% | EUR | 832,748 | 1,010,162 |
| 07/25/2029 | 3.400% | EUR | 393,212 | 542,127 |
| 07/25/2030 | 0.700% | EUR | 712,244 | 827,509 |
| 07/25/2032 | 3.150% | EUR | 495,730 | 705,308 |
| 07/25/2047 | 0.100% | EUR | 485,928 | 506,108 |
| French Republic Government Bond OAT(c) |
| 07/25/2024 | 0.250% | EUR | 797,155 | 894,382 |
| 03/01/2026 | 0.100% | EUR | 480,388 | 534,807 |
| 03/01/2028 | 0.100% | EUR | 451,533 | 503,471 |
| 03/01/2029 | 0.100% | EUR | 391,419 | 433,576 |
| 07/25/2031 | 0.100% | EUR | 360,852 | 396,531 |
| 03/01/2032 | 0.100% | EUR | 153,475 | 170,114 |
| 03/01/2036 | 0.100% | EUR | 195,249 | 211,987 |
| 07/25/2036 | 0.100% | EUR | 78,873 | 83,345 |
| 07/25/2038 | 0.100% | EUR | 907,234 | 949,850 |
| 07/25/2040 | 1.800% | EUR | 125,953 | 171,379 |
| 07/25/2053 | 0.100% | EUR | 177,152 | 182,137 |
| Total | 9,368,022 |
| Germany 2.3% |
| Bundesrepublik Deutschland Bundesobligation Inflation-Linked Bond(c) |
| 04/15/2030 | 0.500% | EUR | 862,389 | 1,013,224 |
| Deutsche Bundesrepublik Inflation-Linked Bond(c) |
| 04/15/2026 | 0.100% | EUR | 629,208 | 705,015 |
| 04/15/2033 | 0.100% | EUR | 170,289 | 194,364 |
| 04/15/2046 | 0.100% | EUR | 476,904 | 589,656 |
| Total | 2,502,259 |
| Italy 5.7% |
| Italy Buoni Poliennali Del Tesoro(c) |
| 09/15/2023 | 2.600% | EUR | 1,573,404 | 1,783,517 |
| 09/15/2026 | 3.100% | EUR | 467,736 | 560,643 |
| 05/15/2028 | 1.300% | EUR | 594,911 | 651,124 |
| 09/15/2032 | 1.250% | EUR | 572,175 | 600,449 |
| 05/15/2033 | 0.100% | EUR | 255,581 | 233,066 |
| 09/15/2035 | 2.350% | EUR | 534,097 | 625,533 |
| 09/15/2041 | 2.550% | EUR | 491,645 | 611,953 |
| 05/15/2051 | 0.150% | EUR | 307,569 | 224,339 |
| Italy Buoni Poliennali Del Tesoro |
| 05/15/2026 | 0.650% | EUR | 196,690 | 212,815 |
| 05/15/2030 | 0.400% | EUR | 648,601 | 649,886 |
| Total | 6,153,325 |
| Japan 3.0% |
| Japanese Government CPI Linked Bond |
| 03/10/2030 | 0.200% | JPY | 8,909,472 | 70,217 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Inflation-Indexed Bonds(b) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Japanese Government CPI-Linked Bond |
| 09/10/2023 | 0.100% | JPY | 747,600 | 5,631 |
| 03/10/2024 | 0.100% | JPY | 106,200 | 801 |
| 09/10/2024 | 0.100% | JPY | 44,005,800 | 334,028 |
| 03/10/2025 | 0.100% | JPY | 121,302,000 | 922,639 |
| 03/10/2026 | 0.100% | JPY | 95,934,784 | 740,652 |
| 03/10/2027 | 0.100% | JPY | 90,200,730 | 708,318 |
| 03/10/2028 | 0.100% | JPY | 30,928,352 | 239,670 |
| 03/10/2031 | 0.005% | JPY | 27,531,074 | 214,232 |
| Total | 3,236,188 |
| New Zealand 0.5% |
| New Zealand Government Inflation-Linked Bond(c) |
| 09/20/2025 | 2.000% | NZD | 203,855 | 132,068 |
| 09/20/2030 | 3.000% | NZD | 105,135 | 71,751 |
| 09/20/2035 | 2.500% | NZD | 170,228 | 110,992 |
| New Zealand Government Inflation-Linked Bond |
| 09/20/2040 | 2.500% | NZD | 276,594 | 178,473 |
| Total | 493,284 |
| Spain 2.4% |
| Spain Government Inflation-Linked Bond |
| 11/30/2023 | 0.150% | EUR | 219,377 | 241,606 |
| Spain Government Inflation-Linked Bond(c) |
| 11/30/2024 | 1.800% | EUR | 464,588 | 536,593 |
| 11/30/2027 | 0.650% | EUR | 605,149 | 673,112 |
| 11/30/2030 | 1.000% | EUR | 526,235 | 592,330 |
| 11/30/2033 | 0.700% | EUR | 561,380 | 602,990 |
| Total | 2,646,631 |
| Sweden 0.7% |
| Sweden Inflation-Linked Bond |
| 06/01/2025 | 1.000% | SEK | 3,455,883 | 360,835 |
| 12/01/2028 | 3.500% | SEK | 1,772,999 | 227,420 |
| Sweden Inflation-Linked Bond(c) |
| 06/01/2030 | 0.125% | SEK | 387,384 | 41,341 |
| 06/01/2032 | 0.125% | SEK | 693,026 | 75,860 |
| 06/01/2039 | 0.125% | SEK | 265,108 | 30,873 |
| Total | 736,329 |
| United Kingdom 21.5% |
| United Kingdom Gilt Inflation-Linked Bond(c) |
| 03/22/2024 | 0.125% | GBP | 690,125 | 889,189 |
| 11/22/2027 | 1.250% | GBP | 525,866 | 747,557 |
| 08/10/2028 | 0.125% | GBP | 107,845 | 146,175 |
| 03/22/2029 | 0.125% | GBP | 324,144 | 441,432 |
| 07/22/2030 | 4.125% | GBP | 197,430 | 373,966 |
| 11/22/2032 | 1.250% | GBP | 554,760 | 872,972 |
| 03/22/2034 | 0.750% | GBP | 561,920 | 855,477 |
| 01/26/2035 | 2.000% | GBP | 579,430 | 1,059,512 |
| 11/22/2036 | 0.125% | GBP | 501,864 | 729,974 |
| 11/22/2037 | 1.125% | GBP | 645,235 | 1,077,649 |
| 03/22/2040 | 0.625% | GBP | 679,950 | 1,085,732 |
| Inflation-Indexed Bonds(b) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 08/10/2041 | 0.125% | GBP | 543,620 | 813,527 |
| 11/22/2042 | 0.625% | GBP | 645,688 | 1,058,328 |
| 03/22/2044 | 0.125% | GBP | 683,214 | 1,021,586 |
| 03/22/2046 | 0.125% | GBP | 576,294 | 869,707 |
| 11/22/2047 | 0.750% | GBP | 618,562 | 1,072,647 |
| 08/10/2048 | 0.125% | GBP | 462,703 | 704,747 |
| 03/22/2050 | 0.500% | GBP | 583,818 | 980,042 |
| 03/22/2051 | 0.125% | GBP | 267,352 | 412,134 |
| 03/22/2052 | 0.250% | GBP | 552,944 | 885,965 |
| 11/22/2055 | 1.250% | GBP | 569,271 | 1,196,353 |
| 11/22/2056 | 0.125% | GBP | 286,494 | 455,911 |
| 03/22/2058 | 0.125% | GBP | 479,893 | 771,276 |
| 03/22/2062 | 0.375% | GBP | 751,975 | 1,339,507 |
| 11/22/2065 | 0.125% | GBP | 331,473 | 567,230 |
| 03/22/2068 | 0.125% | GBP | 577,109 | 1,022,440 |
| United Kingdom Inflation-Linked Gilt(c) |
| 07/17/2024 | 2.500% | GBP | 674,478 | 958,830 |
| 08/10/2031 | 0.125% | GBP | 330,493 | 466,227 |
| 03/22/2039 | 0.125% | GBP | 298,825 | 438,344 |
| Total | 23,314,436 |
| United States 51.2% |
| U.S. Treasury Inflation-Indexed Bond |
| 07/15/2023 | 0.375% | | 247,344 | 251,700 |
| 01/15/2024 | 0.625% | | 1,813,969 | 1,843,500 |
| 04/15/2024 | 0.500% | | 1,312,525 | 1,330,545 |
| 07/15/2024 | 0.125% | | 2,447,336 | 2,470,629 |
| 10/15/2024 | 0.125% | | 636,665 | 640,388 |
| 01/15/2025 | 0.250% | | 2,709,776 | 2,724,339 |
| 01/15/2025 | 2.375% | | 283,746 | 300,643 |
| 04/15/2025 | 0.125% | | 1,838,401 | 1,838,030 |
| 07/15/2025 | 0.375% | | 1,456,860 | 1,470,399 |
| 10/15/2025 | 0.125% | | 1,353,789 | 1,353,221 |
| 01/15/2026 | 0.625% | | 1,040,304 | 1,052,196 |
| 01/15/2026 | 2.000% | | 1,391,082 | 1,473,480 |
| 04/15/2026 | 0.125% | | 1,449,682 | 1,436,091 |
| 07/15/2026 | 0.125% | | 1,520,917 | 1,508,254 |
| 10/15/2026 | 0.125% | | 1,132,071 | 1,121,198 |
| 01/15/2027 | 0.375% | | 1,282,305 | 1,277,392 |
| 01/15/2027 | 2.375% | | 1,010,695 | 1,097,489 |
| 04/15/2027 | 0.125% | | 4,903,697 | 4,824,823 |
| 07/15/2027 | 0.375% | | 1,311,887 | 1,307,368 |
| 01/15/2028 | 0.500% | | 1,915,045 | 1,901,770 |
| 01/15/2028 | 1.750% | | 772,811 | 819,711 |
| 04/15/2028 | 3.625% | | 73,287 | 85,558 |
| 07/15/2028 | 0.750% | | 1,732,232 | 1,745,162 |
| 01/15/2029 | 0.875% | | 1,852,676 | 1,868,977 |
| 01/15/2029 | 2.500% | | 871,904 | 969,102 |
| 07/15/2029 | 0.250% | | 1,938,362 | 1,879,226 |
| 01/15/2030 | 0.125% | | 1,500,139 | 1,431,138 |
| 07/15/2030 | 0.125% | | 1,398,236 | 1,332,875 |
| 01/15/2031 | 0.125% | | 1,427,134 | 1,356,785 |
| 01/15/2032 | 0.125% | | 1,783,444 | 1,691,369 |
| 04/15/2032 | 3.375% | | 270,377 | 337,552 |
| 02/15/2040 | 2.125% | | 625,997 | 729,954 |
| 02/15/2041 | 2.125% | | 963,739 | 1,117,830 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Inflation-Indexed Bonds(b) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 02/15/2042 | 0.750% | | 1,060,681 | 968,064 |
| 02/15/2043 | 0.625% | | 987,122 | 870,715 |
| 02/15/2044 | 1.375% | | 924,173 | 943,801 |
| 02/15/2045 | 0.750% | | 871,695 | 780,608 |
| 02/15/2046 | 1.000% | | 811,406 | 767,413 |
| 02/15/2047 | 0.875% | | 682,672 | 629,892 |
| 02/15/2048 | 1.000% | | 721,026 | 687,341 |
| 02/15/2049 | 1.000% | | 442,334 | 424,787 |
| 02/15/2050 | 0.250% | | 826,522 | 650,767 |
| 02/15/2051 | 0.125% | | 105,494 | 81,242 |
| 02/15/2052 | 0.125% | | 270,026 | 210,007 |
| U.S. Treasury Inflation-Indexed Bond(d) |
| 07/15/2031 | 0.125% | | 2,114,213 | 2,010,480 |
| Total | 55,613,811 |
Total Inflation-Indexed Bonds
(Cost $120,710,179) | 107,281,333 |
|
| Residential Mortgage-Backed Securities - Agency 3.1% |
| | | | |
| United States 3.1% |
| Uniform Mortgage-Backed Security TBA(e) |
| 07/14/2052 | 3.500% | | 3,455,000 | 3,327,732 |
Total Residential Mortgage-Backed Securities - Agency
(Cost $3,272,702) | 3,327,732 |
| Options Purchased Puts 0.0% |
| | | | | | Value ($) |
| (Cost $27,480) | 9,796 |
| Money Market Funds 0.2% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(f),(g) | 219,492 | 219,360 |
Total Money Market Funds
(Cost $219,338) | 219,360 |
Total Investments in Securities
(Cost $124,645,299) | 111,236,261 |
| Other Assets & Liabilities, Net | | (2,707,566) |
| Net Assets | $108,528,695 |
At June 30, 2022, securities and/or cash totaling $358,514 were pledged as collateral.
Investments in derivatives
| Forward foreign currency exchange contracts |
Currency to
be sold | Currency to
be purchased | Counterparty | Settlement
date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| 2,397,000 CAD | 1,895,690 USD | Citi | 07/05/2022 | 33,509 | — |
| 6,061,000 GBP | 7,623,798 USD | Citi | 07/05/2022 | 245,743 | — |
| 1,830,218 USD | 2,361,000 CAD | Citi | 07/05/2022 | 3,995 | — |
| 8,850 USD | 11,195 CAD | Citi | 07/05/2022 | — | (152) |
| 734,408 USD | 684,413 EUR | Citi | 07/05/2022 | — | (17,177) |
| 4,553,813 USD | 3,750,000 GBP | Citi | 07/05/2022 | 11,062 | — |
| 1,496,082 USD | 1,195,612 GBP | Citi | 07/05/2022 | — | (40,663) |
| 8,677 USD | 13,336 NZD | Citi | 07/05/2022 | — | (348) |
| 79,237 USD | 778,483 SEK | Citi | 07/05/2022 | — | (3,137) |
| 2,361,000 CAD | 1,830,087 USD | Citi | 08/03/2022 | — | (4,045) |
| 208,000 GBP | 253,427 USD | Citi | 08/03/2022 | 96 | — |
| 3,750,000 GBP | 4,556,003 USD | Citi | 08/03/2022 | — | (11,264) |
| 4,512,073 JPY | 33,269 USD | Citi | 08/03/2022 | — | (46) |
| 37,813 USD | 54,975 AUD | Citi | 08/03/2022 | 142 | — |
| 83,415 USD | 107,607 CAD | Citi | 08/03/2022 | 179 | — |
| 134,000 EUR | 1,393,010 NOK | Citi | 09/21/2022 | 447 | — |
| 1,638,000 AUD | 1,178,810 USD | Deutsche Bank | 07/05/2022 | 48,180 | — |
| 2,571,000 DKK | 371,307 USD | Deutsche Bank | 07/05/2022 | 9,069 | — |
| 21,859,827 EUR | 23,404,979 USD | Deutsche Bank | 07/05/2022 | 496,973 | — |
| 16,333,755 GBP | 20,639,007 USD | Deutsche Bank | 07/05/2022 | 755,927 | — |
| 439,962,000 JPY | 3,427,149 USD | Deutsche Bank | 07/05/2022 | 184,505 | — |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Forward foreign currency exchange contracts (continued) |
Currency to
be sold | Currency to
be purchased | Counterparty | Settlement
date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| 1,513,000 NZD | 984,774 USD | Deutsche Bank | 07/05/2022 | 39,830 | — |
| 8,040,000 SEK | 820,249 USD | Deutsche Bank | 07/05/2022 | 34,306 | — |
| 1,125,472 USD | 1,631,000 AUD | Deutsche Bank | 07/05/2022 | 326 | — |
| 359,827 USD | 2,571,000 DKK | Deutsche Bank | 07/05/2022 | 2,411 | — |
| 3,041,929 USD | 2,921,000 EUR | Deutsche Bank | 07/05/2022 | 19,133 | — |
| 19,335,324 USD | 18,419,800 EUR | Deutsche Bank | 07/05/2022 | — | (32,295) |
| 19,609,589 USD | 16,188,879 GBP | Deutsche Bank | 07/05/2022 | 97,133 | — |
| 1,567,114 USD | 1,246,578 GBP | Deutsche Bank | 07/05/2022 | — | (49,655) |
| 3,210,356 USD | 436,297,000 JPY | Deutsche Bank | 07/05/2022 | 5,276 | — |
| 514,808 USD | 825,000 NZD | Deutsche Bank | 07/05/2022 | 445 | — |
| 347,584 USD | 539,000 NZD | Deutsche Bank | 07/05/2022 | — | (10,952) |
| 706,310 USD | 7,262,000 SEK | Deutsche Bank | 07/05/2022 | 3,580 | — |
| 1,631,000 AUD | 1,125,698 USD | Deutsche Bank | 08/03/2022 | — | (352) |
| 2,571,000 DKK | 360,525 USD | Deutsche Bank | 08/03/2022 | — | (2,442) |
| 17,471,800 EUR | 18,352,856 USD | Deutsche Bank | 08/03/2022 | 7,140 | — |
| 2,921,000 EUR | 3,047,707 USD | Deutsche Bank | 08/03/2022 | — | (19,397) |
| 16,188,879 GBP | 19,618,655 USD | Deutsche Bank | 08/03/2022 | — | (98,396) |
| 436,297,000 JPY | 3,215,809 USD | Deutsche Bank | 08/03/2022 | — | (5,573) |
| 825,000 NZD | 514,668 USD | Deutsche Bank | 08/03/2022 | — | (466) |
| 7,262,000 SEK | 706,996 USD | Deutsche Bank | 08/03/2022 | — | (3,613) |
| 607,946 USD | 580,410 EUR | Deutsche Bank | 08/03/2022 | 1,495 | — |
| 1,848,122 USD | 1,521,014 GBP | Deutsche Bank | 08/03/2022 | 4,379 | — |
| 23,180 USD | 37,290 NZD | Deutsche Bank | 08/03/2022 | 104 | — |
| 8,237 USD | 84,329 SEK | Deutsche Bank | 08/03/2022 | 14 | — |
| Total | | | | 2,005,399 | (299,973) |
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| 3-Month SOFR | 8 | 12/2023 | USD | 1,940,300 | 6,001 | — |
| Long Gilt | 10 | 09/2022 | GBP | 1,139,800 | — | (51,774) |
| U.S. Ultra Treasury Bond | 5 | 09/2022 | USD | 771,719 | 24,523 | — |
| Total | | | | | 30,524 | (51,774) |
| Short futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| Euro-Bund | (3) | 09/2022 | EUR | (446,340) | 7,134 | — |
| Euro-Bund | (6) | 09/2022 | EUR | (892,680) | — | (18,559) |
| U.S. Long Bond | (4) | 09/2022 | USD | (554,500) | — | (16,006) |
| U.S. Treasury 10-Year Note | (13) | 09/2022 | USD | (1,540,906) | — | (3,482) |
| U.S. Treasury 5-Year Note | (29) | 09/2022 | USD | (3,255,250) | — | (52,620) |
| U.S. Treasury Ultra 10-Year Note | (1) | 09/2022 | USD | (127,375) | — | (2,470) |
| Total | | | | | 7,134 | (93,137) |
| Put option contracts purchased |
| Description | Counterparty | Trading
currency | Notional
amount | Number of
contracts | Exercise
price/Rate | Expiration
date | Cost ($) | Value ($) |
| EUR Put/NOK Call | Deutsche Bank | EUR | 391,933 | 374,000 | 9.83 | 08/29/2022 | 614 | 614 |
| EUR Put/NOK Call | Deutsche Bank | EUR | 291,330 | 278,000 | 9.65 | 09/08/2022 | 247 | 233 |
| EUR Put/NOK Call | Citi | EUR | 586,852 | 560,000 | 9.39 | 09/30/2022 | 383 | 237 |
| SOFR 1-Year Mid Curve | UBS | USD | 11,641,800 | 48 | 96.63 | 07/15/2022 | 11,400 | 4,200 |
| SOFR 1-Year Mid Curve | UBS | USD | 7,033,588 | 29 | 96.50 | 07/15/2022 | 8,700 | 1,450 |
| U.S. Treasury 10-Year Note | UBS | USD | 829,719 | 7 | 115.00 | 08/26/2022 | 6,136 | 3,062 |
| Total | | | | | | | 27,480 | 9,796 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Call option contracts written |
| Description | Counterparty | Trading
currency | Notional
amount | Number of
contracts | Exercise
price/Rate | Expiration
date | Premium
received ($) | Value ($) |
| 10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate | Deutsche Bank | USD | (2,491,000) | (2,491,000) | 3.18 | 6/13/2023 | (98,644) | (136,216) |
| 10-Year OTC interest rate swap with Deutsche Bank to receive SOFR and pay exercise rate | Deutsche Bank | USD | (841,554) | (841,554) | 3.19 | 6/15/2023 | (32,231) | (47,271) |
| Total | | | | | | | (130,875) | (183,487) |
| Put option contracts written |
| Description | Counterparty | Trading
currency | Notional
amount | Number of
contracts | Exercise
price/Rate | Expiration
date | Premium
received ($) | Value ($) |
| 10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | (2,491,000) | (2,491,000) | 3.18 | 06/13/2023 | (98,644) | (57,300) |
| 10-Year OTC interest rate swap with Deutsche Bank to receive exercise rate and pay SOFR | Deutsche Bank | USD | (841,554) | (841,554) | 3.19 | 06/15/2023 | (32,231) | (18,944) |
| EUR Put/NOK Call | Deutsche Bank | EUR | (291,330) | (278,000) | 9.20 | 09/08/2022 | (18) | (11) |
| SOFR 1-Year Mid Curve | UBS | USD | (7,033,588) | (29) | 96.00 | 07/15/2022 | (1,450) | (181) |
| SOFR 1-Year Mid Curve | UBS | USD | (11,641,800) | (48) | 96.13 | 07/15/2022 | (1,800) | (300) |
| U.S. Treasury 10-Year Note | UBS | USD | (1,659,438) | (14) | 113.00 | 08/26/2022 | (5,885) | (2,625) |
| Total | | | | | | | (140,028) | (79,361) |
| Cleared interest rate swap contracts |
| Fund receives | Fund pays | Payment
frequency | Counterparty | Maturity
date | Notional
currency | Notional
amount | Value
($) | Upfront
payments
($) | Upfront
receipts
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Fixed rate of 2.175% | SONIA | Receives Annually, Pays Annually | Goldman Sachs | 05/04/2027 | GBP | 1,680,000 | (26,511) | — | — | — | (26,511) |
| U.S. CPI Urban Consumers NSA | Fixed rate of 3.118% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 06/28/2027 | USD | 1,110,000 | (10,091) | — | — | — | (10,091) |
| UK Retail Price Index All Items Monthly | Fixed rate of 3.570% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 10/15/2027 | GBP | 725,000 | 120,021 | — | — | 120,021 | — |
| UK Retail Price Index All Items Monthly | Fixed rate of 3.710% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 06/15/2028 | GBP | 380,000 | 55,861 | — | — | 55,861 | — |
| UK Retail Price Index All Items Monthly | Fixed rate of 3.715% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 09/15/2029 | GBP | 400,000 | 48,773 | — | — | 48,773 | — |
| Fixed rate of 0.690% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 02/15/2031 | EUR | 165,000 | (19,057) | — | — | — | (19,057) |
| Fixed rate of 0.644% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 02/15/2031 | EUR | 330,000 | (39,418) | — | — | — | (39,418) |
| UK Retail Price Index All Items Monthly | Fixed rate of 3.699% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 06/15/2031 | GBP | 270,000 | 42,923 | — | — | 42,923 | — |
| UK Retail Price Index All Items Monthly | Fixed rate of 3.721% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 06/15/2031 | GBP | 250,000 | 38,988 | — | — | 38,988 | — |
| Fixed rate of 1.868% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | Goldman Sachs | 08/15/2031 | EUR | 1,015,000 | (25,941) | — | — | — | (25,941) |
| Fixed rate of 2.781% | SOFR | Receives Annually, Pays Annually | Goldman Sachs | 07/05/2032 | USD | 370,433 | (6) | — | — | — | (6) |
| Fixed rate of 2.829% | SOFR | Receives Annually, Pays Annually | Goldman Sachs | 07/05/2032 | USD | 370,432 | (6) | — | — | — | (6) |
| U.S. CPI Urban Consumers NSA | Fixed rate of 2.631% | Receives at Maturity, Pays at Maturity | Goldman Sachs | 06/29/2052 | USD | 530,000 | (28,090) | — | — | — | (28,090) |
| Total | | | | | | | 157,446 | — | — | 306,566 | (149,120) |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022
| 11 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Reference index and values for swap contracts as of period end |
| Reference index | | Reference rate |
| 6-Month EURIBOR | Euro Interbank Offered Rate | 0.263% |
| SOFR | Secured Overnight Financing Rate | 1.510% |
| SONIA | Sterling Overnight Index Average | 1.187% |
| UK Retail Price Index All Items Monthly | United Kingdom Retail Price Index All Items | 9.400% |
| U.S. CPI Urban Consumers NSA | United States Consumer Price All Urban Non-Seasonally Adjusted Index | 9.060% |
Notes to Portfolio of Investments
| (a) | Principal and interest may not be guaranteed by a governmental entity. |
| (b) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
| (c) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2022, the total value of these securities amounted to $44,533,121, which represents 41.03% of total net assets. |
| (d) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (e) | Represents a security purchased on a when-issued basis. |
| (f) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (g) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 3,241,255 | 20,406,986 | (23,429,081) | 200 | 219,360 | (1,860) | 3,900 | 219,492 |
Abbreviation Legend
| SOFR | Secured Overnight Financing Rate |
| TBA | To Be Announced |
Currency Legend
| AUD | Australian Dollar |
| CAD | Canada Dollar |
| DKK | Danish Krone |
| EUR | Euro |
| GBP | British Pound |
| JPY | Japanese Yen |
| NOK | Norwegian Krone |
| 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
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Foreign Government Obligations | — | 398,040 | — | 398,040 |
| Inflation-Indexed Bonds | — | 107,281,333 | — | 107,281,333 |
| Residential Mortgage-Backed Securities - Agency | — | 3,327,732 | — | 3,327,732 |
| Options Purchased Puts | 8,712 | 1,084 | — | 9,796 |
| Money Market Funds | 219,360 | — | — | 219,360 |
| Total Investments in Securities | 228,072 | 111,008,189 | — | 111,236,261 |
| Investments in Derivatives | | | | |
| Asset | | | | |
| Forward Foreign Currency Exchange Contracts | — | 2,005,399 | — | 2,005,399 |
| Futures Contracts | 37,658 | — | — | 37,658 |
| Swap Contracts | — | 306,566 | — | 306,566 |
| Liability | | | | |
| Forward Foreign Currency Exchange Contracts | — | (299,973) | — | (299,973) |
| Futures Contracts | (144,911) | — | — | (144,911) |
| Options Contracts Written | (3,106) | (259,742) | — | (262,848) |
| Swap Contracts | — | (149,120) | — | (149,120) |
| Total | 117,713 | 112,611,319 | — | 112,729,032 |
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).
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022
| 13 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $124,398,481) | $111,007,105 |
| Affiliated issuers (cost $219,338) | 219,360 |
| Options purchased (cost $27,480) | 9,796 |
| Foreign currency (cost $190,398) | 187,764 |
| Margin deposits on: | |
| Futures contracts | 134,220 |
| Swap contracts | 214,000 |
| Unrealized appreciation on forward foreign currency exchange contracts | 2,005,399 |
| Receivable for: | |
| Investments sold | 1,230,502 |
| Dividends | 1,072 |
| Interest | 288,666 |
| Foreign tax reclaims | 5,639 |
| Variation margin for futures contracts | 34,710 |
| Variation margin for swap contracts | 46,472 |
| Expense reimbursement due from Investment Manager | 285 |
| Prepaid expenses | 4,892 |
| Other assets | 285 |
| Total assets | 115,390,167 |
| Liabilities | |
| Option contracts written, at value (premiums received $270,903) | 262,848 |
| Unrealized depreciation on forward foreign currency exchange contracts | 299,973 |
| Cash collateral due to broker for: | |
| Other(a) | 960,000 |
| Payable for: | |
| Investments purchased | 1,663,207 |
| Investments purchased on a delayed delivery basis | 3,277,069 |
| Capital shares purchased | 117,432 |
| Variation margin for futures contracts | 60,537 |
| Variation margin for swap contracts | 6,199 |
| Management services fees | 1,507 |
| Distribution and/or service fees | 471 |
| Service fees | 5,455 |
| Compensation of board members | 170,938 |
| Compensation of chief compliance officer | 12 |
| Other expenses | 35,824 |
| Total liabilities | 6,861,472 |
| Net assets applicable to outstanding capital stock | $108,528,695 |
| Represented by | |
| Paid in capital | 112,573,601 |
| Total distributable earnings (loss) | (4,044,906) |
| Total - representing net assets applicable to outstanding capital stock | $108,528,695 |
| Class 1 | |
| Net assets | $1,105,450 |
| Shares outstanding | 205,614 |
| Net asset value per share | $5.38 |
| Class 2 | |
| Net assets | $30,798,213 |
| Shares outstanding | 5,878,816 |
| Net asset value per share | $5.24 |
| Class 3 | |
| Net assets | $76,625,032 |
| Shares outstanding | 14,350,672 |
| Net asset value per share | $5.34 |
| (a) | Includes collateral related to options purchased, options contracts written, and forward foreign currency exchange contracts.. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $3,900 |
| Interest | 4,047,138 |
| Total income | 4,051,038 |
| Expenses: | |
| Management services fees | 296,375 |
| Distribution and/or service fees | |
| Class 2 | 39,020 |
| Class 3 | 52,541 |
| Service fees | 34,878 |
| Compensation of board members | (1,739) |
| Custodian fees | 13,675 |
| Printing and postage fees | 10,199 |
| Audit fees | 25,247 |
| Legal fees | 5,767 |
| Interest on collateral | 818 |
| Compensation of chief compliance officer | 8 |
| Other | 3,419 |
| Total expenses | 480,208 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (39,153) |
| Total net expenses | 441,055 |
| Net investment income | 3,609,983 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (1,507,148) |
| Investments — affiliated issuers | (1,860) |
| Foreign currency translations | (70,037) |
| Forward foreign currency exchange contracts | 3,426,804 |
| Futures contracts | 588,597 |
| Options purchased | 184,111 |
| Options contracts written | (399,010) |
| Swap contracts | 122,510 |
| Net realized gain | 2,343,967 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (23,564,020) |
| Investments — affiliated issuers | 200 |
| Foreign currency translations | (20,496) |
| Forward foreign currency exchange contracts | 2,420,832 |
| Futures contracts | (96,875) |
| Options purchased | 3,062 |
| Options contracts written | (17,150) |
| Swap contracts | (115,110) |
| Net change in unrealized appreciation (depreciation) | (21,389,557) |
| Net realized and unrealized loss | (19,045,590) |
| Net decrease in net assets resulting from operations | $(15,435,607) |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022
| 15 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $3,609,983 | $2,833,330 |
| Net realized gain | 2,343,967 | 4,975,570 |
| Net change in unrealized appreciation (depreciation) | (21,389,557) | (2,611,577) |
| Net increase (decrease) in net assets resulting from operations | (15,435,607) | 5,197,323 |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class 1 | — | (9,823) |
| Class 2 | — | (696,846) |
| Class 3 | — | (2,466,100) |
| Total distributions to shareholders | — | (3,172,769) |
| Increase in net assets from capital stock activity | 1,497,227 | 12,563,748 |
| Total increase (decrease) in net assets | (13,938,380) | 14,588,302 |
| Net assets at beginning of period | 122,467,075 | 107,878,773 |
| Net assets at end of period | $108,528,695 | $122,467,075 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 103,390 | 605,527 | 116,795 | 707,018 |
| Distributions reinvested | — | — | 1,618 | 9,823 |
| Redemptions | (8,944) | (51,198) | (25,233) | (154,067) |
| Net increase | 94,446 | 554,329 | 93,180 | 562,774 |
| Class 2 | | | | |
| Subscriptions | 946,681 | 5,419,304 | 1,754,197 | 10,314,906 |
| Distributions reinvested | — | — | 117,512 | 696,846 |
| Redemptions | (246,190) | (1,399,234) | (330,257) | (1,941,198) |
| Net increase | 700,491 | 4,020,070 | 1,541,452 | 9,070,554 |
| Class 3 | | | | |
| Subscriptions | 275,534 | 1,594,192 | 1,383,197 | 8,230,554 |
| Distributions reinvested | — | — | 408,972 | 2,466,100 |
| Redemptions | (812,135) | (4,671,364) | (1,294,141) | (7,766,234) |
| Net increase (decrease) | (536,601) | (3,077,172) | 498,028 | 2,930,420 |
| Total net increase | 258,336 | 1,497,227 | 2,132,660 | 12,563,748 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
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CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022
| 17 |
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.
| | 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 | Total
distributions to
shareholders |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $6.14 | 0.16 | (0.92) | (0.76) | — | — | — |
| Year Ended 12/31/2021 | $6.04 | 0.18 | 0.09 | 0.27 | (0.05) | (0.12) | (0.17) |
| Year Ended 12/31/2020 | $5.66 | (0.01) | 0.54 | 0.53 | (0.04) | (0.11) | (0.15) |
| Year Ended 12/31/2019 | $5.42 | 0.03 | 0.40 | 0.43 | (0.19) | — | (0.19) |
| Year Ended 12/31/2018 | $5.47 | 0.08 | (0.10) | (0.02) | — | (0.03) | (0.03) |
| Year Ended 12/31/2017 | $5.51 | 0.06 | 0.08 | 0.14 | (0.13) | (0.05) | (0.18) |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $5.99 | 0.18 | (0.93) | (0.75) | — | — | — |
| Year Ended 12/31/2021 | $5.89 | 0.14 | 0.12 | 0.26 | (0.04) | (0.12) | (0.16) |
| Year Ended 12/31/2020 | $5.53 | (0.03) | 0.52 | 0.49 | (0.02) | (0.11) | (0.13) |
| Year Ended 12/31/2019 | $5.30 | 0.02 | 0.38 | 0.40 | (0.17) | — | (0.17) |
| Year Ended 12/31/2018 | $5.37 | 0.06 | (0.10) | (0.04) | — | (0.03) | (0.03) |
| Year Ended 12/31/2017 | $5.41 | 0.05 | 0.08 | 0.13 | (0.12) | (0.05) | (0.17) |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $6.10 | 0.18 | (0.94) | (0.76) | — | — | — |
| Year Ended 12/31/2021 | $6.00 | 0.15 | 0.12 | 0.27 | (0.05) | (0.12) | (0.17) |
| Year Ended 12/31/2020 | $5.63 | (0.02) | 0.53 | 0.51 | (0.03) | (0.11) | (0.14) |
| Year Ended 12/31/2019 | $5.39 | 0.03 | 0.39 | 0.42 | (0.18) | — | (0.18) |
| Year Ended 12/31/2018 | $5.45 | 0.07 | (0.10) | (0.03) | — | (0.03) | (0.03) |
| Year Ended 12/31/2017 | $5.49 | 0.05 | 0.08 | 0.13 | (0.12) | (0.05) | (0.17) |
| 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) | Annualized. |
| (d) | Ratios include interest on collateral expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $5.38 | (12.38%) | 0.67%(c),(d) | 0.60%(c),(d) | 5.59%(c) | 24% | $1,105 |
| Year Ended 12/31/2021 | $6.14 | 4.56% | 0.72%(d) | 0.61%(d) | 2.99% | 58% | $682 |
| Year Ended 12/31/2020 | $6.04 | 9.37% | 0.74% | 0.65% | (0.09%) | 70% | $109 |
| Year Ended 12/31/2019 | $5.66 | 7.90% | 0.71%(d) | 0.61%(d) | 0.57% | 62% | $28 |
| Year Ended 12/31/2018 | $5.42 | (0.33%) | 0.71%(d) | 0.61%(d) | 1.41% | 118% | $11 |
| Year Ended 12/31/2017 | $5.47 | 2.66% | 0.71% | 0.62% | 1.09% | 99% | $11 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $5.24 | (12.52%) | 0.92%(c),(d) | 0.85%(c),(d) | 6.25%(c) | 24% | $30,798 |
| Year Ended 12/31/2021 | $5.99 | 4.43% | 0.97%(d) | 0.87%(d) | 2.41% | 58% | $31,002 |
| Year Ended 12/31/2020 | $5.89 | 8.97% | 0.97% | 0.89% | (0.47%) | 70% | $21,434 |
| Year Ended 12/31/2019 | $5.53 | 7.63% | 0.96%(d) | 0.86%(d) | 0.38% | 62% | $19,663 |
| Year Ended 12/31/2018 | $5.30 | (0.71%) | 0.95%(d) | 0.86%(d) | 1.14% | 118% | $17,272 |
| Year Ended 12/31/2017 | $5.37 | 2.46% | 0.97% | 0.87% | 0.86% | 99% | $13,986 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $5.34 | (12.46%) | 0.79%(c),(d) | 0.73%(c),(d) | 6.21%(c) | 24% | $76,625 |
| Year Ended 12/31/2021 | $6.10 | 4.48% | 0.85%(d) | 0.74%(d) | 2.46% | 58% | $90,783 |
| Year Ended 12/31/2020 | $6.00 | 9.11% | 0.85% | 0.76% | (0.34%) | 70% | $86,336 |
| Year Ended 12/31/2019 | $5.63 | 7.81% | 0.83%(d) | 0.73%(d) | 0.49% | 62% | $89,128 |
| Year Ended 12/31/2018 | $5.39 | (0.51%) | 0.82%(d) | 0.74%(d) | 1.28% | 118% | $96,659 |
| Year Ended 12/31/2017 | $5.45 | 2.54% | 0.84% | 0.75% | 0.97% | 99% | $111,829 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
CTIVP® – BlackRock Global Inflation-Protected Securities 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, 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 net investment income 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 market value, unless this method results in a valuation that management believes does not approximate fair 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. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management believes does not approximate fair value.
Investments in open-end investment companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Forward foreign currency exchange contracts are marked-to-market based upon foreign currency exchange rates provided by a pricing service.
| 20 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 a settlement price, 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 mid-market evaluations from independent third-party vendors.
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, if available.
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, in seeking 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
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
(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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. 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 clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing 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 counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts and 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 instruments’ 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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as well. 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 may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in the Statement of Operations. 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 determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, 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 generate total return through long and short currency positions versus the U.S. dollar. These instruments may be used for other purposes in future periods.
| 22 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without delivery of foreign currency.
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 and to attain desired breakeven inflation exposure. 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 generally expects to earn interest income on its margin deposits. 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 has written option contracts to produce incremental earnings, to protect gains and to manage exposure to fluctuations in interest rates. 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. Collateral may be collected or posted by the Fund to secure over-the-counter option contract trades. 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 realizes 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
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022
| 23 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 contract 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.
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. For a bilateral swap contract, the Fund has credit exposure to the broker, but exchanges daily variation margin with the broker based on the mark-to-market value of the swap contract to minimize that exposure. 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, that 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.
Interest rate and inflation rate swap contracts
The Fund entered into interest rate swap transactions and/or inflation rate swap contracts to produce incremental earnings, to manage interest rate and market risk exposure to produce incremental earnings, to gain exposure to or protect itself from market rate changes, to hedge the portfolio risk associated with some or all of the Fund’s securities and to attain desired breakeven inflation exposure. These instruments may be used for other purposes in future periods. An interest rate swap or inflation rate swap, as applicable, 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
| 24 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 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, 2022:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 2,005,399 |
| Foreign exchange risk | Investments, at value — Options purchased | 1,084 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 37,658* |
| Interest rate risk | Investments, at value — Options purchased | 8,712 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 306,566* |
| Total | | 2,359,419 |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 299,973 |
| Foreign exchange risk | Options contracts written, at value | 11 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 144,911* |
| Interest rate risk | Options contracts written, at value | 262,837 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 149,120* |
| Total | | 856,852 |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022
| 25 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Options
contracts
written
($) | Options
contracts
purchased
($) | Swap
contracts
($) | Total
($) |
| Foreign exchange risk | 3,426,804 | — | — | — | — | 3,426,804 |
| Interest rate risk | — | 588,597 | (399,010) | 184,111 | 122,510 | 496,208 |
| Total | 3,426,804 | 588,597 | (399,010) | 184,111 | 122,510 | 3,923,012 |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Options
contracts
written
($) | Options
contracts
purchased
($) | Swap
contracts
($) | Total
($) |
| Foreign exchange risk | 2,420,832 | — | 7 | (160) | — | 2,420,679 |
| Interest rate risk | — | (96,875) | (17,157) | 3,222 | (115,110) | (225,920) |
| Total | 2,420,832 | (96,875) | (17,150) | 3,062 | (115,110) | 2,194,759 |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 9,885,114 |
| Futures contracts — short | 10,500,250 |
| Derivative instrument | Average
value ($)* |
| Options contracts — purchased | 161,445 |
| Options contracts — written | (485,312) |
| Derivative instrument | Average unrealized
appreciation ($)* | Average unrealized
depreciation ($)* |
| Forward foreign currency exchange contracts | 1,624,284 | (312,534) |
| Interest rate swap contracts | 1,746,053 | (1,302,476) |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
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.
| 26 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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.
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.
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, 2022:
| | Citi ($) | Deutsche
Bank ($) | Goldman
Sachs ($) | UBS ($) | Total ($) |
| Assets | | | | | |
| Centrally cleared interest rate swap contracts (a) | - | - | 46,472 | - | 46,472 |
| Forward foreign currency exchange contracts | 295,173 | 1,710,226 | - | - | 2,005,399 |
| Options purchased puts | 237 | 847 | - | 8,712 | 9,796 |
| Total assets | 295,410 | 1,711,073 | 46,472 | 8,712 | 2,061,667 |
| Liabilities | | | | | |
| Centrally cleared interest rate swap contracts (a) | - | - | 6,199 | - | 6,199 |
| Forward foreign currency exchange contracts | 76,832 | 223,141 | - | - | 299,973 |
| Options contracts written | - | 259,742 | - | 3,106 | 262,848 |
| Total liabilities | 76,832 | 482,883 | 6,199 | 3,106 | 569,020 |
| Total financial and derivative net assets | 218,578 | 1,228,190 | 40,273 | 5,606 | 1,492,647 |
| Total collateral received (pledged) (b) | - | 960,000 | - | - | 960,000 |
| Net amount (c) | 218,578 | 268,190 | 40,273 | 5,606 | 532,647 |
| (a) | Centrally cleared swaps are included within payable/receivable for variation margin in 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.
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 collectability of interest is reasonably assured.
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022
| 27 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 investment company taxable income and net capital gain, 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 in 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 annually. 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 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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
| 28 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
services. The Investment Manager is responsible for the ultimate oversight of investments made by the Fund. The Fund’s subadvisers (see Subadvisory agreements below) have 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 0.51% to 0.29% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2022 was 0.51% of the Fund’s average daily net assets.
Subadvisory agreements
The Investment Manager has entered into a Subadvisory Agreement with BlackRock Financial Management, Inc. (BlackRock) to serve as a subadviser to the Fund. BlackRock International Limited (BIL), an affiliate of BlackRock, assists in providing day-to-day portfolio management of the Fund pursuant to the Sub-Subadvisory Agreement between BlackRock and BIL. The Investment Manager compensates the subadviser to manage the investment of the Fund’s assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transactions with affiliates
The Fund is permitted to engage 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 under specified conditions outlined in a policy adopted by the Board, pursuant to Rule 17a-7 under the 1940 Act (cross-trades). The Board relies on quarterly written representation from the Fund’s Chief Compliance Officer that cross-trades complied with approved policy.
For the six months ended June 30, 2022, the Fund engaged in cross-trades as follows:
| Purchases ($) | Sales ($) | Net realized gain (loss) ($) |
| 93,630 | — | — |
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.06% of the Fund’s average daily net assets.
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022
| 29 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | Fee rate(s) contractual
through
April 30, 2023 |
| Class 1 | 0.60% |
| Class 2 | 0.85 |
| Class 3 | 0.725 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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, 2022, the approximate cost of all 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) ($) |
| 124,374,000 | 2,918,000 | (14,563,000) | (11,645,000) |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
| 30 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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 $40,924,754 and $27,257,340, respectively, for the six months ended June 30, 2022, of which $35,388,770 and $20,441,649, 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022
| 31 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 9. Significant risks
Credit risk
Credit risk is the risk that the value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower-rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
Derivatives risk
Losses involving derivative instruments may be substantial, because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency, 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, liquidity risk and pricing risk.
Foreign currency risk
The performance of the Fund may be materially affected positively or negatively by foreign currency strength or weakness relative to the U.S. dollar, particularly if the Fund invests a significant percentage of its assets in foreign securities or other assets denominated in currencies other than the U.S. dollar. Currency rates in foreign countries may fluctuate significantly over short or long periods of time for a number of reasons, including changes in interest rates, imposition of currency controls and economic or political developments in the U.S. or abroad. The Fund may also incur currency conversion costs when converting foreign currencies into U.S. dollars and vice versa.
Foreign securities and emerging market countries risk
Investing in foreign securities may involve heightened risks relative to investments in U.S. securities. Investing in foreign securities subjects the Fund to the risks associated with the issuer’s country of organization and places of business operations, including risks associated with political, regulatory, economic, social, diplomatic and other conditions or events occurring in the country or region, which may result in significant market volatility. In addition, certain foreign securities may be more volatile and less liquid than U.S. securities. Investing in emerging markets may increase these risks and expose the Fund to elevated risks associated with increased inflation, deflation or currency devaluation. 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 risks associated with the conditions, events or other factors impacting those countries or regions and may, therefore, have a greater risk than that of a fund that is more geographically diversified. The financial information and disclosure made available by issuers of emerging market securities may be considerably less reliable than publicly available information about other foreign securities. The Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in certain foreign countries. Investors in foreign countries often have limited rights and few practical remedies to pursue shareholder claims, including class actions or fraud claims, and the ability of the U.S. Securities and Exchange Commission, the U.S. Department of Justice and other authorities to bring and enforce actions against foreign issuers or foreign persons is limited.
Geographic focus risk
The Fund may be particularly susceptible to risks related to economic, political, regulatory or other events or conditions affecting issuers and countries within the specific geographic regions in which the Fund invests. The Fund’s net asset value may be more volatile than the net asset value of a more geographically diversified fund.
Europe. The Fund is particularly susceptible to risks related to economic, political, regulatory or other events or conditions, including acts of war or other conflicts in the region, affecting issuers and countries in Europe. Countries in Europe are often closely connected and interdependent, and events in one European country can have an adverse impact on, and potentially spread to, other European countries. In addition, private and public sectors’ significant debt problems of a single European Union (EU) country can pose economic risks to the EU as a whole. As a result, the Fund’s net asset value may be more
| 32 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
volatile than the net asset value of a more geographically diversified fund. If securities of issuers in Europe fall out of favor, it may cause the Fund to underperform other funds that do not focus their investments in this region of the world. The departure of the United Kingdom (UK) from the EU single market became effective January 1, 2021 with the end of the Brexit transition period and the post-Brexit trade deal between the UK and EU taking effect on December 31, 2020. The impact of Brexit on the UK and European economies and the broader global economy could be significant, resulting in negative impacts on currency and financial markets generally, such as increased volatility and illiquidity, and potentially lower economic growth in markets in Europe, which may adversely affect the value of your investment in the Fund.
Inflation-protected securities risk
Inflation-protected 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 instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise 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. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
Leverage risk
Leverage occurs when the Fund increases its assets available for investment using borrowings, short sales, derivatives, or similar instruments or techniques. The use of leverage may produce volatility and may exaggerate changes in the NAV of Fund shares and in the return on the Fund’s portfolio, which may increase the risk that the Fund will lose more than it has invested. Because short sales involve borrowing securities and then selling them, the Fund’s short sales effectively leverage the Fund’s assets. The Fund’s assets that are used as collateral to secure the Fund’s obligations to return the securities sold short may decrease in value while the short positions are outstanding, which may force the Fund to use its other assets to increase the collateral. Leverage can create an interest expense that may lower the Fund’s overall returns. Leverage presents the opportunity for increased net income and capital gains, but may also exaggerate the Fund’s volatility and risk of loss. There can be no guarantee that a leveraging strategy will be successful.
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.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain;
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022
| 33 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
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. This increases the risk that a change in the value of any one investment held by the Fund could affect the overall value of the Fund more than it would affect that of a diversified fund holding a greater number of investments. Accordingly, the Fund’s value will likely be more volatile than the value of a more diversified fund.
Shareholder concentration risk
At June 30, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. 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.
| 34 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022
| 35 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management and Subadvisory
Agreements
(Unaudited)
Columbia Management Investment Advisers, LLC (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 CTIVP® – BlackRock Global Inflation-Protected Securities Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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 agreement between the Investment Manager and BlackRock Financial Management, Inc. and the sub-subadvisory agreement between BlackRock Financial Management, Inc. and BlackRock International Limited (BlackRock Financial Management, Inc. and BlackRock International Limited, collectively, the Subadvisers, and the subadvisory agreement and sub-subadvisory agreement, collectively, the Subadvisory Agreements), the Subadvisers provide 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 Agreements (together, the Advisory Agreements). The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
| 36 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board, at its June 23, 2022 Board meeting (the June Meeting), considered the renewal of each 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. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Advisory Agreements; |
| • | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreements; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager and the Subadvisers under the Advisory Agreements, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager and Subadvisers, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager and the Subadvisers with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager and the Subadvisers
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager and the Subadvisers, as well as their history, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers. With respect to the Investment Manager, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022
| 37 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. 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 the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by the Investment Manager in addition to monitoring each Subadviser), noting that no changes were proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
The Board 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 subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no changes were recommended to the Subadvisory Agreements. The Board took into account the Investment Manager’s representation that each Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Advisory Agreements supported the continuation of the Management Agreement and the Subadvisory Agreements.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that Fund performance was well within the range of that of its peers.
Additionally, the Board reviewed the performance of each of the Subadvisers and the Investment Manager’s process for monitoring such Subadvisers’ performance. The Board considered, in particular, management’s rationale for recommending the continued retention of each Subadviser and management’s representations that the Investment Manager’s profitability is not the key factor driving their recommendation to select, renew or terminate the Subadvisers.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
| 38 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board also considered the Investment Manager’s and Subadvisers’ performance and reputation generally, and the Investment Manager’s evaluation of each Subadviser’s contribution to the Fund’s broader investment mandate. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadvisers, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory Agreements.
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates 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 Broadridge and JDL) 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 the Investment Manager’s profitability.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
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 Fund. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees, subadvisory fees and expenses of the Fund, in light of other considerations, supported the continuation of each of the Management Agreement and the Subadvisory Agreements.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. Because the Subadvisory Agreements were negotiated at arms-length by the Investment Manager, which is responsible for payments to the Subadvisers thereunder, the Board did not consider the profitability to each Subadviser from its relationship with the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreements.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other
CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022
| 39 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. The Board also noted that the breakpoints in the Subadvisory Agreements did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement and the Subadvisory Agreements. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under each of the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided and approved the renewal of each of the Advisory Agreements.
| 40 | CTIVP® – BlackRock Global Inflation-Protected Securities Fund | Semiannual Report 2022 |
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CTIVP® – BlackRock Global Inflation-Protected Securities Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
CTIVP® – Victory Sycamore Established 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which CTIVP® – Victory Sycamore Established Value Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
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, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/03/10 | -10.99 | -4.57 | 9.98 | 13.06 |
| Class 2 | 05/03/10 | -11.10 | -4.82 | 9.71 | 12.78 |
| Class 3 | 02/04/04 | -11.05 | -4.70 | 9.84 | 12.93 |
| Russell Midcap Value Index | | -16.23 | -10.00 | 6.27 | 10.62 |
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 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.
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Common Stocks | 97.0 |
| Exchange-Traded Equity Funds | 0.5 |
| Money Market Funds | 2.5 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 1.1 |
| Consumer Discretionary | 9.5 |
| Consumer Staples | 5.3 |
| Energy | 3.7 |
| Financials | 17.6 |
| Health Care | 5.6 |
| Industrials | 21.3 |
| Information Technology | 12.0 |
| Materials | 11.5 |
| Real Estate | 8.6 |
| Utilities | 3.8 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 890.10 | 1,020.83 | 3.75 | 4.01 | 0.80 |
| Class 2 | 1,000.00 | 1,000.00 | 889.00 | 1,019.59 | 4.92 | 5.26 | 1.05 |
| Class 3 | 1,000.00 | 1,000.00 | 889.50 | 1,020.18 | 4.36 | 4.66 | 0.93 |
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.
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 96.9% |
| Issuer | Shares | Value ($) |
| Communication Services 1.0% |
| Entertainment 1.0% |
| Live Nation Entertainment, Inc.(a) | 57,500 | 4,748,350 |
| Total Communication Services | 4,748,350 |
| Consumer Discretionary 9.2% |
| Auto Components 2.6% |
| Aptiv PLC(a) | 52,500 | 4,676,175 |
| BorgWarner, Inc. | 219,500 | 7,324,715 |
| Total | | 12,000,890 |
| Hotels, Restaurants & Leisure 2.9% |
| Hilton Worldwide Holdings, Inc. | 51,400 | 5,728,016 |
| Yum! Brands, Inc. | 69,100 | 7,843,541 |
| Total | | 13,571,557 |
| Household Durables 1.2% |
| Newell Brands, Inc. | 304,500 | 5,797,680 |
| Specialty Retail 1.5% |
| Ross Stores, Inc. | 97,500 | 6,847,425 |
| Textiles, Apparel & Luxury Goods 1.0% |
| VF Corp. | 107,700 | 4,757,109 |
| Total Consumer Discretionary | 42,974,661 |
| Consumer Staples 5.2% |
| Food & Staples Retailing 2.5% |
| Sysco Corp. | 136,300 | 11,545,973 |
| Food Products 2.7% |
| Archer-Daniels-Midland Co. | 57,800 | 4,485,280 |
| Tyson Foods, Inc., Class A | 93,900 | 8,081,034 |
| Total | | 12,566,314 |
| Total Consumer Staples | 24,112,287 |
| Energy 3.6% |
| Oil, Gas & Consumable Fuels 3.6% |
| Coterra Energy, Inc. | 275,975 | 7,117,395 |
| Devon Energy Corp. | 100,600 | 5,544,066 |
| Valero Energy Corp. | 40,000 | 4,251,200 |
| Total | | 16,912,661 |
| Total Energy | 16,912,661 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Financials 17.0% |
| Banks 4.1% |
| Huntington Bancshares, Inc. | 383,000 | 4,607,490 |
| Prosperity Bancshares, Inc. | 95,700 | 6,533,439 |
| Zions Bancorp | 159,000 | 8,093,100 |
| Total | | 19,234,029 |
| Capital Markets 1.6% |
| Bank of New York Mellon Corp. (The) | 177,200 | 7,391,012 |
| Insurance 11.3% |
| Alleghany Corp.(a) | 15,250 | 12,704,775 |
| Allstate Corp. (The) | 41,300 | 5,233,949 |
| American Financial Group, Inc. | 58,200 | 8,078,742 |
| Everest Re Group Ltd. | 19,200 | 5,381,376 |
| Old Republic International Corp. | 237,000 | 5,299,320 |
| Progressive Corp. (The) | 71,600 | 8,324,932 |
| WR Berkley Corp. | 113,300 | 7,733,858 |
| Total | | 52,756,952 |
| Total Financials | 79,381,993 |
| Health Care 5.4% |
| Health Care Equipment & Supplies 2.6% |
| Cooper Companies, Inc. (The) | 22,300 | 6,982,576 |
| Hologic, Inc.(a) | 75,900 | 5,259,870 |
| Total | | 12,242,446 |
| Health Care Providers & Services 2.8% |
| Molina Healthcare, Inc.(a) | 17,300 | 4,837,253 |
| Quest Diagnostics, Inc. | 62,300 | 8,284,654 |
| Total | | 13,121,907 |
| Total Health Care | 25,364,353 |
| Industrials 20.7% |
| Aerospace & Defense 1.7% |
| Textron, Inc. | 127,600 | 7,792,532 |
| Airlines 1.2% |
| Alaska Air Group, Inc.(a) | 138,400 | 5,542,920 |
| Building Products 0.9% |
| Owens Corning | 57,200 | 4,250,532 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Commercial Services & Supplies 1.0% |
| Republic Services, Inc. | 37,000 | 4,842,190 |
| Electrical Equipment 1.7% |
| Hubbell, Inc. | 43,800 | 7,821,804 |
| Machinery 8.8% |
| AGCO Corp. | 57,600 | 5,685,120 |
| Lincoln Electric Holdings, Inc. | 39,200 | 4,835,712 |
| Middleby Corp. (The)(a) | 52,400 | 6,568,864 |
| Oshkosh Corp. | 59,000 | 4,846,260 |
| Parker-Hannifin Corp. | 28,000 | 6,889,400 |
| Toro Co. (The) | 95,700 | 7,253,103 |
| Xylem, Inc. | 60,700 | 4,745,526 |
| Total | | 40,823,985 |
| Professional Services 2.5% |
| Leidos Holdings, Inc. | 75,600 | 7,613,676 |
| ManpowerGroup, Inc. | 55,400 | 4,233,114 |
| Total | | 11,846,790 |
| Road & Rail 2.0% |
| JB Hunt Transport Services, Inc. | 26,100 | 4,109,967 |
| Landstar System, Inc. | 34,700 | 5,046,074 |
| Total | | 9,156,041 |
| Trading Companies & Distributors 0.9% |
| United Rentals, Inc.(a) | 17,500 | 4,250,925 |
| Total Industrials | 96,327,719 |
| Information Technology 11.7% |
| Communications Equipment 0.9% |
| Motorola Solutions, Inc. | 20,700 | 4,338,720 |
| Electronic Equipment, Instruments & Components 2.9% |
| Amphenol Corp., Class A | 102,000 | 6,566,760 |
| Flex Ltd.(a) | 466,200 | 6,745,914 |
| Total | | 13,312,674 |
| IT Services 5.7% |
| DXC Technology Co.(a) | 171,000 | 5,183,010 |
| Genpact Ltd. | 188,500 | 7,984,860 |
| Global Payments, Inc. | 57,900 | 6,406,056 |
| MAXIMUS, Inc. | 110,300 | 6,894,853 |
| Total | | 26,468,779 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Semiconductors & Semiconductor Equipment 1.2% |
| MKS Instruments, Inc. | 54,800 | 5,624,124 |
| Technology Hardware, Storage & Peripherals 1.0% |
| Hewlett Packard Enterprise Co. | 347,000 | 4,601,220 |
| Total Information Technology | 54,345,517 |
| Materials 11.1% |
| Chemicals 4.2% |
| Corteva, Inc. | 91,200 | 4,937,568 |
| International Flavors & Fragrances, Inc. | 31,200 | 3,716,544 |
| RPM International, Inc. | 62,500 | 4,920,000 |
| Westlake Corp. | 60,100 | 5,891,002 |
| Total | | 19,465,114 |
| Containers & Packaging 4.4% |
| AptarGroup, Inc. | 52,100 | 5,377,241 |
| Avery Dennison Corp. | 46,200 | 7,478,394 |
| Packaging Corp. of America | 56,600 | 7,782,500 |
| Total | | 20,638,135 |
| Metals & Mining 2.5% |
| Reliance Steel & Aluminum Co. | 38,100 | 6,471,666 |
| Steel Dynamics, Inc. | 79,500 | 5,258,925 |
| Total | | 11,730,591 |
| Total Materials | 51,833,840 |
| Real Estate 8.3% |
| Equity Real Estate Investment Trusts (REITS) 8.3% |
| Alexandria Real Estate Equities, Inc. | 54,000 | 7,831,620 |
| American Homes 4 Rent, Class A | 146,300 | 5,184,872 |
| Camden Property Trust | 31,200 | 4,195,776 |
| Equity LifeStyle Properties, Inc. | 101,200 | 7,131,564 |
| Lamar Advertising Co., Class A | 80,700 | 7,099,179 |
| National Retail Properties, Inc. | 173,200 | 7,447,600 |
| Total | | 38,890,611 |
| Total Real Estate | 38,890,611 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Utilities 3.7% |
| Electric Utilities 3.7% |
| Alliant Energy Corp. | 143,400 | 8,404,674 |
| Xcel Energy, Inc. | 123,000 | 8,703,480 |
| Total | | 17,108,154 |
| Total Utilities | 17,108,154 |
Total Common Stocks
(Cost $402,067,464) | 452,000,146 |
|
| Exchange-Traded Equity Funds 0.5% |
| | Shares | Value ($) |
| U.S. Mid Cap 0.5% |
| iShares Russell Mid-Cap Value ETF | 23,000 | 2,336,110 |
Total Exchange-Traded Equity Funds
(Cost $2,675,302) | 2,336,110 |
|
| Money Market Funds 2.5% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(b),(c) | 11,484,546 | 11,477,655 |
Total Money Market Funds
(Cost $11,478,803) | 11,477,655 |
Total Investments in Securities
(Cost: $416,221,569) | 465,813,911 |
| Other Assets & Liabilities, Net | | 568,920 |
| Net Assets | 466,382,831 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 11,523,412 | 33,505,965 | (33,550,934) | (788) | 11,477,655 | (2,240) | 22,894 | 11,484,546 |
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.
| 8 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (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.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 4,748,350 | — | — | 4,748,350 |
| Consumer Discretionary | 42,974,661 | — | — | 42,974,661 |
| Consumer Staples | 24,112,287 | — | — | 24,112,287 |
| Energy | 16,912,661 | — | — | 16,912,661 |
| Financials | 79,381,993 | — | — | 79,381,993 |
| Health Care | 25,364,353 | — | — | 25,364,353 |
| Industrials | 96,327,719 | — | — | 96,327,719 |
| Information Technology | 54,345,517 | — | — | 54,345,517 |
| Materials | 51,833,840 | — | — | 51,833,840 |
| Real Estate | 38,890,611 | — | — | 38,890,611 |
| Utilities | 17,108,154 | — | — | 17,108,154 |
| Total Common Stocks | 452,000,146 | — | — | 452,000,146 |
| Exchange-Traded Equity Funds | 2,336,110 | — | — | 2,336,110 |
| Money Market Funds | 11,477,655 | — | — | 11,477,655 |
| Total Investments in Securities | 465,813,911 | — | — | 465,813,911 |
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.
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022
| 9 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $404,742,766) | $454,336,256 |
| Affiliated issuers (cost $11,478,803) | 11,477,655 |
| Receivable for: | |
| Investments sold | 4,537,860 |
| Capital shares sold | 6,302 |
| Dividends | 736,607 |
| Prepaid expenses | 7,675 |
| Total assets | 471,102,355 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 3,988,600 |
| Capital shares purchased | 607,990 |
| Management services fees | 9,913 |
| Distribution and/or service fees | 728 |
| Service fees | 6,389 |
| Compensation of board members | 83,239 |
| Compensation of chief compliance officer | 54 |
| Other expenses | 22,611 |
| Total liabilities | 4,719,524 |
| Net assets applicable to outstanding capital stock | $466,382,831 |
| Represented by | |
| Trust capital | $466,382,831 |
| Total - representing net assets applicable to outstanding capital stock | $466,382,831 |
| Class 1 | |
| Net assets | $322,199,380 |
| Shares outstanding | 8,377,517 |
| Net asset value per share | $38.46 |
| Class 2 | |
| Net assets | $67,142,366 |
| Shares outstanding | 1,798,594 |
| Net asset value per share | $37.33 |
| Class 3 | |
| Net assets | $77,041,085 |
| Shares outstanding | 2,032,088 |
| Net asset value per share | $37.91 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $6,066,002 |
| Dividends — affiliated issuers | 22,894 |
| Total income | 6,088,896 |
| Expenses: | |
| Management services fees | 2,009,949 |
| Distribution and/or service fees | |
| Class 2 | 90,348 |
| Class 3 | 52,315 |
| Service fees | 47,418 |
| Compensation of board members | 5,642 |
| Custodian fees | 4,194 |
| Printing and postage fees | 7,059 |
| Audit fees | 14,669 |
| Legal fees | 7,858 |
| Compensation of chief compliance officer | 36 |
| Other | 6,226 |
| Total expenses | 2,245,714 |
| Net investment income | 3,843,182 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 33,028,143 |
| Investments — affiliated issuers | (2,240) |
| Net realized gain | 33,025,903 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (95,425,232) |
| Investments — affiliated issuers | (788) |
| Net change in unrealized appreciation (depreciation) | (95,426,020) |
| Net realized and unrealized loss | (62,400,117) |
| Net decrease in net assets resulting from operations | $(58,556,935) |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022
| 11 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $3,843,182 | $8,698,681 |
| Net realized gain | 33,025,903 | 112,740,272 |
| Net change in unrealized appreciation (depreciation) | (95,426,020) | 56,319,672 |
| Net increase (decrease) in net assets resulting from operations | (58,556,935) | 177,758,625 |
| Decrease in net assets from capital stock activity | (40,832,488) | (310,724,170) |
| Total decrease in net assets | (99,389,423) | (132,965,545) |
| Net assets at beginning of period | 565,772,254 | 698,737,799 |
| Net assets at end of period | $466,382,831 | $565,772,254 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 32,265 | 1,346,367 | 68,326 | 2,794,000 |
| Redemptions | (1,001,559) | (42,336,372) | (8,547,264) | (323,905,306) |
| Net decrease | (969,294) | (40,990,005) | (8,478,938) | (321,111,306) |
| Class 2 | | | | |
| Subscriptions | 120,775 | 4,904,734 | 321,458 | 12,549,323 |
| Redemptions | (87,468) | (3,571,410) | (191,212) | (7,321,921) |
| Net increase | 33,307 | 1,333,324 | 130,246 | 5,227,402 |
| Class 3 | | | | |
| Subscriptions | 54,585 | 2,269,977 | 249,282 | 9,878,828 |
| Redemptions | (83,173) | (3,445,784) | (123,171) | (4,719,094) |
| Net increase (decrease) | (28,588) | (1,175,807) | 126,111 | 5,159,734 |
| Total net decrease | (964,575) | (40,832,488) | (8,222,581) | (310,724,170) |
The accompanying Notes to Financial Statements are an integral part of this statement.
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CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $43.21 | 0.32 | (5.07) | (4.75) |
| Year Ended 12/31/2021 | $32.76 | 0.58(d) | 9.87 | 10.45 |
| Year Ended 12/31/2020 | $30.32 | 0.38 | 2.06 | 2.44 |
| Year Ended 12/31/2019 | $23.65 | 0.34 | 6.33 | 6.67 |
| Year Ended 12/31/2018 | $26.27 | 0.27 | (2.89) | (2.62) |
| Year Ended 12/31/2017 | $22.68 | 0.17 | 3.42 | 3.59 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $41.99 | 0.26 | (4.92) | (4.66) |
| Year Ended 12/31/2021 | $31.92 | 0.50(d) | 9.57 | 10.07 |
| Year Ended 12/31/2020 | $29.61 | 0.31 | 2.00 | 2.31 |
| Year Ended 12/31/2019 | $23.16 | 0.27 | 6.18 | 6.45 |
| Year Ended 12/31/2018 | $25.79 | 0.20 | (2.83) | (2.63) |
| Year Ended 12/31/2017 | $22.32 | 0.11 | 3.36 | 3.47 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $42.62 | 0.29 | (5.00) | (4.71) |
| Year Ended 12/31/2021 | $32.35 | 0.55(d) | 9.72 | 10.27 |
| Year Ended 12/31/2020 | $29.98 | 0.35 | 2.02 | 2.37 |
| Year Ended 12/31/2019 | $23.42 | 0.31 | 6.25 | 6.56 |
| Year Ended 12/31/2018 | $26.05 | 0.23 | (2.86) | (2.63) |
| Year Ended 12/31/2017 | $22.51 | 0.14 | 3.40 | 3.54 |
| 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) | Annualized. |
| (d) | Net investment income per share includes special dividends. The effect of these dividends amounted to $0.15 per share. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $38.46 | (10.99%) | 0.80%(c) | 0.80%(c) | 1.51%(c) | 16% | $322,199 |
| Year Ended 12/31/2021 | $43.21 | 31.90% | 0.80% | 0.80% | 1.48% | 24% | $403,832 |
| Year Ended 12/31/2020 | $32.76 | 8.05% | 0.79% | 0.79% | 1.41% | 41% | $583,965 |
| Year Ended 12/31/2019 | $30.32 | 28.20% | 0.79% | 0.79% | 1.25% | 39% | $534,959 |
| Year Ended 12/31/2018 | $23.65 | (9.97%) | 0.79% | 0.79% | 1.00% | 36% | $442,931 |
| Year Ended 12/31/2017 | $26.27 | 15.83% | 0.82% | 0.82% | 0.69% | 41% | $487,245 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $37.33 | (11.10%) | 1.05%(c) | 1.05%(c) | 1.29%(c) | 16% | $67,142 |
| Year Ended 12/31/2021 | $41.99 | 31.55% | 1.05% | 1.05% | 1.28% | 24% | $74,122 |
| Year Ended 12/31/2020 | $31.92 | 7.80% | 1.04% | 1.04% | 1.16% | 41% | $52,184 |
| Year Ended 12/31/2019 | $29.61 | 27.85% | 1.04% | 1.04% | 1.00% | 39% | $54,158 |
| Year Ended 12/31/2018 | $23.16 | (10.20%) | 1.04% | 1.04% | 0.76% | 36% | $40,488 |
| Year Ended 12/31/2017 | $25.79 | 15.55% | 1.07% | 1.07% | 0.46% | 41% | $40,477 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $37.91 | (11.05%) | 0.93%(c) | 0.93%(c) | 1.41%(c) | 16% | $77,041 |
| Year Ended 12/31/2021 | $42.62 | 31.75% | 0.93% | 0.93% | 1.41% | 24% | $87,819 |
| Year Ended 12/31/2020 | $32.35 | 7.91% | 0.92% | 0.92% | 1.29% | 41% | $62,589 |
| Year Ended 12/31/2019 | $29.98 | 28.01% | 0.91% | 0.91% | 1.12% | 39% | $67,484 |
| Year Ended 12/31/2018 | $23.42 | (10.10%) | 0.92% | 0.92% | 0.88% | 36% | $53,581 |
| Year Ended 12/31/2017 | $26.05 | 15.73% | 0.95% | 0.95% | 0.57% | 41% | $57,946 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
CTIVP® – Victory Sycamore Established 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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 16 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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.
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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 0.77% to 0.57% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2022 was 0.77% of the Fund’s average daily net assets.
Subadvisory agreement
The Investment Manager has entered into a Subadvisory Agreement with Victory Capital Management Inc. to serve as the subadviser to the Fund. The Investment Manager compensates the subadviser to manage the investment of the Fund’s assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance
| 18 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.02% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | May 1, 2022
through
April 30, 2023 | Prior to
May 1, 2022 |
| Class 1 | 0.83% | 0.85% |
| Class 2 | 1.08 | 1.10 |
| Class 3 | 0.955 | 0.975 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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 $80,632,728 and $118,896,848, respectively, for the six months ended June 30, 2022. 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,
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 8. Significant risks
Industrials sector risk
The Fund is 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.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant
| 20 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
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.
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 9. 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 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
| 22 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management and Subadvisory
Agreements
(Unaudited)
Columbia Management Investment Advisers, LLC (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 CTIVP® – Victory Sycamore Established Value Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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 the Investment Manager and Victory Capital Management Inc. (the Subadviser), the Subadviser provides 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). The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
The Board, at its June 23, 2022 Board meeting (the June Meeting), considered the renewal of each 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
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022
| 23 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Advisory Agreements; |
| • | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager and the Subadviser under the Advisory Agreements, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager and the Subadviser, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager and the Subadviser with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement and the Subadvisory Agreement.
Nature, extent and quality of services provided by the Investment Manager and the Subadviser
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager and the Subadviser, as well as their history, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers. With respect to the Investment Manager, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’s ability to attract and retain
| 24 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. 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 the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by the Investment Manager in addition to monitoring the Subadviser), noting that no changes were proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
The Board 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 subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no changes were recommended to the Subadvisory Agreement. The Board took into account the Investment Manager’s representation that the Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Advisory Agreements supported the continuation of the Management Agreement and the Subadvisory Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
Additionally, the Board reviewed the performance of the Subadviser and the Investment Manager’s process for monitoring the Subadviser’s performance. The Board considered, in particular, management’s rationale for recommending the continued retention of the Subadviser and management’s representations that the Investment Manager’s profitability is not the key factor driving their recommendation to select, renew or terminate the Subadviser.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022
| 25 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board also considered the Investment Manager’s and Subadviser’s performance and reputation generally, and the Investment Manager’s evaluation of the Subadviser’s contribution to the Fund’s broader investment mandate. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadviser, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates 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 Broadridge and JDL) 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 the Investment Manager’s profitability.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
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 advisory fee rates charged by other comparable mutual funds employing the Subadviser to provide comparable subadvisory services. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees, subadvisory fees and expenses of the Fund, in light of other considerations, supported the continuation of each of the Management Agreement and the Subadvisory Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. Because the Subadvisory Agreement was negotiated at arms-length by the Investment Manager, which is responsible for payments to the Subadviser thereunder, the Board did not consider the profitability to the Subadviser from its relationship with the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation
| 26 | CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. The Board also noted that the breakpoints in the Subadvisory Agreement did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement and the Subadvisory Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under each of the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided and approved the renewal of each of the Advisory Agreements.
CTIVP® – Victory Sycamore Established Value Fund | Semiannual Report 2022
| 27 |
CTIVP® – Victory Sycamore Established Value Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
Variable Portfolio – Partners Core 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Variable Portfolio – Partners Core Equity Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term capital growth.
Portfolio management
J.P. Morgan Investment Management Inc.
Scott Davis
Shilpee Raina, CFA
David Small
T. Rowe Price Associates, Inc.
Shawn Driscoll
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/03/10 | -19.23 | -10.35 | 9.61 | 10.99 |
| Class 2 | 05/03/10 | -19.32 | -10.56 | 9.34 | 10.71 |
| Class 3 | 05/01/06 | -19.26 | -10.43 | 9.48 | 10.85 |
| S&P 500 Index | | -19.96 | -10.62 | 11.31 | 12.96 |
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 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 May 2021 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 subadvisers 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.
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Common Stocks | 98.6 |
| Money Market Funds | 1.4 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 7.7 |
| Consumer Discretionary | 11.3 |
| Consumer Staples | 6.1 |
| Energy | 1.5 |
| Financials | 9.3 |
| Health Care | 19.0 |
| Industrials | 10.4 |
| Information Technology | 25.0 |
| Materials | 2.8 |
| Real Estate | 1.6 |
| Utilities | 5.3 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 807.70 | 1,021.42 | 3.05 | 3.41 | 0.68 |
| Class 2 | 1,000.00 | 1,000.00 | 806.80 | 1,020.18 | 4.17 | 4.66 | 0.93 |
| Class 3 | 1,000.00 | 1,000.00 | 807.40 | 1,020.83 | 3.59 | 4.01 | 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.
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 98.5% |
| Issuer | Shares | Value ($) |
| Communication Services 7.6% |
| Diversified Telecommunication Services 1.1% |
| Verizon Communications, Inc. | 589,215 | 29,902,661 |
| Interactive Media & Services 6.5% |
| Alphabet, Inc., Class A(a) | 21,993 | 47,928,465 |
| Alphabet, Inc., Class C(a) | 49,668 | 108,646,267 |
| Meta Platforms, Inc., Class A(a) | 59,292 | 9,560,835 |
| Snap, Inc., Class A(a) | 312,697 | 4,105,712 |
| Total | | 170,241,279 |
| Total Communication Services | 200,143,940 |
| Consumer Discretionary 11.1% |
| Automobiles 0.6% |
| Tesla Motors, Inc.(a) | 23,018 | 15,500,781 |
| Hotels, Restaurants & Leisure 2.9% |
| Domino’s Pizza, Inc. | 27,985 | 10,906,034 |
| Marriott International, Inc., Class A | 67,840 | 9,226,919 |
| McDonald’s Corp. | 228,926 | 56,517,251 |
| Total | | 76,650,204 |
| Internet & Direct Marketing Retail 3.0% |
| Amazon.com, Inc.(a) | 749,423 | 79,596,217 |
| Multiline Retail 1.8% |
| Dollar General Corp. | 190,602 | 46,781,355 |
| Specialty Retail 2.3% |
| Home Depot, Inc. (The) | 49,790 | 13,655,903 |
| Lowe’s Companies, Inc. | 68,295 | 11,929,088 |
| O’Reilly Automotive, Inc.(a) | 42,503 | 26,851,695 |
| Ross Stores, Inc. | 104,200 | 7,317,966 |
| Total | | 59,754,652 |
| Textiles, Apparel & Luxury Goods 0.5% |
| NIKE, Inc., Class B | 133,096 | 13,602,411 |
| Total Consumer Discretionary | 291,885,620 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Consumer Staples 6.0% |
| Beverages 2.7% |
| Coca-Cola Co. (The) | 683,852 | 43,021,129 |
| Constellation Brands, Inc., Class A | 47,868 | 11,156,116 |
| Keurig Dr. Pepper, Inc. | 517,345 | 18,308,840 |
| Total | | 72,486,085 |
| Food & Staples Retailing 1.7% |
| Costco Wholesale Corp. | 38,525 | 18,464,262 |
| Sysco Corp. | 142,191 | 12,044,999 |
| Walmart, Inc. | 114,822 | 13,960,059 |
| Total | | 44,469,320 |
| Food Products 1.0% |
| Hershey Co. (The) | 64,714 | 13,923,864 |
| Mondelez International, Inc., Class A | 200,054 | 12,421,353 |
| Total | | 26,345,217 |
| Household Products 0.6% |
| Procter & Gamble Co. (The) | 107,658 | 15,480,144 |
| Total Consumer Staples | 158,780,766 |
| Energy 1.5% |
| Energy Equipment & Services 0.7% |
| Baker Hughes Co. | 604,731 | 17,458,584 |
| Oil, Gas & Consumable Fuels 0.8% |
| Pioneer Natural Resources Co. | 99,613 | 22,221,668 |
| Total Energy | 39,680,252 |
| Financials 9.2% |
| Banks 3.4% |
| Bank of America Corp. | 417,677 | 13,002,285 |
| JPMorgan Chase & Co. | 109,900 | 12,375,839 |
| Truist Financial Corp. | 670,965 | 31,823,870 |
| U.S. Bancorp | 151,996 | 6,994,856 |
| Wells Fargo & Co. | 618,370 | 24,221,553 |
| Total | | 88,418,403 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Capital Markets 3.2% |
| Charles Schwab Corp. (The) | 244,445 | 15,444,035 |
| Morgan Stanley | 357,540 | 27,194,493 |
| S&P Global, Inc. | 89,816 | 30,273,381 |
| State Street Corp. | 167,079 | 10,300,420 |
| Total | | 83,212,329 |
| Consumer Finance 0.2% |
| Capital One Financial Corp. | 65,937 | 6,869,976 |
| Insurance 2.4% |
| Chubb Ltd. | 104,124 | 20,468,696 |
| Hartford Financial Services Group, Inc. (The) | 225,369 | 14,745,893 |
| Progressive Corp. (The) | 235,025 | 27,326,357 |
| Total | | 62,540,946 |
| Total Financials | 241,041,654 |
| Health Care 18.7% |
| Biotechnology 3.6% |
| AbbVie, Inc. | 318,268 | 48,745,927 |
| Regeneron Pharmaceuticals, Inc.(a) | 63,682 | 37,644,340 |
| Vertex Pharmaceuticals, Inc.(a) | 28,954 | 8,158,948 |
| Total | | 94,549,215 |
| Health Care Equipment & Supplies 3.0% |
| Boston Scientific Corp.(a) | 675,595 | 25,179,426 |
| Intuitive Surgical, Inc.(a) | 55,746 | 11,188,780 |
| ResMed, Inc. | 48,367 | 10,139,174 |
| STERIS PLC | 85,434 | 17,612,219 |
| Stryker Corp. | 68,211 | 13,569,214 |
| Total | | 77,688,813 |
| Health Care Providers & Services 4.9% |
| Centene Corp.(a) | 560,604 | 47,432,704 |
| Elevance Health, Inc. | 49,148 | 23,717,842 |
| Quest Diagnostics, Inc. | 103,200 | 13,723,536 |
| UnitedHealth Group, Inc. | 86,559 | 44,459,299 |
| Total | | 129,333,381 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Life Sciences Tools & Services 4.1% |
| Danaher Corp. | 107,878 | 27,349,231 |
| Mettler-Toledo International, Inc.(a) | 8,997 | 10,335,484 |
| Thermo Fisher Scientific, Inc. | 77,833 | 42,285,112 |
| Waters Corp.(a) | 61,404 | 20,323,496 |
| West Pharmaceutical Services, Inc. | 22,584 | 6,828,724 |
| Total | | 107,122,047 |
| Pharmaceuticals 3.1% |
| AstraZeneca PLC, ADR | 238,548 | 15,760,867 |
| Bristol-Myers Squibb Co. | 483,557 | 37,233,889 |
| Eli Lilly & Co. | 59,049 | 19,145,457 |
| Zoetis, Inc. | 61,145 | 10,510,214 |
| Total | | 82,650,427 |
| Total Health Care | 491,343,883 |
| Industrials 10.2% |
| Aerospace & Defense 1.7% |
| L3Harris Technologies, Inc. | 79,866 | 19,303,612 |
| Northrop Grumman Corp. | 56,346 | 26,965,505 |
| Total | | 46,269,117 |
| Building Products 0.6% |
| Trane Technologies PLC | 131,809 | 17,118,035 |
| Commercial Services & Supplies 0.8% |
| Republic Services, Inc. | 155,636 | 20,368,083 |
| Electrical Equipment 2.0% |
| Eaton Corp. PLC | 334,745 | 42,174,523 |
| Emerson Electric Co. | 122,800 | 9,767,512 |
| Total | | 51,942,035 |
| Machinery 1.8% |
| Deere & Co. | 106,770 | 31,974,412 |
| Dover Corp. | 47,708 | 5,787,934 |
| IDEX Corp. | 54,073 | 9,821,279 |
| Total | | 47,583,625 |
| Professional Services 1.0% |
| Leidos Holdings, Inc. | 121,820 | 12,268,492 |
| Verisk Analytics, Inc. | 75,782 | 13,117,107 |
| Total | | 25,385,599 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Road & Rail 2.3% |
| CSX Corp. | 591,509 | 17,189,252 |
| Norfolk Southern Corp. | 122,950 | 27,945,305 |
| Old Dominion Freight Line, Inc. | 23,400 | 5,996,952 |
| Uber Technologies, Inc.(a) | 455,794 | 9,325,545 |
| Total | | 60,457,054 |
| Total Industrials | 269,123,548 |
| Information Technology 24.7% |
| Electronic Equipment, Instruments & Components 0.5% |
| TE Connectivity Ltd. | 115,806 | 13,103,449 |
| IT Services 5.8% |
| Accenture PLC, Class A | 109,366 | 30,365,470 |
| Akamai Technologies, Inc.(a) | 120,200 | 10,977,866 |
| Broadridge Financial Solutions, Inc. | 141,552 | 20,178,238 |
| MasterCard, Inc., Class A | 100,431 | 31,683,972 |
| Paychex, Inc. | 110,066 | 12,533,215 |
| VeriSign, Inc.(a) | 88,682 | 14,839,159 |
| Visa, Inc., Class A | 163,931 | 32,276,375 |
| Total | | 152,854,295 |
| Semiconductors & Semiconductor Equipment 6.0% |
| Advanced Micro Devices, Inc.(a) | 235,151 | 17,981,997 |
| Analog Devices, Inc. | 157,176 | 22,961,842 |
| Applied Materials, Inc. | 172,985 | 15,738,175 |
| KLA Corp. | 84,367 | 26,919,822 |
| Micron Technology, Inc. | 91,575 | 5,062,266 |
| NVIDIA Corp. | 82,878 | 12,563,476 |
| NXP Semiconductors NV | 233,200 | 34,520,596 |
| Teradyne, Inc. | 69,872 | 6,257,038 |
| Texas Instruments, Inc. | 97,971 | 15,053,244 |
| Total | | 157,058,456 |
| Software 10.1% |
| Cadence Design Systems, Inc.(a) | 98,218 | 14,735,647 |
| Intuit, Inc. | 56,871 | 21,920,358 |
| Microsoft Corp. | 784,844 | 201,571,484 |
| Salesforce, Inc.(a) | 155,452 | 25,655,798 |
| Total | | 263,883,287 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Technology Hardware, Storage & Peripherals 2.3% |
| Apple, Inc. | 446,297 | 61,017,726 |
| Total Information Technology | 647,917,213 |
| Materials 2.8% |
| Chemicals 2.0% |
| Eastman Chemical Co. | 147,943 | 13,280,843 |
| Linde PLC | 29,244 | 8,408,528 |
| PPG Industries, Inc. | 168,380 | 19,252,569 |
| Sherwin-Williams Co. (The) | 49,434 | 11,068,767 |
| Total | | 52,010,707 |
| Construction Materials 0.4% |
| Vulcan Materials Co. | 79,214 | 11,256,309 |
| Containers & Packaging 0.4% |
| Packaging Corp. of America | 71,100 | 9,776,250 |
| Total Materials | 73,043,266 |
| Real Estate 1.5% |
| Equity Real Estate Investment Trusts (REITS) 1.5% |
| Prologis, Inc. | 337,635 | 39,722,758 |
| Total Real Estate | 39,722,758 |
| Utilities 5.2% |
| Electric Utilities 3.3% |
| NextEra Energy, Inc. | 539,250 | 41,770,305 |
| Southern Co. (The) | 289,393 | 20,636,615 |
| Xcel Energy, Inc. | 347,682 | 24,601,978 |
| Total | | 87,008,898 |
| Multi-Utilities 1.9% |
| Ameren Corp. | 180,770 | 16,334,377 |
| DTE Energy Co. | 145,717 | 18,469,630 |
| WEC Energy Group, Inc. | 141,811 | 14,271,859 |
| Total | | 49,075,866 |
| Total Utilities | 136,084,764 |
Total Common Stocks
(Cost $2,730,175,610) | 2,588,767,664 |
|
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Money Market Funds 1.4% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(b),(c) | 36,685,446 | 36,663,434 |
Total Money Market Funds
(Cost $36,661,808) | 36,663,434 |
Total Investments in Securities
(Cost: $2,766,837,418) | 2,625,431,098 |
| Other Assets & Liabilities, Net | | 2,373,339 |
| Net Assets | 2,627,804,437 |
At June 30, 2022, securities and/or cash totaling $609,000 were pledged as collateral.
Investments in derivatives
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| S&P 500 Index E-mini | 10 | 09/2022 | USD | 1,894,750 | 9,855 | — |
| S&P 500 Index E-mini | 47 | 09/2022 | USD | 8,905,325 | — | (90,996) |
| Total | | | | | 9,855 | (90,996) |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 32,304,518 | 239,035,235 | (234,680,274) | 3,955 | 36,663,434 | (11,217) | 60,752 | 36,685,446 |
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. |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 200,143,940 | — | — | 200,143,940 |
| Consumer Discretionary | 291,885,620 | — | — | 291,885,620 |
| Consumer Staples | 158,780,766 | — | — | 158,780,766 |
| Energy | 39,680,252 | — | — | 39,680,252 |
| Financials | 241,041,654 | — | — | 241,041,654 |
| Health Care | 491,343,883 | — | — | 491,343,883 |
| Industrials | 269,123,548 | — | — | 269,123,548 |
| Information Technology | 647,917,213 | — | — | 647,917,213 |
| Materials | 73,043,266 | — | — | 73,043,266 |
| Real Estate | 39,722,758 | — | — | 39,722,758 |
| Utilities | 136,084,764 | — | — | 136,084,764 |
| Total Common Stocks | 2,588,767,664 | — | — | 2,588,767,664 |
| Money Market Funds | 36,663,434 | — | — | 36,663,434 |
| Total Investments in Securities | 2,625,431,098 | — | — | 2,625,431,098 |
| Investments in Derivatives | | | | |
| Asset | | | | |
| Futures Contracts | 9,855 | — | — | 9,855 |
| Liability | | | | |
| Futures Contracts | (90,996) | — | — | (90,996) |
| Total | 2,625,349,957 | — | — | 2,625,349,957 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
Derivative instruments are valued at unrealized appreciation (depreciation).
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $2,730,175,610) | $2,588,767,664 |
| Affiliated issuers (cost $36,661,808) | 36,663,434 |
| Margin deposits on: | |
| Futures contracts | 609,000 |
| Receivable for: | |
| Investments sold | 11,347,706 |
| Capital shares sold | 72 |
| Dividends | 2,349,057 |
| Foreign tax reclaims | 22,078 |
| Prepaid expenses | 18,773 |
| Total assets | 2,639,777,784 |
| Liabilities | |
| Due to custodian | 22,078 |
| Payable for: | |
| Investments purchased | 10,598,357 |
| Capital shares purchased | 976,316 |
| Variation margin for futures contracts | 90,488 |
| Management services fees | 49,114 |
| Distribution and/or service fees | 166 |
| Service fees | 1,978 |
| Compensation of board members | 195,201 |
| Compensation of chief compliance officer | 282 |
| Other expenses | 39,367 |
| Total liabilities | 11,973,347 |
| Net assets applicable to outstanding capital stock | $2,627,804,437 |
| Represented by | |
| Trust capital | $2,627,804,437 |
| Total - representing net assets applicable to outstanding capital stock | $2,627,804,437 |
| Class 1 | |
| Net assets | $2,590,536,835 |
| Shares outstanding | 88,733,736 |
| Net asset value per share | $29.19 |
| Class 2 | |
| Net assets | $10,799,488 |
| Shares outstanding | 380,790 |
| Net asset value per share | $28.36 |
| Class 3 | |
| Net assets | $26,468,114 |
| Shares outstanding | 920,369 |
| Net asset value per share | $28.76 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022
| 11 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $18,933,592 |
| Dividends — affiliated issuers | 60,752 |
| Foreign taxes withheld | (59,291) |
| Total income | 18,935,053 |
| Expenses: | |
| Management services fees | 9,805,426 |
| Distribution and/or service fees | |
| Class 2 | 15,095 |
| Class 3 | 18,807 |
| Service fees | 12,761 |
| Compensation of board members | 12,324 |
| Custodian fees | 15,960 |
| Printing and postage fees | 7,143 |
| Audit fees | 27,100 |
| Legal fees | 20,501 |
| Interest on collateral | 8 |
| Interest on interfund lending | 38 |
| Compensation of chief compliance officer | 207 |
| Other | 20,859 |
| Total expenses | 9,956,229 |
| Net investment income | 8,978,824 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 95,294,385 |
| Investments — affiliated issuers | (11,217) |
| Futures contracts | (3,256,931) |
| Net realized gain | 92,026,237 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (727,692,477) |
| Investments — affiliated issuers | 3,955 |
| Futures contracts | (81,141) |
| Net change in unrealized appreciation (depreciation) | (727,769,663) |
| Net realized and unrealized loss | (635,743,426) |
| Net decrease in net assets resulting from operations | $(626,764,602) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $8,978,824 | $15,073,505 |
| Net realized gain | 92,026,237 | 771,184,254 |
| Net change in unrealized appreciation (depreciation) | (727,769,663) | (22,901,158) |
| Net increase (decrease) in net assets resulting from operations | (626,764,602) | 763,356,601 |
| Decrease in net assets from capital stock activity | (48,312,822) | (587,945,720) |
| Total increase (decrease) in net assets | (675,077,424) | 175,410,881 |
| Net assets at beginning of period | 3,302,881,861 | 3,127,470,980 |
| Net assets at end of period | $2,627,804,437 | $3,302,881,861 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 693,831 | 21,126,656 | 5,448,922 | 171,600,336 |
| Redemptions | (2,035,731) | (67,800,101) | (25,917,436) | (753,572,961) |
| Net decrease | (1,341,900) | (46,673,445) | (20,468,514) | (581,972,625) |
| Class 2 | | | | |
| Subscriptions | 20,258 | 649,619 | 21,302 | 652,265 |
| Redemptions | (20,609) | (643,250) | (53,149) | (1,681,208) |
| Net increase (decrease) | (351) | 6,369 | (31,847) | (1,028,943) |
| Class 3 | | | | |
| Subscriptions | 4,177 | 134,307 | 23,798 | 763,604 |
| Redemptions | (55,230) | (1,780,053) | (181,965) | (5,707,756) |
| Net decrease | (51,053) | (1,645,746) | (158,167) | (4,944,152) |
| Total net decrease | (1,393,304) | (48,312,822) | (20,658,528) | (587,945,720) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $36.14 | 0.10 | (7.05) | (6.95) |
| Year Ended 12/31/2021 | $27.91 | 0.16 | 8.07 | 8.23 |
| Year Ended 12/31/2020 | $23.85 | 0.24 | 3.82 | 4.06 |
| Year Ended 12/31/2019 | $18.84 | 0.27 | 4.74 | 5.01 |
| Year Ended 12/31/2018 | $20.48 | 0.24 | (1.88) | (1.64) |
| Year Ended 12/31/2017 | $17.00 | 0.20 | 3.28 | 3.48 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $35.15 | 0.06 | (6.85) | (6.79) |
| Year Ended 12/31/2021 | $27.21 | 0.08 | 7.86 | 7.94 |
| Year Ended 12/31/2020 | $23.31 | 0.18 | 3.72 | 3.90 |
| Year Ended 12/31/2019 | $18.47 | 0.21 | 4.63 | 4.84 |
| Year Ended 12/31/2018 | $20.12 | 0.18 | (1.83) | (1.65) |
| Year Ended 12/31/2017 | $16.75 | 0.15 | 3.22 | 3.37 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $35.62 | 0.08 | (6.94) | (6.86) |
| Year Ended 12/31/2021 | $27.54 | 0.12 | 7.96 | 8.08 |
| Year Ended 12/31/2020 | $23.57 | 0.21 | 3.76 | 3.97 |
| Year Ended 12/31/2019 | $18.65 | 0.24 | 4.68 | 4.92 |
| Year Ended 12/31/2018 | $20.29 | 0.21 | (1.85) | (1.64) |
| Year Ended 12/31/2017 | $16.87 | 0.18 | 3.24 | 3.42 |
| 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) | Annualized. |
| (d) | Ratios include interest on collateral expense which is less than 0.01%. |
| (e) | Ratios include interfund lending expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $29.19 | (19.23%) | 0.68%(c),(d),(e) | 0.68%(c),(d),(e) | 0.62%(c) | 49% | $2,590,537 |
| Year Ended 12/31/2021 | $36.14 | 29.49% | 0.68%(d) | 0.68%(d) | 0.50% | 99% | $3,254,887 |
| Year Ended 12/31/2020 | $27.91 | 17.02% | 0.68% | 0.68% | 1.02% | 92% | $3,085,119 |
| Year Ended 12/31/2019 | $23.85 | 26.59% | 0.70% | 0.69% | 1.25% | 129% | $2,237,714 |
| Year Ended 12/31/2018 | $18.84 | (8.01%) | 0.70% | 0.69% | 1.13% | 55% | $1,775,821 |
| Year Ended 12/31/2017 | $20.48 | 20.47% | 0.74% | 0.74% | 1.08% | 51% | $1,934,400 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $28.36 | (19.32%) | 0.93%(c),(d),(e) | 0.93%(c),(d),(e) | 0.37%(c) | 49% | $10,799 |
| Year Ended 12/31/2021 | $35.15 | 29.18% | 0.93%(d) | 0.93%(d) | 0.26% | 99% | $13,396 |
| Year Ended 12/31/2020 | $27.21 | 16.73% | 0.93% | 0.93% | 0.76% | 92% | $11,239 |
| Year Ended 12/31/2019 | $23.31 | 26.21% | 0.95% | 0.94% | 1.00% | 129% | $10,760 |
| Year Ended 12/31/2018 | $18.47 | (8.20%) | 0.95% | 0.94% | 0.88% | 55% | $9,255 |
| Year Ended 12/31/2017 | $20.12 | 20.12% | 0.99% | 0.99% | 0.83% | 51% | $10,507 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $28.76 | (19.26%) | 0.80%(c),(d),(e) | 0.80%(c),(d),(e) | 0.49%(c) | 49% | $26,468 |
| Year Ended 12/31/2021 | $35.62 | 29.34% | 0.80%(d) | 0.80%(d) | 0.38% | 99% | $34,599 |
| Year Ended 12/31/2020 | $27.54 | 16.84% | 0.80% | 0.80% | 0.89% | 92% | $31,113 |
| Year Ended 12/31/2019 | $23.57 | 26.38% | 0.83% | 0.81% | 1.13% | 129% | $32,859 |
| Year Ended 12/31/2018 | $18.65 | (8.08%) | 0.83% | 0.82% | 1.00% | 55% | $31,196 |
| Year Ended 12/31/2017 | $20.29 | 20.27% | 0.87% | 0.87% | 0.96% | 51% | $42,254 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
Variable Portfolio – Partners 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). 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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 16 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 a settlement price, 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, if available.
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, in seeking 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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. 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 clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing 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 counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts and 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 instruments’ 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.
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as well. 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 may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in the Statement of Operations. 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 determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, 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 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 generally expects to earn interest income on its margin deposits. 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.
| 18 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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, 2022:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital — unrealized appreciation on futures contracts | 9,855* |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Equity risk | Component of trust capital - unrealized depreciation on futures contracts | 90,996* |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Equity risk | (3,256,931) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Equity risk | (81,141) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 24,995,532 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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 in 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.
| 20 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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 subadvisers (see Subadvisory agreements below) have 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 0.77% to 0.57% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2022 was 0.67% of the Fund’s average daily net assets.
Subadvisory agreements
The Investment Manager has entered into Subadvisory Agreements with J.P. Morgan Investment Management Inc. and T. Rowe Price Associates, Inc., each of which subadvises a portion of the assets of the Fund. New investments in the Fund, net of redemptions, are allocated in accordance with the Investment Manager’s determination. Each subadviser’s proportionate share of investments in the Fund will vary due to market fluctuations. The Investment Manager compensates each subadviser to manage the investment of the Fund’s assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.00% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Distribution and/or service 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 classes’ average daily net assets:
| | Contractual
expense cap
July 1, 2022
through
April 30, 2023 | Voluntary
expense cap
May 1, 2022
through
June 30, 2022 | Contractual
expense cap
prior to
May 1, 2022 |
| Class 1 | 0.69% | 0.69% | 0.69% |
| Class 2 | 0.94 | 0.94 | 0.94 |
| Class 3 | 0.815 | 0.815 | 0.815 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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 $1,438,695,814 and $1,489,916,240, respectively, for the six months ended June 30, 2022. 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.
| 22 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 6. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended June 30, 2022 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Borrower | 400,000 | 0.86 | 4 |
Interest expense incurred by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at June 30, 2022.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 8. Significant risks
Information technology sector risk
The Fund is more susceptible to the particular risks that may affect companies in the information technology sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the information technology sector 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 information technology sector companies have limited operating histories and prices of these companies’ securities historically have been more volatile than other
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022
| 23 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
securities, especially over the short term. Some companies in the information technology sector are facing increased government and regulatory scrutiny and may be subject to adverse government or regulatory action, which could negatively impact the value of their securities.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
| 24 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 9. 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 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022
| 25 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management and Subadvisory
Agreements
(Unaudited)
Columbia Management Investment Advisers, LLC (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 Equity Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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 the Investment Manager and each of J.P. Morgan Investment Management Inc. and T. Rowe Price Associates, Inc. (collectively, the Subadvisers), the Subadvisers provide 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 Agreements (together, the Advisory Agreements). The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
| 26 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board, at its June 23, 2022 Board meeting (the June Meeting), considered the renewal of each 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. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Advisory Agreements; |
| • | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreements; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager and the Subadvisers under the Advisory Agreements, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager and Subadvisers, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager and the Subadvisers with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager and the Subadvisers
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager and the Subadvisers, as well as their history, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers. With respect to the Investment Manager, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022
| 27 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. 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 the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by the Investment Manager in addition to monitoring each Subadviser), noting that no changes were proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
The Board 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 subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no changes were recommended to the Subadvisory Agreements. The Board took into account the Investment Manager’s representation that each Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Advisory Agreements supported the continuation of the Management Agreement and the Subadvisory Agreements.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
Additionally, the Board reviewed the performance of each of the Subadvisers and the Investment Manager’s process for monitoring such Subadvisers’ performance. The Board considered, in particular, management’s rationale for recommending the continued retention of each Subadviser and management’s representations that the Investment Manager’s profitability is not the key factor driving their recommendation to select, renew or terminate the Subadvisers.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
| 28 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board also considered the Investment Manager’s and Subadvisers’ performance and reputation generally, and the Investment Manager’s evaluation of each Subadviser’s contribution to the Fund’s broader investment mandate. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadvisers, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory Agreements.
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Manager and discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
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 Fund. The Board also reviewed advisory fee rates charged by other comparable mutual funds employing each Subadviser to provide comparable subadvisory services. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees, subadvisory fees and expenses of the Fund, in light of other considerations, supported the continuation of each of the Management Agreement and the Subadvisory Agreements.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. Because the Subadvisory Agreements were negotiated at arms-length by the Investment Manager, which is responsible for payments to the Subadvisers thereunder, the Board did not consider the profitability to each Subadviser from its relationship with the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreements.
Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022
| 29 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. The Board also noted that the breakpoints in the Subadvisory Agreements did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement and the Subadvisory Agreements. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under each of the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided and approved the renewal of each of the Advisory Agreements.
| 30 | Variable Portfolio – Partners Core Equity Fund | Semiannual Report 2022 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
Variable Portfolio – Partners Core Equity Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
Variable Portfolio – Partners Small 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Variable Portfolio – Partners Small Cap Value Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term capital appreciation.
Portfolio management
Segall Bryant & Hamill, LLC
Mark Dickherber, CFA, CPA
Shaun Nicholson
William Blair Investment Management, LLC
William Heaphy, CFA
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/03/10 | -16.46 | -14.43 | 3.60 | 7.36 |
| Class 2 | 05/03/10 | -16.59 | -14.65 | 3.34 | 7.09 |
| Class 3 | 08/14/01 | -16.52 | -14.54 | 3.48 | 7.22 |
| Russell 2000 Value Index | | -17.31 | -16.28 | 4.89 | 9.05 |
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 May 2021 reflects returns achieved by one or more different subadvisers or a different allocation of the Fund’s assets among 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.
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Common Stocks | 97.9 |
| Money Market Funds | 2.1 |
| Rights | 0.0(a) |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 0.6 |
| Consumer Discretionary | 8.0 |
| Consumer Staples | 6.2 |
| Energy | 4.5 |
| Financials | 19.2 |
| Health Care | 7.4 |
| Industrials | 22.9 |
| Information Technology | 12.7 |
| Materials | 7.2 |
| Real Estate | 7.1 |
| Utilities | 4.2 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 835.40 | 1,020.48 | 3.96 | 4.36 | 0.87 |
| Class 2 | 1,000.00 | 1,000.00 | 834.10 | 1,019.24 | 5.09 | 5.61 | 1.12 |
| Class 3 | 1,000.00 | 1,000.00 | 834.80 | 1,019.84 | 4.55 | 5.01 | 1.00 |
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.
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 97.7% |
| Issuer | Shares | Value ($) |
| Communication Services 0.6% |
| Media 0.6% |
| John Wiley & Sons, Inc., Class A | 80,918 | 3,864,644 |
| Total Communication Services | 3,864,644 |
| Consumer Discretionary 7.9% |
| Auto Components 1.6% |
| Adient PLC(a) | 84,619 | 2,507,261 |
| Modine Manufacturing Co.(a) | 195,678 | 2,060,489 |
| Standard Motor Products, Inc. | 105,360 | 4,740,147 |
| Total | | 9,307,897 |
| Automobiles 0.8% |
| Harley-Davidson, Inc. | 60,363 | 1,911,093 |
| Winnebago Industries, Inc. | 55,686 | 2,704,112 |
| Total | | 4,615,205 |
| Hotels, Restaurants & Leisure 1.2% |
| Bloomin’ Brands, Inc. | 177,117 | 2,943,684 |
| Cracker Barrel Old Country Store, Inc. | 24,500 | 2,045,505 |
| El Pollo Loco Holdings, Inc.(a) | 158,693 | 1,561,539 |
| Papa John’s International, Inc. | 9,894 | 826,347 |
| Total | | 7,377,075 |
| Household Durables 1.6% |
| La-Z-Boy, Inc. | 136,072 | 3,226,267 |
| Taylor Morrison Home Corp., Class A(a) | 110,010 | 2,569,834 |
| Tri Pointe Homes, Inc.(a) | 139,802 | 2,358,460 |
| Universal Electronics, Inc.(a) | 59,650 | 1,525,250 |
| Total | | 9,679,811 |
| Internet & Direct Marketing Retail 0.2% |
| Quotient Technology, Inc.(a) | 480,299 | 1,426,488 |
| Specialty Retail 0.8% |
| Designer Brands, Inc. | 209,531 | 2,736,475 |
| Urban Outfitters, Inc.(a) | 124,229 | 2,318,113 |
| Total | | 5,054,588 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Textiles, Apparel & Luxury Goods 1.7% |
| Carter’s, Inc. | 44,342 | 3,125,224 |
| Gildan Activewear, Inc. | 87,541 | 2,519,430 |
| Oxford Industries, Inc. | 41,069 | 3,644,463 |
| Under Armour, Inc., Class A(a) | 92,560 | 771,025 |
| Total | | 10,060,142 |
| Total Consumer Discretionary | 47,521,206 |
| Consumer Staples 6.0% |
| Food Products 2.6% |
| Cal-Maine Foods, Inc. | 73,093 | 3,611,525 |
| Hain Celestial Group, Inc. (The)(a) | 337,116 | 8,003,134 |
| TreeHouse Foods, Inc.(a) | 103,708 | 4,337,069 |
| Total | | 15,951,728 |
| Household Products 0.9% |
| Central Garden & Pet Co., Class A(a) | 69,295 | 2,772,493 |
| Spectrum Brands Holdings, Inc. | 30,419 | 2,494,966 |
| Total | | 5,267,459 |
| Personal Products 2.5% |
| Coty, Inc., Class A(a) | 1,464,658 | 11,731,911 |
| Edgewell Personal Care Co. | 99,191 | 3,424,073 |
| Total | | 15,155,984 |
| Total Consumer Staples | 36,375,171 |
| Energy 4.4% |
| Energy Equipment & Services 1.8% |
| Dril-Quip, Inc.(a) | 216,625 | 5,588,925 |
| Expro Group Holdings NV(a) | 216,126 | 2,489,772 |
| Helmerich & Payne, Inc. | 66,941 | 2,882,479 |
| Total | | 10,961,176 |
| Oil, Gas & Consumable Fuels 2.6% |
| Earthstone Energy, Inc., Class A(a) | 151,665 | 2,070,227 |
| Matador Resources Co. | 111,804 | 5,208,948 |
| PDC Energy, Inc. | 35,876 | 2,210,320 |
| Range Resources Corp.(a) | 92,130 | 2,280,218 |
| SM Energy Co. | 105,631 | 3,611,524 |
| Total | | 15,381,237 |
| Total Energy | 26,342,413 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Financials 18.8% |
| Banks 15.4% |
| Ameris Bancorp | 88,620 | 3,560,752 |
| Atlantic Union Bankshares Corp. | 104,004 | 3,527,816 |
| Banc of California, Inc. | 203,225 | 3,580,824 |
| Berkshire Hills Bancorp, Inc. | 134,230 | 3,324,877 |
| Community Bank System, Inc. | 46,101 | 2,917,271 |
| ConnectOne Bancorp, Inc. | 117,014 | 2,860,992 |
| Dime Community Bancshares, Inc. | 117,444 | 3,482,215 |
| Eastern Bankshares, Inc. | 209,170 | 3,861,278 |
| Enterprise Financial Services Corp. | 137,540 | 5,707,910 |
| First BanCorp | 72,435 | 2,527,982 |
| First Merchants Corp. | 92,653 | 3,300,300 |
| Glacier Bancorp, Inc. | 68,644 | 3,255,098 |
| Lakeland Financial Corp. | 18,594 | 1,235,013 |
| National Bank Holdings Corp., Class A | 129,412 | 4,952,597 |
| Old National Bancorp | 233,575 | 3,454,574 |
| Pacific Premier Bancorp, Inc. | 183,349 | 5,361,125 |
| Renasant Corp. | 24,642 | 709,936 |
| Seacoast Banking Corp. of Florida | 244,319 | 8,072,300 |
| Simmons First National Corp., Class A | 145,669 | 3,096,923 |
| South State Corp. | 30,445 | 2,348,832 |
| Texas Capital Bancshares, Inc.(a) | 70,900 | 3,732,176 |
| Umpqua Holdings Corp. | 267,810 | 4,491,174 |
| United Community Banks, Inc. | 158,521 | 4,785,749 |
| Veritex Holdings, Inc. | 93,827 | 2,745,378 |
| Washington Federal, Inc. | 104,962 | 3,150,959 |
| WesBanco, Inc. | 85,032 | 2,696,365 |
| Total | | 92,740,416 |
| Capital Markets 0.5% |
| BrightSphere Investment Group, Inc. | 134,718 | 2,426,271 |
| PJT Partners, Inc. | 12,438 | 874,143 |
| Total | | 3,300,414 |
| Consumer Finance 0.9% |
| Green Dot Corp., Class A(a) | 69,347 | 1,741,303 |
| PRA Group, Inc.(a) | 108,126 | 3,931,461 |
| Total | | 5,672,764 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Diversified Financial Services 0.6% |
| Compass Diversified Holdings | 162,340 | 3,477,323 |
| Insurance 0.8% |
| Argo Group International Holdings Ltd. | 89,895 | 3,313,529 |
| eHealth, Inc.(a) | 154,997 | 1,446,122 |
| Total | | 4,759,651 |
| Thrifts & Mortgage Finance 0.6% |
| MGIC Investment Corp. | 263,358 | 3,318,311 |
| Total Financials | 113,268,879 |
| Health Care 7.2% |
| Biotechnology 0.9% |
| Alkermes PLC(a) | 61,731 | 1,838,967 |
| BioCryst Pharmaceuticals, Inc.(a) | 245,253 | 2,594,777 |
| Blueprint Medicines Corp.(a) | 16,699 | 843,466 |
| Immunogen, Inc.(a) | 116,126 | 522,567 |
| Total | | 5,799,777 |
| Health Care Equipment & Supplies 4.0% |
| Angiodynamics, Inc.(a) | 66,893 | 1,294,380 |
| ICU Medical, Inc.(a) | 45,032 | 7,402,810 |
| Lantheus Holdings, Inc.(a) | 76,891 | 5,077,113 |
| NuVasive, Inc.(a) | 12,975 | 637,851 |
| Orthofix Medical, Inc.(a) | 349,234 | 8,220,968 |
| SurModics, Inc.(a) | 40,190 | 1,496,274 |
| Total | | 24,129,396 |
| Health Care Providers & Services 1.7% |
| Hanger, Inc.(a) | 163,051 | 2,334,890 |
| Mednax, Inc.(a) | 109,715 | 2,305,112 |
| ModivCare, Inc.(a) | 28,897 | 2,441,797 |
| Owens & Minor, Inc. | 99,205 | 3,119,997 |
| Total | | 10,201,796 |
| Health Care Technology 0.3% |
| NextGen Healthcare, Inc.(a) | 104,190 | 1,817,074 |
| Pharmaceuticals 0.3% |
| ANI Pharmaceuticals, Inc.(a) | 54,947 | 1,630,277 |
| Total Health Care | 43,578,320 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Industrials 22.3% |
| Aerospace & Defense 1.6% |
| AAR Corp.(a) | 73,385 | 3,070,429 |
| Kaman Corp. | 35,757 | 1,117,406 |
| Mercury Systems, Inc.(a) | 86,667 | 5,575,288 |
| Total | | 9,763,123 |
| Air Freight & Logistics 0.7% |
| HUB Group, Inc., Class A(a) | 58,348 | 4,139,207 |
| Building Products 2.2% |
| Apogee Enterprises, Inc. | 102,597 | 4,023,854 |
| Armstrong World Industries, Inc. | 43,502 | 3,260,910 |
| PGT, Inc.(a) | 159,729 | 2,657,891 |
| Quanex Building Products Corp. | 147,336 | 3,351,894 |
| Total | | 13,294,549 |
| Commercial Services & Supplies 4.2% |
| ABM Industries, Inc. | 91,917 | 3,991,036 |
| Brady Corp., Class A | 76,635 | 3,620,237 |
| Deluxe Corp. | 116,239 | 2,518,899 |
| Harsco Corp.(a) | 198,180 | 1,409,060 |
| KAR Auction Services, Inc.(a) | 165,638 | 2,446,473 |
| MillerKnoll, Inc. | 125,718 | 3,302,612 |
| SP Plus Corp.(a) | 258,012 | 7,926,129 |
| Total | | 25,214,446 |
| Construction & Engineering 1.6% |
| Granite Construction, Inc. | 100,165 | 2,918,808 |
| Great Lakes Dredge & Dock Corp.(a) | 273,858 | 3,590,279 |
| Sterling Infrastructure, Inc.(a) | 136,108 | 2,983,487 |
| Total | | 9,492,574 |
| Electrical Equipment 2.8% |
| AZZ, Inc. | 103,212 | 4,213,114 |
| EnerSys | 52,981 | 3,123,760 |
| GrafTech International Ltd. | 343,438 | 2,428,106 |
| Regal Rexnord Corp. | 62,502 | 7,095,227 |
| Total | | 16,860,207 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Machinery 5.9% |
| Albany International Corp., Class A | 48,258 | 3,802,248 |
| Astec Industries, Inc. | 123,493 | 5,036,044 |
| CIRCOR International, Inc.(a) | 155,851 | 2,554,398 |
| Columbus McKinnon Corp. | 54,848 | 1,556,038 |
| Federal Signal Corp. | 110,326 | 3,927,606 |
| Hillenbrand, Inc. | 84,249 | 3,450,839 |
| Mueller Water Products, Inc., Class A | 141,055 | 1,654,575 |
| REV Group, Inc. | 344,664 | 3,746,498 |
| SPX Corp.(a) | 139,643 | 7,378,736 |
| Terex Corp. | 106,644 | 2,918,846 |
| Total | | 36,025,828 |
| Professional Services 2.2% |
| CBIZ, Inc.(a) | 106,464 | 4,254,302 |
| Huron Consulting Group, Inc.(a) | 34,199 | 2,222,593 |
| ICF International, Inc. | 22,257 | 2,114,415 |
| KBR, Inc. | 97,521 | 4,719,041 |
| Total | | 13,310,351 |
| Road & Rail 0.9% |
| Marten Transport Ltd. | 169,002 | 2,842,614 |
| Werner Enterprises, Inc. | 76,610 | 2,952,549 |
| Total | | 5,795,163 |
| Trading Companies & Distributors 0.2% |
| Beacon Roofing Supply, Inc.(a) | 20,404 | 1,047,949 |
| Total Industrials | 134,943,397 |
| Information Technology 12.4% |
| Communications Equipment 1.2% |
| AudioCodes Ltd. | 117,736 | 2,594,901 |
| Netscout Systems, Inc.(a) | 125,895 | 4,261,546 |
| Total | | 6,856,447 |
| Electronic Equipment, Instruments & Components 4.5% |
| Advanced Energy Industries, Inc. | 32,121 | 2,344,191 |
| Belden, Inc. | 196,856 | 10,486,519 |
| FARO Technologies, Inc.(a) | 111,664 | 3,442,601 |
| Knowles Corp.(a) | 190,398 | 3,299,598 |
| Methode Electronics, Inc. | 105,856 | 3,920,906 |
| Plexus Corp.(a) | 46,452 | 3,646,482 |
| Total | | 27,140,297 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| IT Services 2.4% |
| Conduent, Inc.(a) | 1,073,430 | 4,637,218 |
| CSG Systems International, Inc. | 112,461 | 6,711,672 |
| MAXIMUS, Inc. | 49,092 | 3,068,741 |
| Total | | 14,417,631 |
| Semiconductors & Semiconductor Equipment 0.4% |
| Kulicke & Soffa Industries, Inc. | 60,042 | 2,570,398 |
| Software 3.9% |
| Cognyte Software Ltd.(a) | 309,461 | 1,315,209 |
| NCR Corp.(a) | 258,974 | 8,056,681 |
| Progress Software Corp. | 317,576 | 14,386,193 |
| Total | | 23,758,083 |
| Total Information Technology | 74,742,856 |
| Materials 7.1% |
| Chemicals 1.5% |
| Element Solutions, Inc. | 151,710 | 2,700,438 |
| Minerals Technologies, Inc. | 50,513 | 3,098,468 |
| Orion Engineered Carbons SA | 217,432 | 3,376,719 |
| Total | | 9,175,625 |
| Construction Materials 0.4% |
| Summit Materials, Inc., Class A(a) | 102,784 | 2,393,839 |
| Containers & Packaging 1.9% |
| Greif, Inc., Class A | 67,909 | 4,236,164 |
| Myers Industries, Inc. | 147,069 | 3,342,878 |
| Silgan Holdings, Inc. | 97,220 | 4,020,047 |
| Total | | 11,599,089 |
| Metals & Mining 2.8% |
| Alamos Gold, Inc., Class A | 240,841 | 1,690,704 |
| Compass Minerals International, Inc. | 215,924 | 7,641,550 |
| Kaiser Aluminum Corp. | 37,664 | 2,978,846 |
| Materion Corp. | 50,133 | 3,696,306 |
| Schnitzer Steel Industries, Inc., Class A | 22,369 | 734,598 |
| Total | | 16,742,004 |
| Paper & Forest Products 0.5% |
| Glatfelter Corp. | 391,964 | 2,696,712 |
| Total Materials | 42,607,269 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Real Estate 6.9% |
| Equity Real Estate Investment Trusts (REITS) 6.7% |
| Brandywine Realty Trust | 179,830 | 1,733,561 |
| CareTrust REIT, Inc. | 54,517 | 1,005,293 |
| CatchMark Timber Trust, Inc., Class A | 49,389 | 496,853 |
| Cousins Properties, Inc. | 77,079 | 2,253,019 |
| Empire State Realty Trust, Inc., Class A | 504,923 | 3,549,609 |
| Equity Commonwealth(a) | 524,016 | 14,426,161 |
| Four Corners Property Trust, Inc. | 104,846 | 2,787,855 |
| Kite Realty Group Trust | 218,816 | 3,783,329 |
| Pebblebrook Hotel Trust | 162,331 | 2,689,825 |
| Physicians Realty Trust | 143,321 | 2,500,951 |
| Sunstone Hotel Investors, Inc.(a) | 269,424 | 2,672,686 |
| UMH Properties, Inc. | 162,983 | 2,878,280 |
| Total | | 40,777,422 |
| Real Estate Management & Development 0.2% |
| DigitalBridge Group, Inc.(a) | 248,681 | 1,213,563 |
| Total Real Estate | 41,990,985 |
| Utilities 4.1% |
| Electric Utilities 1.9% |
| Allete, Inc. | 58,252 | 3,424,053 |
| OGE Energy Corp. | 88,508 | 3,412,868 |
| PNM Resources, Inc. | 90,552 | 4,326,575 |
| Total | | 11,163,496 |
| Gas Utilities 1.2% |
| New Jersey Resources Corp. | 91,503 | 4,074,629 |
| Spire, Inc. | 46,217 | 3,437,158 |
| Total | | 7,511,787 |
| Multi-Utilities 1.0% |
| Avista Corp. | 55,270 | 2,404,798 |
| NorthWestern Corp. | 61,876 | 3,646,352 |
| Total | | 6,051,150 |
| Total Utilities | 24,726,433 |
Total Common Stocks
(Cost $667,533,405) | 589,961,573 |
|
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Rights 0.0% |
| Issuer | Shares | Value ($) |
| Health Care 0.0% |
| Biotechnology 0.0% |
| Aduro Biotech CVR(a),(b),(c),(d) | 4,550 | 7,644 |
| Total Health Care | 7,644 |
| Industrials —% |
| Airlines —% |
| American Airlines Escrow(a),(b),(d) | 185,100 | 0 |
| Total Industrials | 0 |
Total Rights
(Cost $—) | 7,644 |
|
| Money Market Funds 2.1% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(e),(f) | 12,851,780 | 12,844,069 |
Total Money Market Funds
(Cost $12,845,405) | 12,844,069 |
Total Investments in Securities
(Cost: $680,378,810) | 602,813,286 |
| Other Assets & Liabilities, Net | | 945,938 |
| Net Assets | 603,759,224 |
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, 2022, the total value of these securities amounted to $7,644, which represents less than 0.01% of total net assets. |
| (c) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. 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, 2022, the total market value of these securities amounted to $7,644, which represents less than 0.01% of total net assets. Additional information on these securities is as follows: |
| Security | Acquisition
Dates | Shares | Cost ($) | Value ($) |
| Aduro Biotech CVR | 10/21/2020 | 4,550 | — | 7,644 |
| (d) | Valuation based on significant unobservable inputs. |
| (e) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (f) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 17,679,884 | 61,723,847 | (66,558,963) | (699) | 12,844,069 | (3,497) | 26,956 | 12,851,780 |
Abbreviation Legend
| CVR | Contingent Value Rights |
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:
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Fair value measurements (continued)
| ■ | 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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 3,864,644 | — | — | 3,864,644 |
| Consumer Discretionary | 47,521,206 | — | — | 47,521,206 |
| Consumer Staples | 36,375,171 | — | — | 36,375,171 |
| Energy | 26,342,413 | — | — | 26,342,413 |
| Financials | 113,268,879 | — | — | 113,268,879 |
| Health Care | 43,578,320 | — | — | 43,578,320 |
| Industrials | 134,943,397 | — | — | 134,943,397 |
| Information Technology | 74,742,856 | — | — | 74,742,856 |
| Materials | 42,607,269 | — | — | 42,607,269 |
| Real Estate | 41,990,985 | — | — | 41,990,985 |
| Utilities | 24,726,433 | — | — | 24,726,433 |
| Total Common Stocks | 589,961,573 | — | — | 589,961,573 |
| Rights | | | | |
| Health Care | — | — | 7,644 | 7,644 |
| Industrials | — | — | 0* | 0* |
| Total Rights | — | — | 7,644 | 7,644 |
| Money Market Funds | 12,844,069 | — | — | 12,844,069 |
| Total Investments in Securities | 602,805,642 | — | 7,644 | 602,813,286 |
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022
| 11 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $667,533,405) | $589,969,217 |
| Affiliated issuers (cost $12,845,405) | 12,844,069 |
| Receivable for: | |
| Investments sold | 1,965,340 |
| Capital shares sold | 62,143 |
| Dividends | 541,774 |
| Foreign tax reclaims | 6,183 |
| Expense reimbursement due from Investment Manager | 499 |
| Prepaid expenses | 8,036 |
| Total assets | 605,397,261 |
| Liabilities | |
| Due to custodian | 2,701 |
| Payable for: | |
| Investments purchased | 927,111 |
| Capital shares purchased | 531,228 |
| Management services fees | 14,288 |
| Distribution and/or service fees | 332 |
| Service fees | 4,431 |
| Compensation of board members | 138,998 |
| Compensation of chief compliance officer | 69 |
| Other expenses | 18,879 |
| Total liabilities | 1,638,037 |
| Net assets applicable to outstanding capital stock | $603,759,224 |
| Represented by | |
| Trust capital | $603,759,224 |
| Total - representing net assets applicable to outstanding capital stock | $603,759,224 |
| Class 1 | |
| Net assets | $518,654,763 |
| Shares outstanding | 16,534,539 |
| Net asset value per share | $31.37 |
| Class 2 | |
| Net assets | $11,757,911 |
| Shares outstanding | 386,463 |
| Net asset value per share | $30.42 |
| Class 3 | |
| Net assets | $73,346,550 |
| Shares outstanding | 2,375,906 |
| Net asset value per share | $30.87 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $4,408,331 |
| Dividends — affiliated issuers | 26,956 |
| Foreign taxes withheld | (11,307) |
| Total income | 4,423,980 |
| Expenses: | |
| Management services fees | 2,934,037 |
| Distribution and/or service fees | |
| Class 2 | 15,625 |
| Class 3 | 52,223 |
| Service fees | 28,887 |
| Compensation of board members | 3,279 |
| Custodian fees | 8,487 |
| Printing and postage fees | 10,042 |
| Audit fees | 14,669 |
| Legal fees | 8,734 |
| Compensation of chief compliance officer | 45 |
| Other | 6,955 |
| Total expenses | 3,082,983 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (21,461) |
| Total net expenses | 3,061,522 |
| Net investment income | 1,362,458 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 17,268,104 |
| Investments — affiliated issuers | (3,497) |
| Net realized gain | 17,264,607 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (139,697,865) |
| Investments — affiliated issuers | (699) |
| Net change in unrealized appreciation (depreciation) | (139,698,564) |
| Net realized and unrealized loss | (122,433,957) |
| Net decrease in net assets resulting from operations | $(121,071,499) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022
| 13 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $1,362,458 | $2,368,525 |
| Net realized gain | 17,264,607 | 231,910,793 |
| Net change in unrealized appreciation (depreciation) | (139,698,564) | (47,794,056) |
| Net increase (decrease) in net assets resulting from operations | (121,071,499) | 186,485,262 |
| Decrease in net assets from capital stock activity | (32,417,367) | (187,908,126) |
| Total decrease in net assets | (153,488,866) | (1,422,864) |
| Net assets at beginning of period | 757,248,090 | 758,670,954 |
| Net assets at end of period | $603,759,224 | $757,248,090 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 102,650 | 3,464,735 | 2,975,268 | 102,803,357 |
| Redemptions | (907,185) | (31,943,589) | (7,484,942) | (277,462,924) |
| Net decrease | (804,535) | (28,478,854) | (4,509,674) | (174,659,567) |
| Class 2 | | | | |
| Subscriptions | 56,525 | 1,906,994 | 176,557 | 6,277,270 |
| Redemptions | (30,904) | (1,052,840) | (91,680) | (3,249,897) |
| Net increase | 25,621 | 854,154 | 84,877 | 3,027,373 |
| Class 3 | | | | |
| Subscriptions | 6,180 | 210,397 | 63,120 | 2,226,610 |
| Redemptions | (143,932) | (5,003,064) | (532,846) | (18,502,542) |
| Net decrease | (137,752) | (4,792,667) | (469,726) | (16,275,932) |
| Total net decrease | (916,666) | (32,417,367) | (4,894,523) | (187,908,126) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
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Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $37.55 | 0.07 | (6.25) | (6.18) |
| Year Ended 12/31/2021 | $30.28 | 0.12 | 7.15 | 7.27 |
| Year Ended 12/31/2020 | $29.04 | 0.16 | 1.08 | 1.24 |
| Year Ended 12/31/2019 | $24.24 | 0.28 | 4.52 | 4.80 |
| Year Ended 12/31/2018 | $28.01 | 0.25 | (4.02) | (3.77) |
| Year Ended 12/31/2017 | $26.14 | 0.19 | 1.68 | 1.87 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $36.47 | 0.03 | (6.08) | (6.05) |
| Year Ended 12/31/2021 | $29.47 | 0.03 | 6.97 | 7.00 |
| Year Ended 12/31/2020 | $28.34 | 0.10 | 1.03 | 1.13 |
| Year Ended 12/31/2019 | $23.71 | 0.22 | 4.41 | 4.63 |
| Year Ended 12/31/2018 | $27.48 | 0.18 | (3.95) | (3.77) |
| Year Ended 12/31/2017 | $25.71 | 0.13 | 1.64 | 1.77 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $36.98 | 0.05 | (6.16) | (6.11) |
| Year Ended 12/31/2021 | $29.85 | 0.07 | 7.06 | 7.13 |
| Year Ended 12/31/2020 | $28.67 | 0.13 | 1.05 | 1.18 |
| Year Ended 12/31/2019 | $23.96 | 0.25 | 4.46 | 4.71 |
| Year Ended 12/31/2018 | $27.73 | 0.21 | (3.98) | (3.77) |
| Year Ended 12/31/2017 | $25.91 | 0.15 | 1.67 | 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) | Annualized. |
| (d) | Ratios include interfund lending expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $31.37 | (16.46%) | 0.88%(c) | 0.87%(c) | 0.42%(c) | 14% | $518,655 |
| Year Ended 12/31/2021 | $37.55 | 24.01% | 0.88%(d) | 0.88%(d) | 0.33% | 104% | $651,132 |
| Year Ended 12/31/2020 | $30.28 | 4.27% | 0.90% | 0.88% | 0.68% | 91% | $661,480 |
| Year Ended 12/31/2019 | $29.04 | 19.80% | 0.89% | 0.88% | 1.02% | 75% | $566,653 |
| Year Ended 12/31/2018 | $24.24 | (13.46%) | 0.88% | 0.88% | 0.88% | 60% | $574,250 |
| Year Ended 12/31/2017 | $28.01 | 7.16% | 0.91% | 0.91% | 0.72% | 115% | $686,191 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $30.42 | (16.59%) | 1.13%(c) | 1.12%(c) | 0.18%(c) | 14% | $11,758 |
| Year Ended 12/31/2021 | $36.47 | 23.75% | 1.14%(d) | 1.13%(d) | 0.10% | 104% | $13,159 |
| Year Ended 12/31/2020 | $29.47 | 3.99% | 1.15% | 1.13% | 0.41% | 91% | $8,133 |
| Year Ended 12/31/2019 | $28.34 | 19.53% | 1.14% | 1.13% | 0.81% | 75% | $8,276 |
| Year Ended 12/31/2018 | $23.71 | (13.72%) | 1.13% | 1.13% | 0.65% | 60% | $6,673 |
| Year Ended 12/31/2017 | $27.48 | 6.88% | 1.16% | 1.16% | 0.49% | 115% | $6,814 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $30.87 | (16.52%) | 1.00%(c) | 1.00%(c) | 0.29%(c) | 14% | $73,347 |
| Year Ended 12/31/2021 | $36.98 | 23.89% | 1.01%(d) | 1.01%(d) | 0.20% | 104% | $92,957 |
| Year Ended 12/31/2020 | $29.85 | 4.12% | 1.02% | 1.01% | 0.54% | 91% | $89,057 |
| Year Ended 12/31/2019 | $28.67 | 19.66% | 1.01% | 1.00% | 0.92% | 75% | $94,282 |
| Year Ended 12/31/2018 | $23.96 | (13.60%) | 1.01% | 1.00% | 0.74% | 60% | $89,379 |
| Year Ended 12/31/2017 | $27.73 | 7.02% | 1.04% | 1.04% | 0.59% | 115% | $120,392 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
Variable Portfolio – Partners Small 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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 18 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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 – Partners Small Cap Value Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (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 in 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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 subadvisers (see Subadvisory agreements below) have 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 0.87% to 0.75% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2022 was 0.86% of the Fund’s average daily net assets.
Subadvisory agreements
The Investment Manager has entered into Subadvisory Agreements with Segal Bryant & Hamill, LLC and William Blair Investment Management, LLC, each of which subadvises a portion of the assets of the Fund. New investments in the Fund, net of redemptions, are allocated in accordance with the Investment Manager’s determination. Each subadviser’s proportionate share of investments in the Fund will vary due to market fluctuations. The Investment Manager compensates each subadviser to manage the investment of the Fund’s assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
| 20 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.01% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | May 1, 2022
through
April 30, 2023 | Prior to
May 1, 2022 |
| Class 1 | 0.86% | 0.88% |
| Class 2 | 1.11 | 1.13 |
| Class 3 | 0.985 | 1.005 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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.
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 4. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $91,965,882 and $120,689,684, respectively, for the six months ended June 30, 2022. 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
| 22 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 8. Significant risks
Industrials sector risk
The Fund is 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.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022
| 23 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Shareholder concentration risk
At June 30, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
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.
Note 9. 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 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
| 24 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management and Subadvisory
Agreements
(Unaudited)
Columbia Management Investment Advisers, LLC (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), the Investment Manager 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 the Investment Manager and each of Segall Bryant & Hamill, LLC and William Blair Investment Management, LLC (collectively, the Subadvisers), the Subadvisers provide 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 Agreements (together, the Advisory Agreements). The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022
| 25 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board, at its June 23, 2022 Board meeting (the June Meeting), considered the renewal of each 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. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Advisory Agreements; |
| • | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreements; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager and the Subadvisers under the Advisory Agreements, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager and Subadvisers, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager and the Subadvisers with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager and the Subadvisers
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager and the Subadvisers, as well as their history, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers. With respect to the Investment Manager, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as
| 26 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. 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 the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by the Investment Manager in addition to monitoring each Subadviser), noting that no changes were proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
The Board 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 subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no changes were recommended to the Subadvisory Agreements. The Board took into account the Investment Manager’s representation that each Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Advisory Agreements supported the continuation of the Management Agreement and the Subadvisory Agreements.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
Additionally, the Board reviewed the performance of each of the Subadvisers and the Investment Manager’s process for monitoring such Subadvisers’ performance. The Board considered, in particular, management’s rationale for recommending the continued retention of each Subadviser and management’s representations that the Investment Manager’s profitability is not the key factor driving their recommendation to select, renew or terminate the Subadvisers.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022
| 27 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board also considered the Investment Manager’s and Subadvisers’ performance and reputation generally, and the Investment Manager’s evaluation of each Subadviser’s contribution to the Fund’s broader investment mandate. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadvisers, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory Agreements.
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Manager and discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
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 Fund. The Board also reviewed advisory fee rates charged by other comparable mutual funds employing each Subadviser to provide comparable subadvisory services. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees, subadvisory fees and expenses of the Fund, in light of other considerations, supported the continuation of each of the Management Agreement and the Subadvisory Agreements.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. Because the Subadvisory Agreements were negotiated at arms-length by the Investment Manager, which is responsible for payments to the Subadvisers thereunder, the Board did not consider the profitability to each Subadviser from its relationship with the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreements.
| 28 | Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. The Board also noted that the breakpoints in the Subadvisory Agreements did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement and the Subadvisory Agreements. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under each of the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided and approved the renewal of each of the Advisory Agreements.
Variable Portfolio – Partners Small Cap Value Fund | Semiannual Report 2022
| 29 |
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[THIS PAGE INTENTIONALLY LEFT BLANK]
Variable Portfolio – Partners Small Cap Value Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
CTIVP® – Morgan Stanley Advantage 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which CTIVP® – Morgan Stanley Advantage Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term capital growth.
Portfolio management
Morgan Stanley Investment Management Inc.
Dennis Lynch
Sam Chainani, CFA
Jason Yeung, CFA
Armistead Nash
David Cohen
Alexander Norton
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/07/10 | -39.57 | -46.50 | 8.73 | 10.99 |
| Class 2 | 05/07/10 | -39.63 | -46.63 | 8.46 | 10.71 |
| Russell 1000 Growth Index | | -28.07 | -18.77 | 14.29 | 14.80 |
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 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.
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Common Stocks | 93.9 |
| Money Market Funds | 6.1 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 12.8 |
| Consumer Discretionary | 20.3 |
| Consumer Staples | 4.0 |
| Financials | 6.0 |
| Health Care | 14.3 |
| Industrials | 8.3 |
| Information Technology | 32.2 |
| Materials | 2.1 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 604.30 | 1,021.32 | 2.78 | 3.51 | 0.70 |
| Class 2 | 1,000.00 | 1,000.00 | 603.70 | 1,020.08 | 3.78 | 4.76 | 0.95 |
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.
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 93.9% |
| Issuer | Shares | Value ($) |
| Communication Services 12.0% |
| Entertainment 2.0% |
| Roblox Corp., Class A(a) | 449,321 | 14,764,688 |
| Spotify Technology SA(a) | 111,149 | 10,429,111 |
| Total | | 25,193,799 |
| Interactive Media & Services 10.0% |
| Alphabet, Inc., Class C(a) | 21,885 | 47,872,343 |
| IAC/InterActiveCorp.(a) | 350,894 | 26,657,417 |
| Match Group, Inc.(a) | 120,414 | 8,391,652 |
| Meta Platforms, Inc., Class A(a) | 139,628 | 22,515,015 |
| ZoomInfo Technologies, Inc., Class A(a) | 549,056 | 18,250,621 |
| Total | | 123,687,048 |
| Total Communication Services | 148,880,847 |
| Consumer Discretionary 19.0% |
| Hotels, Restaurants & Leisure 3.9% |
| Airbnb, Inc., Class A(a) | 194,479 | 17,324,189 |
| Domino’s Pizza, Inc. | 78,462 | 30,577,426 |
| Total | | 47,901,615 |
| Internet & Direct Marketing Retail 8.4% |
| Amazon.com, Inc.(a) | 766,901 | 81,452,555 |
| Chewy, Inc., Class A(a) | 641,096 | 22,258,853 |
| Total | | 103,711,408 |
| Specialty Retail 6.7% |
| AutoZone, Inc.(a) | 22,916 | 49,249,234 |
| Home Depot, Inc. (The) | 124,615 | 34,178,156 |
| Total | | 83,427,390 |
| Total Consumer Discretionary | 235,040,413 |
| Consumer Staples 3.8% |
| Food & Staples Retailing 2.7% |
| Costco Wholesale Corp. | 69,668 | 33,390,479 |
| Food Products 1.1% |
| McCormick & Co., Inc. | 158,151 | 13,166,071 |
| Total Consumer Staples | 46,556,550 |
| Financials 5.6% |
| Capital Markets 0.3% |
| Coinbase Global, Inc., Class A(a) | 80,328 | 3,777,023 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Insurance 5.3% |
| Brown & Brown, Inc. | 330,101 | 19,258,092 |
| Progressive Corp. (The) | 398,203 | 46,299,063 |
| Total | | 65,557,155 |
| Total Financials | 69,334,178 |
| Health Care 13.5% |
| Health Care Equipment & Supplies 0.9% |
| Intuitive Surgical, Inc.(a) | 57,771 | 11,595,217 |
| Health Care Technology 3.5% |
| Veeva Systems Inc., Class A(a) | 217,413 | 43,056,471 |
| Life Sciences Tools & Services 2.9% |
| Danaher Corp. | 52,776 | 13,379,772 |
| Illumina, Inc.(a) | 47,341 | 8,727,787 |
| Thermo Fisher Scientific, Inc. | 24,126 | 13,107,173 |
| Total | | 35,214,732 |
| Pharmaceuticals 6.2% |
| Eli Lilly & Co. | 80,372 | 26,059,013 |
| Royalty Pharma PLC, Class A | 1,201,066 | 50,492,815 |
| Total | | 76,551,828 |
| Total Health Care | 166,418,248 |
| Industrials 7.8% |
| Aerospace & Defense 3.0% |
| HEICO Corp., Class A | 97,998 | 10,327,029 |
| Lockheed Martin Corp. | 63,152 | 27,152,834 |
| Total | | 37,479,863 |
| Road & Rail 4.8% |
| Uber Technologies, Inc.(a) | 795,676 | 16,279,531 |
| Union Pacific Corp. | 198,264 | 42,285,746 |
| Total | | 58,565,277 |
| Total Industrials | 96,045,140 |
| Information Technology 30.2% |
| Electronic Equipment, Instruments & Components 1.0% |
| Adyen NV(a) | 8,404 | 12,128,085 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| IT Services 8.2% |
| Cloudflare, Inc.(a) | 407,158 | 17,813,162 |
| Okta, Inc.(a) | 126,189 | 11,407,486 |
| Shopify, Inc., Class A(a) | 578,100 | 18,059,844 |
| Snowflake, Inc., Class A(a) | 142,261 | 19,782,815 |
| Twilio, Inc., Class A(a) | 158,718 | 13,302,155 |
| Visa, Inc., Class A | 106,346 | 20,938,464 |
| Total | | 101,303,926 |
| Semiconductors & Semiconductor Equipment 4.3% |
| ASML Holding NV | 111,808 | 53,207,191 |
| Software 9.4% |
| Datadog, Inc., Class A(a) | 249,036 | 23,718,189 |
| Microsoft Corp. | 254,974 | 65,484,972 |
| Trade Desk, Inc. (The), Class A(a) | 414,067 | 17,345,267 |
| Unity Software, Inc.(a) | 263,650 | 9,707,593 |
| Total | | 116,256,021 |
| Technology Hardware, Storage & Peripherals 7.3% |
| Apple, Inc. | 664,754 | 90,885,167 |
| Total Information Technology | 373,780,390 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Materials 2.0% |
| Chemicals 2.0% |
| Sherwin-Williams Co. (The) | 110,520 | 24,746,533 |
| Total Materials | 24,746,533 |
Total Common Stocks
(Cost $1,502,709,893) | 1,160,802,299 |
|
| Money Market Funds 6.1% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(b),(c) | 74,875,250 | 74,830,325 |
Total Money Market Funds
(Cost $74,847,765) | 74,830,325 |
Total Investments in Securities
(Cost: $1,577,557,658) | 1,235,632,624 |
| Other Assets & Liabilities, Net | | (76,006) |
| Net Assets | 1,235,556,618 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 149,748,884 | 301,739,684 | (376,651,103) | (7,140) | 74,830,325 | (42,049) | 230,067 | 74,875,250 |
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.
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (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 market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 148,880,847 | — | — | 148,880,847 |
| Consumer Discretionary | 235,040,413 | — | — | 235,040,413 |
| Consumer Staples | 46,556,550 | — | — | 46,556,550 |
| Financials | 69,334,178 | — | — | 69,334,178 |
| Health Care | 166,418,248 | — | — | 166,418,248 |
| Industrials | 96,045,140 | — | — | 96,045,140 |
| Information Technology | 361,652,305 | 12,128,085 | — | 373,780,390 |
| Materials | 24,746,533 | — | — | 24,746,533 |
| Total Common Stocks | 1,148,674,214 | 12,128,085 | — | 1,160,802,299 |
| Money Market Funds | 74,830,325 | — | — | 74,830,325 |
| Total Investments in Securities | 1,223,504,539 | 12,128,085 | — | 1,235,632,624 |
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.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,502,709,893) | $1,160,802,299 |
| Affiliated issuers (cost $74,847,765) | 74,830,325 |
| Foreign currency (cost $1,405) | 1,398 |
| Receivable for: | |
| Capital shares sold | 4,169 |
| Dividends | 96,678 |
| Prepaid expenses | 12,729 |
| Total assets | 1,235,747,598 |
| Liabilities | |
| Payable for: | |
| Capital shares purchased | 182 |
| Management services fees | 23,875 |
| Distribution and/or service fees | 178 |
| Service fees | 1,656 |
| Compensation of board members | 136,471 |
| Compensation of chief compliance officer | 164 |
| Audit fees | 14,603 |
| Other expenses | 13,851 |
| Total liabilities | 190,980 |
| Net assets applicable to outstanding capital stock | $1,235,556,618 |
| Represented by | |
| Trust capital | $1,235,556,618 |
| Total - representing net assets applicable to outstanding capital stock | $1,235,556,618 |
| Class 1 | |
| Net assets | $1,209,851,862 |
| Shares outstanding | 33,365,502 |
| Net asset value per share | $36.26 |
| Class 2 | |
| Net assets | $25,704,756 |
| Shares outstanding | 730,735 |
| Net asset value per share | $35.18 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022
| 9 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $2,556,601 |
| Dividends — affiliated issuers | 230,067 |
| Interfund lending | 280 |
| Foreign taxes withheld | (65,373) |
| Total income | 2,721,575 |
| Expenses: | |
| Management services fees | 5,069,857 |
| Distribution and/or service fees | |
| Class 2 | 39,868 |
| Service fees | 10,734 |
| Compensation of board members | 8,525 |
| Custodian fees | 9,913 |
| Printing and postage fees | 2,776 |
| Audit fees | 14,713 |
| Legal fees | 13,474 |
| Compensation of chief compliance officer | 68 |
| Other | 13,974 |
| Total expenses | 5,183,902 |
| Net investment loss | (2,462,327) |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (259,132,009) |
| Investments — affiliated issuers | (42,049) |
| Foreign currency translations | (975) |
| Net realized loss | (259,175,033) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (532,611,295) |
| Investments — affiliated issuers | (7,140) |
| Net change in unrealized appreciation (depreciation) | (532,618,435) |
| Net realized and unrealized loss | (791,793,468) |
| Net decrease in net assets resulting from operations | $(794,255,795) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment loss | $(2,462,327) | $(11,892,942) |
| Net realized gain (loss) | (259,175,033) | 361,853,437 |
| Net change in unrealized appreciation (depreciation) | (532,618,435) | (415,129,345) |
| Net decrease in net assets resulting from operations | (794,255,795) | (65,168,850) |
| Increase in net assets from capital stock activity | 43,427,719 | 217,285,953 |
| Total increase (decrease) in net assets | (750,828,076) | 152,117,103 |
| Net assets at beginning of period | 1,986,384,694 | 1,834,267,591 |
| Net assets at end of period | $1,235,556,618 | $1,986,384,694 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 1,041,829 | 46,816,980 | 7,298,747 | 447,072,798 |
| Redemptions | (27,126) | (1,262,220) | (3,593,672) | (235,388,856) |
| Net increase | 1,014,703 | 45,554,760 | 3,705,075 | 211,683,942 |
| Class 2 | | | | |
| Subscriptions | 41,946 | 1,860,543 | 227,756 | 14,336,865 |
| Redemptions | (87,430) | (3,987,584) | (139,424) | (8,734,854) |
| Net increase (decrease) | (45,484) | (2,127,041) | 88,332 | 5,602,011 |
| Total net increase | 969,219 | 43,427,719 | 3,793,407 | 217,285,953 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $60.00 | (0.07) | (23.67) | (23.74) |
| Year Ended 12/31/2021 | $62.57 | (0.36) | (2.21) | (2.57) |
| Year Ended 12/31/2020 | $35.57 | (0.19) | 27.19 | 27.00 |
| Year Ended 12/31/2019 | $27.97 | (0.02) | 7.62 | 7.60 |
| Year Ended 12/31/2018 | $27.18 | 0.02 | 0.77 | 0.79 |
| Year Ended 12/31/2017 | $20.50 | (0.01) | 6.69 | 6.68 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $58.28 | (0.13) | (22.97) | (23.10) |
| Year Ended 12/31/2021 | $60.93 | (0.51) | (2.14) | (2.65) |
| Year Ended 12/31/2020 | $34.72 | (0.30) | 26.51 | 26.21 |
| Year Ended 12/31/2019 | $27.37 | (0.10) | 7.45 | 7.35 |
| Year Ended 12/31/2018 | $26.67 | (0.06) | 0.76 | 0.70 |
| Year Ended 12/31/2017 | $20.17 | (0.06) | 6.56 | 6.50 |
| 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 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) | Annualized. |
| (d) | Ratios include interfund lending expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $36.26 | (39.57%) | 0.70%(c) | 0.70%(c) | (0.33%)(c) | 68% | $1,209,852 |
| Year Ended 12/31/2021 | $60.00 | (4.11%) | 0.67% | 0.67% | (0.55%) | 73% | $1,941,145 |
| Year Ended 12/31/2020 | $62.57 | 75.91% | 0.68%(d) | 0.68%(d) | (0.42%) | 70% | $1,792,357 |
| Year Ended 12/31/2019 | $35.57 | 27.17% | 0.66% | 0.66% | (0.05%) | 80% | $2,345,237 |
| Year Ended 12/31/2018 | $27.97 | 2.91% | 0.67% | 0.67% | 0.07% | 71% | $1,893,796 |
| Year Ended 12/31/2017 | $27.18 | 32.58% | 0.72% | 0.72% | (0.03%) | 68% | $1,804,566 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $35.18 | (39.63%) | 0.95%(c) | 0.95%(c) | (0.59%)(c) | 68% | $25,705 |
| Year Ended 12/31/2021 | $58.28 | (4.35%) | 0.92% | 0.92% | (0.80%) | 73% | $45,239 |
| Year Ended 12/31/2020 | $60.93 | 75.49% | 0.93%(d) | 0.93%(d) | (0.66%) | 70% | $41,911 |
| Year Ended 12/31/2019 | $34.72 | 26.85% | 0.91% | 0.91% | (0.30%) | 80% | $19,150 |
| Year Ended 12/31/2018 | $27.37 | 2.62% | 0.92% | 0.92% | (0.19%) | 71% | $13,254 |
| Year Ended 12/31/2017 | $26.67 | 32.23% | 0.97% | 0.97% | (0.28%) | 68% | $9,269 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022
| 13 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
CTIVP® – Morgan Stanley Advantage 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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 14 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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.
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements (continued)
June 30, 2022 (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.
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 in 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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, 2022 was 0.69% of the Fund’s average daily net assets.
Subadvisory agreement
The Investment Manager has entered into a Subadvisory Agreement with Morgan Stanley Investment Management Inc. to serve as the subadviser to the Fund. The Investment Manager compensates the subadviser to manage the investment of the Fund’s assets.
| 16 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.00% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | May 1, 2022
through
April 30, 2023 | Prior to
May 1, 2022 |
| Class 1 | 0.73% | 0.74% |
| Class 2 | 0.98 | 0.99 |
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
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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 $1,076,369,967 and $957,946,052, respectively, for the six months ended June 30, 2022. 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended June 30, 2022 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Lender | 3,933,333 | 0.93 | 3 |
Interest income earned by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at June 30, 2022.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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
| 18 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
equal to its pro rata share of the unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 8. Significant risks
Information technology sector risk
The Fund is more susceptible to the particular risks that may affect companies in the information technology sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the information technology sector 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 information 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. Some companies in the information technology sector are facing increased government and regulatory scrutiny and may be subject to adverse government or regulatory action, which could negatively impact the value of their securities.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. 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 and noted 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 are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
| 20 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management and Subadvisory
Agreements
(Unaudited)
Columbia Management Investment Advisers, LLC (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 CTIVP® – Morgan Stanley Advantage Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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 the Investment Manager and Morgan Stanley Investment Management Inc. (the Subadviser), the Subadviser provides 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). The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
The Board, at its June 23, 2022 Board meeting (the June Meeting), considered the renewal of each 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
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022
| 21 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Advisory Agreements; |
| • | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager and the Subadviser under the Advisory Agreements, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager and the Subadviser, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager and the Subadviser with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement and the Subadvisory Agreement.
Nature, extent and quality of services provided by the Investment Manager and the Subadviser
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager and the Subadviser, as well as their history, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers. With respect to the Investment Manager, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’s ability to attract and retain
| 22 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. 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 the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by the Investment Manager in addition to monitoring the Subadviser), noting that no changes were proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
The Board 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 subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no changes were recommended to the Subadvisory Agreement. The Board took into account the Investment Manager’s representation that the Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Advisory Agreements supported the continuation of the Management Agreement and the Subadvisory Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) 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 Fund’s portfolio construction process) had been taken or were contemplated to help improve the Fund’s performance.
Additionally, the Board reviewed the performance of the Subadviser and the Investment Manager’s process for monitoring the Subadviser’s performance. The Board considered, in particular, management’s rationale for recommending the continued retention of the Subadviser and management’s representations that the Investment Manager’s profitability is not the key factor driving their recommendation to select, renew or terminate the Subadviser.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022
| 23 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board also considered the Investment Manager’s and Subadviser’s performance and reputation generally, the Investment Manager’s evaluation of the Subadviser’s contribution to the Fund’s broader investment mandate, and the Investment Manager’s willingness to take steps intended to improve performance. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadviser, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates 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 Broadridge and JDL) 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 the Investment Manager’s profitability.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
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 advisory fee rates charged by other comparable mutual funds employing the Subadviser to provide comparable subadvisory services. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees, subadvisory fees and expenses of the Fund, in light of other considerations, supported the continuation of each of the Management Agreement and the Subadvisory Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. Because the Subadvisory Agreement was negotiated at arms-length by the Investment Manager, which is responsible for payments to the Subadviser thereunder, the Board did not consider the profitability to the Subadviser from its relationship with the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreement.
| 24 | CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. The Board also noted that the breakpoints in the Subadvisory Agreement did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement and the Subadvisory Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under each of the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided and approved the renewal of each of the Advisory Agreements.
CTIVP® – Morgan Stanley Advantage Fund | Semiannual Report 2022
| 25 |
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CTIVP® – Morgan Stanley Advantage Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
CTIVP® – American Century Diversified 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which CTIVP® – American Century Diversified Bond Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with a high level of current income.
Portfolio management
American Century Investment Management, Inc.
Robert Gahagan
Jeffrey Houston, CFA
Charles Tan
Peter Van Gelderen
Jason Greenblath
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/07/10 | -11.81 | -11.19 | 1.27 | 1.84 |
| Class 2 | 05/07/10 | -11.95 | -11.47 | 1.02 | 1.58 |
| Bloomberg U.S. Aggregate Bond Index | | -10.35 | -10.29 | 0.88 | 1.54 |
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 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.
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Asset-Backed Securities — Non-Agency | 10.0 |
| Commercial Mortgage-Backed Securities - Non-Agency | 3.7 |
| Corporate Bonds & Notes | 30.8 |
| Foreign Government Obligations | 1.4 |
| Inflation-Indexed Bonds | 3.1 |
| Money Market Funds | 2.0 |
| Municipal Bonds | 1.8 |
| Residential Mortgage-Backed Securities - Agency | 16.8 |
| Residential Mortgage-Backed Securities - Non-Agency | 7.7 |
| Treasury Bills | 0.8 |
| U.S. Treasury Obligations | 21.9 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at June 30, 2022) |
| AAA rating | 43.9 |
| AA rating | 3.9 |
| A rating | 15.0 |
| BBB rating | 23.6 |
| BB rating | 9.5 |
| B rating | 2.1 |
| CCC rating | 0.1 |
| Not rated | 1.9 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments.
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. If a security is not rated but has a rating by Kroll and/or DBRS, the same methodology is applied to those bonds that would otherwise be not rated. 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.
| 4 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Fund at a Glance (continued)
(Unaudited)
| Market exposure through derivatives investments (% of notional exposure) (at June 30, 2022)(a) |
| | Long | Short | Net |
| Fixed Income Derivative Contracts | 1,901.7 | (1,681.9) | 219.8 |
| Foreign Currency Derivative Contracts | 0.0 | (119.8) | 0.0 |
| Total Notional Market Value of Derivative Contracts | 1,901.7 | (1,801.7) | 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 of the Notes to Financial Statements.
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022
| 5 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 881.90 | 1,022.36 | 2.29 | 2.46 | 0.49 |
| Class 2 | 1,000.00 | 1,000.00 | 880.50 | 1,021.12 | 3.45 | 3.71 | 0.74 |
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.
| 6 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Asset-Backed Securities — Non-Agency 10.5% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Aaset Trust(a) |
| Subordinated Series 2021-2A Class B |
| 01/15/2047 | 3.538% | | 7,087,297 | 5,768,554 |
| AIMCO CLO Ltd.(a),(b) |
| Series 2019-10A Class CR |
3-month USD LIBOR + 1.900%
Floor 1.900%
07/22/2032 | 3.036% | | 4,750,000 | 4,395,674 |
| Aligned Data Centers Issuer LLC(a) |
| Subordinated Series 2021-1A Class B |
| 08/15/2046 | 2.482% | | 6,300,000 | 5,742,220 |
| Applebee’s Funding LLC/IHOP Funding LLC(a) |
| Series 2019-1A Class AII |
| 06/07/2049 | 4.723% | | 4,950,000 | 4,628,755 |
| ARES L CLO Ltd.(a),(b) |
| Series 2018-50A Class CR |
3-month USD LIBOR + 1.900%
Floor 1.900%
01/15/2032 | 2.944% | | 4,300,000 | 4,017,911 |
| ARES LII CLO Ltd.(a),(b) |
| Series 2019-52A Class CR |
3-month USD LIBOR + 2.100%
Floor 2.100%
04/22/2031 | 3.236% | | 3,550,000 | 3,337,135 |
| Ares XL CLO Ltd.(a),(b) |
| Series 2016-40A Class CRR |
3-month USD LIBOR + 2.800%
Floor 2.800%
01/15/2029 | 3.844% | | 6,400,000 | 5,860,205 |
| Atrium IX(a),(b) |
| Series 209A Class BR2 |
3-month USD LIBOR + 1.500%
Floor 1.500%
05/28/2030 | 3.098% | | 3,050,000 | 2,946,715 |
| Bain Capital Credit CLO(a),(b) |
| Series 2019-2A Class CR |
3-month USD LIBOR + 2.100%
Floor 2.100%
10/17/2032 | 3.144% | | 4,400,000 | 4,111,514 |
| BDS Ltd.(a),(b) |
| Series 2021-FL7 Class C |
1-month USD LIBOR + 1.700%
Floor 1.700%
06/16/2036 | 3.312% | | 8,075,000 | 7,477,205 |
| Blackbird Capital Aircraft(a) |
| Series 2021-1A Class A |
| 07/15/2046 | 2.443% | | 5,615,189 | 4,806,529 |
| Subordinated Series 2021-1A Class B |
| 07/15/2046 | 3.446% | | 4,927,556 | 3,974,072 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Castlelake Aircraft Securitization Trust(a) |
| Series 2018-1 Class A |
| 06/15/2043 | 4.125% | | 3,122,944 | 2,806,744 |
| Castlelake Aircraft Structured Trust(a) |
| Series 2017-1R Class A |
| 08/15/2041 | 2.741% | | 4,581,812 | 4,072,954 |
| Clsec Holdings LLC |
| Subordinated Series 2021-1 Class C |
| 05/11/2037 | 6.171% | | 12,804,706 | 10,917,884 |
| Cologix Canadian Issuer LP(a) |
| Series 2022-1CAN Class A2 |
| 01/25/2052 | 4.940% | CAD | 10,300,000 | 7,470,877 |
| Dewolf Park CLO Ltd.(a),(b) |
| Series 2017-1A Class CR |
3-month USD LIBOR + 1.850%
Floor 1.850%
10/15/2030 | 2.894% | | 5,000,000 | 4,716,385 |
| DI Issuer LLC(a) |
| Series 2021-1A Class A2 |
| 09/15/2051 | 3.722% | | 13,300,000 | 12,086,156 |
| Dryden CLO Ltd.(a),(b) |
| Series 2019-72A Class CR |
3-month USD LIBOR + 1.850%
Floor 1.850%
05/15/2032 | 3.261% | | 4,550,000 | 4,224,657 |
| Edgeconnex Data Centers Issuer LLC(a) |
| Series 2022-1 Class A2 |
| 03/25/2052 | 4.250% | | 5,851,232 | 5,540,735 |
| Flexential Issuer(a) |
| Series 2021-1A Class A2 |
| 11/27/2051 | 3.250% | | 12,525,000 | 11,402,422 |
| Goldentree Loan Management US CLO 4 Ltd.(a),(b) |
| Series 2019-4A Class CR |
3-month USD LIBOR + 2.000%
Floor 2.000%
04/24/2031 | 3.184% | | 7,785,000 | 7,289,025 |
| Goodgreen(a),(c) |
| Series 2018-1A Class A |
| 10/15/2053 | 3.930% | | 3,967,102 | 3,742,426 |
| Goodgreen Trust(a) |
| Series 2021-1A Class A |
| 10/15/2056 | 2.660% | | 3,393,366 | 3,073,827 |
| KKR CLO Ltd.(a),(b) |
| Series 2018 Class CR |
3-month USD LIBOR + 2.100%
Floor 2.100%
07/18/2030 | 3.144% | | 3,525,000 | 3,349,384 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| KKR Static CLO I Ltd.(a),(b),(d) |
| Series 2022-1A Class B |
3-month Term SOFR + 2.600%
Floor 2.600%
07/20/2031 | 3.650% | | 3,625,000 | 3,617,286 |
| Lunar Aircraft Ltd.(a) |
| Series 2020-1A Class A |
| 02/15/2045 | 3.376% | | 6,252,145 | 5,345,104 |
| Lunar Structured Aircraft Portfolio Notes(a) |
| Series 2021-1 Class A |
| 10/15/2046 | 2.636% | | 8,014,241 | 7,304,495 |
| Subordinated Series 2021-1 Class B |
| 10/15/2046 | 3.432% | | 2,952,497 | 2,619,560 |
| MAPS Trust(a) |
| Series 2021-1A Class A |
| 06/15/2046 | 2.521% | | 6,992,482 | 6,075,425 |
| Nassau Ltd.(a),(b) |
| Series 2019-IA Class BR |
3-month USD LIBOR + 2.600%
Floor 2.600%
04/15/2031 | 3.644% | | 7,000,000 | 6,515,747 |
| Navigator Aircraft ABS Ltd.(a),(c) |
| Series 2021-1 Class A |
| 11/15/2046 | 2.771% | | 8,123,065 | 7,241,354 |
| Octagon Investment Partners 31 LLC(a),(b) |
| Series 2017-1A Class CR |
3-month USD LIBOR + 2.050%
Floor 2.050%
07/20/2030 | 3.113% | | 5,250,000 | 4,943,358 |
| Octagon Investment Partners XV Ltd.(a),(b) |
| Series 2013-1A Class CRR |
3-month USD LIBOR + 2.000%
Floor 2.000%
07/19/2030 | 3.044% | | 3,100,000 | 2,914,164 |
| Palmer Square Loan Funding Ltd.(a),(b) |
| Series 2022-1A Class D |
3-month USD LIBOR + 5.000%
Floor 5.000%
04/15/2030 | 5.234% | | 4,700,000 | 4,051,557 |
| Series 2022-2A Class A2 |
3-month Term SOFR + 1.900%
Floor 1.900%
10/15/2030 | 2.988% | | 3,625,000 | 3,524,261 |
| PFP Ltd.(a),(b) |
| Subordinated Series 2021-8 Class D |
1-month USD LIBOR + 2.150%
Floor 2.150%
08/09/2037 | 3.659% | | 5,700,000 | 5,367,272 |
| Pioneer Aircraft Finance Ltd.(a) |
| Series 2019-1 Class A |
| 06/15/2044 | 3.967% | | 6,759,391 | 6,177,853 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Ready Capital Mortgage Financing LLC(a),(b) |
| Subordinated Series 2021-FL5 Class C |
1-month USD LIBOR + 2.250%
Floor 2.250%
04/25/2038 | 3.874% | | 3,841,000 | 3,562,703 |
| Rockford Tower CLO Ltd.(a),(b) |
| Series 2020-1A Class C |
3-month USD LIBOR + 2.350%
01/20/2032 | 3.413% | | 5,125,000 | 4,866,633 |
| SBA Tower Trust(a) |
| Series 2018 Class 1C |
| 03/15/2023 | 3.448% | | 4,273,000 | 4,237,317 |
| Sierra Timeshare Receivables Funding LLC(a) |
| Series 2019-2A Class C |
| 05/20/2036 | 3.120% | | 1,776,395 | 1,706,833 |
| Slam Ltd.(a) |
| Series 2021-1A Class A |
| 06/15/2046 | 2.434% | | 5,198,437 | 4,489,059 |
| START Ireland(a) |
| Series 2019-1 Class A |
| 03/15/2044 | 4.089% | | 5,701,817 | 5,219,113 |
| Stonepeak ABS(a) |
| Series 2021-1A Class AA |
| 02/28/2033 | 2.301% | | 5,089,474 | 4,745,934 |
| TCI-Symphony CLO Ltd.(a),(b) |
| Series 2016-1A Class CR2 |
3-month USD LIBOR + 2.150%
Floor 2.150%
10/13/2032 | 3.171% | | 4,500,000 | 4,233,325 |
| Series 2017-1A Class CR |
3-month USD LIBOR + 1.800%
Floor 1.800%
07/15/2030 | 2.844% | | 9,900,000 | 9,238,195 |
| Wellfleet CLO Ltd.(a),(b) |
| Series 2022-1A Class B1 |
3-month Term SOFR + 2.350%
Floor 2.350%
04/15/2034 | 2.550% | | 3,250,000 | 3,174,230 |
Total Asset-Backed Securities — Non-Agency
(Cost $272,079,979) | 248,930,743 |
|
| Commercial Mortgage-Backed Securities - Non-Agency 3.8% |
| | | | |
| BBCMS Mortgage Trust(a),(b) |
| Subordinated Series 2019-BWAY Class E |
1-month USD LIBOR + 2.850%
Floor 2.850%
11/25/2034 | 4.174% | | 8,236,000 | 7,817,900 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| BX Commercial Mortgage Trust(a),(b) |
| Subordinated CMO Series 2021-VOLT Class F |
1-month USD LIBOR + 2.400%
Floor 2.400%
09/15/2036 | 3.724% | | 8,900,000 | 8,280,095 |
| BX Commercial Mortgage Trust(a),(c) |
| Subordinated Series 2020-VIV2 Class C |
| 03/09/2044 | 3.661% | | 6,775,000 | 5,682,088 |
| Subordinated Series 2020-VIVA Class D |
| 03/11/2044 | 3.667% | | 6,750,000 | 5,457,414 |
| BX Trust(a) |
| Series 2019-OC11 Class C |
| 12/09/2041 | 3.856% | | 3,439,000 | 3,041,979 |
| BXMT Ltd.(a),(c) |
| Subordinated Series 2020-FL2 Class D |
| 02/15/2038 | 3.474% | | 7,034,000 | 6,706,030 |
| ELP Commercial Mortgage Trust(a),(b) |
| Subordinated Series 2021-ELP Class E |
1-month USD LIBOR + 2.118%
Floor 2.118%
11/15/2038 | 3.442% | | 10,484,000 | 9,908,029 |
| FirstKey Homes Trust(a) |
| Subordinated Series 2020-SFR1 Class D |
| 08/17/2037 | 2.241% | | 6,450,000 | 5,966,397 |
| Subordinated Series 2020-SFR2 Class E |
| 10/19/2037 | 2.668% | | 8,000,000 | 7,271,829 |
| Subordinated Series 2021-SFR1 Class F1 |
| 08/17/2038 | 3.238% | | 7,400,000 | 6,509,516 |
| One Market Plaza Trust(a) |
| Subordinated Series 2017-1MKT Class B |
| 02/10/2032 | 3.845% | | 5,370,000 | 5,205,456 |
| Tricon American Homes(a) |
| Series 2020-SFR1 Class C |
| 07/17/2038 | 2.249% | | 7,400,000 | 6,793,167 |
| Tricon American Homes LLC(a) |
| Series 2020-SFR1 Class D |
| 07/17/2038 | 2.548% | | 7,200,000 | 6,634,765 |
| Tricon American Homes Trust(a) |
| Subordinated Series 2020-SFR2 Class D |
| 11/17/2039 | 2.281% | | 7,500,000 | 6,387,137 |
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $101,351,799) | 91,661,802 |
|
| Corporate Bonds & Notes 32.1% |
| | | | |
| Aerospace & Defense 0.4% |
| Boeing Co. (The) |
| 05/01/2030 | 5.150% | | 1,425,000 | 1,367,124 |
| 05/01/2050 | 5.805% | | 1,100,000 | 1,012,915 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| TransDigm, Inc. |
| 01/15/2029 | 4.625% | | 3,445,000 | 2,773,473 |
| United Technologies Corp. |
| 11/16/2028 | 4.125% | | 3,575,000 | 3,531,893 |
| Total | 8,685,405 |
| Agencies 0.1% |
| Tennessee Valley Authority |
| 09/15/2031 | 1.500% | | 2,100,000 | 1,772,614 |
| Airlines 1.0% |
| Air Canada(a) |
| 08/15/2026 | 3.875% | | 9,885,000 | 8,390,270 |
| American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) |
| 04/20/2026 | 5.500% | | 9,381,000 | 8,642,779 |
| British Airways Pass-Through Trust(a) |
| 03/15/2035 | 2.900% | | 1,428,999 | 1,225,078 |
| Delta Air Lines, Inc./SkyMiles IP Ltd.(a) |
| 10/20/2028 | 4.750% | | 4,384,000 | 4,137,785 |
| United Airlines Pass-Through Trust |
| Series 2020-1 Class B |
| 01/15/2026 | 4.875% | | 1,782,010 | 1,686,364 |
| Total | 24,082,276 |
| Automotive 0.7% |
| Aptiv PLC |
| 12/01/2051 | 3.100% | | 1,940,000 | 1,251,737 |
| Ford Motor Credit Co. LLC |
| 11/13/2025 | 3.375% | | 4,245,000 | 3,821,894 |
| 02/10/2029 | 2.900% | | 3,354,000 | 2,629,550 |
| General Motors Co. |
| 04/01/2038 | 5.150% | | 1,855,000 | 1,624,235 |
| General Motors Financial Co., Inc. |
| 06/20/2025 | 2.750% | | 5,666,000 | 5,339,018 |
| 10/15/2028 | 2.400% | | 2,032,000 | 1,686,058 |
| Total | 16,352,492 |
| Banking 6.2% |
| Ally Financial, Inc. |
| 06/09/2027 | 4.750% | | 1,547,000 | 1,485,673 |
| Banco Santander SA(e) |
| 09/14/2027 | 1.722% | | 2,000,000 | 1,736,500 |
| 03/24/2028 | 4.175% | | 1,000,000 | 955,659 |
| Banco Santander SA |
| Subordinated |
| 11/19/2025 | 5.179% | | 2,600,000 | 2,607,050 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Bank of America Corp.(e) |
| 07/22/2027 | 1.734% | | 7,060,000 | 6,292,107 |
| 12/20/2028 | 3.419% | | 7,135,000 | 6,645,929 |
| 10/22/2030 | 2.884% | | 4,902,000 | 4,287,600 |
| Subordinated |
| 09/21/2036 | 2.482% | | 2,225,000 | 1,730,282 |
| Bank of Ireland Group PLC(a),(e) |
| 09/30/2027 | 2.029% | | 2,979,000 | 2,595,074 |
| Bank of Montreal |
| 06/07/2025 | 3.700% | | 1,246,000 | 1,234,841 |
| BNP Paribas SA(a),(e) |
| Subordinated |
| 03/01/2033 | 4.375% | | 1,548,000 | 1,437,716 |
| Capital One Financial Corp.(e) |
| 05/10/2028 | 4.927% | | 826,000 | 818,715 |
| Citigroup, Inc.(e) |
| 01/25/2026 | 2.014% | | 2,137,000 | 2,003,750 |
| 02/24/2028 | 3.070% | | 3,800,000 | 3,521,593 |
| 05/24/2028 | 4.658% | | 1,355,000 | 1,345,105 |
| 10/27/2028 | 3.520% | | 5,859,000 | 5,467,999 |
| Commonwealth Bank of Australia(a),(e) |
| Subordinated |
| 09/12/2034 | 3.610% | | 2,925,000 | 2,609,024 |
| Deutsche Bank AG(e) |
| 11/16/2027 | 2.311% | | 3,215,000 | 2,773,539 |
| Subordinated |
| 05/24/2028 | 4.296% | | 6,286,000 | 5,630,801 |
| Fifth Third Bancorp(e) |
| 04/25/2028 | 4.055% | | 1,833,000 | 1,788,762 |
| FNB Corp. |
| 02/24/2023 | 2.200% | | 3,670,000 | 3,612,443 |
| Goldman Sachs Group, Inc. (The)(e) |
| 01/24/2025 | 1.757% | | 6,600,000 | 6,350,868 |
| 10/21/2027 | 1.948% | | 10,184,000 | 9,018,208 |
| 04/23/2029 | 3.814% | | 5,600,000 | 5,279,980 |
| HSBC Holdings PLC(e) |
| 05/24/2032 | 2.804% | | 1,760,000 | 1,444,919 |
| JPMorgan Chase & Co.(e) |
| 04/22/2027 | 1.578% | | 2,170,000 | 1,936,854 |
| 02/24/2028 | 2.947% | | 6,538,000 | 6,057,641 |
| 06/01/2029 | 2.069% | | 5,700,000 | 4,901,651 |
| 04/22/2031 | 2.522% | | 2,935,000 | 2,501,984 |
| 11/08/2032 | 2.545% | | 1,467,000 | 1,218,896 |
| Morgan Stanley(e) |
| 01/25/2024 | 0.529% | | 8,081,000 | 7,927,856 |
| 10/21/2025 | 1.164% | | 4,786,000 | 4,439,441 |
| 02/18/2026 | 2.630% | | 5,368,000 | 5,134,221 |
| Subordinated |
| 09/16/2036 | 2.484% | | 1,036,000 | 796,611 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| National Australia Bank Ltd.(a) |
| Subordinated |
| 08/21/2030 | 2.332% | | 1,736,000 | 1,395,852 |
| PNC Financial Services Group, Inc. (The)(e) |
| 12/31/2049 | 3.400% | | 2,304,000 | 1,755,578 |
| Subordinated |
| 06/06/2033 | 4.626% | | 957,000 | 925,284 |
| Societe Generale SA(a) |
| 06/13/2025 | 4.351% | | 1,990,000 | 1,984,671 |
| Societe Generale SA(a),(e) |
| 06/09/2027 | 1.792% | | 2,310,000 | 2,014,035 |
| Swedbank AB(a) |
| 04/04/2025 | 3.356% | | 652,000 | 640,935 |
| Toronto-Dominion Bank (The) |
| 06/08/2032 | 4.456% | | 1,094,000 | 1,081,777 |
| Truist Financial Corp.(e) |
| 06/06/2028 | 4.123% | | 984,000 | 971,542 |
| UBS Group AG(a),(e) |
| 05/12/2026 | 4.488% | | 3,314,000 | 3,301,441 |
| 08/10/2027 | 1.494% | | 2,865,000 | 2,502,235 |
| 05/12/2028 | 4.751% | | 479,000 | 473,912 |
| UniCredit SpA(a),(e) |
| Subordinated |
| 06/19/2032 | 5.861% | | 4,455,000 | 3,936,879 |
| US Bancorp(e) |
| Subordinated |
| 11/03/2036 | 2.491% | | 2,845,000 | 2,322,669 |
| Wells Fargo & Co.(e) |
| 03/24/2028 | 3.526% | | 1,458,000 | 1,383,515 |
| 04/30/2041 | 3.068% | | 3,995,000 | 3,113,673 |
| 04/25/2053 | 4.611% | | 1,100,000 | 1,017,948 |
| Westpac Banking Corp.(e) |
| Subordinated |
| 02/04/2030 | 2.894% | | 1,355,000 | 1,284,113 |
| Total | 147,695,351 |
| Brokerage/Asset Managers/Exchanges 0.2% |
| Blue Owl Finance LLC(a) |
| 06/10/2031 | 3.125% | | 597,000 | 459,072 |
| 10/07/2051 | 4.125% | | 1,281,000 | 849,888 |
| Coinbase Global, Inc.(a) |
| 10/01/2028 | 3.375% | | 3,413,000 | 2,132,182 |
| Intercontinental Exchange, Inc. |
| 06/15/2029 | 4.350% | | 939,000 | 925,874 |
| Total | 4,367,016 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Building Materials 0.6% |
| Builders FirstSource, Inc.(a) |
| 03/01/2030 | 5.000% | | 5,888,000 | 4,998,598 |
| 02/01/2032 | 4.250% | | 1,202,000 | 918,465 |
| Cemex SAB de CV(a) |
| 09/17/2030 | 5.200% | | 1,270,000 | 1,087,357 |
| Eagle Materials, Inc. |
| 07/01/2031 | 2.500% | | 2,119,000 | 1,671,864 |
| Fortune Brands Home & Security, Inc. |
| 03/25/2052 | 4.500% | | 1,100,000 | 850,529 |
| Martin Marietta Materials, Inc. |
| 07/15/2031 | 2.400% | | 2,250,000 | 1,838,072 |
| Standard Industries, Inc.(a) |
| 07/15/2030 | 4.375% | | 4,656,000 | 3,682,704 |
| Total | 15,047,589 |
| Cable and Satellite 0.6% |
| Charter Communications Operating LLC/Capital |
| 07/01/2049 | 5.125% | | 1,620,000 | 1,352,108 |
| Comcast Corp. |
| 04/01/2040 | 3.750% | | 3,035,000 | 2,661,874 |
| 08/15/2062 | 2.650% | | 1,758,000 | 1,131,333 |
| DISH DBS Corp.(a) |
| 12/01/2026 | 5.250% | | 2,670,000 | 2,092,316 |
| Time Warner Cable LLC |
| 09/15/2042 | 4.500% | | 4,235,000 | 3,320,879 |
| VTR Finance NV(a) |
| 07/15/2028 | 6.375% | | 4,366,000 | 3,174,394 |
| Total | 13,732,904 |
| Chemicals 0.4% |
| Albemarle Corp. |
| 06/01/2027 | 4.650% | | 2,931,000 | 2,885,357 |
| CF Industries, Inc. |
| 03/15/2034 | 5.150% | | 2,050,000 | 2,003,721 |
| 06/01/2043 | 4.950% | | 1,480,000 | 1,328,300 |
| Tronox, Inc.(a) |
| 03/15/2029 | 4.625% | | 3,430,000 | 2,772,182 |
| Total | 8,989,560 |
| Construction Machinery 0.0% |
| John Deere Capital Corp. |
| 06/07/2032 | 3.900% | | 915,000 | 904,215 |
| Consumer Cyclical Services 0.1% |
| Block Financial LLC |
| 08/15/2030 | 3.875% | | 2,991,000 | 2,713,957 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Consumer Products 0.3% |
| Clorox Co. (The) |
| 05/01/2032 | 4.600% | | 4,440,000 | 4,457,453 |
| GSK Consumer Healthcare Capital US LLC(a) |
| 03/24/2052 | 4.000% | | 1,150,000 | 991,278 |
| Tempur Sealy International, Inc.(a) |
| 10/15/2031 | 3.875% | | 2,336,000 | 1,751,210 |
| Total | 7,199,941 |
| Diversified Manufacturing 0.3% |
| GE Capital International Funding Co. Unlimited Co. |
| 11/15/2035 | 4.418% | | 4,583,000 | 4,289,372 |
| Wabtec Corp.(e) |
| 09/15/2028 | 4.950% | | 3,442,000 | 3,310,113 |
| Total | 7,599,485 |
| Electric 2.2% |
| AEP Texas, Inc. |
| 07/01/2030 | 2.100% | | 2,760,000 | 2,296,796 |
| Ameren Corp. |
| 01/15/2031 | 3.500% | | 2,975,000 | 2,726,219 |
| Baltimore Gas and Electric Co. |
| 06/15/2031 | 2.250% | | 1,623,000 | 1,383,374 |
| 06/01/2052 | 4.550% | | 867,000 | 840,600 |
| CenterPoint Energy, Inc. |
| 06/01/2031 | 2.650% | | 1,923,000 | 1,639,962 |
| Commonwealth Edison Co. |
| 11/15/2049 | 3.200% | | 2,730,000 | 2,125,630 |
| Dominion Energy, Inc. |
| 08/01/2041 | 4.900% | | 1,890,000 | 1,812,133 |
| Duke Energy Carolinas LLC |
| 04/15/2031 | 2.550% | | 1,050,000 | 919,706 |
| Duke Energy Corp. |
| 06/15/2031 | 2.550% | | 1,160,000 | 964,411 |
| Duke Energy Florida LLC |
| 06/15/2030 | 1.750% | | 1,845,000 | 1,534,598 |
| 11/15/2042 | 3.850% | | 340,000 | 295,576 |
| Duke Energy Progress LLC |
| 12/01/2044 | 4.150% | | 3,185,000 | 2,853,180 |
| Entergy Arkansas LLC |
| 06/15/2051 | 2.650% | | 1,410,000 | 981,485 |
| Exelon Corp. |
| 04/15/2046 | 4.450% | | 905,000 | 816,653 |
| Exelon Corp.(a) |
| 03/15/2052 | 4.100% | | 513,000 | 440,124 |
| FEL Energy VI Sarl(a) |
| 12/01/2040 | 5.750% | | 4,426,874 | 3,236,899 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022
| 11 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Florida Power & Light Co. |
| 02/03/2032 | 2.450% | | 1,443,000 | 1,258,769 |
| 02/01/2042 | 4.125% | | 1,840,000 | 1,732,668 |
| Indiana Michigan Power Co. |
| 05/01/2051 | 3.250% | | 1,049,000 | 796,613 |
| MidAmerican Energy Co. |
| 10/15/2044 | 4.400% | | 2,030,000 | 1,921,381 |
| NextEra Energy Capital Holdings, Inc. |
| 07/15/2032 | 5.000% | | 2,265,000 | 2,320,434 |
| Northern States Power Co. |
| 04/01/2052 | 3.200% | | 1,685,000 | 1,341,784 |
| NRG Energy, Inc.(a) |
| 12/02/2025 | 2.000% | | 5,835,000 | 5,276,276 |
| 02/15/2032 | 3.875% | | 1,567,000 | 1,244,031 |
| Pacific Gas and Electric Co. |
| 06/01/2041 | 4.200% | | 1,090,000 | 808,375 |
| PacifiCorp |
| 03/15/2051 | 3.300% | | 2,070,000 | 1,624,599 |
| Public Service Electric and Gas Co. |
| 03/15/2032 | 3.100% | | 1,753,000 | 1,613,210 |
| Union Electric Co. |
| 04/01/2052 | 3.900% | | 1,456,000 | 1,289,128 |
| WEC Energy Group, Inc. |
| 10/15/2027 | 1.375% | | 3,690,000 | 3,196,210 |
| Xcel Energy, Inc. |
| 06/01/2030 | 3.400% | | 2,445,000 | 2,248,781 |
| 06/01/2032 | 4.600% | | 869,000 | 863,318 |
| Total | 52,402,923 |
| Environmental 0.1% |
| Waste Connections, Inc. |
| 06/01/2032 | 3.200% | | 2,850,000 | 2,538,594 |
| Finance Companies 2.1% |
| AerCap Ireland Capital DAC/Global Aviation Trust |
| 10/29/2028 | 3.000% | | 2,448,000 | 2,059,451 |
| 10/29/2033 | 3.400% | | 2,258,000 | 1,781,069 |
| 10/29/2041 | 3.850% | | 823,000 | 591,970 |
| Air Lease Corp.(e) |
| 12/31/2049 | 4.125% | | 4,480,000 | 3,214,650 |
| Aircastle Ltd.(a) |
| 08/11/2025 | 5.250% | | 4,041,000 | 3,913,604 |
| Aircastle Ltd.(a),(e) |
| 12/31/2049 | 5.250% | | 5,910,000 | 4,823,439 |
| Avolon Holdings Funding Ltd.(a) |
| 04/15/2026 | 4.250% | | 1,356,000 | 1,262,287 |
| 05/01/2026 | 4.375% | | 666,000 | 616,519 |
| 11/18/2027 | 2.528% | | 1,045,000 | 859,167 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Bain Capital Specialty Finance, Inc. |
| 10/13/2026 | 2.550% | | 3,604,000 | 3,092,143 |
| Blackstone Private Credit Fund(a) |
| 03/15/2027 | 3.250% | | 2,886,000 | 2,449,536 |
| Blackstone Secured Lending Fund(a) |
| 09/30/2028 | 2.850% | | 1,319,000 | 1,057,817 |
| Castlelake Aviation Finance DAC(a) |
| 04/15/2027 | 5.000% | | 2,905,000 | 2,431,813 |
| FS KKR Capital Corp.(a) |
| 02/14/2025 | 4.250% | | 782,000 | 744,394 |
| FS KKR Capital Corp. |
| 10/12/2028 | 3.125% | | 1,222,000 | 972,456 |
| Golub Capital BDC, Inc. |
| 08/24/2026 | 2.500% | | 1,110,000 | 929,839 |
| Hercules Capital, Inc. |
| 09/16/2026 | 2.625% | | 2,028,000 | 1,748,616 |
| 01/20/2027 | 3.375% | | 952,000 | 827,668 |
| Main Street Capital Corp. |
| 07/14/2026 | 3.000% | | 1,071,000 | 936,659 |
| Owl Rock Capital Corp. |
| 07/15/2026 | 3.400% | | 746,000 | 655,958 |
| 01/15/2027 | 2.625% | | 1,464,000 | 1,217,967 |
| OWL Rock Core Income Corp.(a) |
| 03/21/2025 | 5.500% | | 293,000 | 281,156 |
| 09/23/2026 | 3.125% | | 4,090,000 | 3,527,997 |
| Owl Rock Technology Finance Corp.(a) |
| 06/30/2025 | 6.750% | | 2,920,000 | 2,902,599 |
| 12/15/2025 | 4.750% | | 490,000 | 463,493 |
| Owl Rock Technology Finance Corp. |
| 01/15/2027 | 2.500% | | 2,200,000 | 1,870,736 |
| Prospect Capital Corp. |
| 01/22/2026 | 3.706% | | 1,983,000 | 1,764,492 |
| 10/15/2028 | 3.437% | | 1,082,000 | 829,299 |
| SLM Corp. |
| 11/02/2026 | 3.125% | | 2,293,000 | 1,849,863 |
| Total | 49,676,657 |
| Food and Beverage 1.4% |
| Anheuser-Busch Companies LLC/InBev Worldwide, Inc. |
| 02/01/2046 | 4.900% | | 4,685,000 | 4,418,749 |
| Anheuser-Busch InBev Worldwide, Inc. |
| 01/23/2029 | 4.750% | | 4,415,000 | 4,499,155 |
| JDE Peet’s NV(a) |
| 09/24/2031 | 2.250% | | 3,195,000 | 2,480,478 |
| Keurig Dr Pepper, Inc. |
| 04/15/2032 | 4.050% | | 1,075,000 | 1,005,945 |
| Kraft Heinz Foods Co. |
| 06/04/2042 | 5.000% | | 2,499,000 | 2,285,918 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Lamb Weston Holdings, Inc.(a) |
| 01/31/2030 | 4.125% | | 3,394,000 | 2,952,697 |
| Sysco Corp. |
| 07/15/2026 | 3.300% | | 1,320,000 | 1,277,570 |
| 04/01/2030 | 5.950% | | 3,983,000 | 4,249,192 |
| United Natural Foods, Inc.(a) |
| 10/15/2028 | 6.750% | | 3,140,000 | 2,940,271 |
| US Foods, Inc.(a) |
| 02/15/2029 | 4.750% | | 3,500,000 | 3,058,261 |
| 06/01/2030 | 4.625% | | 3,862,000 | 3,292,542 |
| Total | 32,460,778 |
| Gaming 0.8% |
| Caesars Entertainment, Inc.(a) |
| 10/15/2029 | 4.625% | | 3,216,000 | 2,509,809 |
| GLP Capital LP/Financing II, Inc. |
| 04/15/2026 | 5.375% | | 2,485,000 | 2,431,858 |
| International Game Technology PLC(a) |
| 01/15/2029 | 5.250% | | 6,160,000 | 5,578,728 |
| Penn National Gaming, Inc.(a) |
| 07/01/2029 | 4.125% | | 2,108,000 | 1,611,988 |
| Scientific Games International, Inc.(a) |
| 11/15/2029 | 7.250% | | 3,281,000 | 3,105,564 |
| VICI Properties LP/Note Co., Inc.(a) |
| 08/15/2030 | 4.125% | | 4,620,000 | 3,981,115 |
| Total | 19,219,062 |
| Health Care 1.1% |
| Baxter International, Inc. |
| 02/01/2027 | 1.915% | | 3,375,000 | 3,022,546 |
| 02/01/2032 | 2.539% | | 3,270,000 | 2,758,146 |
| CVS Health Corp. |
| 08/21/2030 | 1.750% | | 2,390,000 | 1,918,142 |
| 03/25/2038 | 4.780% | | 1,955,000 | 1,850,460 |
| 03/25/2048 | 5.050% | | 1,305,000 | 1,248,563 |
| Danaher Corp. |
| 12/10/2051 | 2.800% | | 2,110,000 | 1,519,957 |
| HCA, Inc. |
| 07/15/2031 | 2.375% | | 1,565,000 | 1,207,747 |
| 07/15/2051 | 3.500% | | 2,260,000 | 1,558,325 |
| Illumina, Inc. |
| 03/23/2031 | 2.550% | | 3,007,000 | 2,444,158 |
| Kaiser Foundation Hospitals |
| 06/01/2051 | 3.002% | | 1,575,000 | 1,177,624 |
| Novant Health, Inc. |
| 11/01/2051 | 3.168% | | 1,880,000 | 1,446,256 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Universal Health Services, Inc.(a) |
| 09/01/2026 | 1.650% | | 3,813,000 | 3,303,440 |
| 10/15/2030 | 2.650% | | 4,480,000 | 3,570,241 |
| Total | 27,025,605 |
| Healthcare Insurance 0.4% |
| Centene Corp. |
| 12/15/2029 | 4.625% | | 3,567,000 | 3,326,182 |
| 02/15/2030 | 3.375% | | 3,474,000 | 2,946,243 |
| Humana, Inc. |
| 02/03/2032 | 2.150% | | 2,730,000 | 2,210,307 |
| Total | 8,482,732 |
| Home Construction 0.4% |
| DR Horton, Inc. |
| 10/15/2024 | 2.500% | | 2,850,000 | 2,722,183 |
| KB Home |
| 11/15/2029 | 4.800% | | 4,675,000 | 3,934,378 |
| Meritage Homes Corp.(a) |
| 04/15/2029 | 3.875% | | 3,135,000 | 2,600,472 |
| Total | 9,257,033 |
| Independent Energy 0.8% |
| Aker BP ASA(a) |
| 01/15/2030 | 3.750% | | 3,030,000 | 2,714,583 |
| 01/15/2031 | 4.000% | | 1,280,000 | 1,150,301 |
| Antero Resources Corp.(a) |
| 02/01/2029 | 7.625% | | 2,897,000 | 2,957,302 |
| Continental Resources, Inc.(a) |
| 11/15/2026 | 2.268% | | 2,040,000 | 1,809,789 |
| 04/01/2032 | 2.875% | | 1,436,000 | 1,123,032 |
| Geopark Ltd.(a) |
| 01/17/2027 | 5.500% | | 2,250,000 | 1,884,816 |
| MEG Energy Corp.(a) |
| 02/01/2029 | 5.875% | | 4,635,000 | 4,237,815 |
| Southwestern Energy Co. |
| 03/15/2030 | 5.375% | | 4,742,000 | 4,363,081 |
| Total | 20,240,719 |
| Integrated Energy 0.1% |
| BP Capital Markets America, Inc. |
| 06/17/2041 | 3.060% | | 1,720,000 | 1,339,618 |
| Cenovus Energy, Inc. |
| 01/15/2032 | 2.650% | | 1,910,000 | 1,581,936 |
| Total | 2,921,554 |
| Leisure 0.1% |
| Carnival Corp.(a) |
| 03/01/2027 | 5.750% | | 2,393,000 | 1,728,673 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022
| 13 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Life Insurance 1.1% |
| Athene Global Funding(a) |
| 03/08/2027 | 3.205% | | 705,000 | 641,170 |
| 08/19/2028 | 1.985% | | 2,196,000 | 1,814,111 |
| Brighthouse Financial Global Funding(a) |
| 06/28/2028 | 2.000% | | 1,825,000 | 1,577,937 |
| CoreBridge Financial, Inc.(a) |
| 04/05/2029 | 3.850% | | 1,423,000 | 1,313,042 |
| 04/05/2042 | 4.350% | | 658,000 | 561,926 |
| GA Global Funding Trust(a) |
| 01/06/2032 | 2.900% | | 1,035,000 | 860,528 |
| Global Atlantic Fin Co.(a) |
| 06/15/2031 | 3.125% | | 1,657,000 | 1,320,944 |
| Global Atlantic Fin Co.(a),(e) |
| Subordinated |
| 10/15/2051 | 4.700% | | 4,435,000 | 3,603,835 |
| Guardian Life Global Funding(a) |
| 09/16/2028 | 1.625% | | 3,171,000 | 2,645,323 |
| Hill City Funding Trust(a) |
| 08/15/2041 | 4.046% | | 2,683,000 | 1,954,991 |
| Prudential Financial, Inc.(e) |
| 03/01/2052 | 5.125% | | 2,720,000 | 2,510,446 |
| RGA Global Funding(a) |
| 01/18/2029 | 2.700% | | 2,715,000 | 2,396,944 |
| Sammons Financial Group, Inc.(a) |
| 04/08/2032 | 4.750% | | 1,055,000 | 960,024 |
| SBL Holdings, Inc.(a) |
| 11/13/2026 | 5.125% | | 2,018,000 | 1,963,072 |
| SBL Holdings, Inc.(a),(e) |
| 12/31/2049 | 6.500% | | 3,248,000 | 2,549,979 |
| Total | 26,674,272 |
| Lodging 0.1% |
| Marriott International, Inc. |
| 10/15/2032 | 3.500% | | 2,467,000 | 2,126,719 |
| Media and Entertainment 0.9% |
| AMC Networks, Inc. |
| 02/15/2029 | 4.250% | | 2,140,000 | 1,737,007 |
| Discovery Communications LLC |
| 05/15/2050 | 4.650% | | 1,650,000 | 1,297,208 |
| Gray Escrow II, Inc.(a) |
| 11/15/2031 | 5.375% | | 3,640,000 | 2,915,836 |
| Magallanes, Inc.(a) |
| 03/15/2027 | 3.755% | | 1,551,000 | 1,455,604 |
| 03/15/2042 | 5.050% | | 978,000 | 831,731 |
| 03/15/2052 | 5.141% | | 2,145,000 | 1,800,806 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Netflix, Inc. |
| 02/15/2025 | 5.875% | | 1,175,000 | 1,193,775 |
| 04/15/2028 | 4.875% | | 3,258,000 | 3,075,965 |
| 11/15/2028 | 5.875% | | 1,110,000 | 1,086,619 |
| Take-Two Interactive Software, Inc. |
| 04/14/2032 | 4.000% | | 1,205,000 | 1,131,329 |
| Viacom, Inc. |
| 03/15/2043 | 4.375% | | 1,815,000 | 1,405,865 |
| ViacomCBS, Inc. |
| 01/15/2031 | 4.950% | | 1,185,000 | 1,128,466 |
| Walt Disney Co. (The) |
| 05/13/2040 | 3.500% | | 1,905,000 | 1,626,734 |
| Total | 20,686,945 |
| Metals and Mining 0.8% |
| Alcoa Nederland Holding BV(a) |
| 03/31/2029 | 4.125% | | 2,840,000 | 2,542,842 |
| Freeport-McMoRan, Inc. |
| 08/01/2030 | 4.625% | | 9,046,000 | 8,388,807 |
| Glencore Funding LLC(a) |
| 09/23/2031 | 2.625% | | 2,975,000 | 2,399,152 |
| Minera Mexico SA de CV(a) |
| 01/26/2050 | 4.500% | | 3,200,000 | 2,471,158 |
| Nucor Corp. |
| 04/01/2032 | 3.125% | | 1,255,000 | 1,093,966 |
| South32 Treasury Ltd.(a) |
| 04/14/2032 | 4.350% | | 2,125,000 | 1,984,608 |
| Teck Resources Ltd. |
| 07/15/2041 | 6.250% | | 1,105,000 | 1,137,969 |
| Total | 20,018,502 |
| Midstream 1.0% |
| Enbridge, Inc. |
| 08/01/2051 | 3.400% | | 800,000 | 603,728 |
| Energy Transfer Operating LP |
| 04/15/2029 | 5.250% | | 4,110,000 | 4,072,798 |
| Energy Transfer Partners LP |
| 03/15/2035 | 4.900% | | 1,870,000 | 1,684,760 |
| Enterprise Products Operating LLC |
| 03/15/2044 | 4.850% | | 2,795,000 | 2,539,027 |
| 02/15/2053 | 3.300% | | 1,473,000 | 1,073,959 |
| Galaxy Pipeline Assets Bidco Ltd.(a) |
| 09/30/2040 | 2.940% | | 5,895,660 | 4,814,843 |
| Kinder Morgan Energy Partners LP |
| 09/01/2039 | 6.500% | | 1,736,000 | 1,780,078 |
| MPLX LP |
| 08/15/2030 | 2.650% | | 2,000,000 | 1,669,763 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Sabine Pass Liquefaction LLC |
| 03/01/2025 | 5.625% | | 4,315,000 | 4,408,491 |
| Venture Global Calcasieu Pass LLC(a) |
| 11/01/2033 | 3.875% | | 1,949,000 | 1,607,531 |
| Total | 24,254,978 |
| Natural Gas 0.3% |
| Infraestructura Energetica Nova SAB de CV(a) |
| 01/15/2051 | 4.750% | | 3,400,000 | 2,499,341 |
| Sempra Energy |
| 06/15/2027 | 3.250% | | 3,200,000 | 3,034,868 |
| Southern Co. Gas Capital Corp. |
| 01/15/2031 | 1.750% | | 2,835,000 | 2,235,963 |
| Total | 7,770,172 |
| Office REIT 0.1% |
| Corporate Office Properties LP |
| 01/15/2029 | 2.000% | | 1,792,000 | 1,445,185 |
| Office Properties Income Trust |
| 02/01/2027 | 2.400% | | 1,653,000 | 1,350,641 |
| Total | 2,795,826 |
| Oil Field Services 0.2% |
| Helmerich & Payne, Inc. |
| 09/29/2031 | 2.900% | | 3,232,000 | 2,767,547 |
| Schlumberger Investment SA |
| 06/26/2030 | 2.650% | | 2,090,000 | 1,837,800 |
| Total | 4,605,347 |
| Other Industry 0.1% |
| Quanta Services, Inc. |
| 01/15/2032 | 2.350% | | 3,120,000 | 2,404,332 |
| Other REIT 0.7% |
| Broadstone Net Lease LLC |
| 09/15/2031 | 2.600% | | 1,167,000 | 949,403 |
| EPR Properties |
| 12/15/2026 | 4.750% | | 1,408,000 | 1,318,056 |
| 04/15/2028 | 4.950% | | 6,332,000 | 5,778,954 |
| Ladder Capital Finance Holdings LLLP/Corp.(a) |
| 06/15/2029 | 4.750% | | 3,432,000 | 2,648,920 |
| Lexington Realty Trust |
| 10/01/2031 | 2.375% | | 1,490,000 | 1,155,879 |
| Rexford Industrial Realty LP |
| 09/01/2031 | 2.150% | | 2,987,000 | 2,338,773 |
| Safehold Operating Partnership LP |
| 01/15/2032 | 2.850% | | 4,410,000 | 3,534,996 |
| Total | 17,724,981 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Other Utility 0.2% |
| American Water Capital Corp. |
| 06/01/2032 | 4.450% | | 3,070,000 | 3,051,586 |
| Essential Utilities, Inc. |
| 04/15/2030 | 2.704% | | 2,570,000 | 2,246,120 |
| Total | 5,297,706 |
| Packaging 0.1% |
| Sonoco Products Co. |
| 02/01/2027 | 2.250% | | 2,795,000 | 2,516,272 |
| Paper 0.1% |
| Georgia-Pacific LLC(a) |
| 04/30/2027 | 2.100% | | 3,105,000 | 2,841,549 |
| Pharmaceuticals 0.8% |
| AbbVie, Inc. |
| 11/21/2029 | 3.200% | | 2,885,000 | 2,652,569 |
| 11/06/2042 | 4.400% | | 2,700,000 | 2,454,644 |
| Bristol Myers Squibb Co. |
| 03/15/2032 | 2.950% | | 2,680,000 | 2,460,049 |
| 11/13/2050 | 2.550% | | 1,968,000 | 1,391,521 |
| CSL Finance PLC(a) |
| 04/27/2032 | 4.250% | | 1,600,000 | 1,564,443 |
| Merck & Co., Inc. |
| 06/10/2027 | 1.700% | | 2,175,000 | 1,977,078 |
| Roche Holdings, Inc.(a) |
| 12/13/2051 | 2.607% | | 2,850,000 | 2,081,582 |
| Royalty Pharma PLC |
| 09/02/2030 | 2.200% | | 3,545,000 | 2,860,956 |
| Viatris, Inc. |
| 06/22/2050 | 4.000% | | 888,000 | 591,685 |
| Total | 18,034,527 |
| Property & Casualty 0.2% |
| Alleghany Corp. |
| 08/15/2051 | 3.250% | | 1,440,000 | 1,060,079 |
| American International Group, Inc. |
| 05/01/2036 | 6.250% | | 2,600,000 | 2,925,225 |
| Total | 3,985,304 |
| Railroads 0.3% |
| Burlington Northern Santa Fe LLC |
| 04/01/2045 | 4.150% | | 2,035,000 | 1,853,202 |
| 09/15/2051 | 3.300% | | 1,325,000 | 1,064,953 |
| Norfolk Southern Corp. |
| 06/01/2053 | 4.550% | | 1,290,000 | 1,218,111 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022
| 15 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Union Pacific Corp. |
| 08/15/2039 | 3.550% | | 3,225,000 | 2,783,933 |
| Total | 6,920,199 |
| Retail REIT 0.3% |
| Essential Properties LP |
| 07/15/2031 | 2.950% | | 2,176,000 | 1,706,904 |
| National Retail Properties, Inc. |
| 10/15/2048 | 4.800% | | 1,730,000 | 1,607,899 |
| Phillips Edison Grocery Center Operating Partnership I LP |
| 11/15/2031 | 2.625% | | 1,450,000 | 1,122,948 |
| STORE Capital Corp. |
| 03/15/2029 | 4.625% | | 1,054,000 | 1,028,582 |
| 12/01/2031 | 2.700% | | 1,399,000 | 1,121,110 |
| Tanger Properties LP |
| 09/01/2031 | 2.750% | | 1,527,000 | 1,194,356 |
| Total | 7,781,799 |
| Retailers 1.0% |
| Amazon.com, Inc. |
| 05/12/2041 | 2.875% | | 1,755,000 | 1,407,277 |
| Dick’s Sporting Goods, Inc. |
| 01/15/2032 | 3.150% | | 3,139,000 | 2,485,642 |
| Dollar Tree, Inc. |
| 12/01/2031 | 2.650% | | 3,145,000 | 2,586,410 |
| Home Depot, Inc. (The) |
| 06/15/2047 | 3.900% | | 4,800,000 | 4,296,869 |
| Lowe’s Companies, Inc. |
| 04/01/2031 | 2.625% | | 4,855,000 | 4,158,642 |
| 04/01/2052 | 4.250% | | 4,490,000 | 3,886,343 |
| Magic MergeCo, Inc.(a) |
| 05/01/2028 | 5.250% | | 2,400,000 | 1,890,094 |
| O’Reilly Automotive, Inc. |
| 06/15/2032 | 4.700% | | 1,687,000 | 1,681,787 |
| Victoria’s Secret & Co.(a) |
| 07/15/2029 | 4.625% | | 1,920,000 | 1,447,316 |
| Total | 23,840,380 |
| Technology 1.3% |
| Apple, Inc. |
| 08/05/2031 | 1.700% | | 5,055,000 | 4,237,542 |
| Broadcom, Inc.(a) |
| 04/15/2029 | 4.000% | | 1,690,000 | 1,569,023 |
| 05/15/2037 | 4.926% | | 1,933,000 | 1,736,211 |
| Dell International LLC/EMC Corp. |
| 07/15/2036 | 8.100% | | 1,561,000 | 1,827,219 |
| Fiserv, Inc. |
| 06/01/2030 | 2.650% | | 2,505,000 | 2,117,429 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Intel Corp. |
| 08/12/2041 | 2.800% | | 3,900,000 | 2,967,611 |
| 08/12/2061 | 3.200% | | 2,707,000 | 1,974,793 |
| KLA Corp. |
| 07/15/2032 | 4.650% | | 938,000 | 958,575 |
| Microchip Technology, Inc. |
| 09/01/2025 | 4.250% | | 4,865,000 | 4,746,119 |
| Moody’s Corp. |
| 08/18/2060 | 2.550% | | 1,610,000 | 997,187 |
| NCR Corp.(a) |
| 04/15/2029 | 5.125% | | 3,000,000 | 2,543,504 |
| Oracle Corp. |
| 04/01/2040 | 3.600% | | 2,325,000 | 1,741,284 |
| Qorvo, Inc. |
| 10/15/2029 | 4.375% | | 2,401,000 | 2,113,440 |
| Qorvo, Inc.(a) |
| 04/01/2031 | 3.375% | | 866,000 | 684,740 |
| Total | 30,214,677 |
| Transportation Services 0.1% |
| GXO Logistics, Inc. |
| 07/15/2031 | 2.650% | | 2,318,000 | 1,827,080 |
| Wireless 0.8% |
| American Tower Corp. |
| 07/15/2027 | 3.550% | | 1,955,000 | 1,835,598 |
| 03/15/2029 | 3.950% | | 485,000 | 451,644 |
| Sprint Corp. |
| 02/15/2025 | 7.625% | | 5,325,000 | 5,558,874 |
| T-Mobile USA, Inc. |
| 02/01/2028 | 4.750% | | 5,258,000 | 5,068,365 |
| 02/15/2031 | 2.550% | | 1,670,000 | 1,404,886 |
| 04/15/2031 | 3.500% | | 2,520,000 | 2,181,733 |
| Vodafone Group PLC(e) |
| 06/04/2081 | 4.125% | | 3,030,000 | 2,273,658 |
| Total | 18,774,758 |
| Wirelines 1.2% |
| AT&T, Inc. |
| 03/01/2029 | 4.350% | | 5,930,000 | 5,844,013 |
| 05/15/2035 | 4.500% | | 1,300,000 | 1,232,485 |
| 08/15/2037 | 4.900% | | 2,365,000 | 2,343,695 |
| 03/09/2049 | 4.550% | | 2,503,000 | 2,275,709 |
| 09/15/2055 | 3.550% | | 1,176,000 | 881,310 |
| Level 3 Financing, Inc.(a) |
| 09/15/2027 | 4.625% | | 2,284,000 | 1,963,687 |
| Telecom Italia Capital SA |
| 11/15/2033 | 6.375% | | 3,600,000 | 2,783,649 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Telefonica Emisiones SAU |
| 03/06/2048 | 4.895% | | 4,400,000 | 3,762,779 |
| Verizon Communications, Inc. |
| 09/21/2028 | 4.329% | | 2,301,000 | 2,290,104 |
| 01/20/2031 | 1.750% | | 2,080,000 | 1,670,510 |
| 03/22/2041 | 3.400% | | 1,571,000 | 1,278,552 |
| 08/21/2046 | 4.862% | | 1,465,000 | 1,443,696 |
| Total | 27,770,189 |
Total Corporate Bonds & Notes
(Cost $887,557,046) | 763,963,649 |
|
| Foreign Government Obligations(f) 1.4% |
| | | | |
| Canada 0.0% |
| Ontario Teachers’ Cadillac Fairview Properties Trust(a) |
| 10/15/2031 | 2.500% | | 1,343,000 | 1,143,708 |
| Colombia 0.1% |
| Colombia Government International Bond |
| 01/18/2041 | 6.125% | | 4,500,000 | 3,522,555 |
| Jordan 0.1% |
| Jordan Government International Bond(a) |
| 01/15/2028 | 7.750% | | 3,414,000 | 3,189,461 |
| Mexico 0.3% |
| Petroleos Mexicanos |
| 01/30/2023 | 3.500% | | 1,259,000 | 1,238,464 |
| 03/13/2027 | 6.500% | | 5,875,000 | 5,099,962 |
| Total | 6,338,426 |
| Norway 0.1% |
| Equinor ASA |
| 11/18/2049 | 3.250% | | 1,590,000 | 1,262,550 |
| Panama 0.0% |
| Panama Government International Bond |
| 01/26/2036 | 6.700% | | 1,000,000 | 1,080,218 |
| Qatar 0.1% |
| Ooredoo International Finance Ltd.(a) |
| 04/08/2031 | 2.625% | | 1,900,000 | 1,653,168 |
| Saudi Arabia 0.3% |
| SA Global Sukuk Ltd.(a) |
| 06/17/2031 | 2.694% | | 7,000,000 | 6,147,213 |
| Singapore 0.1% |
| BOC Aviation Ltd.(a) |
| 01/21/2026 | 1.750% | | 2,400,000 | 2,201,870 |
| Foreign Government Obligations(f) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| South Africa 0.1% |
| Republic of South Africa Government International Bond |
| 06/22/2030 | 5.875% | | 1,600,000 | 1,445,297 |
| United Arab Emirates 0.1% |
| Abu Dhabi National Energy Co. PJSC(a) |
| 04/29/2028 | 2.000% | | 2,240,000 | 1,990,451 |
| United States 0.1% |
| Antares Holdings LP(a) |
| 01/15/2027 | 2.750% | | 1,876,000 | 1,577,604 |
| DAE Funding LLC(a) |
| 08/01/2024 | 1.550% | | 2,075,000 | 1,933,732 |
| Total | 3,511,336 |
Total Foreign Government Obligations
(Cost $37,780,970) | 33,486,253 |
|
| Inflation-Indexed Bonds 3.3% |
| | | | |
| United States 3.3% |
| U.S. Treasury Inflation-Indexed Bond |
| 04/15/2027 | 0.125% | | 24,574,800 | 24,179,527 |
| 01/15/2028 | 0.500% | | 30,473,820 | 30,262,569 |
| 07/15/2029 | 0.250% | | 6,781,440 | 6,574,553 |
| 01/15/2030 | 0.125% | | 561,850 | 536,007 |
| 07/15/2031 | 0.125% | | 17,258,880 | 16,412,082 |
| Total | 77,964,738 |
Total Inflation-Indexed Bonds
(Cost $85,379,558) | 77,964,738 |
|
| Municipal Bonds 1.9% |
| Issue Description | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Higher Education 0.1% |
| California State University |
| Taxable Refunding Revenue Bonds |
| Series 2020B |
| 11/01/2051 | 2.975% | | 2,250,000 | 1,772,230 |
| Los Angeles Community College District |
| Unlimited General Obligation Bonds |
| Build America Bonds |
| Series 2010 |
| 08/01/2049 | 6.750% | | 800,000 | 1,101,686 |
| Rutgers, The State University of New Jersey |
| Revenue Bonds |
| Build America Bonds |
| Series 2010 |
| 05/01/2040 | 5.665% | | 525,000 | 586,841 |
| Total | 3,460,757 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022
| 17 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Municipal Bonds (continued) |
| Issue Description | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Hospital 0.1% |
| Escambia County Health Facilities Authority |
| Taxable Refunding Revenue Bonds |
| Health Care Facilities |
| Series 2020 (AGM) |
| 08/15/2040 | 3.607% | | 2,170,000 | 1,824,252 |
| Regents of the University of California Medical Center |
| Revenue Bonds |
| Taxable |
| Series 2020N |
| 05/15/2060 | 3.256% | | 1,595,000 | 1,185,578 |
| Total | 3,009,830 |
| Local General Obligation 0.1% |
| City of Chicago |
| Unlimited General Obligation Bonds |
| Taxable |
| Series 2017B |
| 01/01/2029 | 7.045% | | 645,000 | 685,711 |
| City of Houston |
| Limited General Obligation Bonds |
| Taxable |
| Series 2017 |
| 03/01/2047 | 3.961% | | 800,000 | 748,407 |
| Total | 1,434,118 |
| Municipal Power 0.0% |
| Sacramento Municipal Utility District |
| Revenue Bonds |
| Build America Bonds |
| Series 2010 |
| 05/15/2036 | 6.156% | | 900,000 | 1,043,177 |
| Other Bond Issue 0.1% |
| City of San Francisco Public Utilities Commission Water |
| Revenue Bonds |
| Build America Bonds |
| Series 2010 |
| 11/01/2040 | 6.000% | | 1,050,000 | 1,198,381 |
| San Diego County Regional Airport Authority |
| Revenue Bonds |
| Taxable Senior Consolidated Rental Car Facility |
| Series 2014 |
| 07/01/2043 | 5.594% | | 935,000 | 973,972 |
| Total | 2,172,353 |
| Ports 0.1% |
| Port Authority of New York & New Jersey |
| Revenue Bonds |
| Consolidated 168th |
| Series 2011 |
| 10/01/2051 | 4.926% | | 2,000,000 | 2,134,333 |
| Municipal Bonds (continued) |
| Issue Description | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Refunded / Escrowed 0.0% |
| City of Chicago |
| Prerefunded 01/01/23 Unlimited General Obligation Bonds |
| Taxable |
| Series 2017B |
| 01/01/2029 | 7.045% | | 95,000 | 96,765 |
| Sales Tax 0.1% |
| Santa Clara Valley Transportation Authority |
| Revenue Bonds |
| Series 2010 (BAM) |
| 04/01/2032 | 5.876% | | 2,220,000 | 2,410,484 |
| Special Non Property Tax 0.1% |
| Missouri Highway & Transportation Commission |
| Revenue Bonds |
| Build America Bonds |
| Series 2009 |
| 05/01/2033 | 5.445% | | 1,700,000 | 1,861,709 |
| New York State Dormitory Authority |
| Unrefunded Revenue Bonds |
| Taxable |
| Series 2019F |
| 02/15/2043 | 3.190% | | 1,265,000 | 1,037,575 |
| Total | 2,899,284 |
| State Appropriated 0.2% |
| Kentucky Turnpike Authority |
| Revenue Bonds |
| Build America Bonds |
| Series 2010B |
| 07/01/2030 | 5.722% | | 2,050,000 | 2,267,704 |
| Michigan Strategic Fund |
| Taxable Revenue Bonds |
| Flint Water Advocacy Fund |
| Series 2021 |
| 09/01/2047 | 3.225% | | 3,550,000 | 2,744,588 |
| Total | 5,012,292 |
| State General Obligation 0.3% |
| State of California |
| Unlimited General Obligation Bonds |
| Build America Bonds |
| Series 2009 |
| 10/01/2039 | 7.300% | | 3,445,000 | 4,456,475 |
| Unlimited General Obligation Refunding Bonds |
| Taxable |
| Series 2018 |
| 04/01/2038 | 4.600% | | 2,335,000 | 2,361,026 |
| Total | 6,817,501 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Municipal Bonds (continued) |
| Issue Description | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Tobacco 0.2% |
| Golden State Tobacco Securitization Corp. |
| Revenue Bonds |
| Taxable |
| Series 2021 |
| 06/01/2034 | 2.746% | | 4,635,000 | 3,995,525 |
| Transportation 0.1% |
| Metropolitan Transportation Authority |
| Revenue Bonds |
| Taxable Build America Bonds |
| Series 2010 |
| 11/15/2040 | 6.687% | | 1,650,000 | 1,947,722 |
| Turnpike / Bridge / Toll Road 0.3% |
| Bay Area Toll Authority |
| Revenue Bonds |
| Build America Bonds |
| Subordinated Series 2010S-1 |
| 04/01/2040 | 6.918% | | 1,265,000 | 1,551,408 |
| Foothill-Eastern Transportation Corridor Agency |
| Refunding Revenue Bonds |
| Taxable Toll Road |
| Series 2019A |
| 01/15/2049 | 4.094% | | 2,285,000 | 1,996,928 |
| New Jersey Turnpike Authority |
| Revenue Bonds |
| Taxable Build America Bonds |
| Series 2009 |
| 01/01/2040 | 7.414% | | 1,275,000 | 1,692,062 |
| Ohio Turnpike & Infrastructure Commission |
| Taxable Refunding Revenue Bonds |
| Junior Lien - Infrastructure Projects |
| Series 2020 |
| 02/15/2048 | 3.216% | | 2,640,000 | 2,059,621 |
| Total | 7,300,019 |
| Water & Sewer 0.1% |
| 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 | 1,222,299 |
Total Municipal Bonds
(Cost $47,792,271) | 44,956,459 |
|
| Residential Mortgage-Backed Securities - Agency 17.6% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal Home Loan Mortgage Corp.(b) |
12-month USD LIBOR + 1.872%
Cap 10.057%
07/01/2036 | 2.692% | | 734,072 | 752,204 |
1-year CMT + 2.135%
Cap 10.643%
10/01/2036 | 2.196% | | 536,337 | 554,160 |
1-year CMT + 2.256%
Cap 10.179%
04/01/2037 | 2.499% | | 646,579 | 665,519 |
12-month USD LIBOR + 1.882%
Cap 9.165%
07/01/2041 | 2.307% | | 347,724 | 357,799 |
12-month USD LIBOR + 1.650%
Cap 7.148%
12/01/2042 | 1.900% | | 386,191 | 388,723 |
| Federal Home Loan Mortgage Corp. |
| 02/01/2038 | 6.000% | | 306,536 | 336,384 |
03/01/2042-
01/01/2052 | 2.500% | | 33,349,215 | 30,325,587 |
07/01/2051-
12/01/2051 | 3.000% | | 27,786,344 | 26,023,487 |
| 08/01/2051 | 2.000% | | 11,031,604 | 9,625,871 |
| 05/01/2052 | 3.500% | | 5,766,648 | 5,569,975 |
05/01/2052-
06/01/2052 | 4.000% | | 16,683,232 | 16,506,789 |
| Federal Home Loan Mortgage Corp.(g) |
| 05/01/2052 | 4.000% | | 7,109,638 | 7,063,110 |
| Federal Home Loan Mortgage Corp. REMICS(h) |
| CMO Series 5146 Class DI |
| 07/25/2039 | 5.500% | | 3,709,270 | 710,932 |
| Federal National Mortgage Association |
12/01/2033-
09/01/2037 | 6.000% | | 669,777 | 732,448 |
03/01/2034-
04/01/2052 | 3.500% | | 24,123,561 | 23,665,778 |
06/01/2036-
03/01/2052 | 2.000% | | 39,920,159 | 36,091,308 |
04/01/2039-
11/01/2040 | 4.500% | | 5,206,224 | 5,375,195 |
| 05/01/2039 | 6.500% | | 193,247 | 215,782 |
08/01/2041-
11/01/2059 | 4.000% | | 48,859,248 | 48,502,912 |
03/01/2042-
03/01/2052 | 2.500% | | 42,596,057 | 38,755,378 |
05/01/2050-
02/01/2052 | 3.000% | | 14,327,066 | 13,499,400 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022
| 19 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal National Mortgage Association(b) |
6-month USD LIBOR + 1.565%
Floor 1.565%, Cap 11.173%
06/01/2035 | 3.144% | | 876,800 | 898,708 |
6-month USD LIBOR + 1.565%
Floor 1.565%, Cap 11.153%
06/01/2035 | 3.176% | | 260,481 | 266,974 |
6-month USD LIBOR + 1.565%
Floor 1.565%, Cap 11.282%
06/01/2035 | 3.248% | | 349,274 | 358,067 |
6-month USD LIBOR + 1.565%
Floor 1.565%, Cap 11.064%
06/01/2035 | 3.286% | | 338,470 | 347,070 |
1-year CMT + 2.155%
Floor 2.155%, Cap 9.614%
03/01/2038 | 2.294% | | 835,732 | 862,745 |
12-month USD LIBOR + 1.610%
Floor 1.610%, Cap 8.184%
03/01/2047 | 3.184% | | 1,049,531 | 1,041,674 |
12-month USD LIBOR + 1.610%
Floor 1.610%, Cap 8.117%
04/01/2047 | 3.117% | | 971,449 | 962,546 |
| CMO Series 2005-106 Class UF |
1-month USD LIBOR + 0.300%
Floor 0.300%, Cap 7.000%
11/25/2035 | 1.924% | | 419,096 | 417,995 |
| Federal National Mortgage Association(g) |
| 04/01/2052 | 4.000% | | 4,028,964 | 4,005,791 |
| Freddie Mac REMICS(h) |
| CMO Series 205123 Class HI |
| 01/25/2042 | 5.000% | | 6,583,129 | 1,086,899 |
| Freddie Mac Structured Agency Credit Risk Debt Notes(b) |
| CMO Series 2015-HQ2 Class M3 |
1-month USD LIBOR + 3.250%
05/25/2025 | 4.874% | | 498,034 | 499,952 |
| Government National Mortgage Association |
02/15/2040-
06/15/2041 | 4.500% | | 7,614,307 | 7,989,107 |
| 03/15/2040 | 5.000% | | 467,843 | 494,908 |
07/15/2040-
11/20/2040 | 4.000% | | 1,122,635 | 1,141,295 |
04/20/2042-
06/20/2051 | 3.500% | | 11,297,964 | 11,142,508 |
11/20/2050-
09/20/2051 | 2.500% | | 20,738,696 | 18,901,772 |
| Government National Mortgage Association TBA(d) |
| 07/21/2052 | 4.000% | | 20,128,000 | 20,062,741 |
| 07/21/2052 | 4.500% | | 29,624,000 | 30,086,875 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Uniform Mortgage-Backed Security TBA(d) |
| 08/16/2037 | 3.000% | | 20,511,000 | 20,022,743 |
| 07/14/2052 | 4.500% | | 31,266,000 | 31,425,994 |
Total Residential Mortgage-Backed Securities - Agency
(Cost $427,537,212) | 417,735,105 |
|
| Residential Mortgage-Backed Securities - Non-Agency 8.0% |
| | | | |
| Angel Oak Mortgage Trust(a),(c) |
| CMO Series 2019-5 Class M1 |
| 10/25/2049 | 3.304% | | 5,000,000 | 4,864,718 |
| CMO Series 2021-5 Class M1 |
| 07/25/2066 | 2.387% | | 6,150,000 | 4,977,582 |
| Arroyo Mortgage Trust(a),(c) |
| CMO Series 2019-2 Class M1 |
| 04/25/2049 | 4.760% | | 7,000,000 | 6,417,407 |
| Arroyo Mortgage Trust(a) |
| CMO Series 2020-1 Class M1 |
| 03/25/2055 | 4.277% | | 2,850,000 | 2,764,495 |
| Bear Stearns Adjustable Rate Mortgage Trust(b) |
| CMO Series 2006-1 Class A1 |
1-year CMT + 2.250%
Floor 2.250%, Cap 9.895%
02/25/2036 | 2.460% | | 725,954 | 709,756 |
| Bellemeade Re Ltd.(a),(b) |
| CMO Series 2017-1 Class M2 |
1-month USD LIBOR + 3.350%
10/25/2027 | 4.974% | | 3,706,361 | 3,706,576 |
| CMO Series 2018-1A Class M2 |
1-month USD LIBOR + 2.900%
04/25/2028 | 4.524% | | 7,086,017 | 7,025,120 |
| CMO Series 2019-3A Class M1C |
1-month USD LIBOR + 1.950%
Floor 1.950%
07/25/2029 | 2.956% | | 1,590,000 | 1,559,935 |
| CMO Series 2021-3A Class M1B |
30-day Average SOFR + 1.400%
Floor 1.400%
09/25/2031 | 1.985% | | 9,575,000 | 8,703,758 |
| Citigroup Mortgage Loan Trust(a),(c) |
| Subordinated CMO Series 2015-PS1 Class B3 |
| 09/25/2042 | 5.250% | | 4,968,469 | 4,844,743 |
| COLT Mortgage Loan Trust(a),(c) |
| Subordinated CMO Series 2021-1HX1 Class B1 |
| 10/25/2066 | 3.110% | | 4,000,000 | 2,960,740 |
| Credit Suisse Mortgage Capital Certificates(a),(c) |
| Subordinated CMO Series 2020-SPT1 Class B2 |
| 04/25/2065 | 3.388% | | 8,000,000 | 7,653,978 |
| Credit Suisse Mortgage Capital Trust(a),(c) |
| Subordinated CMO Series 2019-AFC1 Class B1 |
| 07/25/2049 | 4.065% | | 5,775,000 | 4,968,913 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Credit Suisse Mortgage Trust(a),(c) |
| CMO Series 2021-NQM8 Class B1 |
| 10/25/2066 | 4.211% | | 5,975,000 | 4,416,211 |
| CMO Series 2021-NQM8 Class M1 |
| 10/25/2066 | 3.256% | | 2,200,000 | 1,694,640 |
| Subordinated CMO Series 2019-NQM1 Class B1 |
| 10/25/2059 | 3.890% | | 6,224,000 | 5,620,827 |
| Eagle Re Ltd.(a),(b) |
| CMO Series 2018-1 Class B1 |
1-month USD LIBOR + 4.000%
Floor 4.000%
11/25/2028 | 5.006% | | 3,000,000 | 2,935,120 |
| CMO Series 2018-1 Class M2 |
1-month USD LIBOR + 3.000%
Floor 3.000%
11/25/2028 | 4.006% | | 8,130,000 | 8,052,476 |
| Ellington Financial Mortgage Trust(a),(c) |
| Subordinated CMO Series 2020-1 Class B1 |
| 05/25/2065 | 5.160% | | 4,962,000 | 4,639,498 |
| Fannie Mae Connecticut Avenue Securities(b) |
| CMO Series 2014-C02 Class 2M2 |
1-month USD LIBOR + 2.600%
Floor 2.600%
05/25/2024 | 4.224% | | 1,181,837 | 1,181,838 |
| CMO Series 2014-C04 Class 1M2 |
1-month USD LIBOR + 4.900%
Floor 4.900%
11/25/2024 | 6.524% | | 1,191,830 | 1,225,472 |
| CMO Series 2015-C02 Class 1M2 |
1-month USD LIBOR + 4.000%
Floor 4.000%
05/25/2025 | 5.624% | | 720,781 | 724,409 |
| CMO Series 2015-C04 Class 1M2 |
1-month USD LIBOR + 5.700%
04/25/2028 | 7.324% | | 3,921,972 | 4,094,544 |
| CMO Series 2015-C04 Class 2M2 |
1-month USD LIBOR + 5.550%
04/25/2028 | 7.174% | | 3,552,037 | 3,668,342 |
| CMO Series 2016-C01 Class 1M2 |
1-month USD LIBOR + 6.750%
Floor 6.750%
08/25/2028 | 8.374% | | 1,826,377 | 1,918,378 |
| Fannie Mae Connecticut Avenue Securities(a),(b) |
| CMO Series 2015-C01 Class 1M2 |
1-month USD LIBOR + 4.300%
Floor 4.300%
02/25/2025 | 5.924% | | 244,319 | 249,525 |
| Federal Home Loan Mortgage Corp. STACR REMIC Trust(a),(b) |
| CMO Series 2020-HQA4 Class M2 |
1-month USD LIBOR + 3.150%
09/25/2050 | 4.774% | | 282,091 | 282,514 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes(b) |
| CMO Series 2014-DN3 Class M3 |
1-month USD LIBOR + 4.000%
08/25/2024 | 5.624% | | 1,394,748 | 1,405,306 |
| Freddie Mac STACR REMIC Trust(a),(b) |
| CMO Series 2020-HQA2 Class M2 |
1-month USD LIBOR + 3.100%
03/25/2050 | 4.724% | | 1,924,872 | 1,909,378 |
| CMO Series 2020-HQA3 Class M2 |
1-month USD LIBOR + 3.600%
07/25/2050 | 5.224% | | 324,635 | 325,085 |
| Freddie Mac STACR Trust(a),(b) |
| CMO Series 2019-DNA2 Class B1 |
1-month USD LIBOR + 4.350%
03/25/2049 | 5.974% | | 2,300,000 | 2,233,279 |
| Home Re Ltd.(a),(b) |
| CMO Series 2018-1 Class M2 |
1-month USD LIBOR + 3.000%
10/25/2028 | 4.624% | | 7,150,000 | 7,070,562 |
| Subordinated CMO Series 2022-1 Class M1A |
30-day Average SOFR + 2.850%
10/25/2034 | 3.776% | | 2,550,000 | 2,544,412 |
| Homeward Opportunities Fund I Trust(a),(c) |
| CMO Series 2020-2 Class B3 |
| 05/25/2065 | 5.487% | | 7,075,000 | 6,830,741 |
| JPMorgan Mortgage Trust(c) |
| CMO Series 2005-S2 Class 3A1 |
| 02/25/2032 | 7.166% | | 190,453 | 181,259 |
| CMO Series 2006-A4 Class 3A1 |
| 06/25/2036 | 3.279% | | 937,671 | 722,510 |
| JPMorgan Mortgage Trust |
| CMO Series 2006-S1 Class 1A2 |
| 04/25/2036 | 6.500% | | 2,041,041 | 2,011,322 |
| JPMorgan Mortgage Trust(a),(c) |
| Subordinated CMO Series 2019-LTV3 Class B4 |
| 03/25/2050 | 4.418% | | 6,557,752 | 6,104,778 |
| JPMorgan Wealth Management(a),(b) |
| CMO Series 2021-CL1 Class M4 |
30-day Average SOFR + 2.750%
03/25/2051 | 3.039% | | 1,082,068 | 1,010,113 |
| MASTR Adjustable Rate Mortgages Trust(c) |
| CMO Series 2004-13 Class 3A7 |
| 11/21/2034 | 3.052% | | 360,012 | 342,744 |
| Merrill Lynch Mortgage Investors Trust(c) |
| CMO Series 2005-A2 Class A2 |
| 02/25/2035 | 2.820% | | 723,409 | 676,650 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022
| 21 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Oaktown Re V Ltd.(a),(b) |
| CMO Series 2020-2A Class M1B |
1-month USD LIBOR + 3.600%
Floor 3.600%
10/25/2030 | 5.224% | | 2,251,078 | 2,245,289 |
| PRKCM Trust(a),(c) |
| CMO Series 2021-AFC1 Class M1 |
| 08/25/2056 | 3.114% | | 6,966,000 | 5,501,246 |
| Radnor Re Ltd.(a),(b) |
| CMO Series 2018-1 Class B1 |
1-month USD LIBOR + 3.800%
03/25/2028 | 5.424% | | 3,000,000 | 2,956,163 |
| CMO Series 2018-1 Class M2 |
1-month USD LIBOR + 2.700%
03/25/2028 | 4.324% | | 7,500,000 | 7,439,970 |
| Subordinated CMO Series 2021-2 Class M1A |
30-day Average SOFR + 1.850%
Floor 1.850%
11/25/2031 | 2.435% | | 4,300,000 | 4,260,217 |
| Subordinated CMO Series 2021-2 Class M1B |
30-day Average SOFR + 3.700%
Floor 3.700%
11/25/2031 | 4.285% | | 3,088,000 | 3,022,502 |
| Residential Mortgage Loan Trust(a),(c) |
| Subordinated CMO Series 2019-3 Class B1 |
| 09/25/2059 | 3.810% | | 4,750,000 | 4,347,178 |
| Seasoned Credit Risk Transfer Trust(a) |
| CMO Series 2021-1 Class M |
| 09/25/2060 | 4.250% | | 3,467,000 | 3,170,588 |
| STACR Trust(a),(b) |
| CMO Series 2018-HRP1 Class M2 |
1-month USD LIBOR + 1.650%
04/25/2043 | 3.274% | | 766,567 | 760,735 |
| Starwood Mortgage Residential Trust(a) |
| CMO Series 2020-2 Class B2E |
| 04/25/2060 | 3.000% | | 5,000,000 | 4,987,046 |
| Starwood Mortgage Residential Trust(a),(c) |
| CMO Series 2020-3 Class B1 |
| 04/25/2065 | 4.750% | | 4,000,000 | 3,865,407 |
| Structured Adjustable Rate Mortgage Loan Trust(c) |
| CMO Series 2004-8 Class 2A1 |
| 07/25/2034 | 2.887% | | 647,684 | 635,403 |
| Verus Securitization Trust(a),(c) |
| Subordinated CMO Series 2019-4 Class B1 |
| 11/25/2059 | 3.860% | | 5,211,000 | 4,894,918 |
| Subordinated CMO Series 2020-4 Class B1 |
| 05/25/2065 | 5.046% | | 5,000,000 | 4,839,970 |
| Vista Point Securitization Trust(a),(c) |
| Subordinated CMO Series 2020-2 Class B1 |
| 04/25/2065 | 4.900% | | 2,000,000 | 1,910,316 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| WaMu Mortgage Pass-Through Certificates Trust |
| CMO Series 2003-S11 Class 3A5 |
| 11/25/2033 | 5.950% | | 99,597 | 99,874 |
| Wells Fargo Mortgage-Backed Securities Trust |
| CMO Series 2006-7 Class 3A1 |
| 06/25/2036 | 6.000% | | 201,362 | 187,447 |
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $203,909,666) | 190,353,923 |
|
| Treasury Bills 0.8% |
| Issuer | Yield | | Principal
Amount ($) | Value ($) |
| United States 0.8% |
| U.S. Treasury Bills |
| 06/15/2023 | 2.800% | | 20,000,000 | 19,477,075 |
Total Treasury Bills
(Cost $19,457,111) | 19,477,075 |
|
| U.S. Treasury Obligations 22.8% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| U.S. Treasury |
| 03/31/2024 | 2.250% | | 15,000,000 | 14,811,328 |
| 01/15/2025 | 1.125% | | 35,000,000 | 33,373,047 |
| 02/15/2025 | 1.500% | | 38,000,000 | 36,518,594 |
| 03/15/2025 | 1.750% | | 70,000,000 | 67,675,782 |
| 06/15/2025 | 2.875% | | 8,300,000 | 8,267,578 |
| 03/31/2027 | 2.500% | | 58,000,000 | 56,595,312 |
| 04/30/2027 | 2.750% | | 26,000,000 | 25,650,625 |
| 05/31/2027 | 2.625% | | 65,000,000 | 63,771,094 |
| 04/30/2029 | 2.875% | | 11,000,000 | 10,872,813 |
| 02/15/2032 | 1.875% | | 3,000,000 | 2,717,813 |
| 05/15/2032 | 2.875% | | 14,000,000 | 13,844,688 |
| 02/15/2039 | 3.500% | | 7,350,000 | 7,675,008 |
| 08/15/2040 | 1.125% | | 5,000,000 | 3,452,344 |
| 11/15/2040 | 1.375% | | 6,000,000 | 4,320,000 |
| 02/15/2041 | 1.875% | | 17,000,000 | 13,331,719 |
| 05/15/2041 | 2.250% | | 15,000,000 | 12,510,938 |
| 08/15/2041 | 3.750% | | 2,000,000 | 2,100,625 |
| 11/15/2041 | 2.000% | | 2,500,000 | 1,985,156 |
| 11/15/2041 | 3.125% | | 6,400,000 | 6,140,000 |
| 02/15/2042 | 2.375% | | 19,000,000 | 16,108,437 |
| 05/15/2042 | 3.000% | | 15,000,000 | 14,048,437 |
| 05/15/2042 | 3.250% | | 23,500,000 | 22,938,203 |
| 02/15/2044 | 3.625% | | 900,000 | 922,781 |
| 11/15/2044 | 3.000% | | 15,000,000 | 13,893,750 |
| 11/15/2047 | 2.750% | | 3,000,000 | 2,686,875 |
| 08/15/2049 | 2.250% | | 14,100,000 | 11,568,609 |
| 11/15/2049 | 2.375% | | 14,000,000 | 11,821,250 |
| 02/15/2051 | 1.875% | | 5,500,000 | 4,125,859 |
| 05/15/2051 | 2.375% | | 12,500,000 | 10,552,734 |
| 11/15/2051 | 1.875% | | 5,000,000 | 3,752,344 |
| 02/15/2052 | 2.250% | | 13,500,000 | 11,110,078 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 22 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| U.S. Treasury Obligations (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 05/15/2052 | 2.875% | | 2,700,000 | 2,549,813 |
| U.S. Treasury(i) |
| 11/15/2048 | 3.375% | | 13,000,000 | 13,209,219 |
| 08/15/2051 | 2.000% | | 23,000,000 | 17,778,281 |
Total U.S. Treasury Obligations
(Cost $584,627,893) | 542,681,134 |
| Money Market Funds 2.1% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(j),(k) | 49,752,181 | 49,722,330 |
Total Money Market Funds
(Cost $49,723,230) | 49,722,330 |
Total Investments in Securities
(Cost: $2,717,196,735) | 2,480,933,211 |
| Other Assets & Liabilities, Net | | (101,910,286) |
| Net Assets | 2,379,022,925 |
At June 30, 2022, securities and/or cash totaling $19,518,494 were pledged as collateral.
Investments in derivatives
| Forward foreign currency exchange contracts |
Currency to
be sold | Currency to
be purchased | Counterparty | Settlement
date | Unrealized
appreciation ($) | Unrealized
depreciation ($) |
| 23,578,164 MXN | 1,180,183 USD | Goldman Sachs | 09/14/2022 | 23,456 | — |
| 10,296,097 CAD | 8,182,610 USD | UBS | 09/14/2022 | 182,604 | — |
| Total | | | | 206,060 | — |
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| U.S. Long Bond | 62 | 09/2022 | USD | 8,594,750 | 123,200 | — |
| U.S. Treasury 2-Year Note | 445 | 09/2022 | USD | 93,456,954 | — | (64,861) |
| U.S. Treasury Ultra 10-Year Note | 224 | 09/2022 | USD | 28,532,000 | 541,161 | — |
| U.S. Ultra Treasury Bond | 117 | 09/2022 | USD | 18,058,219 | 165,321 | — |
| Total | | | | | 829,682 | (64,861) |
| Short futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| U.S. Treasury 10-Year Note | (329) | 09/2022 | USD | (38,996,781) | — | (573,450) |
| Cleared credit default swap contracts - buy protection |
Reference
entity | Counterparty | Maturity
date | Pay
fixed
rate
(%) | Payment
frequency | Notional
currency | Notional
amount | Value
($) | Upfront
payments
($) | Upfront
receipts
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Markit CDX North America High Yield Index, Series 37 | Goldman Sachs | 12/20/2026 | 5.000 | Quarterly | USD | 92,466,000 | 5,921,515 | — | — | 5,921,515 | — |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022
| 23 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Notes to Portfolio of Investments
| (a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2022, the total value of these securities amounted to $754,859,284, which represents 31.73% of total net assets. |
| (b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2022. |
| (c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of June 30, 2022. |
| (d) | Represents a security purchased on a when-issued basis. |
| (e) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2022. |
| (f) | Principal and interest may not be guaranteed by a governmental entity. |
| (g) | Represents a security purchased on a forward commitment basis. |
| (h) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (i) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
| (j) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (k) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 48,600,720 | 885,048,455 | (883,925,945) | (900) | 49,722,330 | (29,237) | 174,430 | 49,752,181 |
Abbreviation Legend
| AGM | Assured Guaranty Municipal Corporation |
| BAM | Build America Mutual Assurance Co. |
| CMO | Collateralized Mortgage Obligation |
| CMT | Constant Maturity Treasury |
| LIBOR | London Interbank Offered Rate |
| SOFR | Secured Overnight Financing Rate |
| TBA | To Be Announced |
Currency Legend
| CAD | Canada Dollar |
| MXN | Mexican Peso |
| 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). |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 24 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Asset-Backed Securities — Non-Agency | — | 248,930,743 | — | 248,930,743 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 91,661,802 | — | 91,661,802 |
| Corporate Bonds & Notes | — | 763,963,649 | — | 763,963,649 |
| Foreign Government Obligations | — | 33,486,253 | — | 33,486,253 |
| Inflation-Indexed Bonds | — | 77,964,738 | — | 77,964,738 |
| Municipal Bonds | — | 44,956,459 | — | 44,956,459 |
| Residential Mortgage-Backed Securities - Agency | — | 417,735,105 | — | 417,735,105 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 190,353,923 | — | 190,353,923 |
| Treasury Bills | 19,477,075 | — | — | 19,477,075 |
| U.S. Treasury Obligations | 542,681,134 | — | — | 542,681,134 |
| Money Market Funds | 49,722,330 | — | — | 49,722,330 |
| Total Investments in Securities | 611,880,539 | 1,869,052,672 | — | 2,480,933,211 |
| Investments in Derivatives | | | | |
| Asset | | | | |
| Forward Foreign Currency Exchange Contracts | — | 206,060 | — | 206,060 |
| Futures Contracts | 829,682 | — | — | 829,682 |
| Swap Contracts | — | 5,921,515 | — | 5,921,515 |
| Liability | | | | |
| Futures Contracts | (638,311) | — | — | (638,311) |
| Total | 612,071,910 | 1,875,180,247 | — | 2,487,252,157 |
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.
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022
| 25 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $2,667,473,505) | $2,431,210,881 |
| Affiliated issuers (cost $49,723,230) | 49,722,330 |
| Foreign currency (cost $142,524) | 142,756 |
| Unrealized appreciation on forward foreign currency exchange contracts | 206,060 |
| Receivable for: | |
| Investments sold | 3,030,090 |
| Dividends | 83,017 |
| Interest | 15,145,705 |
| Foreign tax reclaims | 54,805 |
| Variation margin for futures contracts | 1,045,875 |
| Variation margin for swap contracts | 173,287 |
| Prepaid expenses | 18,034 |
| Total assets | 2,500,832,840 |
| Liabilities | |
| Due to custodian | 32,125 |
| Payable for: | |
| Investments purchased | 2,256,510 |
| Investments purchased on a delayed delivery basis | 116,351,656 |
| Capital shares purchased | 2,498,834 |
| Variation margin for futures contracts | 372,731 |
| Management services fees | 31,485 |
| Distribution and/or service fees | 132 |
| Service fees | 713 |
| Compensation of board members | 213,286 |
| Compensation of chief compliance officer | 266 |
| Other expenses | 52,177 |
| Total liabilities | 121,809,915 |
| Net assets applicable to outstanding capital stock | $2,379,022,925 |
| Represented by | |
| Paid in capital | 2,554,748,681 |
| Total distributable earnings (loss) | (175,725,756) |
| Total - representing net assets applicable to outstanding capital stock | $2,379,022,925 |
| Class 1 | |
| Net assets | $2,359,696,525 |
| Shares outstanding | 237,685,915 |
| Net asset value per share | $9.93 |
| Class 2 | |
| Net assets | $19,326,400 |
| Shares outstanding | 1,958,066 |
| Net asset value per share | $9.87 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 26 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $3,966 |
| Dividends — affiliated issuers | 174,430 |
| Interest | 40,762,766 |
| Foreign taxes withheld | (16,043) |
| Total income | 40,925,119 |
| Expenses: | |
| Management services fees | 6,172,073 |
| Distribution and/or service fees | |
| Class 2 | 24,332 |
| Service fees | 5,814 |
| Compensation of board members | 9,323 |
| Custodian fees | 42,215 |
| Printing and postage fees | 5,941 |
| Audit fees | 19,642 |
| Legal fees | 18,551 |
| Interest on collateral | 15,524 |
| Compensation of chief compliance officer | 167 |
| Other | 20,208 |
| Total expenses | 6,333,790 |
| Net investment income | 34,591,329 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (116,180,175) |
| Investments — affiliated issuers | (29,237) |
| Foreign currency translations | 155,861 |
| Forward foreign currency exchange contracts | (605,067) |
| Futures contracts | 2,444,941 |
| Swap contracts | 3,396,443 |
| Net realized loss | (110,817,234) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (258,270,327) |
| Investments — affiliated issuers | (900) |
| Foreign currency translations | (1,782) |
| Forward foreign currency exchange contracts | 961,033 |
| Futures contracts | (8,603) |
| Swap contracts | 5,921,515 |
| Net change in unrealized appreciation (depreciation) | (251,399,064) |
| Net realized and unrealized loss | (362,216,298) |
| Net decrease in net assets resulting from operations | $(327,624,969) |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022
| 27 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $34,591,329 | $73,914,449 |
| Net realized gain (loss) | (110,817,234) | 62,970,219 |
| Net change in unrealized appreciation (depreciation) | (251,399,064) | (119,514,148) |
| Net increase (decrease) in net assets resulting from operations | (327,624,969) | 17,370,520 |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class 1 | — | (134,005,891) |
| Class 2 | — | (843,022) |
| Total distributions to shareholders | — | (134,848,913) |
| Decrease in net assets from capital stock activity | (228,449,514) | (21,372,193) |
| Total decrease in net assets | (556,074,483) | (138,850,586) |
| Net assets at beginning of period | 2,935,097,408 | 3,073,947,994 |
| Net assets at end of period | $2,379,022,925 | $2,935,097,408 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 441,428 | 4,614,799 | 26,745,015 | 307,565,641 |
| Distributions reinvested | — | — | 11,869,433 | 134,005,891 |
| Redemptions | (21,628,292) | (234,798,104) | (40,256,186) | (462,087,935) |
| Net decrease | (21,186,864) | (230,183,305) | (1,641,738) | (20,516,403) |
| Class 2 | | | | |
| Subscriptions | 252,660 | 2,641,737 | 309,648 | 3,535,099 |
| Distributions reinvested | — | — | 74,935 | 843,022 |
| Redemptions | (87,243) | (907,946) | (458,601) | (5,233,911) |
| Net increase (decrease) | 165,417 | 1,733,791 | (74,018) | (855,790) |
| Total net decrease | (21,021,447) | (228,449,514) | (1,715,756) | (21,372,193) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 28 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022
| 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.
| | 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 | Total
distributions to
shareholders |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $11.26 | 0.14 | (1.47) | (1.33) | — | — | — |
| Year Ended 12/31/2021 | $11.72 | 0.28 | (0.23) | 0.05 | (0.26) | (0.25) | (0.51) |
| Year Ended 12/31/2020 | $11.01 | 0.24 | 0.70 | 0.94 | (0.23) | — | (0.23) |
| Year Ended 12/31/2019 | $10.65 | 0.31 | 0.71 | 1.02 | (0.66) | — | (0.66) |
| Year Ended 12/31/2018 | $11.15 | 0.37 | (0.49) | (0.12) | (0.31) | (0.07) | (0.38) |
| Year Ended 12/31/2017 | $10.95 | 0.30 | 0.23 | 0.53 | (0.26) | (0.07) | (0.33) |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $11.21 | 0.13 | (1.47) | (1.34) | — | — | — |
| Year Ended 12/31/2021 | $11.66 | 0.25 | (0.21) | 0.04 | (0.24) | (0.25) | (0.49) |
| Year Ended 12/31/2020 | $10.96 | 0.21 | 0.69 | 0.90 | (0.20) | — | (0.20) |
| Year Ended 12/31/2019 | $10.61 | 0.28 | 0.70 | 0.98 | (0.63) | — | (0.63) |
| Year Ended 12/31/2018 | $11.11 | 0.34 | (0.49) | (0.15) | (0.28) | (0.07) | (0.35) |
| Year Ended 12/31/2017 | $10.91 | 0.27 | 0.23 | 0.50 | (0.23) | (0.07) | (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) | Annualized. |
| (d) | Ratios include interest on collateral expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 30 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $9.93 | (11.81%) | 0.49%(c),(d) | 0.49%(c),(d) | 2.70%(c) | 109% | $2,359,697 |
| Year Ended 12/31/2021 | $11.26 | 0.45% | 0.49%(d) | 0.49%(d) | 2.44% | 218% | $2,915,004 |
| Year Ended 12/31/2020 | $11.72 | 8.55% | 0.49%(d) | 0.49%(d) | 2.12% | 226% | $3,052,174 |
| Year Ended 12/31/2019 | $11.01 | 9.73% | 0.50%(d) | 0.50%(d) | 2.84% | 94% | $2,900,664 |
| Year Ended 12/31/2018 | $10.65 | (1.05%) | 0.48%(d) | 0.48%(d) | 3.42% | 136% | $1,992,309 |
| Year Ended 12/31/2017 | $11.15 | 4.89% | 0.52% | 0.52% | 2.74% | 142% | $3,933,591 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $9.87 | (11.95%) | 0.74%(c),(d) | 0.74%(c),(d) | 2.47%(c) | 109% | $19,326 |
| Year Ended 12/31/2021 | $11.21 | 0.29% | 0.74%(d) | 0.74%(d) | 2.18% | 218% | $20,094 |
| Year Ended 12/31/2020 | $11.66 | 8.24% | 0.74%(d) | 0.74%(d) | 1.88% | 226% | $21,774 |
| Year Ended 12/31/2019 | $10.96 | 9.40% | 0.75%(d) | 0.75%(d) | 2.58% | 94% | $18,712 |
| Year Ended 12/31/2018 | $10.61 | (1.31%) | 0.73%(d) | 0.73%(d) | 3.17% | 136% | $13,100 |
| Year Ended 12/31/2017 | $11.11 | 4.65% | 0.77% | 0.77% | 2.50% | 142% | $11,701 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022
| 31 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
CTIVP® – American Century Diversified 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 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 net investment income 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 market value, unless this method results in a valuation that management believes does not approximate fair 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. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management believes does not approximate fair value.
Investments in open-end investment companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Forward foreign currency exchange contracts are marked-to-market based upon foreign currency exchange rates provided by a pricing service.
| 32 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 a settlement price, 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, if available.
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, in seeking 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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. 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 clearing brokers are required to segregate customer margin from their own
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| 33 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing 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 counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts and 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 instruments’ 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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as well. 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 may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in the Statement of Operations. 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 determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, 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, to shift investment exposure from one currency to another, to generate total return through long and short positions versus the U.S. dollar and to generate interest rate differential yield. 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. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without delivery of foreign currency.
| 34 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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.
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 generally expects to earn interest income on its margin deposits. 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. For a bilateral swap contract, the Fund has credit exposure to the broker, but exchanges daily variation margin with the broker based on the mark-to-market value of the swap contract to minimize that exposure. 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, that 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 a specific debt security or a basket of debt securities, to manage credit risk exposure and to increase or decrease its credit exposure to a basket of debt securities as a protection buyer ‘or seller’ to reduce ‘or increase’ overall credit exposure. These instruments may be used for other purposes in future periods. Credit default swap contracts are transactions 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 typically bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium.
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| 35 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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).
Any upfront payment or receipt 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, 2022:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 5,921,515* |
| Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 206,060 |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 829,682* |
| Total | | 6,957,257 |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 638,311* |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
| 36 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | | | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Swap
contracts
($) | Total
($) |
| Credit risk | | | — | — | 3,396,443 | 3,396,443 |
| Foreign exchange risk | | | (605,067) | — | — | (605,067) |
| Interest rate risk | | | — | 2,444,941 | — | 2,444,941 |
| Total | | | (605,067) | 2,444,941 | 3,396,443 | 5,236,317 |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | | | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Swap
contracts
($) | Total
($) |
| Credit risk | | | — | — | 5,921,515 | 5,921,515 |
| Foreign exchange risk | | | 961,033 | — | — | 961,033 |
| Interest rate risk | | | — | (8,603) | — | (8,603) |
| Total | | | 961,033 | (8,603) | 5,921,515 | 6,873,945 |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 74,320,961 |
| Futures contracts — short | 19,498,391 |
| Credit default swap contracts — buy protection | 46,233,000 |
| Derivative instrument | Average unrealized
appreciation ($)* | Average unrealized
depreciation ($)* |
| Forward foreign currency exchange contracts | 103,030 | (162,364) |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
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.
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| 37 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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.
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.
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 in 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 in 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, 2022:
| | Goldman
Sachs ($) (a) | Goldman
Sachs ($) (a) | UBS ($) | Total ($) |
| Assets | | | | |
| Centrally cleared credit default swap contracts (b) | 173,287 | - | - | 173,287 |
| Forward foreign currency exchange contracts | - | 23,456 | 182,604 | 206,060 |
| Total assets | 173,287 | 23,456 | 182,604 | 379,347 |
| Total financial and derivative net assets | 173,287 | 23,456 | 182,604 | 379,347 |
| Total collateral received (pledged) (c) | - | - | - | - |
| Net amount (d) | 173,287 | 23,456 | 182,604 | 379,347 |
| (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 in the Statement of Assets and Liabilities. |
| (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.
| 38 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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. For convertible securities, premiums attributable to the conversion feature are not amortized.
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 collectability 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. 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 investment company taxable income and net capital gain, 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 in 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 annually. 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 the Fund at the net asset value as of the ex-dividend date of the distribution.
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| 39 |
Notes to Financial Statements (continued)
June 30, 2022 (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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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 0.50% to 0.34% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2022 was 0.48% of the Fund’s average daily net assets.
Subadvisory agreement
The Investment Manager has entered into a Subadvisory Agreement with American Century Investment Management, Inc. to serve as the subadviser to the Fund. The Investment Manager compensates the subadviser to manage the investment of the Fund’s assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.00% of the Fund’s average daily net assets.
| 40 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | Fee rate(s) contractual
through
April 30, 2023 |
| Class 1 | 0.54% |
| Class 2 | 0.79 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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, 2022, the approximate cost of all 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) ($) | Net unrealized
(depreciation) ($) |
| 2,717,197,000 | 11,172,000 | (241,117,000) | (229,945,000) |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
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.
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022
| 41 |
Notes to Financial Statements (continued)
June 30, 2022 (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 $2,844,341,793 and $2,986,894,347, respectively, for the six months ended June 30, 2022, of which $2,352,711,272 and $1,938,465,126, 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
| 42 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 9. Significant risks
Credit risk
Credit risk is the risk that the value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower-rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
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 instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise 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. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
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.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022
| 43 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Mortgage- and other asset-backed securities risk
The value of any mortgage-backed and other asset-backed securities including collateralized debt obligations, if any, 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 liquidity risk and prepayment risk. A decline or flattening of housing values may cause delinquencies in mortgages (especially sub-prime or non-prime mortgages) underlying mortgage-backed securities and thereby adversely affect the ability of the mortgage-backed securities issuer to make principal and/or interest payments to mortgage-backed securities holders, including the Fund. 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, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. 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 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its
| 44 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022
| 45 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management and Subadvisory
Agreements
(Unaudited)
Columbia Management Investment Advisers, LLC (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 CTIVP® – American Century Diversified Bond Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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 the Investment Manager and American Century Investment Management, Inc. (the Subadviser), the Subadviser provides 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). The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
| 46 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board, at its June 23, 2022 Board meeting (the June Meeting), considered the renewal of each 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. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Advisory Agreements; |
| • | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager and the Subadviser under the Advisory Agreements, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager and the Subadviser, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager and the Subadviser with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement and the Subadvisory Agreement.
Nature, extent and quality of services provided by the Investment Manager and the Subadviser
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager and the Subadviser, as well as their history, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers. With respect to the Investment Manager, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022
| 47 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. 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 the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by the Investment Manager in addition to monitoring the Subadviser), noting that no changes were proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
The Board 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 subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no changes were recommended to the Subadvisory Agreement. The Board took into account the Investment Manager’s representation that the Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Advisory Agreements supported the continuation of the Management Agreement and the Subadvisory Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
Additionally, the Board reviewed the performance of the Subadviser and the Investment Manager’s process for monitoring the Subadviser’s performance. The Board considered, in particular, management’s rationale for recommending the continued retention of the Subadviser and management’s representations that the Investment Manager’s profitability is not the key factor driving their recommendation to select, renew or terminate the Subadviser.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
| 48 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board also considered the Investment Manager’s and Subadviser’s performance and reputation generally, and the Investment Manager’s evaluation of the Subadviser’s contribution to the Fund’s broader investment mandate. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadviser, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Manager and discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
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 advisory fee rates charged by other comparable mutual funds employing the Subadviser to provide comparable subadvisory services. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees, subadvisory fees and expenses of the Fund, in light of other considerations, supported the continuation of each of the Management Agreement and the Subadvisory Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. Because the Subadvisory Agreement was negotiated at arms-length by the Investment Manager, which is responsible for payments to the Subadviser thereunder, the Board did not consider the profitability to the Subadviser from its relationship with the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreement.
CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022
| 49 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. The Board also noted that the breakpoints in the Subadvisory Agreement did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement and the Subadvisory Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under each of the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided and approved the renewal of each of the Advisory Agreements.
| 50 | CTIVP® – American Century Diversified Bond Fund | Semiannual Report 2022 |
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CTIVP® – American Century Diversified Bond Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
Variable Portfolio – Partners Core 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Variable Portfolio – Partners Core Bond Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
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
Allspring Global Investments, LLC
Maulik Bhansali, CFA
Jarad Vasquez
J.P. Morgan Investment Management Inc.
Richard Figuly
Steven Lear, CFA
J. Andrew Norelli
Lisa Coleman, CFA
Thomas Hauser, CFA
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/07/10 | -10.61 | -10.65 | 0.99 | 1.55 |
| Class 2 | 05/07/10 | -10.84 | -10.95 | 0.72 | 1.29 |
| Bloomberg U.S. Aggregate Bond Index | | -10.35 | -10.29 | 0.88 | 1.54 |
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 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 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.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Asset-Backed Securities — Non-Agency | 8.9 |
| Commercial Mortgage-Backed Securities - Agency | 4.3 |
| Commercial Mortgage-Backed Securities - Non-Agency | 5.3 |
| Convertible Bonds | 0.0(a) |
| Corporate Bonds & Notes | 28.8 |
| Foreign Government Obligations | 1.0 |
| Inflation-Indexed Bonds | 0.0(a) |
| Money Market Funds | 4.6 |
| Municipal Bonds | 0.2 |
| Residential Mortgage-Backed Securities - Agency | 20.0 |
| Residential Mortgage-Backed Securities - Non-Agency | 4.7 |
| U.S. Government & Agency Obligations | 0.6 |
| U.S. Treasury Obligations | 21.6 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at June 30, 2022) |
| AAA rating | 56.6 |
| AA rating | 2.2 |
| A rating | 11.9 |
| BBB rating | 16.2 |
| BB rating | 6.2 |
| B rating | 2.6 |
| CCC rating | 0.1 |
| CC rating | 0.0(a) |
| C rating | 0.0(a) |
| Not rated | 4.2 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments.
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. If a security is not rated but has a rating by Kroll and/or DBRS, the same methodology is applied to those bonds that would otherwise be not rated. 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.
| 4 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 893.90 | 1,022.46 | 2.21 | 2.36 | 0.47 |
| Class 2 | 1,000.00 | 1,000.00 | 891.60 | 1,021.22 | 3.38 | 3.61 | 0.72 |
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.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Asset-Backed Securities — Non-Agency 9.4% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Academic Loan Funding Trust(a),(b) |
| Series 2013-1A Class A |
1-month USD LIBOR + 0.800%
Floor 0.800%
12/26/2044 | 1.806% | | 613,055 | 604,008 |
| ACC Trust(a) |
| Series 2021-1 Class D |
| 03/22/2027 | 5.250% | | 5,200,000 | 5,002,097 |
| Subordinated Series 2021-1 Class C |
| 12/20/2024 | 2.080% | | 2,150,000 | 2,100,844 |
| Ally Auto Receivables Trust |
| Series 2022-1 Class A3 |
| 11/15/2026 | 3.310% | | 2,356,000 | 2,339,758 |
| American Express Credit Account Master Trust |
| Series 2022-2 Class A |
| 05/17/2027 | 3.390% | | 13,490,000 | 13,476,332 |
| American Tower Trust I(a) |
| Series 13 Class 2A |
| 03/15/2023 | 3.070% | | 1,900,000 | 1,891,836 |
| AmeriCredit Automobile Receivables Trust |
| Series 2022-1 Class A3 |
| 11/18/2026 | 2.450% | | 792,000 | 773,575 |
| Series 2022-2 Class A3 |
| 04/18/2028 | 4.380% | | 2,034,000 | 2,042,743 |
| Avis Budget Rental Car Funding AESOP LLC(a) |
| Series 2019-3A Class A |
| 03/20/2026 | 2.360% | | 1,653,000 | 1,580,761 |
| Series 2020-1A Class A |
| 08/20/2026 | 2.330% | | 1,493,000 | 1,418,854 |
| Series 2021-2A Class A |
| 02/20/2028 | 1.660% | | 4,254,000 | 3,815,883 |
| BA Credit Card Trust |
| Series 2022-A1 Class A1 |
| 11/15/2027 | 3.530% | | 3,861,000 | 3,857,528 |
| Barclays Dryrock Issuance Trust |
| Series 2022-1 Class A |
| 02/15/2028 | 3.070% | | 5,192,000 | 5,121,500 |
| Business Jet Securities LLC(a) |
| Series 2021-1A Class A |
| 04/15/2036 | 2.162% | | 1,911,034 | 1,729,428 |
| Subordinated Series 2021-1 Class B |
| 04/15/2036 | 2.918% | | 2,385,724 | 2,133,709 |
| Subordinated Series 2022-1A Class C |
| 06/15/2037 | 6.413% | | 5,547,177 | 5,404,060 |
| Capital One Multi-Asset Execution Trust |
| Series 2021-A2 Class A2 |
| 07/15/2030 | 1.390% | | 2,991,000 | 2,600,864 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2022-A2 Class A |
| 05/15/2027 | 3.490% | | 8,659,000 | 8,641,511 |
| Cars Net Lease Mortgage Notes(a) |
| Series 2020-1A Class A3 |
| 12/15/2050 | 3.100% | | 853,550 | 801,188 |
| Carvana Auto Receivables Trust(a) |
| Series 2019-2A Class C |
| 06/17/2024 | 3.000% | | 621,523 | 621,574 |
| Subordinated Series 2019-3A Class D |
| 04/15/2025 | 3.040% | | 4,440,000 | 4,413,577 |
| Chase Funding Trust(b) |
| Series 2003-2 Class 2A2 |
1-month USD LIBOR + 0.560%
Floor 0.560%
02/25/2033 | 2.184% | | 558,545 | 533,141 |
| Chase Funding Trust(c) |
| Series 2003-4 Class 1A5 |
| 05/25/2033 | 5.916% | | 196,549 | 193,258 |
| Series 2003-6 Class 1A5 |
| 11/25/2034 | 5.850% | | 158,993 | 153,812 |
| College Ave Student Loans LLC(a),(b) |
| Series 2017-A Class A1 |
1-month USD LIBOR + 1.650%
Floor 1.650%
11/26/2046 | 3.274% | | 744,351 | 739,705 |
| College Ave Student Loans LLC(a) |
| Series 2018-A Class A2 |
| 12/26/2047 | 4.130% | | 443,567 | 437,365 |
| Series 2019-A Class A2 |
| 12/28/2048 | 3.280% | | 1,087,125 | 1,047,512 |
| Series 2021-A Class A2 |
| 07/25/2051 | 1.600% | | 2,539,944 | 2,279,409 |
| Conix Mortgage Asset Trust(a),(d),(e),(f) |
| Series 2013-1 Class A |
| 12/25/2047 | 0.000% | | 1,078,519 | 17,041 |
| Consumer Receivables Asset Investment Trust(a),(b) |
| Series 2021-1 Class A1X |
3-month USD LIBOR + 3.000%
Floor 3.000%
03/24/2023 | 4.524% | | 3,249,603 | 3,224,390 |
| COOF Securitization Trust Ltd.(a),(c),(f),(g) |
| CMO Series 2014-1 Class A |
| 06/25/2040 | 2.792% | | 391,663 | 24,933 |
| Credit Acceptance Auto Loan Trust(a) |
| Series 2021-2A Class A |
| 02/15/2030 | 0.960% | | 1,250,000 | 1,197,085 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2021-3A Class B |
| 07/15/2030 | 1.380% | | 4,162,000 | 3,844,165 |
| Subordinated Series 2020-1A Class B |
| 04/16/2029 | 2.390% | | 3,260,000 | 3,206,980 |
| Subordinated Series 2021-3A Class C |
| 09/16/2030 | 1.630% | | 1,504,000 | 1,397,857 |
| DataBank Issuer(a) |
| Series 2021-1A Class A2 |
| 02/27/2051 | 2.060% | | 2,850,000 | 2,580,674 |
| Diamond Resorts Owner Trust(a) |
| Series 2018-1 Class A |
| 01/21/2031 | 3.700% | | 390,701 | 387,990 |
| Subordinated Series 2021-1A Class D |
| 11/21/2033 | 3.830% | | 2,446,833 | 2,320,290 |
| Drive Auto Receivables Trust |
| Subordinated Series 2019-1 Class D |
| 06/15/2026 | 4.090% | | 681,131 | 682,332 |
| Subordinated Series 2020-2 Class C |
| 08/17/2026 | 2.280% | | 1,885,000 | 1,875,268 |
| DT Auto Owner Trust(a) |
| Series 2020-2A Class B |
| 03/16/2026 | 2.080% | | 1,676,917 | 1,675,566 |
| Subordinated Series 2019-4A Class C |
| 07/15/2025 | 2.730% | | 1,351,405 | 1,349,859 |
| Subordinated Series 2021-2A Class C |
| 02/16/2027 | 1.100% | | 2,104,000 | 2,006,086 |
| Exeter Automobile Receivables Trust(a) |
| Series 2022-3A Class E |
| 01/15/2030 | 8.170% | | 7,000,000 | 7,090,215 |
| Exeter Automobile Receivables Trust |
| Subordinated Series 2022-2A Class D |
| 07/17/2028 | 4.560% | | 6,035,000 | 5,750,908 |
| Flagship Credit Auto Trust(a) |
| Series 2019-4 Class D |
| 01/15/2026 | 3.120% | | 3,600,000 | 3,494,305 |
| Ford Credit Auto Lease Trust |
| Series 2022-A Class A3 |
| 05/15/2025 | 3.230% | | 4,758,000 | 4,699,822 |
| Series 2022-A Class A4 |
| 07/15/2025 | 3.370% | | 1,830,000 | 1,822,633 |
| Ford Credit Auto Owner Trust(a) |
| Series 2020-2 Class A |
| 04/15/2033 | 1.060% | | 1,379,000 | 1,247,370 |
| Series 2022-1 Class A |
| 11/15/2034 | 3.880% | | 6,426,000 | 6,296,671 |
| Ford Credit Auto Owner Trust |
| Series 2022-B Class A4 |
| 08/15/2027 | 3.930% | | 2,137,000 | 2,141,183 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Foundation Finance Trust(a) |
| Series 2019-1A Class A |
| 11/15/2034 | 3.860% | | 421,794 | 417,147 |
| Series 2020-1A Class A |
| 07/16/2040 | 3.540% | | 1,848,061 | 1,821,034 |
| Foursight Capital Automobile Receivables Trust(a) |
| Subordinated Series 2021-2 Class D |
| 09/15/2027 | 1.920% | | 850,000 | 795,325 |
| Franklin Limited Duration Income Trust(a),(c),(d),(f) |
| Series 2019-1 Class A |
| 08/15/2024 | 5.500% | | 208,588 | 206,815 |
| FREED ABS Trust(a) |
| Subordinated Series 2021-1CP Class B |
| 03/20/2028 | 1.410% | | 3,213,763 | 3,175,932 |
| Subordinated Series 2021-2 Class C |
| 06/19/2028 | 1.940% | | 2,300,000 | 2,237,468 |
| Subordinated Series 2021-3FP Class D |
| 11/20/2028 | 2.370% | | 2,230,000 | 1,996,452 |
| Subordinated Series 2022-1FP Class D |
| 03/19/2029 | 3.350% | | 4,150,000 | 3,960,579 |
| GLS Auto Receivables Issuer Trust(a) |
| Subordinated Series 2021-1A Class D |
| 01/15/2027 | 1.680% | | 1,200,000 | 1,153,632 |
| Subordinated Series 2021-1A Class E |
| 01/18/2028 | 3.140% | | 7,240,000 | 6,829,234 |
| Subordinated Series 2021-3A Class D |
| 07/15/2027 | 1.480% | | 8,330,000 | 7,592,694 |
| GLS Auto Receivables Trust(a) |
| Subordinated Series 2021-2A Class D |
| 04/15/2027 | 1.420% | | 2,250,000 | 2,103,885 |
| GM Financial Automobile Leasing Trust |
| Series 2022-2 Class A3 |
| 06/20/2025 | 3.420% | | 1,929,000 | 1,924,648 |
| Series 2022-2 Class A4 |
| 05/20/2026 | 3.540% | | 2,113,000 | 2,089,993 |
| GM Financial Consumer Automobile Receivables Trust |
| Series 2022-2 Class A3 |
| 02/16/2027 | 3.100% | | 5,446,000 | 5,402,154 |
| Series 2022-2 Class A4 |
| 04/17/2028 | 3.250% | | 2,905,000 | 2,879,708 |
| Gold Key Resorts(a) |
| Series 2014-A Class A |
| 03/17/2031 | 3.220% | | 32,606 | 32,156 |
| Goodgreen Trust(a) |
| Series 2017-1A Class A |
| 10/15/2052 | 3.740% | | 188,637 | 179,607 |
| Series 2017-2A Class A |
| 10/15/2053 | 3.260% | | 971,172 | 896,332 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2019-2A Class A |
| 04/15/2055 | 2.760% | | 1,355,655 | 1,230,842 |
| Goodgreen Trust(a),(d),(f) |
| Series 2017-R1A Class R |
| 10/20/2052 | 5.000% | | 1,221,507 | 1,114,625 |
| HERO Funding Trust(a) |
| Series 2016-3A Class A1 |
| 09/20/2042 | 3.080% | | 349,073 | 339,974 |
| Series 2017-1A Class A2 |
| 09/20/2047 | 4.460% | | 524,294 | 516,562 |
| Series 2017-3A Class A2 |
| 09/20/2048 | 3.950% | | 686,241 | 666,466 |
| Hertz Vehicle Financing III LLC(a) |
| Series 2022-1A Class A |
| 06/25/2026 | 1.990% | | 5,050,000 | 4,786,164 |
| Hertz Vehicle Financing III LP(a) |
| Series 2021-2A Class A |
| 12/27/2027 | 1.680% | | 3,697,000 | 3,256,538 |
| Hertz Vehicle Financing LLC(a) |
| Series 2022-2A Class A |
| 06/26/2028 | 2.330% | | 5,509,000 | 4,946,651 |
| Series 2022-4A Class A |
| 09/25/2026 | 3.730% | | 2,780,000 | 2,739,214 |
| Series 2022-5A Class A |
| 09/25/2028 | 3.890% | | 4,542,000 | 4,508,322 |
| HGI CRE CLO Ltd.(a),(b) |
| Series 2022-FL3 Class D |
30-day Average SOFR + 3.750%
Floor 3.750%
04/19/2037 | 4.527% | | 3,998,500 | 3,934,362 |
| Hilton Grand Vacations Trust(a) |
| Series 2017-AA Class A |
| 12/26/2028 | 2.660% | | 204,627 | 201,662 |
| Hyundai Auto Receivables Trust |
| Series 2021-C Class A4 |
| 12/15/2027 | 1.030% | | 1,650,000 | 1,542,301 |
| Series 2022-A Class A3 |
| 10/15/2026 | 2.220% | | 3,070,000 | 2,986,307 |
| Series 2022-A Class A4 |
| 04/17/2028 | 2.350% | | 1,044,000 | 1,006,816 |
| LendingPoint Asset Securitization Trust(a) |
| Series 2020-REV1 Class C |
| 10/15/2028 | 7.699% | | 3,708,000 | 3,682,793 |
| Subordinated Series 2021-A Class B |
| 12/15/2028 | 1.460% | | 2,155,000 | 2,096,911 |
| Subordinated Series 2021-A Class C |
| 12/15/2028 | 2.750% | | 3,805,000 | 3,659,097 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Subordinated Series 2021-B Class B |
| 02/15/2029 | 1.680% | | 4,852,000 | 4,586,418 |
| Lendmark Funding Trust(a) |
| Subordinated Series 2019-2A Class D |
| 04/20/2028 | 5.240% | | 4,300,000 | 4,074,306 |
| Subordinated Series 2021-1A Class B |
| 11/20/2031 | 2.470% | | 1,625,000 | 1,378,515 |
| Subordinated Series 2021-1A Class C |
| 11/20/2031 | 3.410% | | 5,000,000 | 4,210,788 |
| LP LMS Asset Securitization Trust(a),(d),(f) |
| Subordinated Series 2021-2A Class B |
| 01/15/2029 | 2.330% | | 7,381,000 | 6,975,045 |
| LPMS(a),(d),(f) |
| Series 2021-1A Class B |
| 04/15/2041 | 3.966% | | 7,000,000 | 6,991,250 |
| Mariner Finance Issuance Trust(a) |
| Series 2019-AA Class B |
| 07/20/2032 | 3.510% | | 2,115,000 | 2,063,719 |
| Series 2019-AA Class C |
| 07/20/2032 | 4.010% | | 5,560,000 | 5,410,580 |
| Series 2019-AA Class D |
| 07/20/2032 | 5.440% | | 6,000,000 | 5,721,617 |
| Mercury Financial Credit Card Master Trust(a) |
| Series 2021-1A Class A |
| 03/20/2026 | 1.540% | | 2,470,000 | 2,355,335 |
| Mid-State Capital Corp. Trust(a) |
| Series 2006-1 Class M1 |
| 10/15/2040 | 6.083% | | 657,953 | 657,014 |
| Mission Lane Credit Card Master Trust(a) |
| Series 2021-A Class A |
| 09/15/2026 | 1.590% | | 4,395,000 | 4,249,376 |
| Navient Private Education Loan Trust(a),(b) |
| Series 2016-AA Class A2B |
1-month USD LIBOR + 2.150%
12/15/2045 | 3.474% | | 1,737,132 | 1,758,922 |
| Navient Private Education Loan Trust(a) |
| Series 2020-IA Class A1A |
| 04/15/2069 | 1.330% | | 4,559,957 | 4,217,708 |
| Navient Private Education Refi Loan Trust(a) |
| Series 2018-A Class A2 |
| 02/18/2042 | 3.190% | | 65,107 | 64,925 |
| Series 2018-CA Class A2 |
| 06/16/2042 | 3.520% | | 121,918 | 121,966 |
| Series 2018-DA Class A2A |
| 12/15/2059 | 4.000% | | 2,084,904 | 2,054,485 |
| Series 2019-A Class A2A |
| 01/15/2043 | 3.420% | | 1,279,518 | 1,258,243 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2019-CA Class A2 |
| 02/15/2068 | 3.130% | | 818,325 | 809,779 |
| Series 2019-D Class A2A |
| 12/15/2059 | 3.010% | | 2,340,161 | 2,271,971 |
| Series 2019-FA Class A2 |
| 08/15/2068 | 2.600% | | 1,753,574 | 1,668,177 |
| Series 2020-BA Class A2 |
| 01/15/2069 | 2.120% | | 960,122 | 903,380 |
| Series 2020-EA Class A |
| 05/15/2069 | 1.690% | | 4,673,777 | 4,407,072 |
| Series 2020-GA Class A |
| 09/16/2069 | 1.170% | | 2,156,388 | 2,022,856 |
| Series 2020-HA Class A |
| 01/15/2069 | 1.310% | | 1,463,732 | 1,365,983 |
| Series 2021-A Class A |
| 05/15/2069 | 0.840% | | 3,348,431 | 3,053,355 |
| Series 2021-BA Class A |
| 07/15/2069 | 0.940% | | 927,117 | 847,449 |
| Series 2021-CA Class A |
| 10/15/2069 | 1.060% | | 3,517,402 | 3,303,210 |
| Series 2021-EA Class A |
| 12/16/2069 | 0.970% | | 5,769,696 | 5,214,801 |
| Series 2021-FA Class A |
| 02/18/2070 | 1.110% | | 2,966,866 | 2,604,638 |
| Series 2021-GA Class A |
| 04/15/2070 | 1.580% | | 2,063,249 | 1,824,889 |
| Series 2022-A Class A |
| 07/15/2070 | 2.230% | | 7,150,003 | 6,665,420 |
| Navient Student Loan Trust(a) |
| Series 2019-BA Class A2A |
| 12/15/2059 | 3.390% | | 1,810,204 | 1,774,223 |
| Series 2021-3A Class A1A |
| 08/25/2070 | 1.770% | | 3,463,081 | 3,199,276 |
| Nelnet Student Loan Trust(b) |
| Series 2004-3 Class A5 |
3-month USD LIBOR + 0.180%
Floor 0.180%
10/27/2036 | 1.364% | | 988,933 | 954,327 |
| Series 2004-4 Class A5 |
3-month USD LIBOR + 0.160%
Floor 0.160%
01/25/2037 | 1.344% | | 1,840,940 | 1,784,287 |
| Series 2005-1 Class A5 |
3-month USD LIBOR + 0.110%
Floor 0.110%
10/25/2033 | 1.294% | | 1,701,110 | 1,648,268 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2005-2 Class A5 |
3-month USD LIBOR + 0.100%
Floor 0.100%
03/23/2037 | 2.196% | | 4,311,820 | 4,166,031 |
| Series 2005-3 Class A5 |
3-month USD LIBOR + 0.120%
Floor 0.120%
12/24/2035 | 2.216% | | 5,176,677 | 5,147,483 |
| Series 2005-4 Class A4 |
3-month USD LIBOR + 0.180%
Floor 0.180%
03/22/2032 | 2.276% | | 413,052 | 390,991 |
| Nissan Auto Lease Trust |
| Series 2022-A Class A3 |
| 05/15/2025 | 3.810% | | 3,654,000 | 3,655,322 |
| Octane Receivables Trust(a) |
| Subordinated Series 2021-1A Class B |
| 04/20/2027 | 1.530% | | 700,000 | 637,113 |
| Subordinated Series 2021-1A Class C |
| 11/20/2028 | 2.230% | | 600,000 | 552,280 |
| Oportun Funding XIV LLC(a) |
| Series 2021-1 Class A |
| 03/08/2028 | 1.210% | | 1,385,000 | 1,303,719 |
| Oportun Issuance Trust(a) |
| Subordinated Series 2022-A Class C |
| 06/09/2031 | 7.400% | | 5,250,000 | 5,166,562 |
| Pagaya AI Debt Selection Trust(a) |
| Series 2021-1 Class B |
| 11/15/2027 | 2.130% | | 4,498,146 | 4,276,518 |
| Regional Management Issuance Trust(a) |
| Subordinated Series 2021-2 Class D |
| 08/15/2033 | 4.940% | | 4,300,000 | 3,392,003 |
| Renew(a) |
| Series 2017-1A Class A |
| 09/20/2052 | 3.670% | | 237,673 | 222,047 |
| Santander Drive Auto Receivables Trust |
| Series 2022-2 Class A3 |
| 10/15/2026 | 2.980% | | 5,746,000 | 5,662,209 |
| Series 2022-3 Class A3 |
| 12/15/2026 | 3.400% | | 2,223,000 | 2,205,244 |
| Santander Retail Auto Lease Trust(a) |
| Series 2020-A Class A4 |
| 03/20/2024 | 1.760% | | 4,410,000 | 4,396,375 |
| SART(f) |
| Series 2017-1 Class X |
| 11/17/2025 | 4.750% | | 735,358 | 707,046 |
| SART(a),(f) |
| Series 2018-1 Class A |
| 06/15/2025 | 4.750% | | 957,437 | 911,959 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| SCF Equipment Leasing LLC(a) |
| Subordinated Series 2021-1A Class F |
| 08/20/2032 | 5.520% | | 5,000,000 | 4,668,309 |
| Sierra Timeshare Receivables Funding LLC(a) |
| Subordinated Series 2020-2A Class D |
| 07/20/2037 | 6.590% | | 5,769,222 | 5,662,862 |
| SLC Student Loan Trust(b) |
| Series 2010-1 Class A |
3-month USD LIBOR + 0.875%
Floor 0.875%
11/25/2042 | 2.399% | | 434,290 | 430,066 |
| SLM Student Loan Trust(b) |
| Series 2007-2 Class A4 |
3-month USD LIBOR + 0.060%
Floor 0.060%
07/25/2022 | 1.244% | | 4,262,944 | 4,220,463 |
| SMB Private Education Loan Trust(a),(b) |
| Series 2016-B Class A2B |
1-month USD LIBOR + 1.450%
02/17/2032 | 2.774% | | 524,743 | 522,740 |
| Series 2016-C Class A2B |
1-month USD LIBOR + 1.100%
Floor 1.100%
09/15/2034 | 2.424% | | 727,615 | 726,203 |
| Series 2021-C Class A2 |
1-month USD LIBOR + 0.800%
Floor 0.800%
01/15/2053 | 2.124% | | 3,745,000 | 3,671,678 |
| SMB Private Education Loan Trust(a) |
| Series 2018-A Class A2A |
| 02/15/2036 | 3.500% | | 4,984,650 | 4,920,502 |
| Series 2018-C Class A2A |
| 11/15/2035 | 3.630% | | 1,766,367 | 1,741,207 |
| Series 2019-A Class A2A |
| 07/15/2036 | 3.440% | | 3,553,800 | 3,504,602 |
| Series 2020-BA Class A1A |
| 07/15/2053 | 1.290% | | 2,952,791 | 2,687,281 |
| Series 2020-PTA Class A2A |
| 09/15/2054 | 1.600% | | 2,734,914 | 2,493,565 |
| Series 2020-PTB Class A2A |
| 09/15/2054 | 1.600% | | 8,374,549 | 7,696,394 |
| Series 2021-A Class APT1 |
| 01/15/2053 | 1.070% | | 6,797,652 | 6,037,510 |
| Series 2021-B Class A |
| 07/17/2051 | 1.310% | | 1,787,240 | 1,661,881 |
| Series 2021-D Class A1A |
| 03/17/2053 | 1.340% | | 5,633,508 | 5,304,347 |
| Series 2021-E Class A1A |
| 02/15/2051 | 1.680% | | 3,913,514 | 3,690,465 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2022-A Class APT |
| 11/16/2054 | 2.850% | | 2,662,851 | 2,496,637 |
| SoFi Professional Loan Program LLC(a) |
| Series 2017-D Class A2FX |
| 09/25/2040 | 2.650% | | 154,751 | 152,613 |
| Series 2017-E Class A2B |
| 11/26/2040 | 2.720% | | 398,789 | 397,519 |
| SoFi Professional Loan Program Trust(a) |
| Series 2020-C Class AFX |
| 02/15/2046 | 1.950% | | 323,527 | 308,940 |
| Series 2021-A Class AFX |
| 08/17/2043 | 1.030% | | 1,057,322 | 965,672 |
| Series 2021-B Class AFX |
| 02/15/2047 | 1.140% | | 2,398,332 | 2,200,130 |
| Synchrony Card Funding LLC |
| Series 2022-A1 Class A |
| 04/15/2028 | 3.370% | | 3,302,000 | 3,270,776 |
| Theorem Funding Trust(a) |
| Series 2021-1A Class A |
| 12/15/2027 | 1.210% | | 2,931,827 | 2,878,888 |
| Toyota Auto Loan Extended Note Trust(a) |
| Series 2022-1A Class A |
| 04/25/2035 | 3.820% | | 10,259,000 | 10,178,447 |
| Toyota Auto Receivables Owner Trust |
| Series 2022-B Class A4 |
| 08/16/2027 | 3.110% | | 2,166,000 | 2,143,886 |
| Tricolor Auto Securitization Trust(a) |
| Series 2020-1A Class A |
| 11/15/2026 | 4.875% | | 665,571 | 665,493 |
| Triton Container Finance VIII LLC(a) |
| Series 2020-1A Class A |
| 09/20/2045 | 2.110% | | 1,266,660 | 1,120,621 |
| Upstart Pass-Through Trust(a) |
| Series 2021-ST4 Class A |
| 07/20/2027 | 2.000% | | 3,355,848 | 3,163,595 |
| Series 2021-ST8 Class A |
| 10/20/2029 | 1.750% | | 3,556,273 | 3,326,724 |
| Upstart Securitization Trust(a) |
| Series 2021-1 Class A |
| 03/20/2031 | 0.870% | | 860,265 | 852,959 |
| Series 2021-1 Class B |
| 03/20/2031 | 1.890% | | 1,336,000 | 1,288,534 |
| US Auto Funding(a) |
| Subordinated Series 2021-1A Class B |
| 03/17/2025 | 1.490% | | 2,200,000 | 2,120,991 |
| Subordinated Series 2021-1A Class C |
| 05/15/2026 | 2.200% | | 6,000,000 | 5,748,641 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| US Auto Funding Trust(a),(d),(f) |
| Series 2022-1A Class D |
| 07/15/2027 | 9.140% | | 5,000,000 | 4,830,925 |
| Verizon Master Trust |
| Series 2022-2 Class A |
| 07/20/2028 | 1.530% | | 1,761,000 | 1,673,596 |
| Verizon Master Trust(c) |
| Series 2022-4 Class A |
| 11/20/2028 | 3.400% | | 3,777,000 | 3,760,141 |
| Veros Auto Receivables Trust(a) |
| Subordinated Series 2021-1 Class B |
| 10/15/2026 | 1.490% | | 2,800,000 | 2,682,990 |
| VM Debt LLC(a),(f) |
| Series 2019-1 Class A1A |
| 06/17/2024 | 7.500% | | 2,800,000 | 2,800,000 |
| VSE Voi Mortgage LLC(a) |
| Series 2018-A Class A |
| 02/20/2036 | 3.560% | | 309,102 | 305,562 |
| World Omni Automobile Lease Securitization Trust |
| Series 2022-A Class A3 |
| 02/18/2025 | 3.210% | | 2,042,000 | 2,023,713 |
| Series 2022-A Class A4 |
| 06/15/2027 | 3.340% | | 1,203,000 | 1,192,422 |
Total Asset-Backed Securities — Non-Agency
(Cost $513,833,079) | 492,456,822 |
|
| Commercial Mortgage-Backed Securities - Agency 4.6% |
| | | | |
| Fannie Mae Multifamily REMIC Trust(c) |
| Series 2022-M10 Class A2 |
| 01/25/2032 | 2.003% | | 7,800,000 | 6,709,973 |
| Fannie Mae Multifamily REMIC Trust |
| Series 2022-M1S Class A2 |
| 04/25/2032 | 2.081% | | 8,700,000 | 7,570,012 |
| Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates |
| Series 2017 K065 Class A2 |
| 04/25/2027 | 3.243% | | 1,408,000 | 1,396,295 |
| Series 2017 K065 Class AM |
| 05/25/2027 | 3.326% | | 755,000 | 746,463 |
| Series 2017 K066 Class A2 |
| 06/25/2027 | 3.117% | | 1,858,000 | 1,828,381 |
| Series KJ07 Class A2 |
| 12/25/2022 | 2.312% | | 1,707,122 | 1,700,753 |
| Series KPLB Class A |
| 05/25/2025 | 2.770% | | 7,500,000 | 7,385,336 |
| Series KS07 Class A2 |
| 09/25/2025 | 2.735% | | 3,600,000 | 3,505,714 |
| Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(c) |
| Series 2017-K070 Class A2 |
| 11/25/2027 | 3.303% | | 1,311,000 | 1,299,255 |
| Commercial Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series K081 Class A2 |
| 08/25/2028 | 3.900% | | 2,245,000 | 2,289,369 |
| Series W5FX Class AFX |
| 04/25/2028 | 3.336% | | 1,256,000 | 1,229,159 |
| Federal National Mortgage Association |
| 05/01/2023 | 2.520% | | 3,000,000 | 2,992,642 |
| 06/01/2023 | 2.420% | | 2,451,833 | 2,431,406 |
| 11/01/2023 | 3.690% | | 1,138,293 | 1,140,101 |
| 12/01/2025 | 3.765% | | 6,598,145 | 6,728,565 |
| 07/01/2026 | 4.450% | | 2,467,744 | 2,573,198 |
| 12/01/2026 | 3.240% | | 1,500,000 | 1,493,439 |
| 01/01/2027 | 3.710% | | 2,907,918 | 2,948,940 |
| 02/01/2027 | 3.340% | | 1,000,000 | 1,013,644 |
| 03/01/2027 | 2.910% | | 3,316,004 | 3,255,869 |
| 05/01/2027 | 2.430% | | 2,326,792 | 2,205,368 |
| 06/01/2027 | 2.370% | | 4,550,000 | 4,333,440 |
| 06/01/2027 | 3.000% | | 1,966,858 | 1,932,173 |
| 07/01/2027 | 3.210% | | 880,015 | 872,572 |
| 06/01/2028 | 3.570% | | 2,787,000 | 2,792,230 |
| 11/01/2028 | 4.250% | | 553,306 | 574,413 |
| 02/01/2029 | 3.740% | | 1,515,000 | 1,536,938 |
| 10/01/2029 | 3.195% | | 4,384,258 | 4,342,027 |
| 02/01/2030 | 2.570% | | 2,546,187 | 2,395,498 |
| 02/01/2030 | 2.920% | | 2,714,421 | 2,596,908 |
| 02/01/2030 | 3.550% | | 1,000,000 | 1,006,771 |
| 05/01/2030 | 3.420% | | 8,992,832 | 8,907,359 |
| 06/01/2030 | 3.130% | | 4,812,000 | 4,533,486 |
| 07/01/2030 | 3.850% | | 4,444,644 | 4,534,027 |
| 02/01/2031 | 3.260% | | 6,236,000 | 6,094,852 |
| 01/01/2032 | 2.730% | | 2,558,059 | 2,382,182 |
| 01/01/2032 | 2.730% | | 1,825,000 | 1,714,297 |
| 01/01/2032 | 2.780% | | 2,180,293 | 2,060,748 |
| 01/01/2032 | 2.970% | | 1,584,334 | 1,519,452 |
| 02/01/2032 | 2.990% | | 2,934,108 | 2,817,491 |
| 05/01/2032 | 3.090% | | 5,565,000 | 5,384,542 |
| 06/01/2032 | 3.540% | | 7,921,000 | 7,883,417 |
| 04/01/2035 | 3.330% | | 2,408,376 | 2,315,650 |
| 10/01/2035 | 2.880% | | 5,000,000 | 4,408,311 |
| Series 2015-M10 Class A2 |
| 04/25/2027 | 3.092% | | 11,264,758 | 11,101,525 |
| Series 2017-M5 Class A2 |
| 04/25/2029 | 3.176% | | 1,792,112 | 1,744,937 |
| Series 2017-T1 Class A |
| 06/25/2027 | 2.898% | | 2,765,298 | 2,694,009 |
| Series 2021-M3 Class 1A1 |
| 11/25/2033 | 1.000% | | 6,048,464 | 5,811,849 |
| Federal National Mortgage Association(c) |
| 06/01/2037 | 5.888% | | 372,273 | 376,404 |
| CMO Series 2013-M13 Class A2 |
| 04/25/2023 | 2.631% | | 850,778 | 842,225 |
| CMO Series 2014-M3 Class A2 |
| 01/25/2024 | 3.501% | | 529,337 | 529,154 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 11 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Commercial Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2015-M11 Class A2 |
| 04/25/2025 | 2.944% | | 1,851,407 | 1,823,397 |
| Series 2017-M12 Class A2 |
| 06/25/2027 | 3.169% | | 1,902,499 | 1,878,015 |
| Series 2017-M7 Class A2 |
| 02/25/2027 | 2.961% | | 525,772 | 511,946 |
| Series 2018-M10 Class A2 |
| 07/25/2028 | 3.476% | | 2,683,000 | 2,668,300 |
| Series 2018-M3 Class A2 |
| 02/25/2030 | 3.183% | | 1,034,532 | 1,002,270 |
| Series 2018-M4 Class A2 |
| 03/25/2028 | 3.158% | | 1,334,641 | 1,310,313 |
| Series 2022-M3 Class A2 |
| 11/25/2031 | 1.764% | | 16,900,000 | 14,383,519 |
| Federal National Mortgage Association(c),(g) |
| Series 2021-M3 Class X1 |
| 11/25/2033 | 2.086% | | 38,663,227 | 3,376,378 |
| Freddie Mac Multiclass Certificates(c),(g) |
| Series 2021-P011 Class X1 |
| 09/25/2045 | 1.841% | | 21,519,081 | 2,967,604 |
| Freddie Mac Multifamily Certificates(a) |
| Series K145 Class AM |
| 07/25/2032 | 2.580% | | 8,250,000 | 7,517,173 |
| Freddie Mac Multifamily Certificates |
| Series K146 Class A2 |
| 07/25/2032 | 2.920% | | 5,900,000 | 5,547,179 |
| Freddie Mac Multifamily Structured Credit Risk(a),(b) |
| Series 2021-MN1 Class M2 |
3-month Term SOFR + 3.750%
01/25/2051 | 4.676% | | 1,000,000 | 865,757 |
| Freddie Mac Multifamily Structured Pass-Through Certificates(c),(g) |
| Series KL05 Class X1P (FHLMC) |
| 06/25/2029 | 1.024% | | 75,000,000 | 4,125,450 |
| FREMF Mortgage Trust(a),(c) |
| Subordinated Series 2015-K44 Class B |
| 01/25/2048 | 3.718% | | 3,410,000 | 3,341,591 |
| Subordinated Series 2016-K59 Class B |
| 11/25/2049 | 3.698% | | 2,383,000 | 2,298,755 |
| Subordinated Series 2016-K722 Class B |
| 07/25/2049 | 4.023% | | 1,400,000 | 1,393,889 |
| Subordinated Series 2019-K92 Class B |
| 05/25/2052 | 4.194% | | 6,000,000 | 5,780,431 |
| Government National Mortgage Association(b) |
| CMO Series 2013-H08 Class FA |
1-month USD LIBOR + 0.350%
Floor 0.350%, Cap 10.550%
03/20/2063 | 1.153% | | 836,794 | 829,771 |
| Commercial Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2015-H15 Class FJ |
1-month USD LIBOR + 0.440%
Floor 0.440%, Cap 11.000%
06/20/2065 | 1.243% | | 2,301,734 | 2,275,920 |
| CMO Series 2015-H16 Class FG |
1-month USD LIBOR + 0.440%
Floor 0.440%, Cap 11.000%
07/20/2065 | 1.243% | | 2,124,647 | 2,099,438 |
| CMO Series 2015-H16 Class FL |
1-month USD LIBOR + 0.440%
Floor 0.440%, Cap 11.000%
07/20/2065 | 1.243% | | 1,211,251 | 1,197,194 |
| CMO Series 2015-H18 Class FA |
1-month USD LIBOR + 0.450%
Floor 0.450%, Cap 11.000%
06/20/2065 | 1.253% | | 585,586 | 580,098 |
| Government National Mortgage Association(c) |
| CMO Series 2014-168 Class VB |
| 06/16/2047 | 3.420% | | 2,012,057 | 2,009,856 |
| Multifamily Connecticut Avenue Securities Trust(a),(b) |
| Subordinated Series 2020-01 Class M10 |
1-month USD LIBOR + 3.750%
Floor 3.750%
03/25/2050 | 5.374% | | 6,008,000 | 5,393,589 |
Total Commercial Mortgage-Backed Securities - Agency
(Cost $245,668,471) | 237,660,602 |
|
| Commercial Mortgage-Backed Securities - Non-Agency 5.6% |
| | | | |
| 3650R Commercial Mortgage Trust |
| Series 2021-PF1 Class A5 |
| 11/15/2054 | 2.522% | | 1,397,000 | 1,201,457 |
| American Homes 4 Rent Trust(a) |
| Series 2014-SFR2 Class A |
| 10/17/2036 | 3.786% | | 2,251,456 | 2,248,740 |
| Series 2014-SFR2 Class E |
| 10/17/2036 | 6.231% | | 500,000 | 512,712 |
| Series 2014-SFR3 Class A |
| 12/17/2036 | 3.678% | | 993,396 | 983,813 |
| Series 2014-SFR3 Class E |
| 12/17/2036 | 6.418% | | 1,000,000 | 1,022,220 |
| Series 2015-SFR1 Class A |
| 04/17/2052 | 3.467% | | 1,083,720 | 1,072,735 |
| Series 2015-SFR1 Class E |
| 04/17/2052 | 5.639% | | 1,150,000 | 1,164,722 |
| Subordinated Series 2014-SFR3 Class C |
| 12/17/2036 | 4.596% | | 200,000 | 199,295 |
| Subordinated Series 2015-SFR2 Class D |
| 10/17/2045 | 5.036% | | 2,000,000 | 1,995,690 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Subordinated Series 2015-SFR2 Class E |
| 10/17/2045 | 6.070% | | 1,820,000 | 1,860,260 |
| AMSR Trust(a) |
| Series 2020-SFR5 Class D |
| 11/17/2037 | 2.180% | | 3,750,000 | 3,408,884 |
| Subordinated Series 2020-SFR2 Class C |
| 07/17/2037 | 2.533% | | 4,000,000 | 3,803,760 |
| Subordinated Series 2020-SFR3 Class E1 |
| 09/17/2037 | 2.556% | | 3,600,000 | 3,292,046 |
| Subordinated Series 2020-SFR4 Class E2 |
| 11/17/2037 | 2.456% | | 4,275,000 | 3,909,799 |
| Subordinated Series 2020-SFR5 Class F |
| 11/17/2037 | 2.686% | | 5,000,000 | 4,547,469 |
| Subordinated Series 2021-SFR2 Class D |
| 08/17/2026 | 2.278% | | 4,800,000 | 4,409,411 |
| Subordinated Series 2021-SFR2 Class E1 |
| 08/17/2026 | 2.477% | | 5,200,000 | 4,778,333 |
| Subordinated Series 2021-SFR3 Class E2 |
| 10/17/2038 | 2.427% | | 3,845,000 | 3,351,285 |
| Subordinated Series 2022-SFR1 Class F |
| 03/17/2039 | 6.021% | | 8,500,000 | 8,066,281 |
| AMSR Trust(a),(c) |
| Series 2021-SFR1 Class E1 |
| 06/17/2038 | 2.751% | | 2,250,000 | 1,884,367 |
| Series 2021-SFR1 Class E2 |
| 06/17/2038 | 2.900% | | 2,250,000 | 1,897,997 |
| AREIT Trust(a),(b) |
| Series 2021-CRE5 Class C |
1-month USD LIBOR + 2.250%
Floor 2.250%
08/17/2026 | 2.804% | | 8,000,000 | 7,530,124 |
| Barclays Commercial Mortgage Trust |
| Series 2019-C3 Class A3 |
| 05/15/2052 | 3.319% | | 319,000 | 299,368 |
| BBCMS Mortgage Trust |
| Series 2018-C2 Class ASB |
| 12/15/2051 | 4.236% | | 643,000 | 645,886 |
| BBCMS Mortgage Trust(c) |
| Series 2022-C16 Class A5 |
| 06/15/2055 | 4.600% | | 787,000 | 805,933 |
| BB-UBS Trust(a) |
| Series 2012-SHOW Class A |
| 11/05/2036 | 3.430% | | 3,700,000 | 3,559,057 |
| Bear Stearns Commercial Mortgage Securities Trust(a),(c),(g) |
| CMO Series 2007-T26 Class X1 |
| 01/12/2045 | 1.168% | | 74,862 | 2 |
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Benchmark Mortgage Trust |
| Series 2021-B31 Class A5 |
| 12/15/2054 | 2.669% | | 437,000 | 382,954 |
| Benchmark Mortgage Trust(c) |
| Series 2022-B35 Class A5 |
| 05/15/2055 | 4.594% | | 1,301,000 | 1,324,523 |
| BMO Mortgage Trust(c),(h) |
| Series 2022-C2 Class A5 |
| 07/15/2054 | 4.974% | | 1,737,000 | 1,796,731 |
| BX Commercial Mortgage Trust(a),(b) |
| Series 2021-VOLT Class A |
1-month USD LIBOR + 0.700%
Floor 0.700%
09/15/2036 | 2.024% | | 6,056,000 | 5,840,888 |
| Series 2021-XL2 Class A |
1-month USD LIBOR + 0.689%
Floor 0.689%
10/15/2038 | 2.013% | | 2,805,987 | 2,672,101 |
| Camden Property Trust(a),(f) |
| Series 2016-SFR1 Class A |
| 12/05/2026 | 5.000% | | 4,639,297 | 4,632,338 |
| CFCRE Commercial Mortgage Trust |
| Series 2017-C8 Class ASB |
| 06/15/2050 | 3.367% | | 867,742 | 851,503 |
| Citigroup Commercial Mortgage Trust |
| Series 2020-GC46 Class A5 |
| 02/15/2053 | 2.717% | | 6,215,000 | 5,545,052 |
| Citigroup Commercial Mortgage Trust(c) |
| Series 2022-GC48 Class A5 |
| 05/15/2054 | 4.580% | | 1,743,000 | 1,797,557 |
| Citigroup/Deutsche Bank Commercial Mortgage Trust(a),(c),(g) |
| CMO Series 2006-CD2 Class X |
| 01/15/2046 | 0.023% | | 839,501 | 1 |
| COMM Mortgage Trust(c) |
| Series 2013-CR10 Class A4 |
| 08/10/2046 | 4.210% | | 36,000 | 35,958 |
| COMM Mortgage Trust |
| Series 2013-CR11 Class A4 |
| 08/10/2050 | 4.258% | | 5,303,000 | 5,278,821 |
| Series 2013-CR6 Class A4 |
| 03/10/2046 | 3.101% | | 3,325,000 | 3,308,799 |
| Series 2014-UBS4 Class A4 |
| 08/10/2047 | 3.420% | | 1,700,000 | 1,672,309 |
| Series 2015-LC19 Class A3 |
| 02/10/2048 | 2.922% | | 2,727,298 | 2,646,703 |
| Series 2015-LC23 Class A3 |
| 10/10/2048 | 3.521% | | 1,565,000 | 1,528,693 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 13 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| COMM Mortgage Trust(a),(c) |
| Series 2018-HOME Class A |
| 04/10/2033 | 3.942% | | 3,125,000 | 2,949,271 |
| COMM Mortgage Trust(a) |
| Series 2020-CBM Class A2 |
| 02/10/2037 | 2.896% | | 4,000,000 | 3,793,408 |
| Subordinated Series 2020-CBM Class C |
| 02/10/2037 | 3.402% | | 3,480,000 | 3,246,064 |
| Commercial Mortgage Trust(c),(g) |
| CMO Series 2012-CR2 Class XA |
| 08/15/2045 | 1.536% | | 123,053 | 4 |
| Commercial Mortgage Trust |
| Series 2012-CR3 Class A3 |
| 10/15/2045 | 2.822% | | 725,411 | 724,467 |
| Series 2014-CR19 Class ASB |
| 08/10/2047 | 3.499% | | 485,795 | 483,384 |
| Series 2014-UBS2 Class A5 |
| 03/10/2047 | 3.961% | | 1,396,375 | 1,388,854 |
| Series 2015-CR25 Class A4 |
| 08/10/2048 | 3.759% | | 2,187,000 | 2,157,776 |
| Commercial Mortgage Trust(a) |
| Series 2013-300P Class A1 |
| 08/10/2030 | 4.353% | | 2,000,000 | 1,985,195 |
| Commercial Mortgage Trust(a),(c) |
| Series 2013-SFS Class A2 |
| 04/12/2035 | 3.086% | | 624,000 | 614,586 |
| CoreVest American Finance Trust(a) |
| Series 2019-3 Class A |
| 10/15/2052 | 2.705% | | 1,375,755 | 1,312,427 |
| Subordinated Series 2019-1 Class B |
| 03/15/2052 | 3.880% | | 1,960,000 | 1,902,087 |
| CSAIL Commercial Mortgage Trust |
| Series 2019-C16 Class A2 |
| 06/15/2052 | 3.067% | | 1,046,000 | 962,781 |
| Series 2021-C20 Class A3 |
| 03/15/2054 | 2.805% | | 696,000 | 615,419 |
| EQUS Mortgage Trust(a),(b) |
| Series 2021-EQAZ Class A |
1-month USD LIBOR + 0.755%
Floor 0.755%
10/15/2038 | 2.079% | | 2,371,000 | 2,264,083 |
| FirstKey Homes Trust(a) |
| Subordinated Series 2020-SFR1 Class D |
| 08/17/2037 | 2.241% | | 3,600,000 | 3,330,082 |
| Subordinated Series 2021-SFR1 Class E2 |
| 08/17/2038 | 2.489% | | 6,000,000 | 5,294,807 |
| Subordinated Series 2021-SFR1 Class F1 |
| 08/17/2038 | 3.238% | | 4,800,000 | 4,222,389 |
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Subordinated Series 2021-SFR2 Class E2 |
| 09/17/2038 | 2.358% | | 5,600,000 | 4,776,665 |
| Subordinated Series 2022-SFR2 Class E1 |
| 07/17/2039 | 4.500% | | 6,800,000 | 6,161,098 |
| Freddie Mac Multifamily Structured Credit Risk(a),(b) |
| Series 2021-MN1 Class M1 |
30-day Average SOFR + 3.000%
01/25/2051 | 2.926% | | 4,398,289 | 4,091,218 |
| Series 2022-MN4 Class M1 |
30-day Average SOFR + 4.250%
05/25/2052 | 4.783% | | 4,000,000 | 4,039,729 |
| Series 2022-MN4 Class M2 |
30-day Average SOFR + 6.500%
05/25/2052 | 7.033% | | 2,500,000 | 2,518,699 |
| FREMF Mortgage Trust(a),(c) |
| Series 2020-K737 Class B |
| 01/25/2053 | 3.416% | | 4,000,000 | 3,779,482 |
| FRTKL(a) |
| Subordinated CMO Series 2021-SFR1 Class E1 |
| 09/17/2038 | 2.372% | | 3,709,000 | 3,227,590 |
| Subordinated CMO Series 2021-SFR1 Class E2 |
| 09/17/2038 | 2.522% | | 2,781,000 | 2,411,953 |
| GS Mortgage Securities Trust |
| Series 2013-GC14 Class A5 |
| 08/10/2046 | 4.243% | | 1,209,000 | 1,205,568 |
| Series 2014-GC18 Class A4 |
| 01/10/2047 | 4.074% | | 3,217,000 | 3,206,492 |
| Series 2015-GC32 Class AAB |
| 07/10/2048 | 3.513% | | 4,520,514 | 4,500,701 |
| Series 2020-GC47 Class A5 |
| 05/12/2053 | 2.377% | | 874,000 | 760,836 |
| Series 2020-GSA2 Class A4 |
| 12/12/2053 | 1.721% | | 3,042,000 | 2,501,113 |
| Impact Funding Affordable Multifamily Housing Mortgage Loan Trust(a) |
| Series 2010-1 Class A1 |
| 01/25/2051 | 5.314% | | 1,686,725 | 1,651,907 |
| Independence Plaza Trust(a) |
| Series 2018-INDP Class A |
| 07/10/2035 | 3.763% | | 2,060,000 | 2,002,920 |
| JPMBB Commercial Mortgage Securities Trust |
| Series 2013-C12 Class A5 |
| 07/15/2045 | 3.664% | | 1,763,000 | 1,743,726 |
| Series 2013-C17 Class A4 |
| 01/15/2047 | 4.199% | | 605,000 | 604,444 |
| Series 2014-C23 Class A4 |
| 09/15/2047 | 3.670% | | 485,835 | 479,887 |
| Series 2015-C28 Class A3 |
| 10/15/2048 | 2.912% | | 2,904,618 | 2,795,138 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| JPMorgan Chase Commercial Mortgage Securities Trust(c),(g) |
| CMO Series 2006-CB15 Class X1 |
| 06/12/2043 | 0.450% | | 1,542,436 | 5,377 |
| JPMorgan Chase Commercial Mortgage Securities Trust |
| Series 2013-C16 Class A4 |
| 12/15/2046 | 4.166% | | 2,645,000 | 2,633,029 |
| KGS-Alpha SBA COOF Trust(a),(c),(f),(g) |
| CMO Series 2012-2 Class A |
| 08/25/2038 | 0.801% | | 1,020,706 | 16,905 |
| CMO Series 2013-2 Class A |
| 03/25/2039 | 1.710% | | 1,514,597 | 46,621 |
| CMO Series 2014-2 Class A |
| 04/25/2040 | 2.667% | | 379,866 | 24,038 |
| Ladder Capital Commercial Mortgage Trust(a) |
| Series 2013-GCP Class A2 |
| 02/15/2036 | 3.985% | | 1,535,000 | 1,468,595 |
| Med Trust(a),(b) |
| Series 2021-MDLN Class A |
1-month USD LIBOR + 0.950%
Floor 0.950%
11/15/2038 | 2.274% | | 3,683,000 | 3,521,145 |
| Morgan Stanley Capital I Trust(a),(c),(g) |
| CMO Series 2006-T21 Class X |
| 10/12/2052 | 0.074% | | 3,130,380 | 78 |
| Morgan Stanley Capital I Trust(c) |
| Series 2018-L1 Class A4 |
| 10/15/2051 | 4.407% | | 888,000 | 889,265 |
| Series 2022-L8 Class A5 |
| 04/15/2055 | 3.922% | | 905,000 | 871,159 |
| Morgan Stanley Capital I Trust |
| Series 2020-HR8 Class A3 |
| 07/15/2053 | 1.790% | | 1,424,000 | 1,188,582 |
| MRCD MARK Mortgage Trust(a) |
| Series 2019-PARK Class A |
| 12/15/2036 | 2.718% | | 4,000,000 | 3,804,154 |
| Series 2019-PARK Class D |
| 12/15/2036 | 2.718% | | 2,375,000 | 2,169,511 |
| New Residential Mortgage Loan Trust(a) |
| Subordinated Series 2022-SFR1 Class E1 |
| 02/17/2039 | 3.550% | | 7,036,000 | 6,656,197 |
| Progress Residential Trust(a) |
| Series 2021-SFR5 Class E1 |
| 07/17/2038 | 2.209% | | 8,435,000 | 7,302,449 |
| Series 2021-SFR6 Class E1 |
| 07/17/2038 | 2.425% | | 5,000,000 | 4,312,645 |
| Subordinated Series 2021-SFR2 Class E2 |
| 04/19/2038 | 2.647% | | 4,750,000 | 4,158,564 |
| Subordinated Series 2021-SFR5 Class E2 |
| 07/17/2038 | 2.359% | | 4,730,000 | 4,074,154 |
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Subordinated Series 2021-SFR7 Class E1 |
| 08/17/2040 | 2.591% | | 2,500,000 | 2,059,342 |
| Subordinated Series 2021-SFR8 Class D |
| 10/17/2038 | 2.082% | | 6,000,000 | 5,173,190 |
| Subordinated Series 2021-SFR9 Class E2 |
| 11/17/2040 | 3.010% | | 2,899,000 | 2,317,948 |
| Subordinated Series 2022-SFR1 Class F |
| 02/17/2041 | 4.880% | | 7,000,000 | 6,188,162 |
| Subordinated Series 2022-SFR3 Class F |
| 04/17/2039 | 6.600% | | 5,560,000 | 5,272,406 |
| Progress Residential Trust(a),(i) |
| Subordinated Series 2020-SFR2 Class GREG |
| 06/17/2037 | 0.000% | | 5,154,026 | 4,706,580 |
| Progress Residential Trust |
| Subordinated Series 2022-SFR2 Class E1 |
| 04/17/2027 | 4.550% | | 3,100,000 | 2,851,882 |
| RBS Commercial Funding, Inc., Trust(a) |
| Series 2013-SMV Class A |
| 03/11/2031 | 3.260% | | 797,000 | 784,427 |
| SLG Office Trust(a) |
| Series 2021-OVA Class A |
| 07/15/2041 | 2.585% | | 5,710,000 | 4,804,905 |
| Starwood Waypoint Homes Trust(d),(f) |
| Series 2019-STL Class A |
| 10/11/2026 | 7.250% | | 2,300,000 | 2,300,000 |
| TPI Re-REMIC Trust(a),(i) |
| Series 2022-FRR1 Class DK33 |
| 07/25/2046 | 0.000% | | 3,500,000 | 3,223,896 |
| Series 2022-FRR1 Class DK34 |
| 07/25/2046 | 0.000% | | 7,175,000 | 6,608,986 |
| Series 2022-FRR1 Class DK35 |
| 08/25/2046 | 0.000% | | 2,639,000 | 2,430,817 |
| UBS-Barclays Commercial Mortgage Trust |
| Series 2013-C6 Class A4 |
| 04/10/2046 | 3.244% | | 857,000 | 848,030 |
| Wachovia Bank Commercial Mortgage Trust(a),(c),(g) |
| CMO Series 2004-C12 Class |
| 07/15/2041 | 0.845% | | 944,434 | 2,174 |
| CMO Series 2006-C24 Class XC |
| 03/15/2045 | 0.000% | | 446,582 | 4 |
| Wells Fargo Commercial Mortgage Trust(a),(b) |
| Series 2021-SAVE Class A |
1-month USD LIBOR + 1.150%
Floor 1.150%
02/15/2040 | 2.474% | | 2,368,002 | 2,273,281 |
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $314,459,029) | 292,461,325 |
|
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 15 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Convertible Bonds 0.0% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Banking 0.0% |
| ING Groep NV(j) |
| 12/31/2049 | 3.875% | | 1,500,000 | 1,089,046 |
| Westpac Banking Corp. |
| Subordinated |
| 07/24/2039 | 4.421% | | 346,000 | 309,930 |
| Total | 1,398,976 |
Total Convertible Bonds
(Cost $1,846,000) | 1,398,976 |
|
| Corporate Bonds & Notes 30.3% |
| | | | |
| Aerospace & Defense 0.4% |
| Airbus Group SE(a) |
| 04/10/2027 | 3.150% | | 409,000 | 393,758 |
| 04/10/2047 | 3.950% | | 150,000 | 131,793 |
| BAE Systems PLC(a) |
| 02/15/2031 | 1.900% | | 417,000 | 334,164 |
| 09/15/2050 | 3.000% | | 209,000 | 148,453 |
| Boeing Co. (The) |
| 02/01/2024 | 1.950% | | 1,463,000 | 1,413,162 |
| 02/04/2024 | 1.433% | | 2,073,000 | 1,983,134 |
| 02/01/2026 | 2.750% | | 1,417,000 | 1,315,652 |
| 02/04/2026 | 2.196% | | 3,370,000 | 3,041,338 |
| 05/01/2026 | 3.100% | | 1,700,000 | 1,591,106 |
| 05/01/2027 | 5.040% | | 495,000 | 488,989 |
| 03/01/2028 | 3.250% | | 998,000 | 896,045 |
| 02/01/2035 | 3.250% | | 1,090,000 | 829,706 |
| 02/01/2050 | 3.750% | | 1,948,000 | 1,373,615 |
| Lockheed Martin Corp. |
| 05/15/2036 | 4.500% | | 400,000 | 399,691 |
| Northrop Grumman Corp. |
| 05/01/2030 | 4.400% | | 3,162,000 | 3,159,903 |
| Raytheon Technologies Corp. |
| 03/15/2024 | 3.200% | | 175,000 | 174,535 |
| 04/15/2047 | 4.350% | | 180,000 | 166,366 |
| Spirit AeroSystems, Inc.(a) |
| 04/15/2025 | 7.500% | | 595,000 | 556,022 |
| TransDigm, Inc.(a) |
| 03/15/2026 | 6.250% | | 685,000 | 661,920 |
| TransDigm, Inc. |
| 11/15/2027 | 5.500% | | 685,000 | 583,312 |
| United Technologies Corp. |
| 11/16/2028 | 4.125% | | 378,000 | 373,442 |
| 06/01/2042 | 4.500% | | 153,000 | 145,774 |
| 05/15/2045 | 4.150% | | 199,000 | 176,825 |
| 11/01/2046 | 3.750% | | 450,000 | 382,686 |
| Total | 20,721,391 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Agencies 0.1% |
| Crowley Conro LLC |
| 08/15/2043 | 4.181% | | 649,314 | 650,630 |
| Israel Government AID Bond(k) |
| 11/01/2024 | 0.000% | | 5,000,000 | 4,625,130 |
| Total | 5,275,760 |
| Airlines 0.4% |
| Air Canada Pass-Through Trust(a) |
| 05/15/2025 | 4.125% | | 1,425,252 | 1,292,611 |
| Series 2017-1 Class A |
| 01/15/2030 | 3.550% | | 446,515 | 397,526 |
| Series 2017-1 Class AA |
| 01/15/2030 | 3.300% | | 315,187 | 281,241 |
| American Airlines Pass-Through Trust |
| Series 2016-3 Class AA |
| 10/15/2028 | 3.000% | | 2,429,300 | 2,156,266 |
| Series 2017-1 Class AA |
| 02/15/2029 | 3.650% | | 519,645 | 475,492 |
| American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) |
| 04/20/2026 | 5.500% | | 900,000 | 829,176 |
| 04/20/2029 | 5.750% | | 680,000 | 580,586 |
| British Airways Pass-Through Trust(a) |
| Series 2018-1 Class A |
| 09/20/2031 | 4.125% | | 503,216 | 441,838 |
| Series 2018-1 Class AA |
| 09/20/2031 | 3.800% | | 362,913 | 338,316 |
| Series 2019-1 Class AA |
| 12/15/2032 | 3.300% | | 600,122 | 538,057 |
| Continental Airlines Pass-Through Trust |
| 10/29/2024 | 4.000% | | 104,306 | 99,351 |
| Delta Air Lines, Inc./SkyMiles IP Ltd.(a) |
| 10/20/2025 | 4.500% | | 4,076,000 | 3,959,088 |
| 10/20/2028 | 4.750% | | 5,242,000 | 4,947,598 |
| Spirit Airlines Pass-Through Trust |
| 02/15/2030 | 3.375% | | 239,365 | 216,323 |
| United Airlines Pass-Through Trust |
| Series 2016-2 Class A |
| 04/07/2030 | 3.100% | | 1,074,591 | 891,954 |
| United Airlines, Inc.(a) |
| 04/15/2026 | 4.375% | | 1,040,000 | 922,398 |
| United Airlines, Inc. Pass-Through Trust |
| 08/15/2025 | 4.300% | | 190,294 | 180,850 |
| 03/01/2026 | 4.600% | | 241,557 | 214,521 |
| Series 2016-1 Class AA |
| 07/07/2028 | 3.100% | | 610,042 | 548,717 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Series 2016-1 Class B |
| 01/07/2026 | 3.650% | | 86,120 | 75,481 |
| Series 2018-1 Class A |
| 03/01/2030 | 3.700% | | 1,496,844 | 1,320,909 |
| Series 2018-1 Class AA |
| 03/01/2030 | 3.500% | | 683,795 | 614,093 |
| Series 2019-1 Class A |
| 08/25/2031 | 4.550% | | 797,180 | 693,205 |
| Series 2019-1 Class AA |
| 08/25/2031 | 4.150% | | 891,892 | 830,655 |
| Total | 22,846,252 |
| Apartment REIT 0.2% |
| American Homes 4 Rent LP |
| 04/15/2032 | 3.625% | | 1,781,000 | 1,558,610 |
| 04/15/2052 | 4.300% | | 800,000 | 642,388 |
| ERP Operating LP |
| 12/01/2028 | 4.150% | | 164,000 | 160,538 |
| Essex Portfolio LP |
| 03/01/2028 | 1.700% | | 2,330,000 | 1,999,392 |
| 01/15/2031 | 1.650% | | 307,000 | 239,370 |
| 06/15/2031 | 2.550% | | 917,000 | 766,159 |
| 03/15/2032 | 2.650% | | 295,000 | 244,089 |
| Invitation Homes Operating Partnership LP |
| 04/15/2032 | 4.150% | | 1,781,000 | 1,616,105 |
| Mid-America Apartments LP |
| 10/15/2023 | 4.300% | | 913,000 | 918,007 |
| 11/15/2025 | 4.000% | | 1,090,000 | 1,081,059 |
| 03/15/2029 | 3.950% | | 895,000 | 854,241 |
| UDR, Inc. |
| 09/01/2026 | 2.950% | | 363,000 | 341,111 |
| 01/15/2030 | 3.200% | | 188,000 | 169,057 |
| 08/15/2031 | 3.000% | | 115,000 | 98,248 |
| 08/01/2032 | 2.100% | | 266,000 | 207,428 |
| Total | 10,895,802 |
| Automotive 0.8% |
| Adient Global Holdings Ltd.(a) |
| 08/15/2026 | 4.875% | | 1,055,000 | 926,299 |
| Allison Transmission, Inc.(a) |
| 06/01/2029 | 5.875% | | 1,030,000 | 957,111 |
| American Axle & Manufacturing, Inc. |
| 04/01/2027 | 6.500% | | 1,805,000 | 1,598,138 |
| BMW US Capital LLC(a) |
| 09/15/2023 | 2.250% | | 245,000 | 242,193 |
| Clarios Global LP(a) |
| 05/15/2025 | 6.750% | | 741,000 | 733,861 |
| Daimler Trucks Finance North America LLC(a) |
| 04/07/2025 | 3.500% | | 400,000 | 392,062 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Dana, Inc. |
| 06/15/2028 | 5.625% | | 1,060,000 | 916,837 |
| Ford Motor Co. |
| 01/15/2043 | 4.750% | | 727,000 | 518,219 |
| Ford Motor Credit Co. LLC |
| 11/13/2025 | 3.375% | | 2,205,000 | 1,985,224 |
| 01/08/2026 | 4.389% | | 1,685,000 | 1,555,683 |
| 08/10/2026 | 2.700% | | 3,257,000 | 2,776,750 |
| 01/09/2027 | 4.271% | | 201,000 | 180,038 |
| 08/17/2027 | 4.125% | | 2,245,000 | 1,976,659 |
| 02/10/2029 | 2.900% | | 2,403,000 | 1,883,962 |
| 05/03/2029 | 5.113% | | 2,055,000 | 1,841,452 |
| 06/17/2031 | 3.625% | | 2,435,000 | 1,886,289 |
| General Motors Co. |
| 10/01/2025 | 6.125% | | 590,000 | 610,075 |
| General Motors Financial Co., Inc. |
| 10/15/2024 | 1.200% | | 830,000 | 771,750 |
| 04/07/2025 | 3.800% | | 195,000 | 190,380 |
| 01/08/2026 | 1.250% | | 2,427,000 | 2,133,168 |
| 04/09/2027 | 5.000% | | 1,803,000 | 1,768,420 |
| 01/08/2031 | 2.350% | | 1,398,000 | 1,085,838 |
| 06/10/2031 | 2.700% | | 400,000 | 316,272 |
| 01/12/2032 | 3.100% | | 958,000 | 769,925 |
| Goodyear Tire & Rubber Co. (The) |
| 05/31/2025 | 9.500% | | 385,000 | 398,238 |
| 07/15/2029 | 5.000% | | 630,000 | 525,107 |
| 04/30/2031 | 5.250% | | 495,000 | 402,496 |
| 07/15/2031 | 5.250% | | 695,000 | 562,428 |
| Hyundai Capital America(a) |
| 11/10/2022 | 1.150% | | 622,000 | 616,539 |
| 01/08/2024 | 0.800% | | 1,712,000 | 1,627,142 |
| 10/15/2025 | 1.800% | | 208,000 | 190,337 |
| 01/08/2026 | 1.300% | | 2,346,000 | 2,091,710 |
| 06/15/2026 | 1.500% | | 1,710,000 | 1,514,361 |
| 02/10/2027 | 3.000% | | 315,000 | 290,051 |
| 10/15/2027 | 2.375% | | 218,000 | 191,833 |
| 01/10/2028 | 1.800% | | 331,000 | 280,876 |
| 06/15/2028 | 2.000% | | 886,000 | 748,584 |
| Nissan Motor Co., Ltd.(a) |
| 09/17/2027 | 4.345% | | 762,000 | 697,511 |
| 09/17/2030 | 4.810% | | 454,000 | 401,624 |
| Panther BF Aggregator 2 LP/Finance Co., Inc.(a) |
| 05/15/2026 | 6.250% | | 556,000 | 535,873 |
| Toyota Motor Credit Corp. |
| 06/30/2025 | 3.950% | | 2,758,000 | 2,771,448 |
| 06/29/2029 | 4.450% | | 917,000 | 928,581 |
| Total | 42,791,344 |
| Banking 8.0% |
| ABN AMRO Bank NV(a),(j) |
| 12/13/2029 | 2.470% | | 600,000 | 511,155 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 17 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Subordinated |
| 03/13/2037 | 3.324% | | 1,000,000 | 803,122 |
| AIB Group PLC(a) |
| 10/12/2023 | 4.750% | | 875,000 | 875,744 |
| AIB Group PLC(a),(j) |
| 04/10/2025 | 4.263% | | 655,000 | 644,155 |
| American Express Co. |
| 03/04/2027 | 2.550% | | 2,595,000 | 2,418,893 |
| Subordinated |
| 12/05/2024 | 3.625% | | 170,000 | 169,101 |
| ANZ New Zealand International Ltd.(a) |
| 02/13/2030 | 2.550% | | 298,000 | 260,576 |
| ASB Bank Ltd.(a) |
| 05/23/2024 | 3.125% | | 293,000 | 289,493 |
| Australia & New Zealand Banking Group Ltd.(a) |
| Subordinated |
| 05/19/2026 | 4.400% | | 226,000 | 222,938 |
| Banco Santander SA |
| 05/28/2025 | 2.746% | | 1,000,000 | 948,584 |
| 03/25/2026 | 1.849% | | 1,000,000 | 899,700 |
| Subordinated |
| 12/03/2030 | 2.749% | | 800,000 | 635,437 |
| Banco Santander SA(j) |
| 09/14/2027 | 1.722% | | 2,600,000 | 2,257,450 |
| Subordinated |
| 11/22/2032 | 3.225% | | 1,800,000 | 1,436,950 |
| Bank of America Corp.(j) |
| 12/20/2023 | 3.004% | | 3,539,000 | 3,526,577 |
| 07/23/2024 | 3.864% | | 250,000 | 248,892 |
| 10/01/2025 | 3.093% | | 737,000 | 714,680 |
| 12/06/2025 | 1.530% | | 6,328,000 | 5,888,646 |
| 04/02/2026 | 3.384% | | 9,817,000 | 9,515,931 |
| 06/19/2026 | 1.319% | | 1,190,000 | 1,082,517 |
| 03/11/2027 | 1.658% | | 7,068,000 | 6,353,907 |
| 07/22/2027 | 1.734% | | 5,365,000 | 4,781,466 |
| 02/04/2028 | 2.551% | | 1,545,000 | 1,405,965 |
| 04/24/2028 | 3.705% | | 1,800,000 | 1,714,711 |
| 12/20/2028 | 3.419% | | 5,296,000 | 4,932,984 |
| 02/13/2031 | 2.496% | | 4,192,000 | 3,547,650 |
| 04/29/2031 | 2.592% | | 686,000 | 581,819 |
| 07/23/2031 | 1.898% | | 715,000 | 572,063 |
| 10/24/2031 | 1.922% | | 1,490,000 | 1,187,546 |
| 04/22/2032 | 2.687% | | 14,748,000 | 12,392,363 |
| 10/20/2032 | 2.572% | | 5,315,000 | 4,385,619 |
| 02/04/2033 | 2.972% | | 2,904,000 | 2,475,275 |
| 06/19/2041 | 2.676% | | 4,775,000 | 3,446,000 |
| Bank of America Corp. |
| 04/19/2026 | 3.500% | | 455,000 | 443,510 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Bank of America NA |
| Subordinated |
| 10/15/2036 | 6.000% | | 350,000 | 384,102 |
| Bank of Montreal(j) |
| Subordinated |
| 12/15/2032 | 3.803% | | 199,000 | 184,782 |
| Bank of New York Mellon Corp. (The) |
| 08/16/2023 | 2.200% | | 375,000 | 371,021 |
| Bank of New York Mellon Corp. (The)(j) |
| 06/13/2033 | 4.289% | | 4,501,000 | 4,411,434 |
| Bank of Nova Scotia (The) |
| 04/11/2025 | 3.450% | | 1,150,000 | 1,134,539 |
| Subordinated |
| 12/16/2025 | 4.500% | | 260,000 | 260,319 |
| Banque Federative du Credit Mutuel SA(a) |
| 07/20/2023 | 3.750% | | 300,000 | 299,837 |
| 10/04/2026 | 1.604% | | 745,000 | 666,497 |
| Barclays PLC(j) |
| 12/10/2024 | 1.007% | | 577,000 | 547,636 |
| BBVA USA |
| 08/27/2024 | 2.500% | | 307,000 | 299,105 |
| BNP Paribas SA(a),(j) |
| 06/09/2026 | 2.219% | | 1,291,000 | 1,198,007 |
| 01/13/2027 | 1.323% | | 230,000 | 203,113 |
| 01/13/2031 | 3.052% | | 341,000 | 295,197 |
| Subordinated |
| 08/12/2035 | 2.588% | | 488,000 | 384,775 |
| BNZ International Funding Ltd.(a) |
| 11/03/2022 | 2.650% | | 350,000 | 349,618 |
| BPCE SA(a) |
| 01/20/2026 | 1.000% | | 401,000 | 356,283 |
| Subordinated |
| 07/11/2024 | 4.625% | | 300,000 | 298,795 |
| BPCE SA(a),(j) |
| 10/06/2026 | 1.652% | | 284,000 | 254,545 |
| 01/20/2032 | 2.277% | | 855,000 | 679,296 |
| Subordinated |
| 10/19/2032 | 3.116% | | 1,900,000 | 1,529,405 |
| BPCE SA |
| 12/02/2026 | 3.375% | | 700,000 | 669,578 |
| Capital One Financial Corp. |
| 01/29/2024 | 3.900% | | 367,000 | 367,070 |
| Subordinated |
| 10/29/2025 | 4.200% | | 239,000 | 235,510 |
| Capital One Financial Corp.(j) |
| 11/02/2027 | 1.878% | | 450,000 | 394,146 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Citigroup, Inc.(j) |
| 04/24/2025 | 3.352% | | 645,000 | 632,466 |
| 05/24/2025 | 4.140% | | 1,620,000 | 1,614,725 |
| 01/25/2026 | 2.014% | | 4,135,000 | 3,877,168 |
| 04/08/2026 | 3.106% | | 2,000,000 | 1,923,113 |
| 06/09/2027 | 1.462% | | 1,040,000 | 919,104 |
| 02/24/2028 | 3.070% | | 690,000 | 639,447 |
| 05/24/2028 | 4.658% | | 2,733,000 | 2,713,042 |
| 07/24/2028 | 3.668% | | 1,140,000 | 1,077,900 |
| 04/23/2029 | 4.075% | | 500,000 | 475,715 |
| 03/20/2030 | 3.980% | | 1,300,000 | 1,216,390 |
| 01/29/2031 | 2.666% | | 2,000,000 | 1,698,480 |
| 11/03/2032 | 2.520% | | 2,275,000 | 1,844,483 |
| 05/24/2033 | 4.910% | | 3,893,000 | 3,842,939 |
| 01/24/2039 | 3.878% | | 1,735,000 | 1,501,702 |
| Citigroup, Inc. |
| 12/01/2025 | 7.000% | | 765,000 | 821,299 |
| 10/21/2026 | 3.200% | | 1,616,000 | 1,537,523 |
| 01/15/2028 | 6.625% | | 215,000 | 236,315 |
| Citizens Bank NA |
| 03/29/2023 | 3.700% | | 250,000 | 250,467 |
| Citizens Financial Group, Inc. |
| 02/06/2030 | 2.500% | | 188,000 | 158,074 |
| Comerica, Inc. |
| 02/01/2029 | 4.000% | | 239,000 | 231,997 |
| Commonwealth Bank of Australia(a) |
| Subordinated |
| 03/11/2041 | 3.305% | | 530,000 | 402,870 |
| Cooperatieve Rabobank UA(a),(j) |
| 04/06/2028 | 3.649% | | 6,891,000 | 6,544,625 |
| 04/06/2033 | 3.758% | | 3,266,000 | 2,941,783 |
| Cooperatieve Rabobank UA |
| Subordinated |
| 08/04/2025 | 4.375% | | 589,000 | 583,296 |
| 07/21/2026 | 3.750% | | 712,000 | 678,725 |
| Credit Agricole SA(a),(j) |
| 06/16/2026 | 1.907% | | 1,130,000 | 1,040,513 |
| 01/26/2027 | 1.247% | | 1,790,000 | 1,578,159 |
| Subordinated |
| 01/10/2033 | 4.000% | | 1,634,000 | 1,495,248 |
| Credit Agricole SA(a) |
| Subordinated |
| 03/17/2025 | 4.375% | | 340,000 | 334,347 |
| 01/14/2030 | 3.250% | | 685,000 | 586,410 |
| 01/11/2041 | 2.811% | | 250,000 | 172,634 |
| Credit Suisse AG |
| 02/21/2025 | 3.700% | | 4,055,000 | 3,969,647 |
| 04/09/2025 | 2.950% | | 925,000 | 885,195 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Credit Suisse Group AG(a),(j) |
| 09/11/2025 | 2.593% | | 770,000 | 724,977 |
| 06/05/2026 | 2.193% | | 580,000 | 528,486 |
| 02/02/2027 | 1.305% | | 1,390,000 | 1,196,119 |
| 01/12/2029 | 3.869% | | 250,000 | 225,082 |
| 05/14/2032 | 3.091% | | 3,525,000 | 2,819,075 |
| Credit Suisse Group Funding Guernsey Ltd. |
| 06/09/2023 | 3.800% | | 650,000 | 645,804 |
| 03/26/2025 | 3.750% | | 250,000 | 242,334 |
| Danske Bank A/S(a),(j) |
| 12/08/2023 | 1.171% | | 812,000 | 801,544 |
| Deutsche Bank AG(j) |
| 11/24/2026 | 2.129% | | 945,000 | 840,010 |
| 01/07/2028 | 2.552% | | 250,000 | 216,293 |
| Subordinated |
| 01/07/2033 | 3.742% | | 4,837,000 | 3,576,136 |
| Deutsche Bank AG/New York(j) |
| 09/18/2024 | 2.222% | | 1,995,000 | 1,927,896 |
| DNB Bank ASA(a),(j) |
| 03/30/2028 | 1.605% | | 685,000 | 597,593 |
| Federation des Caisses Desjardins du Quebec(a) |
| 02/10/2025 | 2.050% | | 682,000 | 643,755 |
| Fifth Third Bancorp |
| 01/25/2024 | 3.650% | | 179,000 | 178,280 |
| Goldman Sachs Group, Inc. (The)(j) |
| 09/10/2024 | 0.657% | | 4,461,000 | 4,272,108 |
| 10/21/2024 | 0.925% | | 8,926,000 | 8,546,228 |
| 01/24/2025 | 1.757% | | 4,847,000 | 4,664,039 |
| 09/29/2025 | 3.272% | | 887,000 | 862,741 |
| 03/09/2027 | 1.431% | | 2,635,000 | 2,342,743 |
| 10/21/2027 | 1.948% | | 2,208,000 | 1,955,244 |
| 02/24/2028 | 2.640% | | 1,700,000 | 1,541,829 |
| 03/15/2028 | 3.615% | | 770,000 | 729,614 |
| 06/05/2028 | 3.691% | | 1,301,000 | 1,233,216 |
| 04/22/2032 | 2.615% | | 7,705,000 | 6,392,629 |
| 07/21/2032 | 2.383% | | 3,630,000 | 2,938,091 |
| 10/21/2032 | 2.650% | | 5,025,000 | 4,142,479 |
| 02/24/2033 | 3.102% | | 3,473,000 | 2,969,979 |
| 02/24/2043 | 3.436% | | 200,000 | 157,349 |
| Goldman Sachs Group, Inc. (The) |
| 01/23/2025 | 3.500% | | 197,000 | 194,734 |
| 05/22/2025 | 3.750% | | 4,028,000 | 3,983,182 |
| 11/16/2026 | 3.500% | | 900,000 | 864,860 |
| 01/26/2027 | 3.850% | | 723,000 | 699,466 |
| 02/07/2030 | 2.600% | | 1,699,000 | 1,448,319 |
| Subordinated |
| 10/21/2025 | 4.250% | | 531,000 | 527,736 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 19 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| HSBC Holdings PLC(j) |
| 05/18/2024 | 3.950% | | 224,000 | 223,079 |
| 11/22/2027 | 2.251% | | 2,215,000 | 1,973,516 |
| 03/13/2028 | 4.041% | | 1,007,000 | 956,532 |
| 09/22/2028 | 2.013% | | 2,500,000 | 2,139,167 |
| 08/17/2029 | 2.206% | | 1,330,000 | 1,117,057 |
| 08/18/2031 | 2.357% | | 1,420,000 | 1,152,586 |
| 05/24/2032 | 2.804% | | 3,240,000 | 2,659,964 |
| 11/22/2032 | 2.871% | | 1,830,000 | 1,498,993 |
| HSBC Holdings PLC |
| Subordinated |
| 03/14/2024 | 4.250% | | 1,648,000 | 1,641,515 |
| ING Groep NV(j) |
| 03/28/2026 | 3.869% | | 298,000 | 292,284 |
| 04/01/2027 | 1.726% | | 275,000 | 245,709 |
| ING Groep NV(a),(j) |
| 07/01/2026 | 1.400% | | 930,000 | 844,234 |
| Intesa Sanpaolo SpA(a),(j) |
| Subordinated |
| 06/01/2042 | 4.950% | | 2,956,000 | 2,016,151 |
| JPMorgan Chase & Co.(j) |
| 10/15/2025 | 2.301% | | 559,000 | 532,802 |
| 12/10/2025 | 1.561% | | 13,932,000 | 13,049,656 |
| 04/22/2026 | 2.083% | | 1,137,000 | 1,065,235 |
| 11/19/2026 | 1.045% | | 4,970,000 | 4,423,263 |
| 02/04/2027 | 1.040% | | 8,912,000 | 7,876,980 |
| 09/22/2027 | 1.470% | | 2,217,000 | 1,944,801 |
| 04/26/2028 | 4.323% | | 4,479,000 | 4,410,349 |
| 06/01/2028 | 2.182% | | 2,730,000 | 2,431,260 |
| 06/14/2030 | 4.565% | | 2,253,000 | 2,215,104 |
| 04/26/2033 | 4.586% | | 1,376,000 | 1,353,021 |
| Lloyds Banking Group PLC(j) |
| 03/18/2026 | 3.511% | | 290,000 | 282,534 |
| 05/11/2027 | 1.627% | | 356,000 | 316,627 |
| Lloyds Banking Group PLC |
| 03/22/2028 | 4.375% | | 392,000 | 380,680 |
| Subordinated |
| 12/10/2025 | 4.582% | | 500,000 | 490,813 |
| Macquarie Bank Ltd.(a) |
| 07/29/2025 | 4.000% | | 327,000 | 326,370 |
| 01/15/2026 | 3.900% | | 370,000 | 366,067 |
| Macquarie Bank Ltd.(a),(j) |
| Subordinated |
| 03/03/2036 | 3.052% | | 280,000 | 224,672 |
| Macquarie Group Ltd.(a),(j) |
| 01/12/2027 | 1.340% | | 196,000 | 172,749 |
| 01/15/2030 | 5.033% | | 390,000 | 388,902 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Mitsubishi UFJ Financial Group, Inc. |
| 07/26/2023 | 3.761% | | 228,000 | 227,785 |
| 09/13/2023 | 2.527% | | 384,000 | 380,272 |
| 03/07/2024 | 3.407% | | 257,000 | 255,153 |
| 02/25/2025 | 2.193% | | 2,080,000 | 1,975,907 |
| 07/17/2030 | 2.048% | | 549,000 | 448,171 |
| 07/18/2039 | 3.751% | | 710,000 | 617,047 |
| Mitsubishi UFJ Financial Group, Inc.(j) |
| 07/19/2025 | 0.953% | | 4,236,000 | 3,955,673 |
| 07/20/2027 | 1.538% | | 1,607,000 | 1,419,506 |
| 10/13/2027 | 1.640% | | 2,467,000 | 2,175,474 |
| 01/19/2028 | 2.341% | | 1,408,000 | 1,271,936 |
| 07/20/2032 | 2.309% | | 2,883,000 | 2,347,849 |
| 10/13/2032 | 2.494% | | 807,000 | 666,405 |
| Mizuho Financial Group, Inc.(j) |
| 05/25/2026 | 2.226% | | 1,150,000 | 1,076,041 |
| 05/22/2027 | 1.234% | | 1,129,000 | 986,514 |
| 09/13/2030 | 2.869% | | 219,000 | 190,556 |
| Morgan Stanley(j) |
| 01/25/2024 | 0.529% | | 523,000 | 513,089 |
| 01/22/2025 | 0.791% | | 6,591,000 | 6,235,940 |
| 04/17/2025 | 3.620% | | 855,000 | 844,736 |
| 05/30/2025 | 0.790% | | 5,742,000 | 5,349,962 |
| 10/21/2025 | 0.864% | | 1,772,000 | 1,635,338 |
| 04/28/2026 | 2.188% | | 4,405,000 | 4,131,505 |
| 12/10/2026 | 0.985% | | 4,533,000 | 4,017,706 |
| 07/20/2027 | 1.512% | | 3,466,000 | 3,047,198 |
| 01/21/2028 | 2.475% | | 886,000 | 805,871 |
| 04/20/2028 | 4.210% | | 4,269,000 | 4,176,364 |
| 07/22/2028 | 3.591% | | 889,000 | 841,329 |
| 01/24/2029 | 3.772% | | 333,000 | 316,543 |
| 01/23/2030 | 4.431% | | 1,547,000 | 1,501,536 |
| 02/13/2032 | 1.794% | | 5,470,000 | 4,306,869 |
| 04/28/2032 | 1.928% | | 5,000,000 | 3,966,558 |
| 07/21/2032 | 2.239% | | 3,974,000 | 3,229,129 |
| 10/20/2032 | 2.511% | | 1,380,000 | 1,142,691 |
| 01/21/2033 | 2.943% | | 291,000 | 249,468 |
| 04/22/2039 | 4.457% | | 630,000 | 589,133 |
| Morgan Stanley |
| 07/23/2025 | 4.000% | | 2,053,000 | 2,053,621 |
| 01/27/2045 | 4.300% | | 500,000 | 449,712 |
| National Australia Bank Ltd.(a) |
| Subordinated |
| 08/21/2030 | 2.332% | | 1,000,000 | 804,062 |
| National Australia Bank Ltd.(a),(j) |
| Subordinated |
| 08/02/2034 | 3.933% | | 935,000 | 848,600 |
| Nationwide Building Society(a) |
| 08/28/2025 | 1.000% | | 203,000 | 184,331 |
| NatWest Group PLC(j) |
| 09/30/2028 | 5.516% | | 3,700,000 | 3,730,121 |
| NatWest Markets PLC(a) |
| 09/29/2026 | 1.600% | | 1,530,000 | 1,350,282 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Nordea Bank Abp(a) |
| Subordinated |
| 09/21/2022 | 4.250% | | 310,000 | 310,311 |
| Northern Trust Corp.(j) |
| Subordinated |
| 05/08/2032 | 3.375% | | 231,000 | 217,826 |
| PNC Bank NA |
| Subordinated |
| 01/30/2023 | 2.950% | | 285,000 | 284,329 |
| Royal Bank of Canada |
| 10/05/2023 | 3.700% | | 341,000 | 343,158 |
| Royal Bank of Scotland Group PLC |
| 09/12/2023 | 3.875% | | 425,000 | 423,926 |
| 04/05/2026 | 4.800% | | 1,100,000 | 1,096,101 |
| Royal Bank of Scotland Group PLC(j) |
| 03/22/2025 | 4.269% | | 340,000 | 336,441 |
| 05/22/2028 | 3.073% | | 1,690,000 | 1,536,640 |
| 05/08/2030 | 4.445% | | 208,000 | 196,449 |
| Subordinated |
| 11/01/2029 | 3.754% | | 273,000 | 262,026 |
| Santander UK Group Holdings PLC(j) |
| 06/14/2027 | 1.673% | | 2,071,000 | 1,809,810 |
| 01/11/2028 | 2.469% | | 420,000 | 372,529 |
| Santander UK Group Holdings PLC(a) |
| Subordinated |
| 09/15/2025 | 4.750% | | 640,000 | 631,284 |
| Societe Generale SA(a) |
| 01/22/2025 | 2.625% | | 857,000 | 816,067 |
| 01/22/2030 | 3.000% | | 354,000 | 301,812 |
| Subordinated |
| 04/14/2025 | 4.250% | | 900,000 | 882,986 |
| Societe Generale SA(a),(j) |
| 12/14/2026 | 1.488% | | 2,401,000 | 2,117,777 |
| 01/19/2028 | 2.797% | | 1,910,000 | 1,705,926 |
| 06/09/2032 | 2.889% | | 1,240,000 | 990,840 |
| SouthTrust Bank |
| Subordinated |
| 05/15/2025 | 7.690% | | 500,000 | 539,285 |
| Standard Chartered PLC(a),(j) |
| 01/30/2026 | 2.819% | | 494,000 | 468,919 |
| 01/14/2027 | 1.456% | | 460,000 | 406,262 |
| Subordinated |
| 03/15/2033 | 4.866% | | 700,000 | 658,910 |
| Sumitomo Mitsui Financial Group, Inc. |
| 07/08/2025 | 1.474% | | 563,000 | 518,521 |
| 07/14/2026 | 2.632% | | 201,000 | 188,003 |
| 09/17/2026 | 1.402% | | 2,550,000 | 2,255,579 |
| 10/19/2026 | 3.010% | | 297,000 | 280,676 |
| 09/17/2028 | 1.902% | | 5,680,000 | 4,816,762 |
| 07/16/2029 | 3.040% | | 769,000 | 685,164 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| SunTrust Bank |
| Subordinated |
| 05/15/2026 | 3.300% | | 200,000 | 192,853 |
| SunTrust Banks, Inc. |
| 05/01/2025 | 4.000% | | 191,000 | 191,421 |
| Toronto-Dominion Bank (The) |
| 06/08/2032 | 4.456% | | 2,703,000 | 2,672,799 |
| Truist Financial Corp.(j) |
| 06/06/2028 | 4.123% | | 3,170,000 | 3,129,865 |
| U.S. Bancorp |
| Subordinated |
| 04/27/2026 | 3.100% | | 251,000 | 242,115 |
| UBS Group AG(a),(j) |
| 05/12/2026 | 4.488% | | 2,348,000 | 2,339,102 |
| 01/30/2027 | 1.364% | | 358,000 | 317,332 |
| 08/10/2027 | 1.494% | | 3,564,000 | 3,112,727 |
| 05/12/2028 | 4.751% | | 3,805,000 | 3,764,587 |
| 08/13/2030 | 3.126% | | 4,930,000 | 4,366,421 |
| 02/11/2033 | 2.746% | | 2,500,000 | 2,034,719 |
| 02/11/2043 | 3.179% | | 520,000 | 395,047 |
| UBS Group Funding Switzerland AG(a),(j) |
| 08/15/2023 | 2.859% | | 200,000 | 199,927 |
| UBS Group Funding Switzerland AG(a) |
| 09/24/2025 | 4.125% | | 399,000 | 395,788 |
| UniCredit SpA(a),(j) |
| 09/22/2026 | 2.569% | | 1,095,000 | 982,405 |
| Wells Fargo & Co. |
| 09/29/2025 | 3.550% | | 682,000 | 669,547 |
| Subordinated |
| 06/03/2026 | 4.100% | | 265,000 | 260,485 |
| 06/14/2046 | 4.400% | | 238,000 | 206,415 |
| Wells Fargo & Co.(j) |
| 02/11/2026 | 2.164% | | 273,000 | 257,023 |
| 04/25/2026 | 3.908% | | 4,394,000 | 4,323,489 |
| 06/17/2027 | 3.196% | | 2,620,000 | 2,483,513 |
| 03/24/2028 | 3.526% | | 9,303,000 | 8,827,736 |
| 06/02/2028 | 2.393% | | 491,000 | 440,027 |
| 02/11/2031 | 2.572% | | 2,845,000 | 2,446,062 |
| 04/30/2041 | 3.068% | | 4,687,000 | 3,653,012 |
| Westpac Banking Corp. |
| 05/13/2026 | 2.850% | | 170,000 | 163,095 |
| 11/20/2028 | 1.953% | | 200,000 | 174,429 |
| Westpac Banking Corp.(j) |
| Subordinated |
| 02/04/2030 | 2.894% | | 1,630,000 | 1,544,726 |
| 11/23/2031 | 4.322% | | 600,000 | 577,870 |
| Total | 420,549,311 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 21 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Brokerage/Asset Managers/Exchanges 0.3% |
| Brookfield Finance LLC |
| 04/15/2050 | 3.450% | | 211,000 | 149,860 |
| Brookfield Finance, Inc. |
| 03/29/2029 | 4.850% | | 385,000 | 380,448 |
| 09/20/2047 | 4.700% | | 76,000 | 66,739 |
| Invesco Finance PLC |
| 01/15/2026 | 3.750% | | 193,000 | 190,352 |
| KKR Group Finance Co. XII LLC(a) |
| 05/17/2032 | 4.850% | | 3,320,000 | 3,261,350 |
| LPL Holdings, Inc.(a) |
| 03/15/2029 | 4.000% | | 495,000 | 425,795 |
| LSEGA Financing PLC(a) |
| 04/06/2028 | 2.000% | | 721,000 | 632,189 |
| Nomura Holdings, Inc. |
| 01/16/2025 | 2.648% | | 354,000 | 335,156 |
| 07/16/2030 | 2.679% | | 290,000 | 237,514 |
| Nomura Holdings, Inc.(h) |
| 07/03/2025 | 5.099% | | 3,711,000 | 3,727,365 |
| 07/06/2027 | 5.386% | | 3,241,000 | 3,241,697 |
| 07/06/2029 | 5.605% | | 3,711,000 | 3,712,357 |
| Total | 16,360,822 |
| Building Materials 0.1% |
| American Builders & Contractors Supply Co., Inc.(a) |
| 01/15/2028 | 4.000% | | 885,000 | 763,693 |
| Cemex SAB de CV(a) |
| 07/11/2031 | 3.875% | | 200,000 | 150,562 |
| CRH America Finance, Inc.(a) |
| 05/09/2027 | 3.400% | | 311,000 | 298,455 |
| Masco Corp. |
| 10/01/2030 | 2.000% | | 400,000 | 315,891 |
| 08/15/2032 | 6.500% | | 184,000 | 201,255 |
| PGT Innovations, Inc.(a) |
| 10/01/2029 | 4.375% | | 640,000 | 504,722 |
| SRS Distribution, Inc.(a) |
| 07/01/2028 | 4.625% | | 630,000 | 550,276 |
| Standard Industries, Inc.(a) |
| 01/15/2028 | 4.750% | | 1,590,000 | 1,359,453 |
| Summit Materials LLC/Finance Corp.(a) |
| 01/15/2029 | 5.250% | | 1,020,000 | 900,014 |
| Total | 5,044,321 |
| Cable and Satellite 0.8% |
| Altice Financing SA(a) |
| 01/15/2028 | 5.000% | | 600,000 | 484,079 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CCO Holdings LLC/Capital Corp.(a) |
| 05/01/2027 | 5.125% | | 1,215,000 | 1,146,476 |
| 06/01/2029 | 5.375% | | 4,990,000 | 4,546,464 |
| 03/01/2030 | 4.750% | | 4,595,000 | 3,930,174 |
| Charter Communications Operating LLC/Capital |
| 04/01/2038 | 5.375% | | 286,000 | 254,779 |
| 06/01/2041 | 3.500% | | 1,177,000 | 828,447 |
| 03/01/2042 | 3.500% | | 3,911,000 | 2,722,777 |
| 03/01/2050 | 4.800% | | 392,000 | 310,566 |
| 04/01/2051 | 3.700% | | 430,000 | 292,132 |
| 06/01/2052 | 3.900% | | 3,423,000 | 2,389,480 |
| Comcast Corp. |
| 03/01/2026 | 3.150% | | 212,000 | 206,690 |
| 02/15/2031 | 1.500% | | 1,022,000 | 820,483 |
| 08/15/2034 | 4.200% | | 400,000 | 385,275 |
| 03/01/2038 | 3.900% | | 2,000,000 | 1,812,916 |
| 11/01/2039 | 3.250% | | 640,000 | 526,089 |
| 04/01/2040 | 3.750% | | 760,000 | 666,565 |
| 11/01/2049 | 3.999% | | 170,000 | 148,478 |
| 02/01/2050 | 3.450% | | 181,000 | 144,145 |
| 11/01/2051 | 2.887% | | 1,533,000 | 1,096,302 |
| 11/01/2052 | 4.049% | | 142,000 | 124,435 |
| 11/01/2056 | 2.937% | | 1,745,000 | 1,210,936 |
| 08/15/2062 | 2.650% | | 2,217,000 | 1,426,715 |
| 11/01/2063 | 2.987% | | 978,000 | 668,138 |
| Cox Communications, Inc.(a) |
| 10/01/2030 | 1.800% | | 402,000 | 317,960 |
| 10/01/2050 | 2.950% | | 290,000 | 192,327 |
| CSC Holdings LLC |
| 06/01/2024 | 5.250% | | 970,000 | 907,864 |
| CSC Holdings LLC(a) |
| 02/01/2029 | 6.500% | | 2,847,000 | 2,589,773 |
| DIRECTV Holdings LLC/Financing Co., Inc.(a) |
| 08/15/2027 | 5.875% | | 1,025,000 | 874,471 |
| DISH DBS Corp. |
| 11/15/2024 | 5.875% | | 2,105,000 | 1,784,876 |
| 07/01/2026 | 7.750% | | 3,145,000 | 2,440,916 |
| Hughes Satellite Systems Corp. |
| 08/01/2026 | 6.625% | | 1,185,000 | 1,037,062 |
| Sirius XM Radio, Inc.(a) |
| 08/01/2027 | 5.000% | | 1,855,000 | 1,720,824 |
| 07/15/2028 | 4.000% | | 435,000 | 376,394 |
| 07/01/2029 | 5.500% | | 1,235,000 | 1,133,197 |
| TCI Communications, Inc. |
| 02/15/2028 | 7.125% | | 415,000 | 468,530 |
| Time Warner Cable LLC |
| 05/01/2037 | 6.550% | | 205,000 | 205,268 |
| 06/15/2039 | 6.750% | | 477,000 | 477,657 |
| Videotron Ltd.(a) |
| 06/15/2024 | 5.375% | | 960,000 | 959,951 |
| 04/15/2027 | 5.125% | | 690,000 | 642,145 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 22 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Virgin Media Secured Finance PLC(a) |
| 05/15/2029 | 5.500% | | 910,000 | 815,318 |
| Total | 43,087,074 |
| Chemicals 0.3% |
| Air Liquide Finance SA(a) |
| 09/27/2023 | 2.250% | | 315,000 | 311,435 |
| Air Products & Chemicals, Inc. |
| 05/15/2027 | 1.850% | | 566,000 | 515,471 |
| Axalta Coating Systems LLC/Dutch Holding B BV(a) |
| 06/15/2027 | 4.750% | | 1,435,000 | 1,280,379 |
| Braskem Idesa SAPI(a) |
| 02/20/2032 | 6.990% | | 247,000 | 192,370 |
| Chemours Co. (The)(a) |
| 11/15/2028 | 5.750% | | 1,595,000 | 1,359,165 |
| Chevron Phillips Chemical Co. LLC /LP(a) |
| 04/01/2025 | 5.125% | | 346,000 | 356,737 |
| CVR Partners LP/Nitrogen Finance Corp.(a) |
| 06/15/2028 | 6.125% | | 820,000 | 751,011 |
| Dow Chemical Co. (The) |
| 11/01/2029 | 7.375% | | 1,190,000 | 1,373,962 |
| 11/15/2050 | 3.600% | | 904,000 | 690,145 |
| Element Solutions, Inc.(a) |
| 09/01/2028 | 3.875% | | 1,460,000 | 1,207,365 |
| INEOS Quattro Finance 2 Plc(a) |
| 01/15/2026 | 3.375% | | 990,000 | 831,615 |
| International Flavors & Fragrances, Inc.(a) |
| 10/15/2027 | 1.832% | | 302,000 | 260,026 |
| 11/15/2040 | 3.268% | | 172,000 | 130,664 |
| 12/01/2050 | 3.468% | | 390,000 | 284,055 |
| LYB International Finance III LLC |
| 10/01/2025 | 1.250% | | 368,000 | 333,012 |
| Nutrien Ltd. |
| 04/01/2029 | 4.200% | | 155,000 | 150,557 |
| 03/15/2035 | 4.125% | | 239,000 | 221,480 |
| 04/01/2049 | 5.000% | | 220,000 | 218,599 |
| Olin Corp. |
| 08/01/2029 | 5.625% | | 455,000 | 405,552 |
| PPG Industries, Inc. |
| 03/15/2026 | 1.200% | | 213,000 | 190,868 |
| Rohm and Haas Co. |
| 07/15/2029 | 7.850% | | 1,127,000 | 1,340,135 |
| Trinseo Materials Operating SCA/Finance, Inc.(a) |
| 09/01/2025 | 5.375% | | 1,210,000 | 1,032,362 |
| Union Carbide Corp. |
| 10/01/2096 | 7.750% | | 920,000 | 1,122,688 |
| Westlake Corp. |
| 08/15/2026 | 3.600% | | 972,000 | 946,368 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| WR Grace Holdings LLC(a) |
| 10/01/2024 | 5.625% | | 805,000 | 788,329 |
| Total | 16,294,350 |
| Construction Machinery 0.2% |
| Herc Holdings, Inc.(a) |
| 07/15/2027 | 5.500% | | 1,020,000 | 933,543 |
| John Deere Capital Corp. |
| 03/07/2025 | 2.125% | | 1,336,000 | 1,290,474 |
| 03/08/2027 | 2.350% | | 2,222,000 | 2,085,148 |
| United Rentals North America, Inc. |
| 01/15/2028 | 4.875% | | 2,150,000 | 2,035,672 |
| 01/15/2030 | 5.250% | | 765,000 | 710,033 |
| 02/15/2031 | 3.875% | | 1,055,000 | 891,113 |
| Total | 7,945,983 |
| Consumer Cyclical Services 0.2% |
| ADT Security Corp. (The)(a) |
| 07/15/2032 | 4.875% | | 580,000 | 462,711 |
| Allied Universal Holdco LLC/Finance Corp./Atlas Luxco 4 Sarl(a) |
| 06/01/2028 | 4.625% | | 920,000 | 755,708 |
| 06/01/2028 | 4.625% | | 910,000 | 752,992 |
| Arches Buyer, Inc.(a) |
| 06/01/2028 | 4.250% | | 1,295,000 | 1,056,888 |
| Booking Holdings, Inc. |
| 03/15/2023 | 2.750% | | 321,000 | 320,014 |
| Ford Foundation (The) |
| 06/01/2070 | 2.815% | | 440,000 | 299,313 |
| Garda World Security Corp(a) |
| 02/15/2027 | 4.625% | | 1,050,000 | 902,286 |
| Prime Security Services Borrower LLC/Finance, Inc.(a) |
| 04/15/2026 | 5.750% | | 1,980,000 | 1,856,365 |
| Service Corp. International |
| 06/01/2029 | 5.125% | | 980,000 | 925,146 |
| Staples, Inc.(a) |
| 04/15/2026 | 7.500% | | 1,140,000 | 945,338 |
| Uber Technologies, Inc.(a) |
| 05/15/2025 | 7.500% | | 985,000 | 982,051 |
| Total | 9,258,812 |
| Consumer Products 0.4% |
| ACCO Brands Corp.(a) |
| 03/15/2029 | 4.250% | | 1,285,000 | 1,054,889 |
| CD&R Smokey Buyer, Inc.(a) |
| 07/15/2025 | 6.750% | | 800,000 | 710,193 |
| Central Garden & Pet Co. |
| 10/15/2030 | 4.125% | | 1,255,000 | 1,040,473 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 23 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Edgewell Personal Care Co.(a) |
| 06/01/2028 | 5.500% | | 1,055,000 | 953,621 |
| Energizer Holdings, Inc.(a) |
| 06/15/2028 | 4.750% | | 1,540,000 | 1,224,876 |
| GSK Consumer Healthcare Capital US LLC(a) |
| 03/24/2027 | 3.375% | | 2,130,000 | 2,038,312 |
| 03/24/2029 | 3.375% | | 1,895,000 | 1,771,418 |
| 03/24/2032 | 3.625% | | 3,268,000 | 3,015,459 |
| 03/24/2052 | 4.000% | | 1,479,000 | 1,274,870 |
| Mattel, Inc.(a) |
| 04/01/2029 | 3.750% | | 645,000 | 580,157 |
| Mead Johnson Nutrition Co. |
| 06/01/2044 | 4.600% | | 350,000 | 339,406 |
| Natura Cosmeticos SA(a) |
| 05/03/2028 | 4.125% | | 300,000 | 249,000 |
| Prestige Brands, Inc.(a) |
| 01/15/2028 | 5.125% | | 860,000 | 800,143 |
| Scotts Miracle-Gro Co. (The) |
| 10/15/2029 | 4.500% | | 1,635,000 | 1,341,056 |
| Spectrum Brands, Inc.(a) |
| 10/01/2029 | 5.000% | | 1,205,000 | 1,044,246 |
| Tempur Sealy International, Inc.(a) |
| 04/15/2029 | 4.000% | | 1,370,000 | 1,105,300 |
| Valvoline, Inc.(a) |
| 02/15/2030 | 4.250% | | 825,000 | 688,478 |
| Total | 19,231,897 |
| Diversified Manufacturing 0.3% |
| Amsted Industries, Inc.(a) |
| 07/01/2027 | 5.625% | | 850,000 | 808,111 |
| BWX Technologies, Inc.(a) |
| 06/30/2028 | 4.125% | | 705,000 | 628,036 |
| 04/15/2029 | 4.125% | | 545,000 | 482,896 |
| Eaton Corp. |
| 04/01/2024 | 7.625% | | 170,000 | 180,529 |
| GE Capital International Funding Co. Unlimited Co. |
| 11/15/2035 | 4.418% | | 1,130,000 | 1,057,602 |
| Griffon Corp. |
| 03/01/2028 | 5.750% | | 1,440,000 | 1,307,146 |
| Madison IAQ LLC(a) |
| 06/30/2028 | 4.125% | | 1,365,000 | 1,130,827 |
| Parker-Hannifin Corp. |
| 09/15/2027 | 4.250% | | 2,703,000 | 2,688,867 |
| 09/15/2029 | 4.500% | | 1,803,000 | 1,793,969 |
| Roper Technologies, Inc. |
| 09/15/2027 | 1.400% | | 569,000 | 487,481 |
| 06/30/2030 | 2.000% | | 242,000 | 195,316 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| TriMas Corp.(a) |
| 04/15/2029 | 4.125% | | 725,000 | 618,251 |
| Vertical US Newco, Inc.(a) |
| 07/15/2027 | 5.250% | | 790,000 | 705,517 |
| WESCO Distribution, Inc.(a) |
| 06/15/2028 | 7.250% | | 1,805,000 | 1,784,662 |
| WW Grainger, Inc. |
| 06/15/2045 | 4.600% | | 200,000 | 191,374 |
| Xylem, Inc. |
| 01/30/2031 | 2.250% | | 176,000 | 146,540 |
| Total | 14,207,124 |
| Electric 2.0% |
| AEP Transmission Co. LLC |
| 09/15/2049 | 3.150% | | 440,000 | 335,852 |
| 08/15/2051 | 2.750% | | 600,000 | 421,399 |
| AES Corp. (The) |
| 01/15/2026 | 1.375% | | 1,917,000 | 1,691,338 |
| Alabama Power Co. |
| 02/15/2033 | 5.700% | | 467,000 | 510,372 |
| 05/15/2038 | 6.125% | | 70,000 | 77,095 |
| 07/15/2051 | 3.125% | | 360,000 | 269,908 |
| Alexander Funding Trust(a) |
| 11/15/2023 | 1.841% | | 1,567,000 | 1,495,986 |
| Ameren Corp. |
| 03/15/2027 | 1.950% | | 240,000 | 215,346 |
| American Transmission Systems, Inc.(a) |
| 01/15/2032 | 2.650% | | 617,000 | 522,143 |
| Ausgrid Finance Pty Ltd.(a) |
| 05/01/2023 | 3.850% | | 850,000 | 849,809 |
| Baltimore Gas and Electric Co. |
| 06/15/2031 | 2.250% | | 1,326,000 | 1,130,224 |
| 08/15/2046 | 3.500% | | 376,000 | 308,950 |
| Berkshire Hathaway Energy Co. |
| 11/15/2023 | 3.750% | | 333,000 | 335,009 |
| 02/01/2025 | 3.500% | | 180,000 | 179,899 |
| Berkshire Hathaway Energy Co.(a) |
| 05/01/2053 | 4.600% | | 197,000 | 190,091 |
| Calpine Corp.(a) |
| 06/01/2026 | 5.250% | | 360,000 | 344,250 |
| 02/15/2028 | 4.500% | | 1,115,000 | 1,014,857 |
| CenterPoint Energy Houston Electric LLC |
| 03/01/2052 | 3.600% | | 977,000 | 841,713 |
| Commonwealth Edison Co. |
| 06/15/2046 | 3.650% | | 243,000 | 206,065 |
| Connecticut Light & Power Co. (The) |
| 04/01/2048 | 4.000% | | 236,000 | 213,863 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 24 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Consumers Energy Co. |
| 08/15/2052 | 2.650% | | 977,000 | 687,691 |
| 05/01/2060 | 2.500% | | 754,000 | 482,107 |
| 08/31/2064 | 4.350% | | 547,000 | 497,947 |
| DTE Electric Co. |
| 06/15/2042 | 3.950% | | 364,000 | 313,579 |
| 04/01/2043 | 4.000% | | 775,000 | 691,697 |
| 03/01/2050 | 2.950% | | 1,549,000 | 1,178,290 |
| 03/01/2052 | 3.650% | | 709,000 | 613,327 |
| DTE Energy Co. |
| 06/01/2025 | 1.050% | | 931,000 | 856,054 |
| Duke Energy Carolinas LLC |
| 12/01/2028 | 6.000% | | 205,000 | 221,793 |
| 04/15/2031 | 2.550% | | 900,000 | 788,320 |
| 03/15/2032 | 2.850% | | 1,644,000 | 1,458,600 |
| 12/15/2041 | 4.250% | | 313,000 | 289,427 |
| 03/15/2052 | 3.550% | | 1,192,000 | 990,326 |
| Duke Energy Corp. |
| 06/15/2031 | 2.550% | | 1,063,000 | 883,767 |
| 09/01/2046 | 3.750% | | 268,000 | 211,367 |
| 06/15/2051 | 3.500% | | 268,000 | 202,140 |
| Duke Energy Florida LLC |
| 12/15/2031 | 2.400% | | 1,322,000 | 1,130,343 |
| Duke Energy Indiana LLC |
| 05/15/2046 | 3.750% | | 188,000 | 159,379 |
| 04/01/2050 | 2.750% | | 1,905,000 | 1,346,561 |
| Duke Energy Ohio, Inc. |
| 02/01/2049 | 4.300% | | 295,000 | 268,181 |
| Duke Energy Progress LLC |
| 04/01/2035 | 5.700% | | 300,000 | 320,107 |
| 10/15/2046 | 3.700% | | 323,000 | 274,877 |
| 09/15/2047 | 3.600% | | 300,000 | 249,853 |
| 08/15/2050 | 2.500% | | 1,336,000 | 915,673 |
| 04/01/2052 | 4.000% | | 380,000 | 341,594 |
| Duquesne Light Holdings, Inc.(a) |
| 08/01/2027 | 3.616% | | 700,000 | 649,847 |
| 10/01/2030 | 2.532% | | 373,000 | 307,870 |
| Emera US Finance LP |
| 06/15/2046 | 4.750% | | 600,000 | 529,208 |
| Enel Finance International NV(a) |
| 04/06/2028 | 3.500% | | 335,000 | 310,696 |
| 07/12/2028 | 1.875% | | 1,636,000 | 1,376,171 |
| 07/12/2031 | 2.250% | | 1,764,000 | 1,387,634 |
| Entergy Arkansas LLC |
| 06/15/2051 | 2.650% | | 2,115,000 | 1,472,228 |
| Entergy Arkansas, Inc. |
| 04/01/2026 | 3.500% | | 307,000 | 302,694 |
| Entergy Louisiana LLC |
| 06/01/2031 | 3.050% | | 472,000 | 425,177 |
| 03/15/2051 | 2.900% | | 620,000 | 448,410 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Entergy Texas, Inc. |
| 03/15/2031 | 1.750% | | 1,609,000 | 1,306,671 |
| Eversource Energy |
| 08/15/2026 | 1.400% | | 750,000 | 668,370 |
| 07/01/2027 | 4.600% | | 2,527,000 | 2,548,070 |
| 03/01/2032 | 3.375% | | 1,786,000 | 1,604,334 |
| Exelon Corp.(a) |
| 03/15/2052 | 4.100% | | 622,000 | 533,639 |
| Exelon Generation Co. LLC |
| 06/15/2042 | 5.600% | | 1,590,000 | 1,519,207 |
| FirstEnergy Transmission LLC(a) |
| 04/01/2049 | 4.550% | | 325,000 | 264,466 |
| Florida Power & Light Co. |
| 02/03/2032 | 2.450% | | 2,303,000 | 2,008,970 |
| 09/01/2035 | 5.400% | | 600,000 | 640,326 |
| Fortis, Inc. |
| 10/04/2026 | 3.055% | | 620,000 | 582,278 |
| ITC Holdings Corp. |
| 11/15/2022 | 2.700% | | 1,799,000 | 1,792,072 |
| ITC Holdings Corp.(a) |
| 05/14/2030 | 2.950% | | 530,000 | 467,077 |
| Jersey Central Power & Light Co.(a) |
| 01/15/2026 | 4.300% | | 260,000 | 256,723 |
| 03/01/2032 | 2.750% | | 1,453,000 | 1,234,982 |
| Jersey Central Power & Light Co. |
| 06/01/2037 | 6.150% | | 150,000 | 158,788 |
| Kansas City Power & Light Co. |
| 10/01/2041 | 5.300% | | 750,000 | 774,170 |
| 06/15/2047 | 4.200% | | 400,000 | 358,968 |
| Metropolitan Edison Co.(a) |
| 01/15/2029 | 4.300% | | 1,558,000 | 1,533,142 |
| MidAmerican Energy Co. |
| 11/01/2035 | 5.750% | | 600,000 | 659,347 |
| 08/01/2052 | 2.700% | | 1,150,000 | 831,380 |
| Mid-Atlantic Interstate Transmission LLC(a) |
| 05/15/2028 | 4.100% | | 255,000 | 248,978 |
| Mississippi Power Co. |
| 03/30/2028 | 3.950% | | 1,586,000 | 1,543,155 |
| 03/15/2042 | 4.250% | | 609,000 | 533,904 |
| 07/30/2051 | 3.100% | | 1,590,000 | 1,127,158 |
| Nevada Power Co. |
| 04/01/2036 | 6.650% | | 225,000 | 258,896 |
| 09/15/2040 | 5.375% | | 546,000 | 550,320 |
| New England Power Co.(a) |
| 12/05/2047 | 3.800% | | 168,000 | 138,067 |
| NextEra Energy Capital Holdings, Inc. |
| 07/15/2027 | 4.625% | | 1,836,000 | 1,859,850 |
| 07/15/2032 | 5.000% | | 826,000 | 846,216 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 25 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Niagara Mohawk Power Corp.(a) |
| 10/01/2034 | 4.278% | | 753,000 | 717,087 |
| Northern States Power Co. |
| 04/01/2052 | 3.200% | | 895,000 | 712,698 |
| 06/01/2052 | 4.500% | | 440,000 | 432,405 |
| NRG Energy, Inc.(a) |
| 12/02/2025 | 2.000% | | 293,000 | 264,944 |
| 12/02/2027 | 2.450% | | 960,000 | 829,120 |
| 06/15/2029 | 4.450% | | 585,000 | 523,401 |
| 06/15/2029 | 5.250% | | 605,000 | 540,485 |
| NRG Energy, Inc. |
| 01/15/2027 | 6.625% | | 107,000 | 104,922 |
| 01/15/2028 | 5.750% | | 1,415,000 | 1,300,693 |
| NSTAR Electric Co. |
| 06/01/2051 | 3.100% | | 817,000 | 628,144 |
| 06/01/2052 | 4.550% | | 1,077,000 | 1,049,123 |
| Ohio Power Co. |
| 10/01/2051 | 2.900% | | 1,195,000 | 855,429 |
| Oklahoma Gas and Electric Co. |
| 05/26/2023 | 0.553% | | 30,000 | 29,156 |
| Oncor Electric Delivery Co. LLC |
| 03/15/2029 | 5.750% | | 155,000 | 167,657 |
| 11/15/2051 | 2.700% | | 851,000 | 615,933 |
| Pacific Gas and Electric Co. |
| 03/10/2023 | 1.367% | | 1,075,000 | 1,057,678 |
| 11/15/2023 | 1.700% | | 400,000 | 384,811 |
| 02/16/2024 | 3.250% | | 860,000 | 837,115 |
| 07/01/2025 | 3.450% | | 690,000 | 648,061 |
| 03/01/2026 | 2.950% | | 435,000 | 393,910 |
| 08/01/2027 | 2.100% | | 709,000 | 595,465 |
| 07/01/2040 | 4.500% | | 455,000 | 352,525 |
| 06/01/2041 | 4.200% | | 767,000 | 568,829 |
| 04/15/2042 | 4.450% | | 2,609,000 | 1,964,136 |
| 08/15/2042 | 3.750% | | 183,000 | 123,784 |
| 02/15/2044 | 4.750% | | 445,000 | 339,653 |
| 12/01/2047 | 3.950% | | 2,097,000 | 1,458,798 |
| 07/01/2050 | 4.950% | | 1,789,000 | 1,426,589 |
| PacifiCorp |
| 10/15/2037 | 6.250% | | 200,000 | 224,081 |
| 02/15/2050 | 4.150% | | 1,577,000 | 1,414,060 |
| 03/15/2051 | 3.300% | | 691,000 | 542,318 |
| PECO Energy Co. |
| 06/15/2050 | 2.800% | | 490,000 | 359,607 |
| 09/15/2051 | 2.850% | | 1,599,000 | 1,175,920 |
| 05/15/2052 | 4.600% | | 889,000 | 892,550 |
| Pennsylvania Electric Co.(a) |
| 03/15/2028 | 3.250% | | 1,433,000 | 1,329,672 |
| PG&E Corp. |
| 07/01/2028 | 5.000% | | 816,000 | 701,356 |
| 07/01/2030 | 5.250% | | 610,000 | 501,476 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| PG&E Wildfire Recovery Funding LLC |
| 06/01/2036 | 4.263% | | 165,000 | 164,775 |
| Potomac Electric Power Co. |
| 12/15/2038 | 7.900% | | 160,000 | 207,140 |
| 03/15/2043 | 4.150% | | 250,000 | 227,106 |
| Public Service Co. of Colorado |
| 01/15/2051 | 2.700% | | 505,000 | 361,653 |
| Public Service Co. of New Hampshire |
| 11/01/2023 | 3.500% | | 303,000 | 303,299 |
| Public Service Co. of Oklahoma |
| 08/15/2031 | 2.200% | | 884,000 | 738,317 |
| 08/15/2051 | 3.150% | | 895,000 | 657,342 |
| Public Service Electric and Gas Co. |
| 08/15/2031 | 1.900% | | 1,776,000 | 1,479,485 |
| 05/01/2050 | 2.700% | | 722,000 | 518,409 |
| 08/01/2050 | 2.050% | | 367,000 | 229,971 |
| Public Service Enterprise Group, Inc. |
| 08/15/2030 | 1.600% | | 1,022,000 | 812,948 |
| 11/15/2031 | 2.450% | | 1,145,000 | 958,491 |
| Puget Sound Energy, Inc. |
| 09/15/2051 | 2.893% | | 800,000 | 580,480 |
| San Diego Gas & Electric Co. |
| 06/01/2026 | 6.000% | | 690,000 | 739,072 |
| 08/15/2051 | 2.950% | | 535,000 | 396,798 |
| Southern California Edison Co. |
| 08/01/2025 | 3.700% | | 1,000,000 | 984,448 |
| 03/01/2028 | 3.650% | | 200,000 | 189,383 |
| 01/15/2036 | 5.550% | | 130,000 | 130,101 |
| 02/01/2038 | 5.950% | | 210,000 | 218,195 |
| 03/01/2048 | 4.125% | | 995,000 | 821,238 |
| Southern Power Co. |
| 09/15/2041 | 5.150% | | 398,000 | 374,934 |
| Southwestern Electric Power Co. |
| 04/01/2045 | 3.900% | | 428,000 | 343,926 |
| Southwestern Public Service Co. |
| 08/15/2041 | 4.500% | | 338,000 | 318,962 |
| Toledo Edison Co. (The) |
| 05/15/2037 | 6.150% | | 205,000 | 226,902 |
| Trans-Allegheny Interstate Line Co.(a) |
| 06/01/2025 | 3.850% | | 627,000 | 617,349 |
| Union Electric Co. |
| 06/15/2027 | 2.950% | | 286,000 | 272,305 |
| 04/01/2052 | 3.900% | | 230,000 | 203,640 |
| Virginia Electric and Power Co. |
| 03/15/2023 | 2.750% | | 127,000 | 126,043 |
| 12/15/2050 | 2.450% | | 514,000 | 345,036 |
| 11/15/2051 | 2.950% | | 1,326,000 | 984,625 |
| 05/15/2052 | 4.625% | | 900,000 | 873,694 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 26 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Vistra Operations Co. LLC(a) |
| 02/15/2027 | 5.625% | | 1,860,000 | 1,748,809 |
| 07/31/2027 | 5.000% | | 1,185,000 | 1,074,112 |
| Wisconsin Electric Power Co. |
| 06/01/2025 | 3.100% | | 192,000 | 188,546 |
| Xcel Energy, Inc. |
| 06/01/2032 | 4.600% | | 1,345,000 | 1,336,206 |
| 09/15/2041 | 4.800% | | 90,000 | 85,150 |
| Total | 106,489,109 |
| Environmental 0.0% |
| GFL Environmental, Inc.(a) |
| 08/01/2025 | 3.750% | | 970,000 | 899,352 |
| 08/01/2028 | 4.000% | | 640,000 | 531,776 |
| Republic Services, Inc. |
| 02/15/2031 | 1.450% | | 378,000 | 296,507 |
| Stericycle, Inc.(a) |
| 01/15/2029 | 3.875% | | 795,000 | 656,108 |
| Total | 2,383,743 |
| Finance Companies 1.0% |
| AerCap Ireland Capital DAC/Global Aviation Trust |
| 01/23/2023 | 3.300% | | 935,000 | 932,554 |
| 07/03/2023 | 4.125% | | 500,000 | 496,065 |
| 09/15/2023 | 4.500% | | 2,905,000 | 2,896,900 |
| 10/29/2023 | 1.150% | | 5,404,000 | 5,158,163 |
| 02/15/2024 | 3.150% | | 2,875,000 | 2,793,421 |
| 08/14/2024 | 2.875% | | 632,000 | 605,071 |
| 01/15/2025 | 3.500% | | 218,000 | 208,911 |
| 07/15/2025 | 6.500% | | 1,285,000 | 1,313,520 |
| 04/03/2026 | 4.450% | | 400,000 | 382,717 |
| 10/29/2026 | 2.450% | | 190,000 | 165,405 |
| 10/29/2028 | 3.000% | | 235,000 | 197,700 |
| 01/30/2032 | 3.300% | | 1,230,000 | 980,201 |
| Air Lease Corp. |
| 07/03/2023 | 3.875% | | 341,000 | 339,285 |
| 09/15/2023 | 3.000% | | 177,000 | 174,326 |
| 03/01/2025 | 3.250% | | 220,000 | 210,116 |
| 07/01/2025 | 3.375% | | 515,000 | 485,375 |
| 01/15/2026 | 2.875% | | 749,000 | 687,665 |
| 10/01/2029 | 3.250% | | 225,000 | 187,448 |
| Ares Capital Corp. |
| 11/15/2031 | 3.200% | | 1,040,000 | 754,937 |
| Aviation Capital Group LLC(a) |
| 05/01/2023 | 3.875% | | 350,000 | 346,516 |
| 12/15/2024 | 5.500% | | 1,222,000 | 1,213,330 |
| 08/01/2025 | 4.125% | | 835,000 | 801,198 |
| Avolon Holdings Funding Ltd.(a) |
| 02/15/2025 | 2.875% | | 1,904,000 | 1,753,614 |
| 01/15/2026 | 5.500% | | 2,935,000 | 2,908,919 |
| 02/21/2026 | 2.125% | | 730,000 | 635,202 |
| 04/15/2026 | 4.250% | | 830,000 | 772,639 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 05/01/2026 | 4.375% | | 790,000 | 731,306 |
| 11/18/2027 | 2.528% | | 7,382,000 | 6,069,256 |
| Bain Capital Specialty Finance, Inc. |
| 10/13/2026 | 2.550% | | 591,000 | 507,063 |
| Blackstone Private Credit Fund(a) |
| 11/22/2024 | 2.350% | | 1,653,000 | 1,514,802 |
| 12/15/2026 | 2.625% | | 1,267,000 | 1,056,716 |
| 03/15/2027 | 3.250% | | 1,831,000 | 1,554,089 |
| 01/15/2029 | 4.000% | | 2,834,000 | 2,321,705 |
| Blackstone Secured Lending Fund |
| 07/14/2023 | 3.650% | | 960,000 | 953,423 |
| FS KKR Capital Corp. |
| 07/15/2027 | 3.250% | | 191,000 | 162,494 |
| Morgan Stanley Direct Lending Fund(a) |
| 02/11/2027 | 4.500% | | 1,222,000 | 1,108,910 |
| Navient Corp. |
| 03/25/2024 | 6.125% | | 780,000 | 739,019 |
| Owl Rock Capital Corp. |
| 07/15/2026 | 3.400% | | 2,539,000 | 2,232,542 |
| OWL Rock Core Income Corp.(a) |
| 02/08/2027 | 4.700% | | 745,000 | 681,646 |
| Owl Rock Technology Finance Corp.(a) |
| 04/13/2027 | 3.125% | | 2,098,000 | 1,798,470 |
| Park Aerospace Holdings Ltd.(a) |
| 03/15/2023 | 4.500% | | 175,000 | 175,765 |
| 02/15/2024 | 5.500% | | 188,000 | 189,159 |
| Quicken Loans LLC/Co-Issuer, Inc.(a) |
| 03/01/2029 | 3.625% | | 1,705,000 | 1,338,945 |
| SMBC Aviation Capital Finance DAC(a) |
| 07/15/2022 | 3.000% | | 693,000 | 693,213 |
| Springleaf Finance Corp. |
| 03/15/2025 | 6.875% | | 240,000 | 226,846 |
| 03/15/2026 | 7.125% | | 1,330,000 | 1,239,823 |
| Total | 52,696,390 |
| Food and Beverage 0.7% |
| Anheuser-Busch Companies LLC/InBev Worldwide, Inc. |
| 02/01/2036 | 4.700% | | 4,385,000 | 4,209,253 |
| 02/01/2046 | 4.900% | | 5,351,000 | 5,046,900 |
| Anheuser-Busch InBev Finance, Inc. |
| 02/01/2044 | 4.625% | | 30,000 | 27,095 |
| Anheuser-Busch InBev Worldwide, Inc. |
| 04/15/2038 | 4.375% | | 2,644,000 | 2,418,812 |
| 06/01/2040 | 4.350% | | 505,000 | 452,346 |
| 07/15/2042 | 3.750% | | 813,000 | 662,278 |
| 10/06/2048 | 4.439% | | 455,000 | 400,190 |
| 04/15/2058 | 4.750% | | 100,000 | 90,192 |
| Aramark Services, Inc.(a) |
| 05/01/2025 | 6.375% | | 645,000 | 631,715 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 27 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Bunge Ltd. Finance Corp. |
| 08/17/2025 | 1.630% | | 1,549,000 | 1,426,209 |
| Campbell Soup Co. |
| 04/24/2030 | 2.375% | | 205,000 | 173,146 |
| 04/24/2050 | 3.125% | | 249,000 | 176,947 |
| Cargill, Inc.(a) |
| 03/01/2023 | 3.250% | | 140,000 | 139,846 |
| 07/23/2023 | 1.375% | | 1,193,000 | 1,170,214 |
| 11/01/2036 | 7.250% | | 300,000 | 360,184 |
| 04/22/2052 | 4.375% | | 160,000 | 153,394 |
| Central American Bottling Corp/CBC Bottling Holdco SL/Beliv Holdco SL(a) |
| 04/27/2029 | 5.250% | | 419,000 | 369,729 |
| Coca-Cola Co. (The) |
| 06/01/2030 | 1.650% | | 459,000 | 389,010 |
| 03/15/2031 | 1.375% | | 459,000 | 373,773 |
| Coca-Cola Femsa SAB de CV |
| 01/22/2030 | 2.750% | | 750,000 | 673,144 |
| 09/01/2032 | 1.850% | | 1,000,000 | 779,183 |
| Darling Ingredients, Inc.(a) |
| 04/15/2027 | 5.250% | | 1,010,000 | 979,406 |
| Diageo Capital PLC |
| 09/29/2025 | 1.375% | | 1,020,000 | 952,358 |
| Fomento Economico Mexicano SAB de CV |
| 01/16/2050 | 3.500% | | 1,270,000 | 982,822 |
| Keurig Dr Pepper, Inc. |
| 05/25/2025 | 4.417% | | 60,000 | 60,543 |
| 06/15/2027 | 3.430% | | 135,000 | 128,985 |
| 04/15/2032 | 4.050% | | 450,000 | 421,093 |
| Kraft Heinz Foods Co. |
| 10/01/2039 | 4.625% | | 946,000 | 829,343 |
| Lamb Weston Holdings, Inc.(a) |
| 05/15/2028 | 4.875% | | 1,095,000 | 1,030,886 |
| MARB BondCo PLC(a) |
| 01/29/2031 | 3.950% | | 500,000 | 383,748 |
| Mondelez International, Inc. |
| 05/04/2025 | 1.500% | | 410,000 | 382,902 |
| Performance Food Group, Inc.(a) |
| 10/15/2027 | 5.500% | | 1,220,000 | 1,130,429 |
| Post Holdings, Inc.(a) |
| 03/01/2027 | 5.750% | | 544,000 | 527,059 |
| 04/15/2030 | 4.625% | | 915,000 | 771,941 |
| Tyson Foods, Inc. |
| 08/15/2044 | 5.150% | | 281,000 | 278,226 |
| Viterra Finance BV(a) |
| 04/21/2027 | 4.900% | | 2,327,000 | 2,261,223 |
| 04/21/2031 | 3.200% | | 417,000 | 338,839 |
| 04/21/2032 | 5.250% | | 2,882,000 | 2,685,582 |
| Total | 34,268,945 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Gaming 0.2% |
| Boyd Gaming Corp. |
| 12/01/2027 | 4.750% | | 255,000 | 230,812 |
| Colt Merger Sub, Inc.(a) |
| 07/01/2025 | 5.750% | | 1,030,000 | 987,070 |
| GLP Capital LP/Financing II, Inc. |
| 01/15/2029 | 5.300% | | 900,000 | 856,942 |
| International Game Technology PLC(a) |
| 02/15/2025 | 6.500% | | 975,000 | 969,185 |
| MGM Resorts International |
| 04/15/2027 | 5.500% | | 1,130,000 | 1,019,825 |
| Station Casinos LLC(a) |
| 02/15/2028 | 4.500% | | 635,000 | 536,714 |
| VICI Properties LP/Note Co., Inc.(a) |
| 12/01/2026 | 4.250% | | 1,170,000 | 1,074,016 |
| 02/01/2027 | 5.750% | | 645,000 | 615,048 |
| 12/01/2029 | 4.625% | | 1,125,000 | 1,011,714 |
| Wynn Las Vegas LLC/Capital Corp.(a) |
| 03/01/2025 | 5.500% | | 715,000 | 654,452 |
| Wynn Resorts Finance LLC/Capital Corp.(a) |
| 04/15/2025 | 7.750% | | 710,000 | 690,682 |
| 10/01/2029 | 5.125% | | 805,000 | 630,240 |
| Total | 9,276,700 |
| Health Care 1.2% |
| Abbott Laboratories |
| 01/30/2028 | 1.150% | | 266,000 | 231,752 |
| 11/30/2036 | 4.750% | | 297,000 | 314,982 |
| Acadia Healthcare Co., Inc.(a) |
| 07/01/2028 | 5.500% | | 1,415,000 | 1,323,803 |
| AdaptHealth LLC(a) |
| 08/01/2029 | 4.625% | | 915,000 | 752,231 |
| Advocate Health & Hospitals Corp. |
| 06/15/2030 | 2.211% | | 235,000 | 202,622 |
| Ascension Health |
| 11/15/2029 | 2.532% | | 341,000 | 306,954 |
| Avantor Funding, Inc.(a) |
| 07/15/2028 | 4.625% | | 1,400,000 | 1,281,779 |
| Becton Dickinson and Co. |
| 12/15/2024 | 3.734% | | 44,000 | 43,782 |
| 02/11/2031 | 1.957% | | 704,000 | 569,420 |
| Boston Scientific Corp. |
| 03/01/2039 | 4.550% | | 84,000 | 78,104 |
| Charles River Laboratories International, Inc.(a) |
| 03/15/2029 | 3.750% | | 975,000 | 846,140 |
| Children’s Hospital Corp. (The) |
| 02/01/2050 | 2.585% | | 680,000 | 471,786 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 28 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Children’s Hospital/DC |
| 07/15/2050 | 2.928% | | 760,000 | 540,821 |
| CHS/Community Health Systems, Inc.(a) |
| 03/15/2027 | 5.625% | | 1,095,000 | 926,710 |
| 01/15/2029 | 6.000% | | 1,250,000 | 1,030,096 |
| Cigna Corp. |
| 02/25/2026 | 4.500% | | 197,000 | 199,595 |
| 07/15/2046 | 4.800% | | 218,000 | 207,651 |
| 12/15/2048 | 4.900% | | 1,127,000 | 1,082,004 |
| 03/15/2050 | 3.400% | | 450,000 | 344,130 |
| CommonSpirit Health |
| 10/01/2025 | 1.547% | | 675,000 | 618,845 |
| 10/01/2030 | 2.782% | | 670,000 | 572,183 |
| 10/01/2050 | 3.910% | | 660,000 | 528,124 |
| Cottage Health Obligated Group |
| 11/01/2049 | 3.304% | | 610,000 | 482,457 |
| CVS Health Corp. |
| 08/15/2026 | 3.000% | | 958,000 | 917,939 |
| 03/25/2028 | 4.300% | | 2,026,000 | 2,005,929 |
| 03/25/2048 | 5.050% | | 2,077,000 | 1,987,177 |
| CVS Pass-Through Trust(a) |
| 10/10/2025 | 6.204% | | 90,052 | 90,819 |
| 01/10/2032 | 7.507% | | 92,640 | 100,882 |
| 01/10/2034 | 5.926% | | 651,122 | 665,986 |
| 01/10/2036 | 4.704% | | 1,610,682 | 1,564,342 |
| 08/11/2036 | 4.163% | | 141,098 | 138,777 |
| Danaher Corp. |
| 10/01/2050 | 2.600% | | 1,058,000 | 737,236 |
| 12/10/2051 | 2.800% | | 709,000 | 510,734 |
| DaVita, Inc.(a) |
| 06/01/2030 | 4.625% | | 2,070,000 | 1,613,628 |
| DH Europe Finance II Sarl |
| 11/15/2022 | 2.050% | | 1,417,000 | 1,411,968 |
| 11/15/2024 | 2.200% | | 2,439,000 | 2,340,831 |
| Encompass Health Corp. |
| 02/01/2028 | 4.500% | | 880,000 | 757,481 |
| 02/01/2030 | 4.750% | | 865,000 | 726,180 |
| 04/01/2031 | 4.625% | | 210,000 | 170,143 |
| Hackensack Meridian Health, Inc. |
| 09/01/2050 | 2.875% | | 1,000,000 | 722,318 |
| Hartford HealthCare Corp. |
| 07/01/2054 | 3.447% | | 1,350,000 | 1,094,488 |
| HCA, Inc. |
| 02/15/2026 | 5.875% | | 1,125,000 | 1,132,464 |
| 06/15/2026 | 5.250% | | 1,700,000 | 1,688,063 |
| 09/01/2028 | 5.625% | | 3,810,000 | 3,750,376 |
| 02/01/2029 | 5.875% | | 2,545,000 | 2,547,785 |
| 06/15/2029 | 4.125% | | 1,000,000 | 913,138 |
| 09/01/2030 | 3.500% | | 1,086,000 | 926,080 |
| 06/15/2039 | 5.125% | | 660,000 | 578,471 |
| 06/15/2047 | 5.500% | | 300,000 | 268,447 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 07/15/2051 | 3.500% | | 102,000 | 70,331 |
| HCA, Inc.(a) |
| 03/15/2052 | 4.625% | | 1,084,000 | 867,247 |
| Hologic, Inc.(a) |
| 02/15/2029 | 3.250% | | 1,480,000 | 1,264,491 |
| IQVIA, Inc.(a) |
| 05/15/2027 | 5.000% | | 1,628,000 | 1,540,296 |
| Memorial Health Services |
| 11/01/2049 | 3.447% | | 1,230,000 | 1,007,466 |
| Mozart Debt Merger Sub, Inc.(a) |
| 04/01/2029 | 3.875% | | 1,515,000 | 1,291,500 |
| MultiCare Health System |
| 08/15/2050 | 2.803% | | 570,000 | 407,715 |
| NYU Langone Hospitals |
| 07/01/2055 | 3.380% | | 550,000 | 414,095 |
| Owens & Minor, Inc. |
| 12/15/2024 | 4.375% | | 865,000 | 845,915 |
| Providence St Joseph Health Obligated Group |
| 10/01/2026 | 2.746% | | 307,000 | 293,068 |
| Quest Diagnostics, Inc. |
| 06/30/2031 | 2.800% | | 179,000 | 153,638 |
| STERIS Irish FinCo Unlimited, Co. |
| 03/15/2051 | 3.750% | | 2,602,000 | 2,025,617 |
| Tenet Healthcare Corp.(a) |
| 02/01/2027 | 6.250% | | 1,400,000 | 1,293,915 |
| 11/01/2027 | 5.125% | | 2,860,000 | 2,583,985 |
| 06/01/2029 | 4.250% | | 615,000 | 519,702 |
| Thermo Fisher Scientific, Inc. |
| 10/15/2028 | 1.750% | | 895,000 | 783,098 |
| 10/15/2031 | 2.000% | | 1,503,000 | 1,261,140 |
| 10/15/2041 | 2.800% | | 1,426,000 | 1,118,402 |
| Universal Health Services, Inc.(a) |
| 10/15/2030 | 2.650% | | 341,000 | 271,753 |
| Yale-New Haven Health Services Corp. |
| 07/01/2050 | 2.496% | | 950,000 | 647,879 |
| Total | 60,978,906 |
| Healthcare Insurance 0.4% |
| Aetna, Inc. |
| 12/15/2037 | 6.750% | | 201,000 | 228,258 |
| Anthem, Inc. |
| 12/01/2024 | 3.350% | | 350,000 | 345,632 |
| 03/01/2028 | 4.101% | | 193,000 | 190,952 |
| 12/01/2047 | 4.375% | | 94,000 | 87,013 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 29 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Centene Corp. |
| 12/15/2027 | 4.250% | | 1,045,000 | 975,780 |
| 07/15/2028 | 2.450% | | 4,912,000 | 4,097,350 |
| 12/15/2029 | 4.625% | | 2,305,000 | 2,149,383 |
| 02/15/2030 | 3.375% | | 2,085,000 | 1,768,255 |
| 10/15/2030 | 3.000% | | 972,000 | 805,633 |
| UnitedHealth Group, Inc. |
| 03/15/2026 | 3.100% | | 219,000 | 214,479 |
| 05/15/2029 | 4.000% | | 1,367,000 | 1,356,158 |
| 05/15/2032 | 4.200% | | 913,000 | 913,215 |
| 07/15/2035 | 4.625% | | 1,275,000 | 1,296,641 |
| 08/15/2039 | 3.500% | | 725,000 | 632,357 |
| 05/15/2040 | 2.750% | | 681,000 | 530,323 |
| 05/15/2041 | 3.050% | | 464,000 | 375,075 |
| 05/15/2050 | 2.900% | | 1,581,000 | 1,174,818 |
| 05/15/2051 | 3.250% | | 2,417,000 | 1,901,332 |
| 05/15/2052 | 4.750% | | 91,000 | 91,017 |
| Total | 19,133,671 |
| Healthcare REIT 0.0% |
| HCP, Inc. |
| 07/15/2029 | 3.500% | | 240,000 | 221,185 |
| MPT Operating Partnership LP/Finance Corp. |
| 08/01/2029 | 4.625% | | 850,000 | 750,434 |
| Sabra Health Care LP |
| 12/01/2031 | 3.200% | | 440,000 | 349,551 |
| Total | 1,321,170 |
| Home Construction 0.0% |
| MDC Holdings, Inc. |
| 01/15/2030 | 3.850% | | 1,900,000 | 1,578,383 |
| Weekley Homes LLC/Finance Corp.(a) |
| 09/15/2028 | 4.875% | | 1,025,000 | 812,954 |
| Total | 2,391,337 |
| Independent Energy 0.6% |
| Aker BP ASA(a) |
| 01/15/2030 | 3.750% | | 634,000 | 568,002 |
| 01/15/2031 | 4.000% | | 1,081,000 | 971,465 |
| Antero Resources Corp.(a) |
| 07/15/2026 | 8.375% | | 1,275,000 | 1,347,762 |
| Baytex Energy Corp.(a) |
| 04/01/2027 | 8.750% | | 500,000 | 498,796 |
| Chesapeake Energy Corp.(a) |
| 02/01/2026 | 5.500% | | 1,195,000 | 1,139,980 |
| CNX Resources Corp.(a) |
| 01/15/2029 | 6.000% | | 830,000 | 771,903 |
| Comstock Resources, Inc.(a) |
| 03/01/2029 | 6.750% | | 805,000 | 722,849 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| ConocoPhillips Co.(a) |
| 03/15/2062 | 4.025% | | 488,000 | 416,936 |
| Diamondback Energy, Inc. |
| 12/01/2026 | 3.250% | | 235,000 | 229,364 |
| 03/24/2051 | 4.400% | | 901,000 | 770,238 |
| Encana Corp. |
| 11/01/2031 | 7.375% | | 627,000 | 691,990 |
| Gulfport Energy Corp. |
| 05/17/2026 | 8.000% | | 785,000 | 773,503 |
| Hilcorp Energy I LP/Finance Co.(a) |
| 02/01/2029 | 5.750% | | 535,000 | 466,946 |
| Lundin Energy Finance BV(a) |
| 07/15/2026 | 2.000% | | 6,569,000 | 5,874,793 |
| 07/15/2031 | 3.100% | | 2,713,000 | 2,254,734 |
| Marathon Oil Corp. |
| 10/01/2037 | 6.600% | | 150,000 | 158,917 |
| MEG Energy Corp.(a) |
| 02/01/2027 | 7.125% | | 910,000 | 918,027 |
| Occidental Petroleum Corp. |
| 09/01/2025 | 5.875% | | 1,175,000 | 1,169,289 |
| 07/15/2027 | 8.500% | | 735,000 | 808,889 |
| 09/01/2030 | 6.625% | | 1,065,000 | 1,097,180 |
| 09/15/2031 | 7.875% | | 710,000 | 779,337 |
| Pioneer Natural Resources Co. |
| 08/15/2030 | 1.900% | | 1,944,000 | 1,587,368 |
| 01/15/2031 | 2.150% | | 1,803,000 | 1,485,787 |
| Range Resources Corp. |
| 05/15/2025 | 4.875% | | 1,440,000 | 1,405,985 |
| Southwestern Energy Co. |
| 10/01/2027 | 7.750% | | 1,075,000 | 1,100,834 |
| 02/01/2029 | 5.375% | | 1,000,000 | 929,144 |
| Total | 28,940,018 |
| Integrated Energy 0.5% |
| BP Capital Markets America, Inc. |
| 02/11/2026 | 3.410% | | 520,000 | 510,377 |
| 08/10/2030 | 1.749% | | 689,000 | 566,169 |
| 01/12/2032 | 2.721% | | 4,174,000 | 3,596,002 |
| 11/10/2050 | 2.772% | | 705,000 | 490,375 |
| 06/04/2051 | 2.939% | | 1,886,000 | 1,347,713 |
| 03/17/2052 | 3.001% | | 2,590,000 | 1,870,654 |
| BP Capital Markets PLC |
| 09/19/2027 | 3.279% | | 675,000 | 646,645 |
| BP Capital Markets PLC(j) |
| 12/31/2049 | 4.375% | | 3,790,000 | 3,578,718 |
| 12/31/2059 | 4.875% | | 3,065,000 | 2,681,875 |
| Chevron Corp. |
| 05/11/2027 | 1.995% | | 261,000 | 240,576 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 30 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Chevron USA, Inc. |
| 10/15/2029 | 3.250% | | 165,000 | 156,247 |
| ENI SpA(a) |
| 09/12/2023 | 4.000% | | 310,000 | 308,590 |
| Exxon Mobil Corp. |
| 03/19/2025 | 2.992% | | 528,000 | 520,289 |
| 08/16/2039 | 2.995% | | 815,000 | 665,924 |
| 08/16/2049 | 3.095% | | 346,000 | 269,680 |
| 04/15/2051 | 3.452% | | 2,494,000 | 2,047,832 |
| Petro-Canada |
| 05/15/2035 | 5.950% | | 250,000 | 260,600 |
| Shell International Finance BV |
| 11/26/2051 | 3.000% | | 2,000,000 | 1,492,001 |
| Total Capital International SA |
| 06/29/2041 | 2.986% | | 1,400,000 | 1,106,380 |
| 05/29/2050 | 3.127% | | 1,400,000 | 1,071,757 |
| Total | 23,428,404 |
| Leisure 0.2% |
| Boyne USA, Inc.(a) |
| 05/15/2029 | 4.750% | | 1,145,000 | 984,817 |
| Carnival Corp.(a) |
| 08/01/2027 | 9.875% | | 1,325,000 | 1,291,663 |
| 08/01/2028 | 4.000% | | 820,000 | 672,654 |
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op |
| 04/15/2027 | 5.375% | | 1,230,000 | 1,166,134 |
| Cinemark USA, Inc.(a) |
| 05/01/2025 | 8.750% | | 670,000 | 679,827 |
| 07/15/2028 | 5.250% | | 415,000 | 333,151 |
| Live Nation Entertainment, Inc.(a) |
| 05/15/2027 | 6.500% | | 805,000 | 791,671 |
| 10/15/2027 | 4.750% | | 915,000 | 814,191 |
| Royal Caribbean Cruises Ltd.(a) |
| 06/15/2023 | 9.125% | | 975,000 | 967,888 |
| Six Flags Entertainment Corp.(a) |
| 07/31/2024 | 4.875% | | 1,040,000 | 990,954 |
| Six Flags Theme Parks, Inc.(a) |
| 07/01/2025 | 7.000% | | 600,000 | 608,963 |
| Total | 9,301,913 |
| Life Insurance 0.7% |
| AIA Group Ltd.(a) |
| 04/06/2028 | 3.900% | | 500,000 | 495,386 |
| Subordinated |
| 09/16/2040 | 3.200% | | 540,000 | 434,015 |
| AIG SunAmerica Global Financing X(a) |
| 03/15/2032 | 6.900% | | 585,000 | 676,200 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Athene Global Funding(a) |
| 03/08/2024 | 2.514% | | 3,643,000 | 3,521,583 |
| 01/08/2026 | 1.450% | | 358,000 | 319,198 |
| 10/02/2026 | 1.730% | | 4,025,000 | 3,519,369 |
| 11/12/2026 | 2.950% | | 1,408,000 | 1,296,774 |
| 03/08/2027 | 3.205% | | 4,442,000 | 4,039,829 |
| 03/24/2028 | 2.500% | | 3,116,000 | 2,679,498 |
| 08/19/2028 | 1.985% | | 2,226,000 | 1,838,894 |
| 10/04/2031 | 2.646% | | 2,939,000 | 2,347,452 |
| Brighthouse Financial, Inc. |
| 12/22/2051 | 3.850% | | 881,000 | 599,382 |
| Dai-ichi Life Insurance Co. Ltd. (The)(a),(j) |
| Junior Subordinated |
| 12/31/2049 | 4.000% | | 1,062,000 | 998,083 |
| F&G Global Funding(a) |
| 06/30/2026 | 1.750% | | 130,000 | 115,150 |
| 09/20/2028 | 2.000% | | 1,876,000 | 1,586,166 |
| GA Global Funding Trust(a) |
| 09/13/2024 | 0.800% | | 3,272,000 | 3,027,920 |
| Guardian Life Insurance Co. of America (The)(a) |
| Subordinated |
| 01/24/2077 | 4.850% | | 208,000 | 186,553 |
| Jackson Financial, Inc. |
| 06/08/2027 | 5.170% | | 1,308,000 | 1,295,786 |
| 06/08/2032 | 5.670% | | 1,803,000 | 1,741,715 |
| Jackson National Life Global Funding(a) |
| 06/11/2025 | 3.875% | | 279,000 | 276,340 |
| John Hancock Life Insurance Co.(a) |
| Subordinated |
| 02/15/2024 | 7.375% | | 250,000 | 263,982 |
| Manulife Financial Corp.(j) |
| Subordinated |
| 02/24/2032 | 4.061% | | 923,000 | 853,322 |
| Metropolitan Life Global Funding I(a) |
| 01/11/2024 | 3.600% | | 273,000 | 271,854 |
| 09/19/2027 | 3.000% | | 170,000 | 160,069 |
| New York Life Global Funding(a) |
| 01/10/2028 | 3.000% | | 404,000 | 381,800 |
| New York Life Insurance Co.(a) |
| Subordinated |
| 05/15/2069 | 4.450% | | 256,000 | 221,164 |
| Prudential Insurance Co. of America (The)(a) |
| Subordinated |
| 07/01/2025 | 8.300% | | 2,060,000 | 2,275,582 |
| SBL Holdings, Inc.(a) |
| 02/18/2031 | 5.000% | | 3,084,000 | 2,580,380 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 31 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Teachers Insurance & Annuity Association of America(a) |
| Subordinated |
| 09/15/2044 | 4.900% | | 450,000 | 437,616 |
| 05/15/2047 | 4.270% | | 300,000 | 266,105 |
| Total | 38,707,167 |
| Lodging 0.2% |
| Hilton Domestic Operating Co., Inc.(a) |
| 05/01/2029 | 3.750% | | 490,000 | 417,079 |
| Hilton Worldwide Finance LLC/Corp. |
| 04/01/2027 | 4.875% | | 1,175,000 | 1,107,133 |
| Marriott International, Inc. |
| 06/15/2030 | 4.625% | | 3,702,000 | 3,530,817 |
| 04/15/2031 | 2.850% | | 1,186,000 | 983,851 |
| 10/15/2032 | 3.500% | | 1,340,000 | 1,155,170 |
| Marriott Ownership Resorts, Inc.(a) |
| 06/15/2029 | 4.500% | | 770,000 | 642,055 |
| Total | 7,836,105 |
| Media and Entertainment 0.7% |
| Activision Blizzard, Inc. |
| 09/15/2050 | 2.500% | | 3,736,000 | 2,562,584 |
| Clear Channel Worldwide Holdings, Inc.(a) |
| 08/15/2027 | 5.125% | | 1,505,000 | 1,270,880 |
| Discovery Communications LLC |
| 09/20/2047 | 5.200% | | 365,000 | 312,871 |
| 09/15/2055 | 4.000% | | 230,000 | 160,659 |
| Gray Television, Inc.(a) |
| 10/15/2030 | 4.750% | | 1,075,000 | 841,501 |
| Grupo Televisa SAB |
| 01/31/2046 | 6.125% | | 356,000 | 392,524 |
| iHeartCommunications, Inc.(a) |
| 08/15/2027 | 5.250% | | 1,430,000 | 1,223,925 |
| Lamar Media Corp. |
| 02/15/2030 | 4.000% | | 970,000 | 821,362 |
| Magallanes, Inc.(a) |
| 03/15/2025 | 3.638% | | 1,781,000 | 1,728,563 |
| 03/15/2027 | 3.755% | | 2,708,000 | 2,541,442 |
| 03/15/2029 | 4.054% | | 890,000 | 815,925 |
| 03/15/2032 | 4.279% | | 2,810,000 | 2,510,418 |
| 03/15/2042 | 5.050% | | 1,958,000 | 1,665,162 |
| 03/15/2052 | 5.141% | | 3,939,000 | 3,306,934 |
| 03/15/2062 | 5.391% | | 2,222,000 | 1,863,508 |
| Midas OpCo Holdings LLC(a) |
| 08/15/2029 | 5.625% | | 1,050,000 | 842,224 |
| Netflix, Inc.(a) |
| 06/15/2025 | 3.625% | | 100,000 | 95,126 |
| 11/15/2029 | 5.375% | | 1,240,000 | 1,172,047 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Netflix, Inc. |
| 04/15/2028 | 4.875% | | 3,435,000 | 3,243,075 |
| 11/15/2028 | 5.875% | | 1,703,000 | 1,667,128 |
| News Corp.(a) |
| 05/15/2029 | 3.875% | | 1,010,000 | 874,970 |
| Nexstar Escrow, Inc.(a) |
| 07/15/2027 | 5.625% | | 1,580,000 | 1,458,733 |
| Outfront Media Capital LLC/Corp.(a) |
| 06/15/2025 | 6.250% | | 920,000 | 878,214 |
| Scripps Escrow II, Inc.(a) |
| 01/15/2029 | 3.875% | | 825,000 | 684,612 |
| Sinclair Television Group, Inc.(a) |
| 12/01/2030 | 4.125% | | 1,325,000 | 1,051,404 |
| Take-Two Interactive Software, Inc. |
| 04/14/2027 | 3.700% | | 142,000 | 137,778 |
| TEGNA, Inc. |
| 09/15/2029 | 5.000% | | 795,000 | 751,838 |
| Univision Communications, Inc.(a) |
| 06/01/2027 | 6.625% | | 820,000 | 781,968 |
| Walt Disney Co. (The) |
| 07/15/2024 | 9.500% | | 139,000 | 154,641 |
| 09/01/2049 | 2.750% | | 445,000 | 318,649 |
| WMG Acquisition Corp.(a) |
| 07/15/2030 | 3.875% | | 570,000 | 476,800 |
| Total | 36,607,465 |
| Metals and Mining 0.5% |
| Alcoa Nederland Holding BV(a) |
| 05/15/2028 | 6.125% | | 1,950,000 | 1,897,810 |
| Allegheny Technologies, Inc. |
| 12/01/2027 | 5.875% | | 840,000 | 737,320 |
| Anglo American Capital PLC(a) |
| 03/16/2029 | 3.875% | | 2,505,000 | 2,297,446 |
| 03/16/2052 | 4.750% | | 1,973,000 | 1,690,425 |
| Arconic Corp.(a) |
| 02/15/2028 | 6.125% | | 1,375,000 | 1,277,383 |
| BHP Billiton Finance U.S.A. Ltd. |
| 03/01/2026 | 6.420% | | 468,000 | 506,728 |
| Cleveland-Cliffs, Inc.(a) |
| 03/15/2026 | 6.750% | | 102,000 | 101,227 |
| 03/01/2029 | 4.625% | | 1,250,000 | 1,102,933 |
| Constellium SE(a) |
| 06/15/2028 | 5.625% | | 675,000 | 610,843 |
| FMG Resources Pty Ltd.(a) |
| 09/15/2027 | 4.500% | | 1,365,000 | 1,237,365 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 32 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Freeport-McMoRan, Inc. |
| 09/01/2029 | 5.250% | | 4,070,000 | 3,887,573 |
| 03/01/2030 | 4.250% | | 464,000 | 425,488 |
| 08/01/2030 | 4.625% | | 1,040,000 | 964,444 |
| 11/14/2034 | 5.400% | | 1,388,000 | 1,354,982 |
| 03/15/2043 | 5.450% | | 1,788,000 | 1,654,180 |
| Glencore Finance Canada Ltd.(a) |
| 11/15/2037 | 6.900% | | 1,028,000 | 1,137,663 |
| 11/15/2041 | 6.000% | | 109,000 | 107,254 |
| Glencore Funding LLC(a) |
| 05/30/2023 | 4.125% | | 547,000 | 547,476 |
| 09/01/2025 | 1.625% | | 2,020,000 | 1,851,054 |
| 09/01/2030 | 2.500% | | 2,040,000 | 1,662,874 |
| 09/23/2031 | 2.625% | | 1,420,000 | 1,145,142 |
| Kaiser Aluminum Corp.(a) |
| 03/01/2028 | 4.625% | | 1,055,000 | 883,162 |
| Nucor Corp. |
| 12/15/2055 | 2.979% | | 341,000 | 230,589 |
| Steel Dynamics, Inc. |
| 10/15/2027 | 1.650% | | 212,000 | 181,826 |
| Vale Overseas Ltd. |
| 07/08/2030 | 3.750% | | 640,000 | 559,923 |
| Total | 28,053,110 |
| Midstream 1.1% |
| AmeriGas Partners LP/Finance Corp. |
| 08/20/2026 | 5.875% | | 1,115,000 | 1,044,298 |
| Antero Midstream Partners LP/Finance Corp.(a) |
| 05/15/2026 | 7.875% | | 1,145,000 | 1,143,908 |
| 06/15/2029 | 5.375% | | 450,000 | 403,561 |
| Buckeye Partners LP |
| 12/01/2027 | 4.125% | | 560,000 | 476,047 |
| 11/15/2043 | 5.850% | | 770,000 | 551,648 |
| Cameron LNG LLC(a) |
| 01/15/2039 | 3.701% | | 885,000 | 747,738 |
| Cheniere Corpus Christi Holdings LLC |
| 06/30/2027 | 5.125% | | 2,100,000 | 2,108,923 |
| 11/15/2029 | 3.700% | | 580,000 | 532,093 |
| Cheniere Energy Partners LP |
| 10/01/2029 | 4.500% | | 1,755,000 | 1,567,977 |
| Cheniere Energy Partners LP(a) |
| 01/31/2032 | 3.250% | | 850,000 | 670,018 |
| Crestwood Midstream Partners LP/Finance Corp. |
| 04/01/2025 | 5.750% | | 630,000 | 594,276 |
| Crestwood Midstream Partners LP/Finance Corp.(a) |
| 04/01/2029 | 8.000% | | 774,000 | 718,871 |
| DCP Midstream Operating LP |
| 07/15/2025 | 5.375% | | 595,000 | 581,314 |
| 05/15/2029 | 5.125% | | 455,000 | 409,627 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| DT Midstream, Inc.(a) |
| 06/15/2029 | 4.125% | | 1,685,000 | 1,432,781 |
| Enable Midstream Partners LP |
| 03/15/2027 | 4.400% | | 441,000 | 425,496 |
| 05/15/2028 | 4.950% | | 3,280,000 | 3,212,238 |
| Energy Transfer Operating LP |
| 04/15/2047 | 5.300% | | 1,617,000 | 1,399,807 |
| 05/15/2050 | 5.000% | | 1,485,000 | 1,263,419 |
| Energy Transfer Partners LP |
| 06/01/2041 | 6.050% | | 877,000 | 851,816 |
| 12/15/2045 | 6.125% | | 795,000 | 761,811 |
| EnLink Midstream Partners LP |
| 06/01/2025 | 4.150% | | 970,000 | 903,933 |
| Enterprise Products Operating LLC |
| 02/15/2043 | 4.450% | | 305,000 | 266,125 |
| 02/15/2053 | 3.300% | | 390,000 | 284,348 |
| EQM Midstream Partners LP |
| 08/01/2024 | 4.000% | | 260,000 | 244,385 |
| 07/15/2028 | 5.500% | | 700,000 | 606,350 |
| EQM Midstream Partners LP(a) |
| 01/15/2031 | 4.750% | | 895,000 | 713,930 |
| Flex Intermediate Holdco LLC(a) |
| 06/30/2031 | 3.363% | | 969,000 | 792,737 |
| 12/30/2039 | 4.317% | | 260,000 | 203,437 |
| Galaxy Pipeline Assets Bidco Ltd.(a) |
| 09/30/2027 | 1.750% | | 2,591,318 | 2,408,523 |
| 03/31/2034 | 2.160% | | 2,083,145 | 1,770,600 |
| 03/31/2036 | 2.625% | | 1,270,000 | 1,029,107 |
| 09/30/2040 | 2.940% | | 1,964,237 | 1,604,145 |
| Genesis Energy LP/Finance Corp. |
| 06/15/2024 | 5.625% | | 710,000 | 665,604 |
| Gray Oak Pipeline LLC(a) |
| 09/15/2023 | 2.000% | | 650,000 | 631,692 |
| 10/15/2025 | 2.600% | | 790,000 | 738,674 |
| Hess Midstream Operations LP(a) |
| 02/15/2026 | 5.625% | | 1,230,000 | 1,171,770 |
| Holly Energy Partners LP/Finance Corp.(a) |
| 04/15/2027 | 6.375% | | 875,000 | 825,134 |
| Kinder Morgan Energy Partners LP |
| 03/01/2043 | 5.000% | | 710,000 | 621,413 |
| Kinder Morgan, Inc. |
| 08/01/2050 | 3.250% | | 2,450,000 | 1,703,955 |
| 02/15/2051 | 3.600% | | 1,067,000 | 783,506 |
| MPLX LP |
| 03/14/2052 | 4.950% | | 1,422,000 | 1,229,888 |
| NGL Energy Operating LLC/Finance Corp.(a) |
| 02/01/2026 | 7.500% | | 625,000 | 562,468 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 33 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| NuStar Logistics LP |
| 06/01/2026 | 6.000% | | 900,000 | 833,372 |
| 04/28/2027 | 5.625% | | 475,000 | 423,497 |
| Plains All American Pipeline LP/Finance Corp. |
| 10/15/2023 | 3.850% | | 385,000 | 383,023 |
| Sabine Pass Liquefaction LLC |
| 06/30/2026 | 5.875% | | 7,815,000 | 8,074,215 |
| Southern Natural Gas Co. LLC |
| 03/01/2032 | 8.000% | | 360,000 | 418,938 |
| Sunoco Logistics Partners Operations LP |
| 02/15/2040 | 6.850% | | 652,000 | 645,726 |
| 02/15/2042 | 6.100% | | 464,000 | 443,437 |
| Tallgrass Energy Partners LP/Finance Corp.(a) |
| 10/01/2025 | 7.500% | | 580,000 | 563,420 |
| 09/01/2031 | 6.000% | | 615,000 | 508,927 |
| Targa Resources Corp.(h) |
| 07/01/2027 | 5.200% | | 232,000 | 232,929 |
| 07/01/2052 | 6.250% | | 1,377,000 | 1,378,269 |
| Targa Resources Partners LP/Finance Corp. |
| 03/01/2030 | 5.500% | | 522,000 | 497,028 |
| 02/01/2031 | 4.875% | | 2,089,000 | 1,905,656 |
| 01/15/2032 | 4.000% | | 600,000 | 514,541 |
| Texas Eastern Transmission LP(a) |
| 10/15/2022 | 2.800% | | 225,000 | 224,428 |
| TransCanada PipeLines Ltd. |
| 10/15/2037 | 6.200% | | 170,000 | 184,840 |
| Western Midstream Operating LP(j) |
| 02/01/2030 | 4.550% | | 1,055,000 | 913,253 |
| Total | 58,804,890 |
| Natural Gas 0.1% |
| APT Pipelines Ltd.(a) |
| 07/15/2027 | 4.250% | | 194,000 | 188,849 |
| Atmos Energy Corp. |
| 02/15/2052 | 2.850% | | 510,000 | 367,587 |
| Brooklyn Union Gas Co. (The)(a) |
| 03/15/2048 | 4.273% | | 360,000 | 293,907 |
| NiSource Finance Corp. |
| 02/01/2042 | 5.800% | | 381,000 | 382,358 |
| NiSource, Inc. |
| 09/01/2029 | 2.950% | | 755,000 | 669,708 |
| 02/15/2031 | 1.700% | | 900,000 | 702,039 |
| ONE Gas, Inc. |
| 05/15/2030 | 2.000% | | 372,000 | 310,013 |
| Southern California Gas Co. |
| 02/01/2030 | 2.550% | | 374,000 | 330,615 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Southern Co. Gas Capital Corp. |
| 10/01/2023 | 2.450% | | 201,000 | 198,179 |
| 06/15/2026 | 3.250% | | 169,000 | 162,055 |
| 01/15/2031 | 1.750% | | 1,399,000 | 1,103,390 |
| 10/01/2046 | 3.950% | | 247,000 | 201,719 |
| 09/30/2051 | 3.150% | | 750,000 | 531,687 |
| Total | 5,442,106 |
| Office REIT 0.1% |
| Alexandria Real Estate Equities, Inc. |
| 04/15/2026 | 3.800% | | 122,000 | 119,740 |
| 12/15/2030 | 4.900% | | 1,000,000 | 991,519 |
| 02/01/2033 | 1.875% | | 225,000 | 169,253 |
| 02/01/2050 | 4.000% | | 661,000 | 547,336 |
| Boston Properties LP |
| 12/01/2028 | 4.500% | | 350,000 | 339,979 |
| Corporate Office Properties LP |
| 04/15/2031 | 2.750% | | 550,000 | 446,187 |
| Office Properties Income Trust |
| 10/15/2031 | 3.450% | | 485,000 | 360,190 |
| Total | 2,974,204 |
| Oil Field Services 0.1% |
| Baker Hughes, Inc. |
| 09/15/2040 | 5.125% | | 300,000 | 293,809 |
| Guara Norte Sarl(a) |
| 06/15/2034 | 5.198% | | 936,150 | 760,881 |
| Halliburton Co. |
| 11/15/2035 | 4.850% | | 169,000 | 162,035 |
| 08/01/2043 | 4.750% | | 260,000 | 231,261 |
| MV24 Capital BV(a) |
| 06/01/2034 | 6.748% | | 533,340 | 479,273 |
| National Oilwell Varco, Inc. |
| 12/01/2029 | 3.600% | | 1,000,000 | 897,228 |
| Oceaneering International, Inc. |
| 11/15/2024 | 4.650% | | 850,000 | 789,128 |
| Schlumberger Holdings Corp.(a) |
| 05/01/2024 | 3.750% | | 184,000 | 183,348 |
| 05/17/2028 | 3.900% | | 351,000 | 331,982 |
| Total | 4,128,945 |
| Other Financial Institutions 0.1% |
| Icahn Enterprises LP/Finance Corp. |
| 05/15/2027 | 5.250% | | 1,115,000 | 986,845 |
| Kennedy-Wilson, Inc. |
| 03/01/2029 | 4.750% | | 1,430,000 | 1,174,207 |
| Mitsubishi UFJ Lease & Finance Co., Ltd.(a) |
| 09/19/2022 | 2.652% | | 335,000 | 334,512 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 34 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Nationstar Mortgage Holdings, Inc.(a) |
| 01/15/2027 | 6.000% | | 1,210,000 | 1,051,280 |
| ORIX Corp. |
| 07/18/2022 | 2.900% | | 252,000 | 252,074 |
| Total | 3,798,918 |
| Other Industry 0.1% |
| CK Hutchison International Ltd.(a) |
| 04/11/2029 | 3.625% | | 730,000 | 701,667 |
| Dycom Industries, Inc.(a) |
| 04/15/2029 | 4.500% | | 815,000 | 713,671 |
| Global Infrastructure Solutions, Inc.(a) |
| 06/01/2029 | 5.625% | | 1,060,000 | 833,770 |
| MasTec, Inc.(a) |
| 08/15/2028 | 4.500% | | 710,000 | 638,149 |
| Pepperdine University |
| 12/01/2059 | 3.301% | | 560,000 | 421,387 |
| President and Fellows of Harvard College |
| 10/15/2050 | 2.517% | | 673,000 | 492,096 |
| Quanta Services, Inc. |
| 10/01/2024 | 0.950% | | 1,772,000 | 1,640,535 |
| Trustees of the University of Pennsylvania (The) |
| 02/15/2119 | 3.610% | | 815,000 | 619,278 |
| University of Miami |
| 04/01/2052 | 4.063% | | 320,000 | 288,407 |
| University of Southern California |
| 10/01/2120 | 3.226% | | 690,000 | 453,182 |
| Total | 6,802,142 |
| Other REIT 0.3% |
| American Campus Communities Operating Partnership LP |
| 01/15/2029 | 2.250% | | 1,172,000 | 1,083,851 |
| Arbor Realty Trust, Inc.(a) |
| 09/01/2026 | 4.500% | | 6,000,000 | 5,456,835 |
| Digital Realty Trust LP |
| 08/15/2027 | 3.700% | | 231,000 | 220,036 |
| Duke Realty LP |
| 06/30/2026 | 3.250% | | 203,000 | 195,316 |
| Extra Space Storage LP |
| 04/01/2029 | 3.900% | | 890,000 | 834,722 |
| 03/15/2032 | 2.350% | | 800,000 | 636,733 |
| Goodman Australia Industrial Fund Bond Issuer Pty Ltd.(a) |
| 09/30/2026 | 3.400% | | 921,000 | 886,768 |
| Life Storage LP |
| 06/15/2029 | 4.000% | | 280,000 | 255,937 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Prologis LP |
| 04/15/2030 | 2.250% | | 280,000 | 242,365 |
| 04/15/2050 | 3.000% | | 546,000 | 411,965 |
| Public Storage |
| 11/09/2026 | 1.500% | | 507,000 | 457,467 |
| Rexford Industrial Realty LP |
| 09/01/2031 | 2.150% | | 986,000 | 772,022 |
| RHP Hotel Properties LP/Finance Corp. |
| 10/15/2027 | 4.750% | | 1,425,000 | 1,266,188 |
| Sun Communities Operating LP |
| 11/01/2028 | 2.300% | | 890,000 | 760,673 |
| 04/15/2032 | 4.200% | | 1,781,000 | 1,608,154 |
| Trust F/1401(a) |
| 01/15/2050 | 6.390% | | 1,158,000 | 918,350 |
| WP Carey, Inc. |
| 10/01/2026 | 4.250% | | 345,000 | 341,220 |
| 04/01/2033 | 2.250% | | 436,000 | 335,360 |
| Total | 16,683,962 |
| Other Utility 0.0% |
| American Water Capital Corp. |
| 10/15/2037 | 6.593% | | 300,000 | 348,128 |
| 12/01/2046 | 4.000% | | 431,000 | 373,365 |
| 05/01/2050 | 3.450% | | 408,000 | 324,966 |
| Entergy Texas Restoration Funding II LLC |
| 12/15/2035 | 3.697% | | 585,000 | 553,934 |
| Total | 1,600,393 |
| Packaging 0.2% |
| Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) |
| 08/15/2026 | 4.125% | | 1,465,000 | 1,241,200 |
| BWAY Holding Co.(a) |
| 04/15/2024 | 5.500% | | 1,890,000 | 1,805,294 |
| Crown Cork & Seal Co., Inc. |
| 12/15/2026 | 7.375% | | 730,000 | 745,302 |
| LABL Escrow Issuer LLC(a) |
| 07/15/2026 | 6.750% | | 910,000 | 817,449 |
| Owens-Brockway Glass Container, Inc.(a) |
| 05/13/2027 | 6.625% | | 1,175,000 | 1,096,517 |
| Reynolds Group Issuer, Inc./LLC(a) |
| 10/15/2027 | 4.000% | | 1,175,000 | 1,003,885 |
| Sealed Air Corp.(a) |
| 12/01/2027 | 4.000% | | 780,000 | 703,156 |
| Trivium Packaging Finance BV(a) |
| 08/15/2026 | 5.500% | | 780,000 | 735,288 |
| Total | 8,148,091 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 35 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Paper 0.0% |
| Graphic Packaging International LLC(a) |
| 04/15/2026 | 1.512% | | 462,000 | 413,905 |
| Klabin Austria GmbH(a) |
| 04/03/2029 | 5.750% | | 300,000 | 283,600 |
| Packaging Corp. of America |
| 12/15/2049 | 4.050% | | 268,000 | 221,748 |
| Total | 919,253 |
| Pharmaceuticals 1.2% |
| AbbVie, Inc. |
| 11/21/2022 | 2.300% | | 2,775,000 | 2,765,816 |
| 11/21/2029 | 3.200% | | 2,648,000 | 2,434,663 |
| 03/15/2035 | 4.550% | | 341,000 | 332,184 |
| 05/14/2036 | 4.300% | | 645,000 | 606,029 |
| 11/21/2039 | 4.050% | | 4,862,000 | 4,333,134 |
| 11/06/2042 | 4.400% | | 280,000 | 254,556 |
| 05/14/2046 | 4.450% | | 859,000 | 779,194 |
| 11/21/2049 | 4.250% | | 3,068,000 | 2,719,380 |
| Amgen, Inc. |
| 08/15/2028 | 1.650% | | 225,000 | 193,092 |
| 01/15/2052 | 3.000% | | 986,000 | 701,474 |
| AstraZeneca Finance LLC |
| 05/28/2028 | 1.750% | | 3,139,000 | 2,769,160 |
| AstraZeneca PLC |
| 08/06/2030 | 1.375% | | 900,000 | 737,499 |
| 09/15/2037 | 6.450% | | 290,000 | 347,836 |
| 09/18/2042 | 4.000% | | 341,000 | 314,549 |
| Bausch Health Companies, Inc.(a) |
| 04/01/2026 | 9.250% | | 2,070,000 | 1,480,636 |
| 08/15/2027 | 5.750% | | 990,000 | 821,166 |
| 01/30/2028 | 5.000% | | 3,020,000 | 1,609,129 |
| 06/01/2028 | 4.875% | | 2,530,000 | 1,979,992 |
| 02/15/2029 | 5.000% | | 3,020,000 | 1,568,845 |
| Biogen, Inc. |
| 05/01/2030 | 2.250% | | 474,000 | 388,661 |
| Bristol Myers Squibb Co. |
| 11/13/2027 | 1.125% | | 281,000 | 246,991 |
| 02/20/2028 | 3.900% | | 900,000 | 901,534 |
| 07/26/2029 | 3.400% | | 165,000 | 159,390 |
| 03/15/2032 | 2.950% | | 1,140,000 | 1,046,439 |
| 06/15/2039 | 4.125% | | 476,000 | 455,327 |
| 02/20/2048 | 4.550% | | 311,000 | 305,122 |
| 03/15/2052 | 3.700% | | 1,630,000 | 1,407,917 |
| CSL Finance PLC(a) |
| 04/27/2027 | 3.850% | | 445,000 | 441,154 |
| 04/27/2029 | 4.050% | | 895,000 | 879,471 |
| 04/27/2052 | 4.750% | | 1,673,000 | 1,601,123 |
| Emergent BioSolutions, Inc.(a) |
| 08/15/2028 | 3.875% | | 965,000 | 681,412 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Gilead Sciences, Inc. |
| 09/01/2036 | 4.000% | | 795,000 | 740,992 |
| 10/01/2040 | 2.600% | | 3,020,000 | 2,215,530 |
| 03/01/2047 | 4.150% | | 1,000,000 | 882,362 |
| 10/01/2050 | 2.800% | | 1,436,000 | 1,004,922 |
| Grifols Escrow Issuer SA(a) |
| 10/15/2028 | 4.750% | | 825,000 | 715,545 |
| Jazz Securities DAC(a) |
| 01/15/2029 | 4.375% | | 1,250,000 | 1,116,030 |
| Merck & Co., Inc. |
| 12/10/2051 | 2.750% | | 4,160,000 | 3,082,884 |
| Organon Finance 1 LLC(a) |
| 04/30/2028 | 4.125% | | 650,000 | 575,216 |
| 04/30/2031 | 5.125% | | 1,030,000 | 888,941 |
| Par Pharmaceutical, Inc.(a) |
| 04/01/2027 | 7.500% | | 785,000 | 596,611 |
| Pfizer, Inc. |
| 08/18/2031 | 1.750% | | 1,799,000 | 1,504,826 |
| 05/28/2040 | 2.550% | | 3,094,000 | 2,437,933 |
| Regeneron Pharmaceuticals, Inc. |
| 09/15/2030 | 1.750% | | 528,000 | 423,519 |
| Roche Holdings, Inc.(a) |
| 12/13/2031 | 2.076% | | 4,444,000 | 3,793,546 |
| 12/13/2051 | 2.607% | | 2,065,000 | 1,508,234 |
| Shire Acquisitions Investments Ireland DAC |
| 09/23/2023 | 2.875% | | 814,000 | 805,017 |
| 09/23/2026 | 3.200% | | 505,000 | 484,911 |
| Takeda Pharmaceutical Co., Ltd. |
| 11/26/2023 | 4.400% | | 1,587,000 | 1,598,534 |
| 11/26/2028 | 5.000% | | 341,000 | 347,772 |
| 03/31/2030 | 2.050% | | 2,542,000 | 2,126,076 |
| 07/09/2040 | 3.025% | | 1,915,000 | 1,473,181 |
| 07/09/2050 | 3.175% | | 1,009,000 | 750,904 |
| Zoetis, Inc. |
| 05/15/2030 | 2.000% | | 303,000 | 253,460 |
| Total | 64,589,821 |
| Property & Casualty 0.1% |
| Berkshire Hathaway Finance Corp. |
| 01/15/2051 | 2.500% | | 1,500,000 | 1,017,771 |
| Chubb INA Holdings, Inc. |
| 05/15/2024 | 3.350% | | 256,000 | 255,315 |
| Cincinnati Financial Corp. |
| 11/01/2034 | 6.125% | | 341,000 | 387,618 |
| CNA Financial Corp. |
| 08/15/2027 | 3.450% | | 170,000 | 160,793 |
| Enstar Group Ltd. |
| 09/01/2031 | 3.100% | | 2,239,000 | 1,774,954 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 36 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Hanover Insurance Group, Inc. (The) |
| 09/01/2030 | 2.500% | | 395,000 | 330,148 |
| Liberty Mutual Group, Inc.(a) |
| 06/15/2052 | 5.500% | | 1,349,000 | 1,287,759 |
| OneBeacon US Holdings, Inc. |
| 11/09/2022 | 4.600% | | 205,000 | 205,230 |
| Stewart Information Services Corp. |
| 11/15/2031 | 3.600% | | 1,200,000 | 995,101 |
| Travelers Property Casualty Corp. |
| 04/15/2026 | 7.750% | | 206,000 | 233,507 |
| Total | 6,648,196 |
| Railroads 0.2% |
| Burlington Northern Santa Fe LLC |
| 08/15/2030 | 7.950% | | 500,000 | 616,629 |
| 05/01/2040 | 5.750% | | 790,000 | 868,998 |
| 02/15/2050 | 3.550% | | 147,000 | 122,914 |
| 02/15/2051 | 3.050% | | 785,000 | 602,436 |
| 01/15/2053 | 4.450% | | 1,353,000 | 1,307,138 |
| Canadian Pacific Railway Co. |
| 12/02/2024 | 1.350% | | 2,208,000 | 2,081,890 |
| 12/02/2026 | 1.750% | | 427,000 | 386,610 |
| 12/02/2031 | 2.450% | | 359,000 | 307,997 |
| 12/02/2041 | 3.000% | | 436,000 | 342,665 |
| Kansas City Southern |
| 05/01/2048 | 4.700% | | 494,000 | 462,911 |
| Union Pacific Corp. |
| 02/05/2030 | 2.400% | | 1,744,000 | 1,540,061 |
| 02/14/2032 | 2.800% | | 2,222,000 | 1,975,985 |
| 02/14/2042 | 3.375% | | 1,067,000 | 889,365 |
| 02/14/2053 | 3.500% | | 1,508,000 | 1,232,311 |
| 09/15/2067 | 4.100% | | 200,000 | 170,335 |
| Total | 12,908,245 |
| Refining 0.1% |
| HF Sinclair Corp.(a) |
| 10/01/2023 | 2.625% | | 1,460,000 | 1,419,229 |
| 04/01/2026 | 5.875% | | 618,000 | 624,127 |
| Phillips 66 |
| 11/15/2044 | 4.875% | | 40,000 | 38,749 |
| Phillips 66 Co.(a) |
| 10/01/2026 | 3.550% | | 171,000 | 166,244 |
| 12/15/2029 | 3.150% | | 263,000 | 235,621 |
| Valero Energy Corp. |
| 09/15/2027 | 2.150% | | 341,000 | 303,971 |
| 04/15/2032 | 7.500% | | 181,000 | 208,600 |
| Total | 2,996,541 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Restaurants 0.1% |
| 1011778 BC ULC/New Red Finance, Inc.(a) |
| 01/15/2028 | 3.875% | | 1,385,000 | 1,204,742 |
| 10/15/2030 | 4.000% | | 190,000 | 152,509 |
| McDonald’s Corp. |
| 09/01/2049 | 3.625% | | 1,448,000 | 1,187,082 |
| 04/01/2050 | 4.200% | | 2,139,000 | 1,922,422 |
| Yum! Brands, Inc. |
| 01/31/2032 | 4.625% | | 635,000 | 560,932 |
| Total | 5,027,687 |
| Retail REIT 0.4% |
| Agree LP |
| 06/15/2028 | 2.000% | | 1,939,000 | 1,652,818 |
| 06/15/2033 | 2.600% | | 441,000 | 348,279 |
| Brixmor Operating Partnership LP |
| 02/01/2025 | 3.850% | | 341,000 | 335,729 |
| 04/01/2028 | 2.250% | | 925,000 | 793,619 |
| 08/16/2031 | 2.500% | | 1,077,000 | 846,898 |
| DDR Corp. |
| 02/01/2025 | 3.625% | | 482,000 | 468,137 |
| 06/01/2027 | 4.700% | | 200,000 | 195,949 |
| Federal Realty Investment Trust |
| 01/15/2024 | 3.950% | | 1,231,000 | 1,227,540 |
| National Retail Properties, Inc. |
| 11/15/2025 | 4.000% | | 728,000 | 724,105 |
| 12/15/2026 | 3.600% | | 618,000 | 595,381 |
| Realty Income Corp. |
| 07/15/2024 | 3.875% | | 219,000 | 218,995 |
| 04/15/2025 | 3.875% | | 255,000 | 253,950 |
| 01/15/2028 | 3.400% | | 945,000 | 892,791 |
| 06/15/2028 | 2.200% | | 954,000 | 839,172 |
| 01/15/2031 | 3.250% | | 300,000 | 273,191 |
| 12/15/2032 | 2.850% | | 1,290,000 | 1,105,518 |
| Regency Centers LP |
| 09/15/2029 | 2.950% | | 2,590,000 | 2,276,957 |
| Scentre Group Trust 1/Trust 2(a) |
| 02/12/2025 | 3.500% | | 1,040,000 | 1,011,245 |
| Scentre Group Trust 2(a),(j) |
| 09/24/2080 | 4.750% | | 339,000 | 302,856 |
| Spirit Realty LP |
| 01/15/2030 | 3.400% | | 631,000 | 545,004 |
| STORE Capital Corp. |
| 03/15/2028 | 4.500% | | 3,361,000 | 3,278,791 |
| 03/15/2029 | 4.625% | | 1,136,000 | 1,108,604 |
| 11/18/2030 | 2.750% | | 1,576,000 | 1,293,353 |
| 12/01/2031 | 2.700% | | 617,000 | 494,442 |
| Total | 21,083,324 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 37 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Retailers 0.8% |
| 7-Eleven, Inc.(a) |
| 02/10/2028 | 1.300% | | 609,000 | 507,128 |
| 02/10/2041 | 2.500% | | 619,000 | 421,577 |
| Alimentation Couche-Tard, Inc.(a) |
| 01/25/2050 | 3.800% | | 433,000 | 327,183 |
| Amazon.com, Inc. |
| 05/12/2026 | 1.000% | | 6,069,000 | 5,520,689 |
| 05/12/2028 | 1.650% | | 2,734,000 | 2,426,253 |
| 04/13/2029 | 3.450% | | 1,336,000 | 1,300,394 |
| 05/12/2031 | 2.100% | | 3,406,000 | 2,917,252 |
| 04/13/2032 | 3.600% | | 2,749,000 | 2,649,443 |
| 08/22/2037 | 3.875% | | 550,000 | 519,702 |
| 05/12/2041 | 2.875% | | 622,000 | 498,762 |
| 06/03/2050 | 2.500% | | 1,781,000 | 1,261,088 |
| 05/12/2051 | 3.100% | | 1,116,000 | 880,274 |
| 04/13/2052 | 3.950% | | 3,641,000 | 3,353,376 |
| 06/03/2060 | 2.700% | | 877,000 | 593,406 |
| Asbury Automotive Group, Inc. |
| 03/01/2028 | 4.500% | | 875,000 | 758,922 |
| AutoNation, Inc. |
| 06/01/2030 | 4.750% | | 1,556,000 | 1,461,098 |
| Gap Inc. (The)(a) |
| 10/01/2029 | 3.625% | | 755,000 | 530,860 |
| Gap, Inc. (The)(a) |
| 10/01/2031 | 3.875% | | 460,000 | 319,866 |
| Group 1 Automotive, Inc.(a) |
| 08/15/2028 | 4.000% | | 1,250,000 | 1,058,580 |
| Home Depot, Inc. (The) |
| 04/15/2032 | 3.250% | | 2,226,000 | 2,076,320 |
| 04/15/2040 | 3.300% | | 367,000 | 311,482 |
| 12/15/2049 | 3.125% | | 1,726,000 | 1,345,624 |
| 03/15/2051 | 2.375% | | 1,422,000 | 960,640 |
| 04/15/2052 | 3.625% | | 886,000 | 759,050 |
| L Brands, Inc. |
| 06/15/2029 | 7.500% | | 1,700,000 | 1,550,063 |
| Lithia Motors, Inc.(a) |
| 12/15/2027 | 4.625% | | 855,000 | 788,282 |
| Lowe’s Companies, Inc. |
| 10/15/2030 | 1.700% | | 450,000 | 361,418 |
| Nordstrom, Inc. |
| 08/01/2031 | 4.250% | | 1,331,000 | 1,010,725 |
| O’Reilly Automotive, Inc. |
| 03/15/2026 | 3.550% | | 164,000 | 160,704 |
| 09/01/2027 | 3.600% | | 432,000 | 417,513 |
| Penske Automotive Group, Inc. |
| 09/01/2025 | 3.500% | | 360,000 | 337,917 |
| 06/15/2029 | 3.750% | | 425,000 | 353,933 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| PetSmart, Inc./Finance Corp.(a) |
| 02/15/2028 | 4.750% | | 2,030,000 | 1,754,005 |
| Rite Aid Corp.(a) |
| 11/15/2026 | 8.000% | | 1,250,000 | 972,274 |
| Tapestry, Inc. |
| 03/15/2032 | 3.050% | | 1,545,000 | 1,258,060 |
| Target Corp. |
| 01/15/2052 | 2.950% | | 2,444,000 | 1,848,609 |
| William Carter Co. (The)(a) |
| 03/15/2027 | 5.625% | | 405,000 | 379,556 |
| Total | 43,952,028 |
| Supermarkets 0.1% |
| Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) |
| 01/15/2027 | 4.625% | | 3,715,000 | 3,323,068 |
| Kroger Co. (The) |
| 05/01/2030 | 2.200% | | 682,000 | 574,941 |
| 02/01/2047 | 4.450% | | 240,000 | 217,510 |
| Total | 4,115,519 |
| Technology 2.1% |
| Advanced Micro Devices, Inc. |
| 06/01/2032 | 3.924% | | 2,863,000 | 2,817,499 |
| 06/01/2052 | 4.393% | | 1,354,000 | 1,317,196 |
| ams AG(a) |
| 07/31/2025 | 7.000% | | 1,010,000 | 966,650 |
| Apple, Inc. |
| 06/20/2027 | 3.000% | | 562,000 | 549,855 |
| 02/08/2041 | 2.375% | | 722,000 | 552,539 |
| 08/04/2046 | 3.850% | | 672,000 | 616,202 |
| 11/13/2047 | 3.750% | | 495,000 | 445,578 |
| 05/11/2050 | 2.650% | | 1,367,000 | 1,010,403 |
| 02/08/2051 | 2.650% | | 607,000 | 448,623 |
| 08/20/2060 | 2.550% | | 126,000 | 86,527 |
| 02/08/2061 | 2.800% | | 632,000 | 452,386 |
| 08/05/2061 | 2.850% | | 3,630,000 | 2,639,608 |
| Arrow Electronics, Inc. |
| 01/12/2028 | 3.875% | | 376,000 | 358,116 |
| Black Knight InfoServ LLC(a) |
| 09/01/2028 | 3.625% | | 925,000 | 803,327 |
| Broadcom, Inc. |
| 11/15/2025 | 3.150% | | 1,163,000 | 1,119,832 |
| 11/15/2030 | 4.150% | | 1,050,000 | 962,861 |
| Broadcom, Inc.(a) |
| 04/15/2029 | 4.000% | | 1,781,000 | 1,653,509 |
| 02/15/2031 | 2.450% | | 1,553,000 | 1,248,695 |
| 04/15/2032 | 4.150% | | 1,336,000 | 1,209,534 |
| 04/15/2033 | 3.419% | | 4,229,000 | 3,495,990 |
| 04/15/2034 | 3.469% | | 1,985,000 | 1,610,050 |
| 05/15/2037 | 4.926% | | 1,417,000 | 1,272,742 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 38 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CDK Global, Inc. |
| 06/01/2027 | 4.875% | | 770,000 | 763,306 |
| Clarivate Science Holdings Corp.(a) |
| 07/01/2028 | 3.875% | | 960,000 | 807,070 |
| CommScope Finance LLC(a) |
| 03/01/2026 | 6.000% | | 1,875,000 | 1,728,450 |
| CommScope Technologies LLC(a) |
| 03/15/2027 | 5.000% | | 1,155,000 | 859,203 |
| Dell International LLC/EMC Corp. |
| 06/15/2023 | 5.450% | | 153,000 | 154,767 |
| 06/15/2026 | 6.020% | | 2,068,000 | 2,144,914 |
| 10/01/2026 | 4.900% | | 455,000 | 455,349 |
| 07/15/2027 | 6.100% | | 904,000 | 948,018 |
| 10/01/2029 | 5.300% | | 600,000 | 591,758 |
| Dell International LLC/EMC Corp.(a) |
| 12/15/2041 | 3.375% | | 2,208,000 | 1,577,712 |
| 12/15/2051 | 3.450% | | 2,648,000 | 1,792,859 |
| Entegris, Inc.(a) |
| 04/15/2028 | 4.375% | | 1,040,000 | 928,818 |
| Equinix, Inc. |
| 11/18/2026 | 2.900% | | 1,375,000 | 1,276,767 |
| Fiserv, Inc. |
| 07/01/2026 | 3.200% | | 360,000 | 341,981 |
| 07/01/2049 | 4.400% | | 345,000 | 297,303 |
| Gartner, Inc.(a) |
| 07/01/2028 | 4.500% | | 710,000 | 646,029 |
| 06/15/2029 | 3.625% | | 845,000 | 728,663 |
| Global Payments, Inc. |
| 11/15/2024 | 1.500% | | 1,165,000 | 1,092,510 |
| 05/15/2030 | 2.900% | | 1,850,000 | 1,557,640 |
| 11/15/2031 | 2.900% | | 1,415,000 | 1,158,155 |
| HP, Inc. |
| 06/17/2025 | 2.200% | | 2,076,000 | 1,959,061 |
| 06/17/2027 | 3.000% | | 268,000 | 247,717 |
| 04/15/2029 | 4.000% | | 3,116,000 | 2,916,388 |
| 04/15/2032 | 4.200% | | 3,116,000 | 2,781,440 |
| Imola Merger Corp.(a) |
| 05/15/2029 | 4.750% | | 1,740,000 | 1,459,056 |
| Intel Corp. |
| 08/12/2041 | 2.800% | | 2,322,000 | 1,766,870 |
| 02/15/2060 | 3.100% | | 239,000 | 171,126 |
| Iron Mountain, Inc.(a) |
| 09/15/2027 | 4.875% | | 1,050,000 | 950,258 |
| KLA Corp. |
| 07/15/2032 | 4.650% | | 2,295,000 | 2,345,341 |
| 03/01/2050 | 3.300% | | 2,272,000 | 1,801,119 |
| 07/15/2052 | 4.950% | | 826,000 | 830,317 |
| 07/15/2062 | 5.250% | | 1,102,000 | 1,133,230 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Leidos, Inc. |
| 02/15/2031 | 2.300% | | 570,000 | 451,145 |
| Microchip Technology, Inc. |
| 02/15/2024 | 0.972% | | 506,000 | 480,767 |
| Microsoft Corp. |
| 02/12/2035 | 3.500% | | 300,000 | 288,188 |
| 03/17/2052 | 2.921% | | 462,000 | 364,745 |
| 03/17/2062 | 3.041% | | 314,000 | 244,523 |
| MSCI, Inc.(a) |
| 09/01/2030 | 3.625% | | 380,000 | 316,882 |
| NCR Corp.(a) |
| 10/01/2028 | 5.000% | | 1,497,000 | 1,275,164 |
| 09/01/2029 | 6.125% | | 700,000 | 605,165 |
| Nielsen Finance LLC/Co.(a) |
| 10/01/2028 | 5.625% | | 1,105,000 | 1,025,862 |
| NXP BV/Funding LLC/USA, Inc. |
| 06/01/2027 | 4.400% | | 1,077,000 | 1,064,885 |
| 05/01/2030 | 3.400% | | 1,231,000 | 1,096,608 |
| 02/15/2032 | 2.650% | | 1,836,000 | 1,508,931 |
| 01/15/2033 | 5.000% | | 2,694,000 | 2,632,736 |
| 05/11/2041 | 3.250% | | 972,000 | 733,883 |
| ON Semiconductor Corp.(a) |
| 09/01/2028 | 3.875% | | 1,275,000 | 1,125,239 |
| Oracle Corp. |
| 03/25/2028 | 2.300% | | 312,000 | 268,569 |
| 07/08/2034 | 4.300% | | 164,000 | 143,862 |
| 05/15/2035 | 3.900% | | 251,000 | 207,002 |
| 07/15/2036 | 3.850% | | 285,000 | 228,754 |
| 11/15/2037 | 3.800% | | 2,010,000 | 1,563,876 |
| 04/01/2040 | 3.600% | | 2,700,000 | 2,022,136 |
| Presidio Holdings, Inc.(a) |
| 02/01/2027 | 4.875% | | 1,225,000 | 1,121,496 |
| PTC, Inc.(a) |
| 02/15/2028 | 4.000% | | 880,000 | 813,295 |
| QUALCOMM, Inc. |
| 05/20/2052 | 4.500% | | 290,000 | 287,008 |
| S&P Global, Inc.(a) |
| 03/01/2029 | 2.700% | | 422,000 | 384,189 |
| 03/01/2032 | 2.900% | | 1,545,000 | 1,376,510 |
| Seagate HDD Cayman |
| 07/15/2029 | 3.125% | | 480,000 | 378,832 |
| 01/15/2031 | 4.125% | | 820,000 | 670,157 |
| Sensata Technologies BV(a) |
| 04/15/2029 | 4.000% | | 1,160,000 | 986,529 |
| Square, Inc.(a) |
| 06/01/2026 | 2.750% | | 545,000 | 484,409 |
| 06/01/2031 | 3.500% | | 585,000 | 469,617 |
| SS&C Technologies, Inc.(a) |
| 09/30/2027 | 5.500% | | 1,020,000 | 959,084 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 39 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Synaptics, Inc.(a) |
| 06/15/2029 | 4.000% | | 905,000 | 735,571 |
| TSMC Arizona Corp. |
| 04/22/2027 | 3.875% | | 930,000 | 926,964 |
| 10/25/2031 | 2.500% | | 1,340,000 | 1,151,805 |
| 04/22/2032 | 4.250% | | 920,000 | 908,973 |
| 04/22/2052 | 4.500% | | 340,000 | 335,576 |
| VMware, Inc. |
| 08/15/2023 | 0.600% | | 4,347,000 | 4,200,180 |
| 08/15/2024 | 1.000% | | 3,089,000 | 2,892,923 |
| 08/15/2026 | 1.400% | | 3,107,000 | 2,750,142 |
| 05/15/2027 | 4.650% | | 774,000 | 770,817 |
| 08/15/2028 | 1.800% | | 536,000 | 445,316 |
| 05/15/2030 | 4.700% | | 1,786,000 | 1,714,551 |
| Workday, Inc. |
| 04/01/2029 | 3.700% | | 986,000 | 924,162 |
| Xilinx, Inc. |
| 06/01/2030 | 2.375% | | 760,000 | 668,452 |
| Total | 107,856,397 |
| Tobacco 0.1% |
| Altria Group, Inc. |
| 05/06/2025 | 2.350% | | 191,000 | 180,124 |
| BAT Capital Corp. |
| 08/15/2037 | 4.390% | | 6,025,000 | 4,788,161 |
| 08/15/2047 | 4.540% | | 425,000 | 312,289 |
| Philip Morris International, Inc. |
| 11/15/2041 | 4.375% | | 1,300,000 | 1,085,461 |
| Total | 6,366,035 |
| Transportation Services 0.1% |
| Adani International Container Terminal Private Ltd.(a) |
| 02/16/2031 | 3.000% | | 816,000 | 691,323 |
| Avis Budget Car Rental LLC/Finance, Inc.(a) |
| 07/15/2027 | 5.750% | | 1,405,000 | 1,257,448 |
| ERAC U.S.A. Finance LLC(a) |
| 02/15/2045 | 4.500% | | 399,000 | 349,515 |
| Hertz Corp. (The)(a) |
| 12/01/2026 | 4.625% | | 860,000 | 719,495 |
| JB Hunt Transport Services, Inc. |
| 03/01/2026 | 3.875% | | 169,000 | 166,941 |
| Penske Truck Leasing Co. LP/Finance Corp.(a) |
| 03/14/2023 | 2.700% | | 350,000 | 348,862 |
| Total | 3,533,584 |
| Wireless 0.8% |
| Altice France Holding SA(a) |
| 02/15/2028 | 6.000% | | 905,000 | 624,163 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Altice France SA(a) |
| 07/15/2029 | 5.125% | | 1,375,000 | 1,037,470 |
| America Movil SAB de CV |
| 04/22/2029 | 3.625% | | 795,000 | 756,627 |
| 04/22/2049 | 4.375% | | 662,000 | 613,043 |
| America Movil SAB de CV(a) |
| 04/04/2032 | 5.375% | | 404,000 | 357,721 |
| American Tower Corp. |
| 03/15/2027 | 3.650% | | 2,226,000 | 2,117,987 |
| 01/31/2028 | 1.500% | | 926,000 | 769,801 |
| 06/15/2030 | 2.100% | | 950,000 | 759,044 |
| 04/15/2031 | 2.700% | | 709,000 | 583,782 |
| Crown Castle International Corp. |
| 07/15/2026 | 1.050% | | 2,667,000 | 2,312,097 |
| 03/01/2027 | 4.000% | | 445,000 | 431,806 |
| 03/15/2027 | 2.900% | | 2,912,000 | 2,694,471 |
| 07/01/2030 | 3.300% | | 1,536,000 | 1,355,420 |
| 04/01/2031 | 2.100% | | 1,836,000 | 1,457,514 |
| 04/01/2041 | 2.900% | | 450,000 | 325,870 |
| Empresa Nacional de Telecomunicaciones SA(a) |
| 09/14/2032 | 3.050% | | 625,000 | 502,222 |
| Rogers Communications, Inc.(a) |
| 03/15/2052 | 4.550% | | 1,103,000 | 972,620 |
| SBA Communications Corp. |
| 02/15/2027 | 3.875% | | 550,000 | 502,894 |
| 02/01/2029 | 3.125% | | 515,000 | 421,334 |
| Sprint Capital Corp. |
| 03/15/2032 | 8.750% | | 1,030,000 | 1,241,497 |
| Sprint Corp. |
| 03/01/2026 | 7.625% | | 3,170,000 | 3,343,795 |
| T-Mobile USA, Inc.(a) |
| 02/15/2026 | 2.250% | | 8,100,000 | 7,317,380 |
| 04/15/2029 | 3.375% | | 4,579,000 | 3,997,905 |
| 04/15/2031 | 3.500% | | 2,178,000 | 1,870,672 |
| T-Mobile USA, Inc. |
| 02/15/2026 | 2.250% | | 73,000 | 65,757 |
| 02/01/2028 | 4.750% | | 3,835,000 | 3,696,687 |
| 04/15/2029 | 3.375% | | 3,411,000 | 2,985,316 |
| 02/15/2031 | 2.875% | | 604,000 | 501,397 |
| Vodafone Group PLC |
| 05/30/2038 | 5.000% | | 445,000 | 426,091 |
| 09/17/2050 | 4.250% | | 355,000 | 296,565 |
| Total | 44,338,948 |
| Wirelines 0.7% |
| AT&T, Inc. |
| 03/25/2026 | 1.700% | | 4,438,000 | 4,058,847 |
| 06/01/2027 | 2.300% | | 951,000 | 868,554 |
| 02/01/2028 | 1.650% | | 107,000 | 92,464 |
| 02/01/2032 | 2.250% | | 1,331,000 | 1,086,532 |
| 12/01/2033 | 2.550% | | 2,980,000 | 2,416,832 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 40 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 06/01/2041 | 3.500% | | 950,000 | 759,334 |
| 06/01/2051 | 3.650% | | 713,000 | 557,305 |
| 09/15/2055 | 3.550% | | 931,000 | 697,703 |
| 12/01/2057 | 3.800% | | 1,703,000 | 1,320,783 |
| 09/15/2059 | 3.650% | | 1,872,000 | 1,402,747 |
| CenturyLink, Inc.(a) |
| 12/15/2026 | 5.125% | | 1,880,000 | 1,584,763 |
| 02/15/2027 | 4.000% | | 1,925,000 | 1,627,447 |
| Deutsche Telekom AG(a) |
| 01/21/2050 | 3.625% | | 392,000 | 308,322 |
| Front Range BidCo, Inc.(a) |
| 03/01/2027 | 4.000% | | 1,025,000 | 850,297 |
| Frontier Communications Holdings LLC(a) |
| 10/15/2027 | 5.875% | | 1,380,000 | 1,242,000 |
| Level 3 Financing, Inc.(a) |
| 09/15/2027 | 4.625% | | 1,920,000 | 1,650,735 |
| Telecom Italia Capital SA |
| 09/30/2034 | 6.000% | | 1,225,000 | 929,059 |
| Verizon Communications, Inc. |
| 03/22/2028 | 2.100% | | 140,000 | 124,348 |
| 02/08/2029 | 3.875% | | 235,000 | 227,206 |
| 01/20/2031 | 1.750% | | 918,000 | 737,273 |
| 03/21/2031 | 2.550% | | 2,759,000 | 2,359,529 |
| 03/15/2032 | 2.355% | | 7,896,000 | 6,550,158 |
| 11/20/2040 | 2.650% | | 4,934,000 | 3,618,252 |
| 03/22/2061 | 3.700% | | 1,303,000 | 1,023,197 |
| Total | 36,093,687 |
Total Corporate Bonds & Notes
(Cost $1,806,252,773) | 1,585,137,312 |
|
| Foreign Government Obligations(l) 1.0% |
| | | | |
| Angola 0.0% |
| Angolan Government International Bond(a) |
| 05/09/2028 | 8.250% | | 500,000 | 415,901 |
| 04/14/2032 | 8.750% | | 678,000 | 542,420 |
| Total | 958,321 |
| Bahrain 0.0% |
| Bahrain Government International Bond(a) |
| 09/16/2032 | 5.450% | | 900,000 | 755,771 |
| Canada 0.1% |
| NOVA Chemicals Corp.(a) |
| 06/01/2027 | 5.250% | | 530,000 | 455,377 |
| 05/15/2029 | 4.250% | | 360,000 | 282,393 |
| Ontario Teachers’ Cadillac Fairview Properties Trust(a) |
| 03/20/2027 | 3.875% | | 804,000 | 783,128 |
| Foreign Government Obligations(l) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Province of Saskatchewan |
| 06/08/2027 | 3.250% | | 1,349,000 | 1,342,230 |
| Total | 2,863,128 |
| Chile 0.1% |
| Chile Government International Bond |
| 01/27/2032 | 2.550% | | 592,000 | 503,031 |
| 01/31/2034 | 3.500% | | 1,288,000 | 1,145,427 |
| 03/07/2042 | 4.340% | | 2,867,000 | 2,554,558 |
| Interchile SA(a) |
| 06/30/2056 | 4.500% | | 769,000 | 633,084 |
| Total | 4,836,100 |
| Colombia 0.0% |
| Colombia Government International Bond |
| 01/28/2026 | 4.500% | | 300,000 | 281,190 |
| Ecopetrol SA |
| 01/16/2025 | 4.125% | | 300,000 | 278,491 |
| 06/26/2026 | 5.375% | | 580,000 | 536,256 |
| Total | 1,095,937 |
| Dominican Republic 0.1% |
| Dominican Republic International Bond(a) |
| 09/23/2032 | 4.875% | | 1,000,000 | 769,470 |
| 02/22/2033 | 6.000% | | 725,000 | 603,556 |
| 01/30/2060 | 5.875% | | 1,500,000 | 1,025,541 |
| Total | 2,398,567 |
| Ecuador 0.0% |
| Ecuador Government International Bond(a),(j) |
| 07/31/2030 | 5.000% | | 600,000 | 396,395 |
| Egypt 0.0% |
| Egypt Government International Bond(a) |
| 11/20/2059 | 8.150% | | 600,000 | 345,925 |
| El Salvador 0.0% |
| El Salvador Government International Bond(a) |
| 01/20/2050 | 7.125% | | 600,000 | 185,710 |
| Ghana 0.0% |
| Ghana Government International Bond(a),(k) |
| 04/07/2025 | 0.000% | | 900,000 | 505,554 |
| Ghana Government International Bond(a) |
| 06/16/2049 | 8.627% | | 500,000 | 234,747 |
| Total | 740,301 |
| Hungary 0.0% |
| Hungary Government International Bond(a) |
| 09/21/2051 | 3.125% | | 473,000 | 311,934 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 41 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Foreign Government Obligations(l) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Indonesia 0.0% |
| Indonesia Government International Bond |
| 03/31/2032 | 3.550% | | 870,000 | 789,097 |
| 03/31/2052 | 4.300% | | 1,187,000 | 1,034,804 |
| Total | 1,823,901 |
| Israel 0.0% |
| Israel Electric Corp., Ltd.(a) |
| 02/22/2032 | 3.750% | | 841,000 | 750,913 |
| Italy 0.0% |
| Republic of Italy Government International Bond |
| 05/06/2051 | 3.875% | | 323,000 | 260,200 |
| Ivory Coast 0.0% |
| Ivory Coast Government International Bond(a) |
| 06/15/2033 | 6.125% | | 1,200,000 | 939,141 |
| Kenya 0.0% |
| Republic of Kenya Government International Bond(a) |
| 05/22/2032 | 8.000% | | 900,000 | 639,080 |
| 01/23/2034 | 6.300% | | 790,000 | 493,641 |
| 02/28/2048 | 8.250% | | 400,000 | 245,233 |
| Total | 1,377,954 |
| Mexico 0.3% |
| Banco Nacional de Comercio Exterior SNC(a),(j) |
| 08/11/2031 | 2.720% | | 520,000 | 457,980 |
| Mexico City Airport Trust(a) |
| 07/31/2047 | 5.500% | | 200,000 | 136,607 |
| Mexico Government International Bond |
| 04/22/2029 | 4.500% | | 2,878,000 | 2,795,236 |
| 05/24/2031 | 2.659% | | 600,000 | 493,221 |
| 02/12/2034 | 3.500% | | 3,903,000 | 3,225,079 |
| 08/14/2041 | 4.280% | | 3,875,000 | 3,062,975 |
| 02/10/2048 | 4.600% | | 509,000 | 402,790 |
| 02/12/2052 | 4.400% | | 2,440,000 | 1,828,014 |
| 04/19/2071 | 3.750% | | 2,155,000 | 1,364,746 |
| Petroleos Mexicanos |
| 01/15/2025 | 4.250% | | 300,000 | 276,308 |
| 02/12/2028 | 5.350% | | 1,100,000 | 871,711 |
| 01/28/2031 | 5.950% | | 720,000 | 523,956 |
| Total | 15,438,623 |
| Netherlands 0.0% |
| Greenko Dutch BV(a) |
| 03/29/2026 | 3.850% | | 194,000 | 164,707 |
| Foreign Government Obligations(l) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Nigeria 0.1% |
| Nigeria Government International Bond(a) |
| 11/28/2027 | 6.500% | | 1,200,000 | 909,962 |
| 09/28/2028 | 6.125% | | 540,000 | 381,857 |
| 01/21/2031 | 8.747% | | 1,200,000 | 896,700 |
| 09/28/2033 | 7.375% | | 442,000 | 288,320 |
| Total | 2,476,839 |
| Norway 0.0% |
| Equinor ASA |
| 09/23/2027 | 7.250% | | 400,000 | 457,370 |
| Oman 0.0% |
| Oman Government International Bond(a) |
| 01/17/2028 | 5.625% | | 400,000 | 384,639 |
| 10/28/2032 | 7.375% | | 300,000 | 310,026 |
| Total | 694,665 |
| Pakistan 0.0% |
| Pakistan Government International Bond(a) |
| 04/08/2026 | 6.000% | | 1,100,000 | 743,155 |
| Paraguay 0.1% |
| Bioceanico Sovereign Certificate Ltd.(a),(k) |
| 06/05/2034 | 0.000% | | 374,448 | 233,281 |
| Paraguay Government International Bond(a) |
| 04/28/2031 | 4.950% | | 542,000 | 501,593 |
| 06/28/2033 | 3.849% | | 1,027,000 | 838,175 |
| 03/13/2048 | 5.600% | | 1,800,000 | 1,423,912 |
| 03/30/2050 | 5.400% | | 1,629,000 | 1,261,022 |
| Total | 4,257,983 |
| Peru 0.1% |
| Fondo MIVIVIENDA SA(a) |
| 04/12/2027 | 4.625% | | 300,000 | 290,556 |
| Peruvian Government International Bond |
| 12/01/2032 | 1.862% | | 1,622,000 | 1,235,487 |
| 11/18/2050 | 5.625% | | 98,000 | 101,726 |
| 01/15/2072 | 3.600% | | 804,000 | 542,860 |
| Total | 2,170,629 |
| Saudi Arabia 0.0% |
| Saudi Arabian Oil Co.(a) |
| 11/24/2023 | 1.250% | | 200,000 | 193,247 |
| 11/24/2025 | 1.625% | | 338,000 | 312,974 |
| Saudi Government International Bond(a) |
| 02/02/2033 | 2.250% | | 743,000 | 618,415 |
| Total | 1,124,636 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 42 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Foreign Government Obligations(l) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Senegal 0.0% |
| Senegal Government International Bond(a) |
| 05/23/2033 | 6.250% | | 400,000 | 305,335 |
| 03/13/2048 | 6.750% | | 400,000 | 253,906 |
| Total | 559,241 |
| Singapore 0.0% |
| BOC Aviation Ltd.(a) |
| 09/18/2022 | 2.750% | | 400,000 | 399,442 |
| 10/10/2024 | 3.500% | | 310,000 | 306,340 |
| Total | 705,782 |
| South Africa 0.0% |
| Eskom Holdings SOC Ltd.(a) |
| 08/06/2023 | 6.750% | | 300,000 | 274,368 |
| Republic of South Africa Government International Bond |
| 10/12/2028 | 4.300% | | 600,000 | 512,221 |
| Total | 786,589 |
| United Arab Emirates 0.0% |
| UAE International Government Bond(a),(h) |
| 07/07/2032 | 4.050% | | 407,000 | 408,863 |
| 07/07/2052 | 4.951% | | 282,000 | 284,103 |
| Total | 692,966 |
| United States 0.1% |
| Antares Holdings LP(a) |
| 07/15/2027 | 3.750% | | 2,345,000 | 1,991,915 |
| Virgin Islands 0.0% |
| China Southern Power Grid International Finance BVI Co., Ltd.(a) |
| 05/08/2027 | 3.500% | | 720,000 | 709,429 |
Total Foreign Government Obligations
(Cost $65,124,758) | 53,014,727 |
|
| Inflation-Indexed Bonds 0.0% |
| | | | |
| United States 0.0% |
| U.S. Treasury Inflation-Indexed Bond |
| 01/15/2029 | 2.500% | | 1,346,570 | 1,496,683 |
Total Inflation-Indexed Bonds
(Cost $1,465,413) | 1,496,683 |
|
| Municipal Bonds 0.2% |
| Issue Description | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Airport 0.0% |
| City of Los Angeles Department of Airports |
| Revenue Bonds |
| Build America Bonds |
| Series 2009 |
| 05/15/2039 | 6.582% | | 405,000 | 464,533 |
| Higher Education 0.1% |
| Ohio State University (The) |
| Revenue Bonds |
| Taxable |
| Series 2011A |
| 06/01/2111 | 4.800% | | 2,014,000 | 2,019,493 |
| University of Texas System (The) |
| Refunding Revenue Bonds |
| Taxable |
| Series 2020B |
| 08/15/2049 | 2.439% | | 685,000 | 491,636 |
| Total | 2,511,129 |
| Hospital 0.0% |
| Regents of the University of California Medical Center |
| Taxable Revenue Bonds |
| Series 2020N |
| 05/15/2120 | 3.706% | | 1,360,000 | 989,621 |
| Joint Power Authority 0.0% |
| American Municipal Power, Inc. |
| Revenue Bonds |
| Build America Bonds |
| Series 2010 |
| 02/15/2050 | 7.499% | | 1,265,000 | 1,660,268 |
| Ports 0.1% |
| Port Authority of New York & New Jersey |
| Revenue Bonds |
| Consolidated 174th |
| Series 2012 |
| 10/01/2062 | 4.458% | | 1,850,000 | 1,798,785 |
| Taxable Consolidated 160th |
| Series 2010 |
| 11/01/2040 | 5.647% | | 835,000 | 935,202 |
| Total | 2,733,987 |
| Special Non Property Tax 0.0% |
| New York State Dormitory Authority |
| Revenue Bonds |
| Build America Bonds |
| Series 2010 |
| 03/15/2040 | 5.600% | | 415,000 | 459,787 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 43 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Municipal Bonds (continued) |
| Issue Description | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| State General Obligation 0.0% |
| State of California |
| Unlimited General Obligation Bonds |
| Build America Bonds |
| Series 2009 |
| 10/01/2039 | 7.300% | | 295,000 | 381,614 |
| Turnpike / Bridge / Toll Road 0.0% |
| North Texas Tollway Authority |
| Revenue Bonds |
| Series 2009 (BAM) |
| 01/01/2049 | 6.718% | | 1,164,000 | 1,568,186 |
| Water & Sewer 0.0% |
| District of Columbia Water & Sewer Authority |
| Taxable Revenue Bonds |
| Senior Lien |
| Series 2014A |
| 10/01/2114 | 4.814% | | 411,000 | 412,451 |
Total Municipal Bonds
(Cost $11,461,632) | 11,181,576 |
|
| Residential Mortgage-Backed Securities - Agency 21.1% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Fannie Mae REMICS |
| CMO Series 2013-11 Class AP |
| 01/25/2043 | 1.500% | | 81,191 | 75,347 |
| CMO Series 2020-50 Class A |
| 07/25/2050 | 2.000% | | 4,498,615 | 4,087,909 |
| CMO Series 2021-27 Class EC |
| 05/25/2051 | 1.500% | | 4,691,076 | 4,089,714 |
| CMO Series 2022-11 Class A |
| 07/25/2047 | 2.500% | | 5,393,253 | 5,117,263 |
| Federal Home Loan Mortgage Corp. |
11/01/2022-
10/17/2038 | 6.500% | | 767,039 | 818,811 |
12/01/2032-
03/01/2052 | 4.000% | | 13,133,125 | 13,113,440 |
03/01/2033-
03/01/2052 | 3.000% | | 9,272,991 | 8,805,508 |
06/01/2035-
04/01/2036 | 5.500% | | 79,256 | 83,672 |
01/01/2036-
03/01/2052 | 2.500% | | 28,242,918 | 25,978,285 |
| 09/01/2037 | 6.000% | | 444,201 | 481,774 |
11/01/2041-
05/01/2042 | 2.000% | | 44,551,815 | 39,830,394 |
05/01/2048-
12/01/2048 | 5.000% | | 2,130,031 | 2,219,247 |
| 06/01/2048 | 4.500% | | 1,324,487 | 1,352,152 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2017-4742 Class PA |
| 10/15/2047 | 3.000% | | 1,380,152 | 1,330,599 |
| CMO Series 2127 Class PG |
| 02/15/2029 | 6.250% | | 85,930 | 88,916 |
| CMO Series 2165 Class PE |
| 06/15/2029 | 6.000% | | 41,283 | 43,569 |
| CMO Series 2326 Class ZQ |
| 06/15/2031 | 6.500% | | 213,355 | 224,551 |
| CMO Series 2399 Class TH |
| 01/15/2032 | 6.500% | | 126,429 | 137,157 |
| CMO Series 2517 Class Z |
| 10/15/2032 | 5.500% | | 53,935 | 55,369 |
| CMO Series 2557 Class HL |
| 01/15/2033 | 5.300% | | 200,133 | 210,716 |
| CMO Series 262 Class 35 |
| 07/15/2042 | 3.500% | | 2,278,779 | 2,239,002 |
| CMO Series 2752 Class EZ |
| 02/15/2034 | 5.500% | | 512,167 | 538,945 |
| CMO Series 2764 Class ZG |
| 03/15/2034 | 5.500% | | 416,436 | 440,056 |
| CMO Series 2953 Class PG |
| 03/15/2035 | 5.500% | | 1,707,003 | 1,822,699 |
| CMO Series 2986 Class CH |
| 06/15/2025 | 5.000% | | 113,648 | 115,139 |
| CMO Series 2989 Class TG |
| 06/15/2025 | 5.000% | | 87,538 | 88,835 |
| CMO Series 299 Class 300 |
| 01/15/2043 | 3.000% | | 269,215 | 259,175 |
| CMO Series 2990 Class UZ |
| 06/15/2035 | 5.750% | | 644,373 | 684,589 |
| CMO Series 3101 Class UZ |
| 01/15/2036 | 6.000% | | 181,525 | 197,330 |
| CMO Series 3123 Class AZ |
| 03/15/2036 | 6.000% | | 200,694 | 215,470 |
| CMO Series 3143 Class BC |
| 02/15/2036 | 5.500% | | 235,152 | 251,156 |
| CMO Series 3164 Class MG |
| 06/15/2036 | 6.000% | | 64,294 | 64,372 |
| CMO Series 3195 Class PD |
| 07/15/2036 | 6.500% | | 152,961 | 163,459 |
| CMO Series 3200 Class AY |
| 08/15/2036 | 5.500% | | 155,316 | 166,102 |
| CMO Series 3213 Class JE |
| 09/15/2036 | 6.000% | | 207,583 | 224,563 |
| CMO Series 3229 Class HE |
| 10/15/2026 | 5.000% | | 254,934 | 258,624 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 44 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 3402 Class NC |
| 12/15/2022 | 5.000% | | 5,748 | 5,767 |
| CMO Series 3423 Class PB |
| 03/15/2038 | 5.500% | | 519,448 | 559,620 |
| CMO Series 3453 Class B |
| 05/15/2038 | 5.500% | | 11,862 | 12,541 |
| CMO Series 3461 Class Z |
| 06/15/2038 | 6.000% | | 988,728 | 1,055,579 |
| CMO Series 3501 Class CB |
| 01/15/2039 | 5.500% | | 216,036 | 229,707 |
| CMO Series 3684 Class CY |
| 06/15/2025 | 4.500% | | 415,998 | 421,774 |
| CMO Series 3704 Class CT |
| 12/15/2036 | 7.000% | | 341,579 | 380,997 |
| CMO Series 3704 Class DT |
| 11/15/2036 | 7.500% | | 312,623 | 350,537 |
| CMO Series 3704 Class ET |
| 12/15/2036 | 7.500% | | 228,401 | 258,982 |
| CMO Series 3707 Class B |
| 08/15/2025 | 4.500% | | 499,083 | 504,737 |
| CMO Series 3819 Class ZQ |
| 04/15/2036 | 6.000% | | 342,080 | 372,504 |
| CMO Series 3890 Class ME |
| 07/15/2041 | 5.000% | | 1,000,000 | 1,058,911 |
| CMO Series 4015 Class MY |
| 03/15/2042 | 3.500% | | 2,000,000 | 1,978,722 |
| CMO Series 4177 Class MQ |
| 03/15/2043 | 2.500% | | 1,000,000 | 900,109 |
| CMO Series 4205 Class PA |
| 05/15/2043 | 1.750% | | 2,015,018 | 1,854,856 |
| CMO Series 4217 Class KY |
| 06/15/2043 | 3.000% | | 1,200,000 | 1,117,244 |
| CMO Series 4240 Class B |
| 08/15/2033 | 3.000% | | 2,000,000 | 1,953,891 |
| CMO Series 4426 Class QC |
| 07/15/2037 | 1.750% | | 969,515 | 919,822 |
| CMO Series 4705 Class A |
| 09/15/2042 | 4.500% | | 14,505 | 14,516 |
| CMO Series 4763 Class CA |
| 09/15/2038 | 3.000% | | 256,677 | 248,905 |
| CMO Series 4767 Class KA |
| 03/15/2048 | 3.000% | | 354,005 | 343,248 |
| CMO Series 4880 Class DA |
| 05/15/2050 | 3.000% | | 1,280,802 | 1,241,268 |
| CMO Series 5091 Class AB |
| 03/25/2051 | 1.500% | | 2,806,182 | 2,450,614 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series R006 Class ZA |
| 04/15/2036 | 6.000% | | 260,167 | 283,667 |
| CMO Series R007 Class ZA |
| 05/15/2036 | 6.000% | | 500,386 | 536,486 |
| CMO STRIPS Series 264 Class 30 |
| 07/15/2042 | 3.000% | | 291,425 | 277,576 |
| Federal Home Loan Mortgage Corp.(b) |
1-year CMT + 2.250%
Cap 10.325%
07/01/2036 | 2.525% | | 38,738 | 40,044 |
12-month USD LIBOR + 1.836%
Cap 9.131%
07/01/2040 | 2.327% | | 104,376 | 107,118 |
12-month USD LIBOR + 1.641%
Cap 7.804%
05/01/2049 | 2.804% | | 812,932 | 811,929 |
1-month SOFR + 2.130%
Floor 2.130%, Cap 8.912%
07/01/2052 | 3.912% | | 1,268,000 | 1,269,276 |
1-month SOFR + 2.130%
Floor 2.130%, Cap 9.303%
07/01/2052 | 4.303% | | 1,561,000 | 1,573,780 |
| CMO Series 2551 Class NS |
-1.8 x 1-month USD LIBOR + 14.483%
Cap 14.483%
01/15/2033 | 12.056% | | 69,943 | 77,497 |
| CMO Series 3852 Class QN |
-3.6 x 1-month USD LIBOR + 27.211%
Cap 5.500%
05/15/2041 | 5.500% | | 174,126 | 173,715 |
| CMO Series 3966 Class BF |
1-month USD LIBOR + 0.500%
Floor 0.500%, Cap 7.000%
10/15/2040 | 1.824% | | 1,551 | 1,551 |
| CMO Series 4048 Class FJ |
1-month USD LIBOR + 0.400%
Floor 0.400%, Cap 9,999.000%
07/15/2037 | 1.462% | | 357,634 | 355,640 |
| CMO Series 4846 Class PF |
1-month USD LIBOR + 0.350%
Floor 0.350%, Cap 6.500%
12/15/2048 | 1.674% | | 174,437 | 172,721 |
| Structured Pass-Through Securities |
1-year MTA + 1.200%
Floor 1.200%
10/25/2044 | 1.844% | | 382,361 | 392,873 |
| Federal Home Loan Mortgage Corp.(m) |
| 04/01/2041 | 2.000% | | 1,347,421 | 1,207,211 |
| Federal Home Loan Mortgage Corp.(f),(m) |
| 07/01/2052 | 4.206% | | 3,030,000 | 3,032,841 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 45 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal Home Loan Mortgage Corp.(i) |
| CMO Series 3077 Class TO |
| 04/15/2035 | 0.000% | | 40,013 | 38,240 |
| CMO Series 3100 Class |
| 01/15/2036 | 0.000% | | 91,207 | 79,757 |
| CMO Series 3117 Class OG |
| 02/15/2036 | 0.000% | | 43,342 | 38,423 |
| CMO Series 3181 Class OH |
| 07/15/2036 | 0.000% | | 208,327 | 174,947 |
| CMO Series 3316 Class JO |
| 05/15/2037 | 0.000% | | 7,404 | 6,528 |
| CMO Series 3607 Class TO |
| 10/15/2039 | 0.000% | | 172,557 | 145,927 |
| CMO STRIPS Series 197 Class |
| 04/01/2028 | 0.000% | | 78,699 | 72,939 |
| CMO STRIPS Series 310 Class |
| 09/15/2043 | 0.000% | | 945,298 | 710,040 |
| Federal Home Loan Mortgage Corp.(b),(g) |
| CMO Series 3380 Class SI |
-1.0 x 1-month USD LIBOR + 6.370%
Cap 6.370%
10/15/2037 | 5.046% | | 1,422,722 | 217,378 |
| CMO Series 3385 Class SN |
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
11/15/2037 | 4.676% | | 29,909 | 3,134 |
| CMO Series 3451 Class SA |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
05/15/2038 | 4.726% | | 28,561 | 2,866 |
| CMO Series 3531 Class SM |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
05/15/2039 | 4.776% | | 29,781 | 3,710 |
| CMO Series 3608 Class SC |
-1.0 x 1-month USD LIBOR + 6.250%
Cap 6.250%
12/15/2039 | 4.926% | | 191,590 | 21,803 |
| CMO Series 3740 Class SB |
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
10/15/2040 | 4.676% | | 161,526 | 18,110 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 3740 Class SC |
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
10/15/2040 | 4.676% | | 239,289 | 34,868 |
| CMO STRIPS Series 239 Class S30 |
-1.0 x 1-month USD LIBOR + 7.700%
Cap 7.700%
08/15/2036 | 6.376% | | 205,053 | 34,557 |
| Federal Home Loan Mortgage Corp.(c) |
| CMO Series 3688 Class GT |
| 11/15/2046 | 7.510% | | 241,763 | 265,232 |
| CMO Series 4272 Class W |
| 04/15/2040 | 5.655% | | 1,285,933 | 1,352,282 |
| Federal Home Loan Mortgage Corp.(g) |
| CMO Series 3714 Class IP |
| 08/15/2040 | 5.000% | | 163,033 | 14,708 |
| Federal Home Loan Mortgage Corp.(c),(g) |
| CMO Series 3802 Class LS |
| 01/15/2040 | 1.007% | | 350,973 | 12,813 |
| Federal Home Loan National Mortgage Corp.(b) |
12-month USD LIBOR + 1.638%
Cap 7.443%
09/01/2045 | 2.425% | | 3,845,803 | 3,862,849 |
12-month USD LIBOR + 1.681%
Cap 7.721%
09/01/2047 | 2.649% | | 2,078,892 | 2,107,961 |
12-month USD LIBOR + 1.635%
Floor 1.635%, Cap 7.971%
04/01/2048 | 2.905% | | 4,528,457 | 4,599,988 |
12-month USD LIBOR + 1.637%
Floor 1.637%, Cap 8.600%
03/01/2049 | 3.431% | | 1,742,013 | 1,754,589 |
| Federal National Mortgage Association |
01/01/2023-
11/01/2048 | 6.000% | | 341,358 | 364,882 |
02/01/2024-
10/01/2038 | 6.500% | | 1,250,651 | 1,364,281 |
05/01/2033-
03/01/2060 | 3.500% | | 33,690,920 | 32,969,336 |
09/01/2033-
08/01/2059 | 4.000% | | 28,133,879 | 28,320,100 |
11/01/2033-
06/01/2049 | 5.500% | | 3,452,790 | 3,674,135 |
05/01/2034-
08/01/2049 | 4.500% | | 17,769,289 | 18,289,174 |
12/01/2035-
07/01/2061 | 2.500% | | 97,850,790 | 90,759,245 |
01/01/2036-
11/01/2049 | 5.000% | | 14,270,176 | 14,922,692 |
11/01/2037-
01/01/2039 | 7.000% | | 377,636 | 422,332 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 46 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
10/01/2041-
11/01/2041 | 1.500% | | 24,761,752 | 21,267,603 |
01/01/2043-
07/01/2060 | 3.000% | | 75,615,320 | 71,204,433 |
10/01/2051-
03/01/2052 | 2.000% | | 27,178,602 | 23,716,546 |
| CMO Series 1999-7 Class AB |
| 03/25/2029 | 6.000% | | 89,870 | 94,533 |
| CMO Series 2001-60 Class PX |
| 11/25/2031 | 6.000% | | 126,872 | 135,601 |
| CMO Series 2002-50 Class ZA |
| 05/25/2031 | 6.000% | | 414,476 | 437,280 |
| CMO Series 2002-78 Class Z |
| 12/25/2032 | 5.500% | | 162,863 | 172,826 |
| CMO Series 2003-W19 Class 1A7 |
| 11/25/2033 | 5.620% | | 2,011,547 | 2,093,639 |
| CMO Series 2004-50 Class VZ |
| 07/25/2034 | 5.500% | | 670,708 | 711,520 |
| CMO Series 2004-65 Class LT |
| 08/25/2024 | 4.500% | | 40,075 | 40,247 |
| CMO Series 2004-W10 Class A6 |
| 08/25/2034 | 5.750% | | 1,207,246 | 1,219,873 |
| CMO Series 2005-121 Class DX |
| 01/25/2026 | 5.500% | | 109,182 | 110,959 |
| CMO Series 2006-105 Class ME |
| 11/25/2036 | 5.500% | | 442,771 | 471,507 |
| CMO Series 2006-16 Class HZ |
| 03/25/2036 | 5.500% | | 328,245 | 345,135 |
| CMO Series 2006-W3 Class 2A |
| 09/25/2046 | 6.000% | | 130,624 | 134,908 |
| CMO Series 2007-104 Class ZE |
| 08/25/2037 | 6.000% | | 116,157 | 124,545 |
| CMO Series 2007-116 Class PB |
| 08/25/2035 | 5.500% | | 130,671 | 139,332 |
| CMO Series 2007-18 Class MZ |
| 03/25/2037 | 6.000% | | 155,910 | 161,873 |
| CMO Series 2007-42 Class B |
| 05/25/2037 | 6.000% | | 115,869 | 124,993 |
| CMO Series 2007-76 Class ZG |
| 08/25/2037 | 6.000% | | 206,315 | 222,747 |
| CMO Series 2008-80 Class GP |
| 09/25/2038 | 6.250% | | 16,867 | 18,093 |
| CMO Series 2009-59 Class HB |
| 08/25/2039 | 5.000% | | 281,404 | 292,936 |
| CMO Series 2009-60 Class HT |
| 08/25/2039 | 6.000% | | 274,743 | 296,284 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2009-79 Class UA |
| 03/25/2038 | 7.000% | | 20,957 | 22,572 |
| CMO Series 2009-W1 Class A |
| 12/25/2049 | 6.000% | | 525,288 | 554,172 |
| CMO Series 2010-111 Class AM |
| 10/25/2040 | 5.500% | | 740,250 | 794,872 |
| CMO Series 2010-2 Class LC |
| 02/25/2040 | 5.000% | | 1,122,960 | 1,180,780 |
| CMO Series 2011-118 Class MT |
| 11/25/2041 | 7.000% | | 346,878 | 381,454 |
| CMO Series 2011-118 Class NT |
| 11/25/2041 | 7.000% | | 400,447 | 442,791 |
| CMO Series 2011-31 Class DB |
| 04/25/2031 | 3.500% | | 1,581,602 | 1,584,673 |
| CMO Series 2011-39 Class ZA |
| 11/25/2032 | 6.000% | | 204,163 | 218,850 |
| CMO Series 2011-44 Class EB |
| 05/25/2026 | 3.000% | | 629,870 | 627,883 |
| CMO Series 2011-46 Class B |
| 05/25/2026 | 3.000% | | 1,516,198 | 1,511,138 |
| CMO Series 2011-59 Class NZ |
| 07/25/2041 | 5.500% | | 947,214 | 1,014,551 |
| CMO Series 2012-151 Class NX |
| 01/25/2043 | 1.500% | | 672,431 | 614,257 |
| CMO Series 2012-66 Class CB |
| 06/25/2032 | 3.000% | | 3,000,000 | 2,948,092 |
| CMO Series 2013-100 Class WB |
| 10/25/2033 | 3.000% | | 2,811,542 | 2,761,407 |
| CMO Series 2013-101 Class E |
| 10/25/2033 | 3.000% | | 2,925,165 | 2,862,340 |
| CMO Series 2013-108 Class GU |
| 10/25/2033 | 3.000% | | 2,452,256 | 2,408,937 |
| CMO Series 2013-43 Class BP |
| 05/25/2043 | 1.750% | | 2,427,523 | 2,236,334 |
| CMO Series 2013-59 Class PY |
| 06/25/2043 | 2.500% | | 1,000,000 | 884,099 |
| CMO Series 2013-81 Class TA |
| 02/25/2043 | 3.000% | | 1,357,574 | 1,336,950 |
| CMO Series 2013-90 Class DL |
| 09/25/2033 | 3.500% | | 1,500,000 | 1,500,095 |
| CMO Series 2014-73 Class MA |
| 11/25/2044 | 2.500% | | 604,756 | 572,624 |
| CMO Series 2015-84 Class PA |
| 08/25/2033 | 1.700% | | 2,704,190 | 2,566,759 |
| CMO Series 2016-48 Class MA |
| 06/25/2038 | 2.000% | | 2,564,769 | 2,421,884 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 47 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2016-57 Class PC |
| 06/25/2046 | 1.750% | | 5,232,531 | 4,696,271 |
| CMO Series 2017-13 Class PA |
| 08/25/2046 | 3.000% | | 56,020 | 54,533 |
| CMO Series 2018-14 Class KC |
| 03/25/2048 | 3.000% | | 125,997 | 122,067 |
| CMO Series 2018-15 Class AB |
| 03/25/2048 | 3.000% | | 42,448 | 41,457 |
| CMO Series 2018-8 Class KL |
| 03/25/2047 | 2.500% | | 896,012 | 836,107 |
| CMO Series 2019-15 Class AB |
| 05/25/2053 | 3.500% | | 3,584,057 | 3,588,870 |
| CMO Series 2019-25 Class PA |
| 05/25/2048 | 3.000% | | 2,112,722 | 2,064,234 |
| CMO Series 2019-35 Class A |
| 07/25/2049 | 3.000% | | 655,444 | 629,206 |
| CMO Series 2019-8 Class GA |
| 03/25/2049 | 3.000% | | 4,521,011 | 4,385,807 |
| CMO Series 2020-48 Class AB |
| 07/25/2050 | 2.000% | | 2,436,063 | 2,233,161 |
| CMO Series 2020-48 Class DA |
| 07/25/2050 | 2.000% | | 3,384,062 | 3,042,123 |
| CMO Series 2020-M5 Class A2 |
| 01/25/2030 | 2.210% | | 5,600,000 | 5,035,082 |
| CMO Series 2021-78 Class ND |
| 11/25/2051 | 1.500% | | 11,111,853 | 9,801,619 |
| CMO Series G94-8 Class K |
| 07/17/2024 | 8.000% | | 28,206 | 29,257 |
| CMO STRIPS Series 414 Class A35 |
| 10/25/2042 | 3.500% | | 199,173 | 198,162 |
| Series 2013-M9 Class A2 |
| 01/25/2023 | 2.389% | | 708,670 | 703,698 |
| Federal National Mortgage Association(b) |
6-month USD LIBOR + 2.500%
Floor 2.500%, Cap 11.234%
03/01/2036 | 3.106% | | 136,484 | 143,329 |
12-month USD LIBOR + 1.579%
Floor 1.579%, Cap 7.707%
06/01/2045 | 2.267% | | 522,184 | 531,338 |
12-month USD LIBOR + 1.584%
Floor 1.584%, Cap 7.690%
01/01/2046 | 2.574% | | 1,583,348 | 1,611,101 |
1-month SOFR + 2.212%
Floor 2.212%, Cap 6.611%
12/01/2051 | 1.611% | | 877,732 | 815,148 |
| CMO Series 2003-W8 Class 3F1 |
1-month USD LIBOR + 0.400%
Floor 0.400%, Cap 8.000%
05/25/2042 | 2.024% | | 127,329 | 126,602 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2005-SV Class 75 |
-4.0 x 1-month USD LIBOR + 24.200%
Cap 24.200%
09/25/2035 | 17.706% | | 31,248 | 38,240 |
| CMO Series 2005-W3 Class 2AF |
1-month USD LIBOR + 0.220%
Floor 0.220%, Cap 9.500%
03/25/2045 | 1.844% | | 236,623 | 235,877 |
| CMO Series 2007-101 Class A2 |
1-month USD LIBOR + 0.250%
Floor 0.250%
06/27/2036 | 1.256% | | 156,014 | 151,022 |
| CMO Series 2010-28 Class BS |
-2.2 x 1-month USD LIBOR + 11.588%
Cap 11.588%
04/25/2040 | 7.935% | | 34,157 | 34,219 |
| CMO Series 2010-35 Class SJ |
-3.3 x 1-month USD LIBOR + 17.667%
Cap 17.667%
04/25/2040 | 12.255% | | 232,690 | 244,404 |
| CMO Series 2010-49 Class SC |
-2.0 x 1-month USD LIBOR + 12.660%
Cap 12.660%
03/25/2040 | 9.413% | | 146,172 | 157,295 |
| CMO Series 2011-75 Class FA |
1-month USD LIBOR + 0.550%
Floor 0.550%, Cap 6.500%
08/25/2041 | 2.174% | | 78,218 | 78,429 |
| Federal National Mortgage Association(m) |
01/01/2042-
03/01/2042 | 2.000% | | 45,050,823 | 40,309,937 |
| 12/01/2047 | 2.500% | | 5,781,573 | 5,276,572 |
| Federal National Mortgage Association(b),(g) |
| CMO Series 1996-4 Class SA |
-1.0 x 1-month USD LIBOR + 8.500%
Cap 8.500%
02/25/2024 | 6.876% | | 10,646 | 385 |
| CMO Series 2006-117 Class GS |
-1.0 x 1-month USD LIBOR + 6.650%
Cap 6.650%
12/25/2036 | 5.026% | | 108,792 | 11,002 |
| CMO Series 2006-43 Class SI |
-1.0 x 1-month USD LIBOR + 6.600%
Cap 6.600%
06/25/2036 | 4.976% | | 510,725 | 62,807 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 48 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2006-58 Class IG |
-1.0 x 1-month USD LIBOR + 6.520%
Cap 6.520%
07/25/2036 | 4.896% | | 113,748 | 13,508 |
| CMO Series 2006-8 Class WN |
-1.0 x 1-month USD LIBOR + 6.700%
Cap 6.700%
03/25/2036 | 5.076% | | 595,946 | 78,738 |
| CMO Series 2006-94 Class GI |
-1.0 x 1-month USD LIBOR + 6.650%
Cap 6.650%
10/25/2026 | 5.026% | | 191,141 | 6,616 |
| CMO Series 2007-109 Class PI |
-1.0 x 1-month USD LIBOR + 6.350%
Cap 6.350%
12/25/2037 | 4.726% | | 177,592 | 21,021 |
| CMO Series 2007-65 Class KI |
-1.0 x 1-month USD LIBOR + 6.620%
Cap 6.620%
07/25/2037 | 4.996% | | 86,892 | 10,744 |
| CMO Series 2007-72 Class EK |
-1.0 x 1-month USD LIBOR + 6.400%
Cap 6.400%
07/25/2037 | 4.776% | | 546,496 | 72,135 |
| CMO Series 2007-W7 Class 2A2 |
-1.0 x 1-month USD LIBOR + 6.530%
Cap 6.530%
07/25/2037 | 4.906% | | 174,467 | 17,487 |
| CMO Series 2009-112 Class ST |
-1.0 x 1-month USD LIBOR + 6.250%
Cap 6.250%
01/25/2040 | 4.626% | | 165,617 | 20,212 |
| CMO Series 2009-17 Class QS |
-1.0 x 1-month USD LIBOR + 6.650%
Cap 6.650%
03/25/2039 | 5.026% | | 39,387 | 4,445 |
| CMO Series 2009-37 Class KI |
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
06/25/2039 | 4.376% | | 172,260 | 14,917 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2009-68 Class SA |
-1.0 x 1-month USD LIBOR + 6.750%
Cap 6.750%
09/25/2039 | 5.126% | | 230,287 | 26,615 |
| CMO Series 2010-125 Class SA |
-1.0 x 1-month USD LIBOR + 4.440%
Cap 4.440%
11/25/2040 | 2.816% | | 424,361 | 30,551 |
| CMO Series 2010-147 Class SA |
-1.0 x 1-month USD LIBOR + 6.530%
Cap 6.530%
01/25/2041 | 4.906% | | 1,026,684 | 157,762 |
| CMO Series 2010-35 Class SB |
-1.0 x 1-month USD LIBOR + 6.420%
Cap 6.420%
04/25/2040 | 4.796% | | 103,690 | 9,997 |
| CMO Series 2010-42 Class S |
-1.0 x 1-month USD LIBOR + 6.400%
Cap 6.400%
05/25/2040 | 4.776% | | 96,077 | 10,763 |
| CMO Series 2010-68 Class SA |
-1.0 x 1-month USD LIBOR + 5.000%
Cap 5.000%
07/25/2040 | 3.376% | | 360,049 | 32,504 |
| Federal National Mortgage Association(c) |
| CMO Series 2003-W16 Class AF5 |
| 11/25/2033 | 4.561% | | 303,558 | 299,019 |
| CMO Series 2010-61 Class WA |
| 06/25/2040 | 6.007% | | 75,635 | 80,988 |
| CMO Series 2011-2 Class WA |
| 02/25/2051 | 5.817% | | 75,150 | 79,455 |
| CMO Series 2011-43 Class WA |
| 05/25/2051 | 5.849% | | 92,618 | 99,180 |
| Federal National Mortgage Association(i) |
| CMO Series 2006-15 Class OP |
| 03/25/2036 | 0.000% | | 96,690 | 82,404 |
| CMO Series 2006-8 Class WQ |
| 03/25/2036 | 0.000% | | 162,531 | 134,412 |
| CMO Series 2009-86 Class BO |
| 03/25/2037 | 0.000% | | 36,248 | 31,659 |
| CMO Series 2013-101 Class DO |
| 10/25/2043 | 0.000% | | 1,078,499 | 863,906 |
| CMO Series 2013-128 Class |
| 12/25/2043 | 0.000% | | 647,655 | 535,144 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 49 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2013-92 Class |
| 09/25/2043 | 0.000% | | 711,118 | 546,193 |
| CMO STRIPS Series 293 Class 1 |
| 12/25/2024 | 0.000% | | 24,080 | 23,537 |
| Federal National Mortgage Association(g) |
| CMO Series 2009-86 Class IP |
| 10/25/2039 | 5.500% | | 69,785 | 12,836 |
| Federal National Mortgage Association(c),(g) |
| CMO Series 2011-30 Class LS |
| 04/25/2041 | 1.229% | | 255,054 | 13,578 |
| Freddie Mac REMICS |
| CMO Series 205119 Class AB |
| 08/25/2049 | 1.500% | | 1,596,011 | 1,393,943 |
| CMO Series 205217 Class CD |
| 07/25/2049 | 2.500% | | 2,201,206 | 2,100,443 |
| CMO Series 5182 Class M |
| 05/25/2049 | 2.500% | | 1,678,007 | 1,562,149 |
| CMO Series 5201 Class CA |
| 07/25/2048 | 2.500% | | 2,508,902 | 2,357,001 |
| Government National Mortgage Association |
| 09/20/2038 | 7.000% | | 47,551 | 52,132 |
| 08/20/2039 | 6.000% | | 168,684 | 184,161 |
07/20/2040-
12/15/2040 | 3.750% | | 1,724,643 | 1,734,187 |
11/15/2040-
11/20/2040 | 3.625% | | 788,227 | 789,907 |
| 12/15/2040 | 3.490% | | 1,249,992 | 1,280,700 |
05/20/2045-
04/20/2052 | 4.000% | | 15,783,633 | 15,878,406 |
10/20/2046-
01/20/2052 | 3.000% | | 32,891,907 | 31,213,994 |
08/15/2047-
04/20/2050 | 4.500% | | 12,211,881 | 12,592,066 |
01/20/2048-
02/20/2052 | 3.500% | | 30,953,153 | 30,364,309 |
03/20/2048-
03/20/2049 | 5.000% | | 13,897,235 | 14,403,008 |
09/20/2050-
12/20/2051 | 2.500% | | 42,370,502 | 38,990,564 |
| CMO Series 2003-75 Class ZX |
| 09/16/2033 | 6.000% | | 362,253 | 380,874 |
| CMO Series 2005-26 Class XY |
| 03/20/2035 | 5.500% | | 317,028 | 336,314 |
| CMO Series 2005-72 Class AZ |
| 09/20/2035 | 5.500% | | 373,389 | 389,736 |
| CMO Series 2006-17 Class JN |
| 04/20/2036 | 6.000% | | 143,484 | 152,561 |
| CMO Series 2006-38 Class ZK |
| 08/20/2036 | 6.500% | | 499,428 | 523,718 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2006-69 Class MB |
| 12/20/2036 | 5.500% | | 572,264 | 604,408 |
| CMO Series 2008-23 Class PH |
| 03/20/2038 | 5.000% | | 460,350 | 476,539 |
| CMO Series 2009-104 Class AB |
| 08/16/2039 | 7.000% | | 207,636 | 213,931 |
| CMO Series 2010-130 Class CP |
| 10/16/2040 | 7.000% | | 247,473 | 272,682 |
| CMO Series 2013-H01 Class FA |
| 01/20/2063 | 1.650% | | 4,937 | 4,829 |
| CMO Series 2013-H04 Class BA |
| 02/20/2063 | 1.650% | | 8,956 | 8,753 |
| CMO Series 2013-H09 Class HA |
| 04/20/2063 | 1.650% | | 36,278 | 35,388 |
| CMO Series 2017-167 Class BQ |
| 08/20/2044 | 2.500% | | 983,832 | 949,416 |
| CMO Series 2018-11 Class PC |
| 12/20/2047 | 2.750% | | 31,857 | 30,517 |
| CMO Series 2019-132 Class NA |
| 09/20/2049 | 3.500% | | 749,708 | 740,631 |
| CMO Series 2019-31 Class JC |
| 03/20/2049 | 3.500% | | 526,363 | 522,248 |
| CMO Series 2021-23 Class MG |
| 02/20/2051 | 1.500% | | 3,212,972 | 2,861,060 |
| CMO Series 2022-107 Class C |
| 06/20/2051 | 2.500% | | 6,953,000 | 6,001,998 |
| CMO Series 2022-31 Class GH |
| 12/20/2049 | 2.500% | | 4,919,668 | 4,651,863 |
| CMO Series 2022-84 Class A |
| 01/20/2052 | 2.500% | | 2,116,742 | 1,862,700 |
| Government National Mortgage Association(c) |
| 03/20/2048 | 4.775% | | 3,599,176 | 3,704,669 |
| 05/20/2063 | 4.390% | | 12,447 | 12,520 |
| CMO Series 2010-H17 Class XQ |
| 07/20/2060 | 5.211% | | 11,216 | 11,192 |
| CMO Series 2011-137 Class WA |
| 07/20/2040 | 5.603% | | 490,427 | 532,718 |
| CMO Series 2012-141 Class WC |
| 01/20/2042 | 3.719% | | 334,959 | 336,879 |
| CMO Series 2013-54 Class WA |
| 11/20/2042 | 4.881% | | 909,436 | 946,624 |
| CMO Series 2013-75 Class WA |
| 06/20/2040 | 5.128% | | 275,013 | 288,435 |
| CMO Series 2020-1 Class A |
| 08/20/2070 | 2.932% | | 3,498,023 | 3,299,670 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 50 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Government National Mortgage Association(m) |
| 03/20/2052 | 3.000% | | 3,976,779 | 3,717,353 |
| Government National Mortgage Association(b) |
1-year CMT + 1.701%
02/20/2072 | 3.247% | | 5,949,814 | 6,169,462 |
1-year CMT + 1.742%
04/20/2072 | 3.436% | | 5,788,131 | 6,016,292 |
1-year CMT + 1.701%
04/20/2072 | 3.442% | | 6,307,651 | 6,548,131 |
| CMO Series 2007-16 Class NS |
-3.5 x 1-month USD LIBOR + 23.275%
Cap 23.275%
04/20/2037 | 17.692% | | 51,070 | 57,696 |
| CMO Series 2012-H10 Class FA |
1-month USD LIBOR + 0.550%
Floor 0.550%, Cap 10.500%
12/20/2061 | 1.353% | | 697,691 | 693,511 |
| CMO Series 2012-H21 Class CF |
1-month USD LIBOR + 0.700%
Floor 0.700%
05/20/2061 | 1.503% | | 7,478 | 7,444 |
| CMO Series 2012-H21 Class DF |
1-month USD LIBOR + 0.650%
Floor 0.650%
05/20/2061 | 1.453% | | 6,670 | 6,634 |
| CMO Series 2012-H26 Class MA |
1-month USD LIBOR + 0.550%
Floor 0.550%
07/20/2062 | 1.353% | | 2,931 | 2,905 |
| CMO Series 2012-H28 Class FA |
1-month USD LIBOR + 0.580%
Floor 0.580%
09/20/2062 | 1.383% | | 8,600 | 8,558 |
| CMO Series 2012-H29 Class FA |
1-month USD LIBOR + 0.515%
Floor 0.515%, Cap 11.500%
10/20/2062 | 1.318% | | 612,043 | 607,960 |
| CMO Series 2013-H01 Class TA |
1-month USD LIBOR + 0.500%
Floor 0.500%, Cap 10.500%
01/20/2063 | 1.303% | | 4,512 | 4,460 |
| CMO Series 2013-H05 Class FB |
1-month USD LIBOR + 0.400%
Floor 0.400%
02/20/2062 | 1.203% | | 6,159 | 6,079 |
| CMO Series 2013-H07 Class GA |
1-month USD LIBOR + 0.470%
Floor 0.470%, Cap 10.500%
03/20/2063 | 1.273% | | 704,144 | 698,517 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2013-H07 Class HA |
1-month USD LIBOR + 0.410%
Floor 0.410%, Cap 11.000%
03/20/2063 | 1.213% | | 552,921 | 547,639 |
| CMO Series 2013-H09 Class GA |
1-month USD LIBOR + 0.480%
Floor 0.480%, Cap 11.000%
04/20/2063 | 1.283% | | 852,305 | 846,738 |
| CMO Series 2013-H09 Class SA |
1-month USD LIBOR + 0.500%
Floor 0.500%, Cap 10.500%
04/20/2063 | 1.303% | | 1,624,289 | 1,608,915 |
| CMO Series 2013-H21 Class FA |
1-month USD LIBOR + 0.750%
Floor 0.750%, Cap 11.000%
09/20/2063 | 1.553% | | 1,386,532 | 1,382,530 |
| CMO Series 2013-H21 Class FB |
1-month USD LIBOR + 0.700%
Floor 0.700%, Cap 11.000%
09/20/2063 | 1.503% | | 1,725,012 | 1,718,812 |
| CMO Series 2015-H23 Class FB |
1-month USD LIBOR + 0.520%
Floor 0.520%, Cap 11.000%
09/20/2065 | 1.323% | | 1,036,876 | 1,026,700 |
| CMO Series 2015-H26 Class FG |
1-month USD LIBOR + 0.520%
Floor 0.520%, Cap 11.000%
10/20/2065 | 1.323% | | 560,660 | 555,066 |
| CMO Series 2015-H30 Class FE |
1-month USD LIBOR + 0.600%
Floor 0.600%, Cap 11.000%
11/20/2065 | 1.403% | | 4,458,204 | 4,421,857 |
| CMO Series 2020-H05 Class FK |
1-month USD LIBOR + 0.610%
Floor 0.610%, Cap 99.000%
03/20/2070 | 1.413% | | 3,135,569 | 3,108,035 |
| Government National Mortgage Association(b),(g) |
| CMO Series 2005-3 Class SE |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
01/20/2035 | 4.505% | | 449,800 | 37,783 |
| CMO Series 2007-40 Class SN |
-1.0 x 1-month USD LIBOR + 6.680%
Cap 6.680%
07/20/2037 | 5.085% | | 313,558 | 25,538 |
| CMO Series 2008-62 Class SA |
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
07/20/2038 | 4.555% | | 292,092 | 12,607 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 51 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2008-76 Class US |
-1.0 x 1-month USD LIBOR + 5.900%
Cap 5.900%
09/20/2038 | 4.305% | | 350,431 | 24,710 |
| CMO Series 2008-95 Class DS |
-1.0 x 1-month USD LIBOR + 7.300%
Cap 7.300%
12/20/2038 | 5.705% | | 292,572 | 23,347 |
| CMO Series 2009-106 Class ST |
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
02/20/2038 | 4.405% | | 488,907 | 39,222 |
| CMO Series 2009-64 Class SN |
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
07/16/2039 | 4.591% | | 179,729 | 15,407 |
| CMO Series 2009-67 Class SA |
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
08/16/2039 | 4.541% | | 143,666 | 11,902 |
| CMO Series 2009-72 Class SM |
-1.0 x 1-month USD LIBOR + 6.250%
Cap 6.250%
08/16/2039 | 4.741% | | 355,823 | 33,230 |
| CMO Series 2009-81 Class SB |
-1.0 x 1-month USD LIBOR + 6.090%
Cap 6.090%
09/20/2039 | 4.495% | | 486,392 | 52,806 |
| CMO Series 2010-47 Class PX |
-1.0 x 1-month USD LIBOR + 6.700%
Cap 6.700%
06/20/2037 | 5.105% | | 569,809 | 62,639 |
| CMO Series 2011-75 Class SM |
-1.0 x 1-month USD LIBOR + 6.600%
Cap 6.600%
05/20/2041 | 5.005% | | 279,681 | 25,158 |
| Government National Mortgage Association(i) |
| CMO Series 2008-1 Class PO |
| 01/20/2038 | 0.000% | | 50,974 | 46,441 |
| CMO Series 2010-157 Class OP |
| 12/20/2040 | 0.000% | | 263,949 | 227,944 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Government National Mortgage Association(g) |
| CMO Series 2010-107 Class IL |
| 07/20/2039 | 6.000% | | 379,320 | 84,633 |
| Government National Mortgage Association TBA(h) |
07/21/2052-
08/18/2052 | 4.500% | | 30,000,000 | 30,383,484 |
| Seasoned Credit Risk Transfer Trust |
| CMO Series 2018-4 Class MZ (FHLMC) |
| 03/25/2058 | 3.500% | | 3,751,174 | 3,372,224 |
| Uniform Mortgage-Backed Security TBA(h) |
| 07/14/2052 | 2.500% | | 10,400,000 | 9,370,563 |
| 07/14/2052 | 3.500% | | 28,595,000 | 27,541,676 |
| 07/14/2052 | 4.000% | | 24,060,000 | 23,753,611 |
07/14/2052-
08/11/2052 | 4.500% | | 47,100,000 | 47,281,020 |
08/11/2052-
09/14/2052 | 5.000% | | 118,100,000 | 120,052,260 |
| 09/14/2052 | 5.500% | | 16,900,000 | 17,447,270 |
Total Residential Mortgage-Backed Securities - Agency
(Cost $1,144,176,724) | 1,101,423,737 |
|
| Residential Mortgage-Backed Securities - Non-Agency 4.9% |
| | | | |
| Ajax Mortgage Loan Trust(a),(c) |
| CMO Series 2021-B Class A |
| 06/25/2066 | 2.239% | | 3,284,773 | 3,060,976 |
| Anchor Mortgage Trust(a),(c) |
| CMO Series 2021-1 Class A2 |
| 10/25/2026 | 3.650% | | 6,666,667 | 6,299,822 |
| Angel Oak Mortgage Trust(a),(c) |
| CMO Series 2020-2 Class A1A |
| 01/26/2065 | 2.531% | | 944,446 | 912,307 |
| CMO Series 2021-6 Class A1 |
| 09/25/2066 | 1.483% | | 1,612,327 | 1,393,479 |
| Angel Oak Mortgage Trust I LLC(a),(c) |
| CMO Series 2019-2 Class A1 |
| 03/25/2049 | 3.628% | | 38,316 | 38,244 |
| Angel Oak Mortgage Trust LLC(a),(c) |
| CMO Series 2020-5 Class A1 |
| 05/25/2065 | 1.373% | | 258,712 | 248,123 |
| ANTLR Mortgage Trust(a),(c) |
| CMO Series 2021-RTL1 Class A1 |
| 11/25/2024 | 2.115% | | 3,399,000 | 3,257,324 |
| CMO Series 2021-RTL1 Class A2 |
| 01/25/2025 | 2.981% | | 4,600,000 | 4,394,275 |
| Banc of America Funding Trust |
| CMO Series 2004-3 Class 1A1 |
| 10/25/2034 | 5.500% | | 27,749 | 26,695 |
| Bear Stearns Adjustable Rate Mortgage Trust(c) |
| CMO Series 2003-4 Class 3A1 |
| 07/25/2033 | 3.496% | | 21,142 | 20,753 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 52 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2003-7 Class 6A |
| 10/25/2033 | 2.535% | | 103,159 | 99,752 |
| Bear Stearns Asset-Backed Securities Trust(b) |
| CMO Series 2003-SD1 Class A |
1-month USD LIBOR + 0.900%
Floor 0.900%, Cap 11.000%
12/25/2033 | 2.524% | | 217,057 | 206,247 |
| Bunker Hill Loan Depositary Trust(a),(c) |
| CMO Series 2019-2 Class A1 |
| 07/25/2049 | 2.879% | | 1,197,484 | 1,171,222 |
| CMO Series 2019-3 Class A1 |
| 11/25/2059 | 2.724% | | 479,664 | 464,835 |
| BVRT Financing Trust(a),(b),(f) |
| CMO Series 2021-3F Class M1 |
30-day Average SOFR + 1.750%
Floor 1.750%
07/12/2033 | 1.976% | | 7,675,712 | 7,675,712 |
| Chase Mortgage Finance Corp.(c) |
| CMO Series 2007-A1 Class 1A3 |
| 02/25/2037 | 2.624% | | 156,947 | 151,847 |
| CMO Series 2007-A1 Class 2A1 |
| 02/25/2037 | 3.515% | | 56,031 | 54,741 |
| CMO Series 2007-A1 Class 7A1 |
| 02/25/2037 | 3.442% | | 27,810 | 27,771 |
| Citigroup Mortgage Loan Trust, Inc. |
| CMO Series 2003-1 Class 3A4 |
| 09/25/2033 | 5.250% | | 32,509 | 30,372 |
| CMO Series 2005-2 Class 2A11 |
| 05/25/2035 | 5.500% | | 89,349 | 85,378 |
| Citigroup Mortgage Loan Trust, Inc.(a),(c) |
| CMO Series 2009-10 Class 1A1 |
| 09/25/2033 | 2.529% | | 89,901 | 86,635 |
| COLT Mortgage Loan Trust(a),(c) |
| CMO Series 2021-2 Class A1 |
| 08/25/2066 | 0.924% | | 2,042,542 | 1,778,116 |
| CMO Series 2021-4 Class A1 |
| 10/25/2066 | 1.397% | | 2,286,703 | 1,982,674 |
| Countrywide Home Loan Mortgage Pass-Through Trust |
| CMO Series 2004-13 Class 1A4 |
| 08/25/2034 | 5.500% | | 121,294 | 115,578 |
| CMO Series 2004-3 Class A26 |
| 04/25/2034 | 5.500% | | 56,264 | 52,845 |
| CMO Series 2004-5 Class 1A4 |
| 06/25/2034 | 5.500% | | 129,806 | 125,874 |
| Credit Suisse First Boston Mortgage Securities Corp. |
| CMO Series 2003-21 Class 1A4 |
| 09/25/2033 | 5.250% | | 49,439 | 47,137 |
| CMO Series 2004-5 Class 3A1 |
| 09/25/2034 | 5.250% | | 27,288 | 24,830 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates |
| CMO Series 2003-27 Class 5A4 |
| 11/25/2033 | 5.250% | | 10,294 | 9,710 |
| CMO Series 2004-4 Class 2A4 |
| 09/25/2034 | 5.500% | | 83,811 | 81,300 |
| CMO Series 2004-8 Class 1A4 |
| 12/25/2034 | 5.500% | | 133,495 | 125,945 |
| Credit Suisse Mortgage Trust(a),(c) |
| CMO Series 2022-JR1 Class A1 |
| 10/25/2066 | 4.267% | | 6,134,457 | 6,043,681 |
| DBRR Trust(a),(c) |
| CMO Series 2015-LCM Class A2 |
| 06/10/2034 | 3.535% | | 3,152,000 | 2,921,954 |
| DBRR Trust(a) |
| Series 2015-LCM Class A1 |
| 06/10/2034 | 2.998% | | 1,673,504 | 1,603,012 |
| FMC GMSR Issuer Trust(a),(c) |
| CMO Series 2020-GT1 Class A |
| 01/25/2026 | 4.450% | | 5,000,000 | 4,637,080 |
| CMO Series 2021-GT1 Class B |
| 07/25/2026 | 4.360% | | 6,000,000 | 5,403,260 |
| CMO Series 2021-GT2 Class B |
| 10/25/2026 | 4.440% | | 3,828,000 | 3,429,572 |
| FMC GMSR Issuer Trust(a),(c),(d),(f) |
| CMO Series 2021-GT1 Class A |
| 02/25/2024 | 3.000% | | 8,000,000 | 7,680,000 |
| FMC GMSR Issuer Trust(a) |
| CMO Series 2022-GT1 Class B |
| 04/25/2027 | 7.170% | | 6,000,000 | 5,840,653 |
| GSMPS Mortgage Loan Trust(a),(b) |
| CMO Series 2005-RP3 Class 1AF |
1-month USD LIBOR + 0.350%
Floor 0.350%, Cap 10.000%
09/25/2035 | 1.974% | | 499,128 | 432,646 |
| GSMPS Mortgage Loan Trust(a),(c),(g) |
| CMO Series 2005-RP3 Class 1AS |
| 09/25/2035 | 3.137% | | 386,815 | 12,513 |
| GSR Mortgage Loan Trust |
| CMO Series 2003-7F Class 1A4 |
| 06/25/2033 | 5.250% | | 103,345 | 98,773 |
| GSR Mortgage Loan Trust(b) |
| CMO Series 2005-5F Class 8A3 |
1-month USD LIBOR + 0.500%
Floor 0.500%, Cap 5.500%
06/25/2035 | 2.124% | | 6,971 | 6,941 |
| HarborView Mortgage Loan Trust(c) |
| CMO Series 2004-3 Class 1A |
| 05/19/2034 | 2.718% | | 423,521 | 408,958 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 53 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Headlands Residential LLC(a),(c) |
| CMO Series 2017-RPL1 Class A |
| 11/25/2024 | 3.875% | | 988,791 | 961,101 |
| CMO Series 2021-RPL1 Class NOTE |
| 09/25/2026 | 2.487% | | 7,225,000 | 6,747,821 |
| Hundred Acre Wood Trust(a),(d),(f) |
| CMO Series 2018-1 Class A |
| 02/13/2025 | 7.250% | | 2,000,000 | 2,000,000 |
| Impac CMB Trust(b) |
| CMO Series 2005-4 Class 2A1 |
1-month USD LIBOR + 0.600%
Floor 0.600%, Cap 10.250%
05/25/2035 | 2.224% | | 165,687 | 149,442 |
| Impac Secured Assets CMN Owner Trust(c) |
| CMO Series 2003-3 Class A1 |
| 08/25/2033 | 4.879% | | 60,939 | 58,760 |
| Impac Secured Assets Trust(b) |
| CMO Series 2006-1 Class 2A1 |
1-month USD LIBOR + 0.700%
Floor 0.350%, Cap 11.500%
05/25/2036 | 2.324% | | 25,693 | 23,688 |
| JPMorgan Mortgage Trust(c) |
| CMO Series 2006-A2 Class 5A3 |
| 11/25/2033 | 2.284% | | 102,525 | 100,326 |
| CMO Series 2007-A1 Class 5A5 |
| 07/25/2035 | 2.417% | | 94,362 | 92,551 |
| LHOME Mortgage Trust(a) |
| CMO Series 2020-RTL1 Class A1 |
| 10/25/2024 | 3.228% | | 2,381,400 | 2,372,130 |
| LHOME Mortgage Trust(a),(c) |
| CMO Series 2021-RTL1 Class A1 |
| 09/25/2026 | 2.090% | | 2,205,000 | 2,103,250 |
| MASTR Adjustable Rate Mortgages Trust(c) |
| CMO Series 2004-13 Class 2A1 |
| 04/21/2034 | 2.679% | | 76,883 | 74,194 |
| CMO Series 2004-13 Class 3A7 |
| 11/21/2034 | 3.052% | | 137,017 | 130,445 |
| MASTR Asset Securitization Trust(a) |
| CMO Series 2004-P7 Class A6 |
| 12/27/2033 | 5.500% | | 22,655 | 20,897 |
| MASTR Seasoned Securities Trust |
| CMO Series 2004-2 Class A1 |
| 08/25/2032 | 6.500% | | 84,571 | 81,467 |
| CMO Series 2004-2 Class A2 |
| 08/25/2032 | 6.500% | | 133,199 | 128,855 |
| Mello Warehouse Securitization Trust(a),(b) |
| CMO Series 2020-2 Class A |
1-month USD LIBOR + 0.800%
Floor 0.800%
11/25/2053 | 2.424% | | 1,361,400 | 1,347,623 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2021-1 Class A |
1-month USD LIBOR + 0.700%
Floor 0.700%
02/25/2055 | 1.368% | | 664,000 | 655,471 |
| CMO Series 2021-2 Class A |
1-month USD LIBOR + 0.750%
Floor 0.750%
04/25/2055 | 2.374% | | 2,054,000 | 2,023,967 |
| Merrill Lynch Mortgage Investors Trust(b) |
| CMO Series 2003-A Class 2A1 |
1-month USD LIBOR + 0.780%
Floor 0.390%, Cap 11.750%
03/25/2028 | 2.404% | | 41,356 | 39,848 |
| CMO Series 2003-E Class A1 |
1-month USD LIBOR + 0.620%
Floor 0.620%, Cap 11.750%
10/25/2028 | 2.244% | | 177,536 | 168,862 |
| CMO Series 2004-A Class A1 |
1-month USD LIBOR + 0.460%
Floor 0.230%, Cap 11.750%
04/25/2029 | 2.084% | | 134,950 | 126,173 |
| CMO Series 2004-G Class A2 |
6-month USD LIBOR + 0.600%
Floor 0.300%, Cap 11.750%
01/25/2030 | 3.435% | | 22,924 | 21,598 |
| Merrill Lynch Mortgage Investors Trust(c) |
| CMO Series 2004-1 Class 2A1 |
| 12/25/2034 | 2.292% | | 110,543 | 106,002 |
| CMO Series 2004-A4 Class A2 |
| 08/25/2034 | 2.959% | | 139,513 | 133,298 |
| MFA Trust(a),(c) |
| CMO Series 2021-NQM2 Class A1 |
| 11/25/2064 | 1.029% | | 995,777 | 899,356 |
| Mill City Securities Ltd.(a),(c) |
| CMO Series 2021-RS1 Class A2 |
| 04/28/2066 | 3.951% | | 4,449,000 | 4,189,014 |
| Morgan Stanley Mortgage Loan Trust(c) |
| CMO Series 2004-3 Class 4A |
| 04/25/2034 | 5.649% | | 125,719 | 123,889 |
| MRA Issuance Trust(a),(b),(d),(f) |
| CMO Series 2021-EBO2 Class A |
1-month USD LIBOR + 2.735%
04/15/2023 | 2.966% | | 7,000,000 | 7,000,000 |
| CMO Series 2021-EBO5 Class A1X |
1-month USD LIBOR + 1.750%
Floor 1.750%
02/15/2023 | 1.842% | | 9,600,000 | 9,600,000 |
| CMO Series 2021-EBO7 Class A1X |
1-month USD LIBOR + 2.750%
Floor 2.750%
02/15/2023 | 2.850% | | 9,600,000 | 9,600,000 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 54 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| NACC Reperforming Loan Remic Trust(a) |
| CMO Series 2004-R2 Class A1 |
| 10/25/2034 | 6.500% | | 91,878 | 82,091 |
| New Residential Mortgage Loan Trust(a),(c) |
| CMO Series 2019-NQM4 Class A1 |
| 09/25/2059 | 2.492% | | 276,991 | 266,558 |
| NewRez Warehouse Securitization Trust(a),(b) |
| CMO Series 2021-1 Class A |
1-month USD LIBOR + 0.750%
Floor 0.750%
05/25/2055 | 2.374% | | 5,373,000 | 5,298,831 |
| NRZ Excess Spread-Collateralized Notes(a) |
| CMO Series 2021-FNT2 Class A |
| 05/25/2026 | 3.228% | | 3,963,466 | 3,624,256 |
| Series 2020-PLS1 Class A |
| 12/25/2025 | 3.844% | | 2,873,902 | 2,730,845 |
| OCWEN(c),(d),(f) |
| CMO Series 2021-GNMSR Class 1 |
| 03/15/2023 | 4.570% | | 4,128,148 | 4,128,148 |
| Preston Ridge Partners Mortgage Trust(a),(c) |
| CMO Series 2021-1 Class A1 |
| 01/25/2026 | 2.115% | | 3,519,636 | 3,327,035 |
| CMO Series 2021-2 Class A1 |
| 03/25/2026 | 2.115% | | 2,526,147 | 2,389,375 |
| Pretium Mortgage Credit Partners(a),(c) |
| CMO Series 2022-NPL1 Class A1 |
| 01/25/2052 | 2.981% | | 4,403,200 | 4,103,013 |
| Pretium Mortgage Credit Partners I LLC(a),(c) |
| CMO Series 2021-NPL1 Class A1 |
| 09/27/2060 | 2.240% | | 4,078,312 | 3,861,124 |
| CMO Series 2021-NPL4 Class A1 |
| 10/27/2060 | 2.363% | | 3,701,226 | 3,484,524 |
| Pretium Mortgage Credit Partners LLC(a),(c) |
| CMO Series 2021-NPL6 Class A1 |
| 07/25/2051 | 2.487% | | 4,471,547 | 4,183,250 |
| CMO Series 2021-RN3 Class A1 |
| 09/25/2051 | 1.843% | | 5,280,640 | 4,943,653 |
| Radnor Re Ltd.(a),(b) |
| CMO Series 2021-1 Class M1B |
30-day Average SOFR + 1.700%
Floor 1.700%
12/27/2033 | 2.626% | | 3,500,000 | 3,369,921 |
| RCO VI Mortgage LLC(a),(c) |
| CMO Series 2022-1 Class A1 |
| 01/25/2027 | 3.000% | | 6,350,623 | 6,045,449 |
| CMO Series 2022-1 Class A2 |
| 01/25/2027 | 5.250% | | 2,500,000 | 2,180,469 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Residential Asset Mortgage Products Trust |
| CMO Series 2004-SL2 Class A3 |
| 10/25/2031 | 7.000% | | 157,830 | 154,387 |
| Residential Asset Securitization Trust(c) |
| CMO Series 2004-IP2 Class 1A1 |
| 12/25/2034 | 2.765% | | 202,027 | 207,284 |
| Seasoned Credit Risk Transfer Trust |
| CMO Series 2019-3 Class MB (FHLMC) |
| 10/25/2058 | 3.500% | | 1,570,000 | 1,461,241 |
| CMO Series 2019-4 Class M55D (FHLMC) |
| 02/25/2059 | 4.000% | | 1,919,906 | 1,910,033 |
| Seasoned Loans Structured Transaction |
| CMO Series 2018-2 Class A1 |
| 11/25/2028 | 3.500% | | 3,376,138 | 3,341,576 |
| Sequoia Mortgage Trust(b) |
| CMO Series 2003-1 Class 1A |
1-month USD LIBOR + 0.760%
Floor 0.760%, Cap 12.500%
04/20/2033 | 2.355% | | 336,865 | 315,509 |
| CMO Series 2003-8 Class A1 |
1-month USD LIBOR + 0.640%
Floor 0.640%, Cap 11.500%
01/20/2034 | 2.235% | | 310,749 | 299,292 |
| CMO Series 2004-11 Class A1 |
1-month USD LIBOR + 0.600%
Floor 0.600%, Cap 11.500%
12/20/2034 | 2.195% | | 313,129 | 287,036 |
| CMO Series 2004-12 Class A3 |
6-month USD LIBOR + 0.320%
Floor 0.320%, Cap 11.500%
01/20/2035 | 3.068% | | 148,745 | 139,623 |
| Starwood Mortgage Residential Trust(a),(c) |
| CMO Series 2020-1 Class A1 |
| 02/25/2050 | 2.275% | | 181,283 | 176,615 |
| CMO Series 2020-3 Class A1 |
| 04/25/2065 | 1.486% | | 654,514 | 630,726 |
| CMO Series 2020-INV1 Class A1 |
| 11/25/2055 | 1.027% | | 552,943 | 529,624 |
| CMO Series 2021-1 Class A1 |
| 05/25/2065 | 1.219% | | 700,434 | 658,005 |
| CMO Series 2021-4 Class A1 |
| 08/25/2056 | 1.162% | | 2,181,504 | 1,971,036 |
| Structured Adjustable Rate Mortgage Loan Trust(c) |
| CMO Series 2004-4 Class 5A |
| 04/25/2034 | 2.663% | | 64,521 | 59,380 |
| Structured Asset Mortgage Investments II Trust(b) |
| CMO Series 2004-AR5 Class 1A1 |
1-month USD LIBOR + 0.660%
Floor 0.330%, Cap 11.000%
10/19/2034 | 2.255% | | 201,896 | 192,246 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 55 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2005-AR5 Class A3 |
1-month USD LIBOR + 0.250%
Floor 0.250%, Cap 11.000%
07/19/2035 | 2.095% | | 106,426 | 98,816 |
| Structured Asset Securities Corp.(c) |
| CMO Series 2004-4XS Class 1A5 |
| 02/25/2034 | 5.490% | | 234,052 | 219,362 |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates(c) |
| CMO Series 2003-34A Class 3A3 |
| 11/25/2033 | 3.033% | | 127,952 | 127,127 |
| CMO Series 2003-40A Class 3A2 |
| 01/25/2034 | 2.935% | | 81,313 | 78,543 |
| CMO Series 2004-6XS Class A5A |
| 03/25/2034 | 5.579% | | 48,882 | 48,303 |
| CMO Series 2004-6XS Class A5B (AMBAC) |
| 03/25/2034 | 5.579% | | 58,659 | 57,963 |
| Thornburg Mortgage Securities Trust(c) |
| CMO Series 2004-4 Class 3A |
| 12/25/2044 | 1.944% | | 91,547 | 87,168 |
| Toorak Mortgage Corp., Ltd.(c) |
| CMO Series 2019-2 Class A1 |
| 09/25/2022 | 3.721% | | 614,606 | 613,524 |
| TVC Mortgage Trust(a) |
| CMO Series 2020-RTL1 Class A1 |
| 09/25/2024 | 3.474% | | 2,572,387 | 2,559,838 |
| VCAT LLC(a),(c) |
| CMO Series 2021-NPL1 Class A1 |
| 12/26/2050 | 2.289% | | 4,710,745 | 4,519,744 |
| CMO Series 2021-NPL3 Class A1 |
| 05/25/2051 | 1.743% | | 3,979,946 | 3,728,200 |
| CMO Series 2021-NPL5 Class A1 |
| 08/25/2051 | 1.868% | | 6,690,580 | 6,320,351 |
| Vendee Mortgage Trust |
| CMO Series 1998-2 Class 1G |
| 06/15/2028 | 6.750% | | 102,552 | 108,844 |
| Vericrest Opportunity Loan Transferee XCIII LLC(a),(c) |
| CMO Series 2021-NPL2 Class A1 |
| 02/27/2051 | 1.893% | | 5,592,461 | 5,334,756 |
| Vericrest Opportunity Loan Transferee XCIV LLC(a),(c) |
| CMO Series 2021-NPL3 Class A1 |
| 02/27/2051 | 2.240% | | 3,842,668 | 3,684,754 |
| Vericrest Opportunity Loan Transferee XCVI LLC(a),(c) |
| CMO Series 2021-NPL5 Class A1 |
| 03/27/2051 | 2.116% | | 3,158,163 | 3,016,869 |
| Vericrest Opportunity Loan Transferee XCVII LLC(a),(c) |
| CMO Series 2021-NPL6 Class A1 |
| 04/25/2051 | 2.240% | | 3,329,280 | 3,168,691 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Vericrest Opportunity Loan Trust CI LLC(a),(c) |
| CMO Series 2021-NP10 Class A1 |
| 05/25/2051 | 1.992% | | 2,957,118 | 2,787,637 |
| Verus Securitization Trust(a),(c) |
| CMO Series 2019-4 Class A1 |
| 11/25/2059 | 2.642% | | 534,143 | 524,404 |
| CMO Series 2019-INV2 Class A1 |
| 07/25/2059 | 2.913% | | 314,040 | 308,307 |
| CMO Series 2019-INV3 Class A1 |
| 11/25/2059 | 2.692% | | 264,726 | 258,438 |
| CMO Series 2020-1 Class A1 |
| 01/25/2060 | 2.417% | | 521,668 | 507,520 |
| CMO Series 2020-2 Class A1 |
| 05/25/2060 | 2.226% | | 576,331 | 568,250 |
| CMO Series 2020-5 Class A1 |
| 05/25/2065 | 1.218% | | 279,957 | 268,039 |
| CMO Series 2020-INV1 Class A1 |
| 03/25/2060 | 1.977% | | 732,196 | 721,409 |
| CMO Series 2021-1 Class A1 |
| 01/25/2066 | 0.815% | | 895,748 | 827,646 |
| CMO Series 2021-2 Class A1 |
| 02/25/2066 | 1.031% | | 1,700,115 | 1,546,615 |
| CMO Series 2021-3 Class A1 |
| 06/25/2066 | 1.046% | | 1,572,938 | 1,396,488 |
| CMO Series 2021-4 Class A1 |
| 07/25/2066 | 0.938% | | 1,890,502 | 1,637,586 |
| CMO Series 2021-5 Class A1 |
| 09/25/2066 | 1.013% | | 6,975,558 | 6,114,708 |
| CMO Series 2021-7 Class A1 |
| 10/25/2066 | 1.829% | | 2,842,872 | 2,576,016 |
| CMO Series 2021-8 Class A1 |
| 11/25/2066 | 1.824% | | 2,054,707 | 1,846,996 |
| CMO Series 2021-R1 Class A1 |
| 10/25/2063 | 0.820% | | 844,628 | 804,575 |
| CMO Series 2021-R3 Class A1 |
| 04/25/2064 | 1.020% | | 944,638 | 898,350 |
| Visio Trust(a) |
| Series 2020-1R Class A1 |
| 11/25/2055 | 1.312% | | 635,409 | 611,875 |
| VM Master Issuer LLC(a),(c),(d),(f) |
| CMO Series 2022-1 Class A1B |
| 05/24/2025 | 6.174% | | 7,692,000 | 7,503,546 |
| WaMu Mortgage Pass-Through Certificates Trust(c) |
| CMO Series 2003-AR11 Class A6 |
| 10/25/2033 | 2.519% | | 178,125 | 169,464 |
| CMO Series 2003-AR5 Class A7 |
| 06/25/2033 | 3.220% | | 66,533 | 63,770 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 56 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2003-AR6 Class A1 |
| 06/25/2033 | 3.452% | | 83,296 | 78,817 |
| CMO Series 2003-AR7 Class A7 |
| 08/25/2033 | 2.467% | | 122,721 | 115,581 |
| CMO Series 2004-AR3 Class A2 |
| 06/25/2034 | 3.081% | | 53,786 | 50,926 |
| WaMu Mortgage Pass-Through Certificates Trust |
| CMO Series 2004-S3 Class 1A5 |
| 07/25/2034 | 5.000% | | 9,120 | 8,932 |
| Wells Fargo Mortgage-Backed Securities Trust(c) |
| CMO Series 2004-U Class A1 |
| 10/25/2034 | 2.990% | | 135,148 | 126,989 |
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $268,280,910) | 256,097,482 |
|
| U.S. Government & Agency Obligations 0.6% |
| | | | |
| Federal Home Loan Mortgage Corp.(k) |
| 12/14/2029 | 0.000% | | 3,534,000 | 2,763,313 |
| Federal National Mortgage Association(k) |
| 11/15/2030 | 0.000% | | 10,386,000 | 7,816,395 |
| Israel Government AID Bond |
| 09/18/2033 | 5.500% | | 1,000,000 | 1,177,126 |
| Residual Funding Corp.(k) |
| STRIPS |
| 04/15/2030 | 0.000% | | 3,750,000 | 2,878,871 |
| Tennessee Valley Authority |
| 04/01/2036 | 5.880% | | 4,870,000 | 5,869,238 |
| 09/15/2060 | 4.625% | | 835,000 | 937,257 |
| 09/15/2065 | 4.250% | | 1,423,000 | 1,492,819 |
| Tennessee Valley Authority(k) |
| STRIPS |
| 11/01/2025 | 0.000% | | 8,500,000 | 7,549,628 |
| 06/15/2035 | 0.000% | | 750,000 | 436,647 |
Total U.S. Government & Agency Obligations
(Cost $33,114,264) | 30,921,294 |
|
| U.S. Treasury Obligations 22.7% |
| | | | |
| U.S. Treasury |
| 09/30/2022 | 0.125% | | 11,454,000 | 11,403,889 |
| 04/30/2023 | 0.125% | | 19,589,000 | 19,147,482 |
| 02/29/2024 | 2.125% | | 5,136,000 | 5,065,781 |
| 04/30/2024 | 2.500% | | 1,558,000 | 1,544,550 |
| 05/15/2024 | 2.500% | | 640,000 | 634,225 |
| 05/31/2024 | 2.500% | | 3,747,000 | 3,713,775 |
| 06/30/2024 | 2.000% | | 565,000 | 554,252 |
| 02/15/2025 | 1.500% | | 18,135,000 | 17,428,018 |
| 04/30/2025 | 2.875% | | 525,000 | 522,703 |
| 06/15/2025 | 2.875% | | 10,941,000 | 10,898,262 |
| 08/31/2025 | 0.250% | | 42,075,000 | 38,521,635 |
| 09/30/2025 | 0.250% | | 9,620,000 | 8,787,269 |
| U.S. Treasury Obligations (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 11/15/2025 | 2.250% | | 1,283,000 | 1,249,522 |
| 11/30/2025 | 0.375% | | 2,287,000 | 2,088,674 |
| 01/31/2026 | 0.375% | | 25,123,000 | 22,840,340 |
| 03/31/2026 | 0.750% | | 8,862,000 | 8,139,885 |
| 05/31/2026 | 0.750% | | 50,362,000 | 46,077,296 |
| 06/30/2026 | 0.875% | | 22,002,000 | 20,195,430 |
| 08/15/2026 | 1.500% | | 51,818,000 | 48,660,341 |
| 11/15/2026 | 2.000% | | 11,527,000 | 11,020,893 |
| 04/30/2027 | 0.500% | | 53,707,000 | 47,530,695 |
| 05/15/2027 | 2.375% | | 25,841,000 | 25,013,280 |
| 05/31/2027 | 2.625% | | 13,321,000 | 13,069,150 |
| 06/30/2027 | 3.250% | | 8,415,000 | 8,497,835 |
| 08/31/2027 | 0.500% | | 17,511,000 | 15,364,535 |
| 10/31/2027 | 0.500% | | 20,093,000 | 17,551,550 |
| 11/30/2027 | 0.625% | | 31,374,000 | 27,547,843 |
| 02/15/2028 | 2.750% | | 23,081,000 | 22,673,476 |
| 06/30/2028 | 1.250% | | 11,412,000 | 10,265,451 |
| 07/31/2028 | 1.000% | | 13,987,000 | 12,370,846 |
| 10/31/2028 | 1.375% | | 47,318,000 | 42,663,831 |
| 04/30/2029 | 2.875% | | 35,000 | 34,595 |
| 05/31/2029 | 2.750% | | 24,902,000 | 24,419,524 |
| 11/15/2031 | 1.375% | | 13,185,000 | 11,435,927 |
| 02/15/2032 | 1.875% | | 41,515,000 | 37,609,995 |
| 05/15/2032 | 2.875% | | 7,181,000 | 7,101,336 |
| 08/15/2039 | 4.500% | | 7,032,000 | 8,264,797 |
| 05/15/2040 | 1.125% | | 24,990,000 | 17,395,383 |
| 08/15/2040 | 1.125% | | 28,742,000 | 19,845,453 |
| 11/15/2040 | 1.375% | | 53,502,000 | 38,521,440 |
| 02/15/2041 | 1.875% | | 23,159,000 | 18,161,722 |
| 02/15/2041 | 4.750% | | 2,429,000 | 2,924,668 |
| 05/15/2041 | 2.250% | | 86,623,000 | 72,248,996 |
| 08/15/2041 | 1.750% | | 91,953,000 | 69,927,383 |
| 11/15/2041 | 3.125% | | 1,595,000 | 1,530,203 |
| 02/15/2042 | 2.375% | | 4,223,000 | 3,580,312 |
| 05/15/2042 | 3.250% | | 4,887,000 | 4,770,170 |
| 08/15/2042 | 2.750% | | 14,400,000 | 12,903,750 |
| 11/15/2042 | 2.750% | | 6,935,000 | 6,204,658 |
| 02/15/2043 | 3.125% | | 2,000,000 | 1,899,375 |
| 11/15/2043 | 3.750% | | 3,952,000 | 4,131,692 |
| 02/15/2044 | 3.625% | | 9,618,000 | 9,861,456 |
| 05/15/2044 | 3.375% | | 5,000,000 | 4,933,594 |
| 02/15/2045 | 2.500% | | 11,825,000 | 10,029,078 |
| 08/15/2045 | 2.875% | | 13,210,000 | 11,998,395 |
| 11/15/2048 | 3.375% | | 4,911,000 | 4,990,036 |
| 11/15/2049 | 2.375% | | 19,900,000 | 16,803,062 |
| 02/15/2050 | 2.000% | | 2,295,000 | 1,778,625 |
| 08/15/2050 | 1.375% | | 13,450,000 | 8,851,781 |
| 11/15/2050 | 1.625% | | 7,642,000 | 5,373,281 |
| 02/15/2051 | 1.875% | | 22,916,000 | 17,190,581 |
| 05/15/2051 | 2.375% | | 17,165,000 | 14,491,015 |
| 08/15/2051 | 2.000% | | 44,740,000 | 34,582,622 |
| 11/15/2051 | 1.875% | | 2,781,000 | 2,087,054 |
| 02/15/2052 | 2.250% | | 61,382,000 | 50,515,468 |
| 05/15/2052 | 2.875% | | 14,837,000 | 14,011,692 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 57 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| U.S. Treasury Obligations (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| U.S. Treasury(k) |
| STRIPS |
| 08/15/2022 | 0.000% | | 1,700,000 | 1,696,945 |
| 11/15/2022 | 0.000% | | 5,975,000 | 5,933,222 |
| 02/15/2023 | 0.000% | | 20,665,000 | 20,371,169 |
| 05/15/2023 | 0.000% | | 8,680,000 | 8,488,430 |
| 08/15/2023 | 0.000% | | 7,320,000 | 7,105,261 |
| 11/15/2023 | 0.000% | | 5,449,000 | 5,238,915 |
| 02/15/2024 | 0.000% | | 2,201,000 | 2,100,493 |
| 08/15/2024 | 0.000% | | 1,000,000 | 940,508 |
| 11/15/2024 | 0.000% | | 4,500,000 | 4,201,172 |
| 02/15/2025 | 0.000% | | 1,000,000 | 925,664 |
| 05/15/2025 | 0.000% | | 2,500,000 | 2,300,098 |
| 02/15/2026 | 0.000% | | 5,500,000 | 4,939,473 |
| 02/15/2032 | 0.000% | | 13,100,000 | 9,706,793 |
| 08/15/2032 | 0.000% | | 1,500,000 | 1,093,184 |
| 08/15/2033 | 0.000% | | 4,000,000 | 2,820,312 |
| 11/15/2033 | 0.000% | | 7,400,000 | 5,182,023 |
| 02/15/2034 | 0.000% | | 4,400,000 | 3,050,266 |
| U.S. Treasury Obligations (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 05/15/2034 | 0.000% | | 2,400,000 | 1,645,219 |
| 11/15/2034 | 0.000% | | 1,850,000 | 1,250,051 |
| 11/15/2040 | 0.000% | | 13,935,000 | 7,410,589 |
Total U.S. Treasury Obligations
(Cost $1,316,384,171) | 1,187,851,620 |
| Money Market Funds 4.9% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(n),(o) | 255,919,051 | 255,765,500 |
Total Money Market Funds
(Cost $255,772,673) | 255,765,500 |
Total Investments in Securities
(Cost: $5,977,839,897) | 5,506,867,656 |
| Other Assets & Liabilities, Net | | (274,699,371) |
| Net Assets | 5,232,168,285 |
At June 30, 2022, securities and/or cash totaling $6,205,000 were pledged as collateral.
Investments in derivatives
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| U.S. Long Bond | 109 | 09/2022 | USD | 15,110,125 | — | (297,914) |
| U.S. Treasury 10-Year Note | 1,013 | 09/2022 | USD | 120,072,156 | — | (1,589,065) |
| U.S. Treasury 2-Year Note | 335 | 09/2022 | USD | 70,355,235 | — | (388,606) |
| U.S. Treasury 5-Year Note | 167 | 09/2022 | USD | 18,745,750 | 31,020 | — |
| U.S. Treasury 5-Year Note | 165 | 09/2022 | USD | 18,521,250 | — | (59,619) |
| U.S. Treasury Ultra 10-Year Note | 94 | 09/2022 | USD | 11,973,250 | — | (224,697) |
| U.S. Ultra Treasury Bond | 51 | 09/2022 | USD | 7,871,531 | — | (82,495) |
| Total | | | | | 31,020 | (2,642,396) |
| Cleared credit default swap contracts - buy protection |
Reference
entity | Counterparty | Maturity
date | Pay
fixed
rate
(%) | Payment
frequency | Notional
currency | Notional
amount | Value
($) | Upfront
payments
($) | Upfront
receipts
($) | Unrealized
appreciation
($) | Unrealized
depreciation
($) |
| Markit CDX North America High Yield Index, Series 38 | Citi | 06/20/2027 | 5.000 | Quarterly | USD | 13,612,500 | 1,145,005 | — | — | 1,145,005 | — |
Notes to Portfolio of Investments
| (a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2022, the total value of these securities amounted to $1,392,456,492, which represents 26.61% of total net assets. |
| (b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2022. |
| (c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of June 30, 2022. |
| (d) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2022, the total value of these securities amounted to $69,947,395, which represents 1.34% of total net assets. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 58 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Notes to Portfolio of Investments (continued)
| (e) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At June 30, 2022, the total value of these securities amounted to $17,041, which represents less than 0.01% of total net assets. |
| (f) | Valuation based on significant unobservable inputs. |
| (g) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (h) | Represents a security purchased on a when-issued basis. |
| (i) | Represents principal only securities which have the right to receive the principal portion only on an underlying pool of mortgage loans. |
| (j) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2022. |
| (k) | Zero coupon bond. |
| (l) | Principal and interest may not be guaranteed by a governmental entity. |
| (m) | Represents a security purchased on a forward commitment basis. |
| (n) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (o) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 301,950,331 | 1,352,926,473 | (1,399,112,601) | 1,297 | 255,765,500 | (95,953) | 570,238 | 255,919,051 |
Abbreviation Legend
| AID | Agency for International Development |
| AMBAC | Ambac Assurance Corporation |
| BAM | Build America Mutual Assurance Co. |
| CMO | Collateralized Mortgage Obligation |
| CMT | Constant Maturity Treasury |
| FHLMC | Federal Home Loan Mortgage Corporation |
| LIBOR | London Interbank Offered Rate |
| MTA | Monthly Treasury Average |
| SOFR | Secured Overnight Financing Rate |
| STRIPS | Separate Trading of Registered Interest and Principal Securities |
| TBA | To Be Announced |
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). |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 59 |
Portfolio of Investments (continued)
June 30, 2022 (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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Asset-Backed Securities — Non-Agency | — | 467,877,183 | 24,579,639 | 492,456,822 |
| Commercial Mortgage-Backed Securities - Agency | — | 237,660,602 | — | 237,660,602 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 285,441,423 | 7,019,902 | 292,461,325 |
| Convertible Bonds | — | 1,398,976 | — | 1,398,976 |
| Corporate Bonds & Notes | — | 1,585,137,312 | — | 1,585,137,312 |
| Foreign Government Obligations | — | 53,014,727 | — | 53,014,727 |
| Inflation-Indexed Bonds | — | 1,496,683 | — | 1,496,683 |
| Municipal Bonds | — | 11,181,576 | — | 11,181,576 |
| Residential Mortgage-Backed Securities - Agency | — | 1,098,390,896 | 3,032,841 | 1,101,423,737 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 200,910,076 | 55,187,406 | 256,097,482 |
| U.S. Government & Agency Obligations | — | 30,921,294 | — | 30,921,294 |
| U.S. Treasury Obligations | 1,091,451,833 | 96,399,787 | — | 1,187,851,620 |
| Money Market Funds | 255,765,500 | — | — | 255,765,500 |
| Total Investments in Securities | 1,347,217,333 | 4,069,830,535 | 89,819,788 | 5,506,867,656 |
| Investments in Derivatives | | | | |
| Asset | | | | |
| Futures Contracts | 31,020 | — | — | 31,020 |
| Swap Contracts | — | 1,145,005 | — | 1,145,005 |
| Liability | | | | |
| Futures Contracts | (2,642,396) | — | — | (2,642,396) |
| Total | 1,344,605,957 | 4,070,975,540 | 89,819,788 | 5,505,401,285 |
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.
| 60 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Fair value measurements (continued)
The following table is a reconciliation of Level 3 assets for which significant observable and unobservable inputs were used to determine fair value:
| | Balance
as of
12/31/2021
($) | Increase
(decrease)
in accrued
discounts/
premiums
($) | Realized
gain (loss)
($) | Change
in unrealized
appreciation
(depreciation)(a)
($) | Purchases
($) | Sales
($) | Transfers
into
Level 3
($) | Transfers
out of
Level 3
($) | Balance
as of
06/30/2022
($) |
| Asset-Backed Securities — Non-Agency | 21,457,203 | (5,982) | 171,422 | (549,901) | 4,647,977 | (1,141,080) | — | — | 24,579,639 |
| Commercial Mortgage-Backed Securities — Non-Agency | 7,189,673 | (24,069) | — | (107,748) | — | (37,954) | — | — | 7,019,902 |
| Corporate Bonds & Notes | 6,000,000 | — | — | — | — | — | — | (6,000,000) | — |
| Residential Mortgage-Backed Securities — Agency | — | — | — | 8,048 | 3,024,793 | — | — | — | 3,032,841 |
| Residential Mortgage-Backed Securities — Non-Agency | 61,142,686 | — | — | (348,378) | 10,291,924 | (3,223,826) | — | (12,675,000) | 55,187,406 |
| Total | 95,789,562 | (30,051) | 171,422 | (997,979) | 17,964,694 | (4,402,860) | — | (18,675,000) | 89,819,788 |
(a) Change in unrealized appreciation (depreciation) relating to securities held at June 30, 2022 was $(997,979), which is comprised of Asset-Backed Securities — Non-Agency of $(549,901), Commercial Mortgage-Backed Securities — Non-Agency of $(107,748), Residential Mortgage-Backed Securities — Agency of $8,048 and Residential Mortgage-Backed Securities — Non-Agency of $(348,378).
The Fund’s assets assigned to the Level 3 category are valued utilizing the valuation technique deemed the most appropriate in the circumstances. Certain commercial mortgage backed securities, residential mortgage backed securities 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, single market quotations from broker dealers, the distressed nature of the security and observable transactions for similar assets in the market. Significant increases (decreases) to any of these inputs would have resulted in a significantly higher (lower) fair value 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.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 61 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $5,722,067,224) | $5,251,102,156 |
| Affiliated issuers (cost $255,772,673) | 255,765,500 |
| Cash | 400,000 |
| Foreign currency (cost $31) | 31 |
| Cash collateral held at broker for: | |
| TBA | 1,560,000 |
| Margin deposits on: | |
| Futures contracts | 3,817,000 |
| Swap contracts | 828,000 |
| Receivable for: | |
| Investments sold | 14,930,997 |
| Investments sold on a delayed delivery basis | 252,488,404 |
| Dividends | 194,931 |
| Interest | 27,265,432 |
| Foreign tax reclaims | 137,303 |
| Variation margin for futures contracts | 1,879,016 |
| Variation margin for swap contracts | 24,865 |
| Prepaid expenses | 25,737 |
| Total assets | 5,810,419,372 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 30,939,131 |
| Investments purchased on a delayed delivery basis | 538,603,194 |
| Capital shares purchased | 8,351,578 |
| Management services fees | 66,467 |
| Distribution and/or service fees | 105 |
| Service fees | 775 |
| Compensation of board members | 231,793 |
| Compensation of chief compliance officer | 722 |
| Other expenses | 57,322 |
| Total liabilities | 578,251,087 |
| Net assets applicable to outstanding capital stock | $5,232,168,285 |
| Represented by | |
| Paid in capital | 5,706,211,321 |
| Total distributable earnings (loss) | (474,043,036) |
| Total - representing net assets applicable to outstanding capital stock | $5,232,168,285 |
| Class 1 | |
| Net assets | $5,216,774,952 |
| Shares outstanding | 524,977,030 |
| Net asset value per share | $9.94 |
| Class 2 | |
| Net assets | $15,393,333 |
| Shares outstanding | 1,559,275 |
| Net asset value per share | $9.87 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 62 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $570,238 |
| Interest | 68,791,830 |
| Interfund lending | 190 |
| Total income | 69,362,258 |
| Expenses: | |
| Management services fees | 12,816,374 |
| Distribution and/or service fees | |
| Class 2 | 19,574 |
| Service fees | 4,846 |
| Compensation of board members | 24,047 |
| Custodian fees | 41,760 |
| Printing and postage fees | 6,205 |
| Audit fees | 32,706 |
| Legal fees | 33,509 |
| Interest on collateral | 5,488 |
| Compensation of chief compliance officer | 533 |
| Other | 34,108 |
| Total expenses | 13,019,150 |
| Net investment income | 56,343,108 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (151,164,320) |
| Investments — affiliated issuers | (95,953) |
| Forward foreign currency exchange contracts | 119,201 |
| Futures contracts | (8,588,943) |
| Swap contracts | (1,234,922) |
| Net realized loss | (160,964,937) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (530,869,353) |
| Investments — affiliated issuers | 1,297 |
| Futures contracts | (2,623,689) |
| Swap contracts | 1,060,813 |
| Net change in unrealized appreciation (depreciation) | (532,430,932) |
| Net realized and unrealized loss | (693,395,869) |
| Net decrease in net assets resulting from operations | $(637,052,761) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 63 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $56,343,108 | $87,127,423 |
| Net realized gain (loss) | (160,964,937) | 36,194,057 |
| Net change in unrealized appreciation (depreciation) | (532,430,932) | (169,957,325) |
| Net decrease in net assets resulting from operations | (637,052,761) | (46,635,845) |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class 1 | — | (239,558,439) |
| Class 2 | — | (616,889) |
| Total distributions to shareholders | — | (240,175,328) |
| Increase (decrease) in net assets from capital stock activity | (165,705,562) | 1,539,965,680 |
| Total increase (decrease) in net assets | (802,758,323) | 1,253,154,507 |
| Net assets at beginning of period | 6,034,926,608 | 4,781,772,101 |
| Net assets at end of period | $5,232,168,285 | $6,034,926,608 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 2,774,474 | 28,237,202 | 143,744,612 | 1,647,133,113 |
| Distributions reinvested | — | — | 21,351,020 | 239,558,439 |
| Redemptions | (18,747,735) | (194,186,570) | (30,627,763) | (348,170,554) |
| Net increase (decrease) | (15,973,261) | (165,949,368) | 134,467,869 | 1,538,520,998 |
| Class 2 | | | | |
| Subscriptions | 177,147 | 1,811,919 | 327,529 | 3,713,472 |
| Distributions reinvested | — | — | 55,178 | 616,889 |
| Redemptions | (150,736) | (1,568,113) | (255,399) | (2,885,679) |
| Net increase | 26,411 | 243,806 | 127,308 | 1,444,682 |
| Total net increase (decrease) | (15,946,850) | (165,705,562) | 134,595,177 | 1,539,965,680 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 64 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
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Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 65 |
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.
| | 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 | Total
distributions to
shareholders |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $11.12 | 0.11 | (1.29) | (1.18) | — | — | — |
| Year Ended 12/31/2021 | $11.72 | 0.18 | (0.32) | (0.14) | (0.17) | (0.29) | (0.46) |
| Year Ended 12/31/2020 | $11.15 | 0.22 | 0.70 | 0.92 | (0.24) | (0.11) | (0.35) |
| Year Ended 12/31/2019 | $10.52 | 0.29 | 0.61 | 0.90 | (0.27) | — | (0.27) |
| Year Ended 12/31/2018 | $10.94 | 0.29 | (0.31) | (0.02) | (0.27) | (0.13) | (0.40) |
| Year Ended 12/31/2017 | $10.82 | 0.26 | 0.12 | 0.38 | (0.25) | (0.01) | (0.26) |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $11.07 | 0.09 | (1.29) | (1.20) | — | — | — |
| Year Ended 12/31/2021 | $11.66 | 0.15 | (0.31) | (0.16) | (0.14) | (0.29) | (0.43) |
| Year Ended 12/31/2020 | $11.10 | 0.19 | 0.69 | 0.88 | (0.21) | (0.11) | (0.32) |
| Year Ended 12/31/2019 | $10.47 | 0.26 | 0.61 | 0.87 | (0.24) | — | (0.24) |
| Year Ended 12/31/2018 | $10.89 | 0.26 | (0.30) | (0.04) | (0.25) | (0.13) | (0.38) |
| Year Ended 12/31/2017 | $10.77 | 0.23 | 0.13 | 0.36 | (0.23) | (0.01) | (0.24) |
| 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) | Annualized. |
| (d) | Ratios include interest on collateral expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 66 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $9.94 | (10.61%) | 0.47%(c),(d) | 0.47%(c),(d) | 2.04%(c) | 139% | $5,216,775 |
| Year Ended 12/31/2021 | $11.12 | (1.24%) | 0.47%(d) | 0.47%(d) | 1.55% | 276% | $6,017,964 |
| Year Ended 12/31/2020 | $11.72 | 8.27% | 0.48%(d) | 0.48%(d) | 1.90% | 298% | $4,765,378 |
| Year Ended 12/31/2019 | $11.15 | 8.61% | 0.48% | 0.48% | 2.69% | 321% | $3,759,623 |
| Year Ended 12/31/2018 | $10.52 | (0.09%) | 0.49% | 0.49% | 2.75% | 309% | $3,535,290 |
| Year Ended 12/31/2017 | $10.94 | 3.58% | 0.52% | 0.52% | 2.39% | 240% | $3,284,310 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $9.87 | (10.84%) | 0.72%(c),(d) | 0.72%(c),(d) | 1.79%(c) | 139% | $15,393 |
| Year Ended 12/31/2021 | $11.07 | (1.41%) | 0.72%(d) | 0.72%(d) | 1.30% | 276% | $16,962 |
| Year Ended 12/31/2020 | $11.66 | 7.97% | 0.73%(d) | 0.73%(d) | 1.64% | 298% | $16,394 |
| Year Ended 12/31/2019 | $11.10 | 8.39% | 0.73% | 0.73% | 2.43% | 321% | $11,721 |
| Year Ended 12/31/2018 | $10.47 | (0.35%) | 0.74% | 0.74% | 2.50% | 309% | $9,303 |
| Year Ended 12/31/2017 | $10.89 | 3.34% | 0.77% | 0.77% | 2.15% | 240% | $10,669 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022
| 67 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
Variable Portfolio – Partners Core 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 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 net investment income 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 market value, unless this method results in a valuation that management believes does not approximate fair 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. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management believes does not approximate fair value.
Investments in open-end investment companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
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 a settlement price, at the mean of the latest quoted bid and ask prices.
| 68 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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, in seeking 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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. 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 clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing 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 counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts and 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 instruments’ 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.
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Notes to Financial Statements (continued)
June 30, 2022 (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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as well. 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 may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in the Statement of Operations. 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 determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, 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 generate total return through long and short positions versus the U.S. dollar. 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. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without delivery of foreign currency.
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 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
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 generally expects to earn interest income on its margin deposits. 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. For a bilateral swap contract, the Fund has credit exposure to the broker, but exchanges daily variation margin with the broker based on the mark-to-market value of the swap contract to minimize that exposure. 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, that 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 transactions 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 typically 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 upfront receipts upon entering into the
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 upfront payment or receipt 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, 2022:
| | Asset derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 1,145,005* |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 31,020* |
| Total | | 1,176,025 |
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 2,642,396* |
| * | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin is reported in receivables or payables in the Statement of Assets and Liabilities. |
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the six months ended June 30, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Forward
foreign
currency
exchange
contracts
($) | Futures
contracts
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | — | (1,234,922) | (1,234,922) |
| Foreign exchange risk | 119,201 | — | — | 119,201 |
| Interest rate risk | — | (8,588,943) | — | (8,588,943) |
| Total | 119,201 | (8,588,943) | (1,234,922) | (9,704,664) |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) | Swap
contracts
($) | Total
($) |
| Credit risk | — | 1,060,813 | 1,060,813 |
| Interest rate risk | (2,623,689) | — | (2,623,689) |
| Total | (2,623,689) | 1,060,813 | (1,562,876) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average notional
amounts ($) |
| Futures contracts — long | 230,242,672* |
| Futures contracts — short | 22,123,189** |
| Credit default swap contracts — buy protection | 13,681,250* |
| Credit default swap contracts — sell protection | 8,055,249** |
| Derivative instrument | Average unrealized
appreciation ($)** | Average unrealized
depreciation ($)** |
| Forward foreign currency exchange contracts | 60,297 | (39,530) |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
| ** | Based on the ending daily outstanding amounts for the six months ended June 30, 2022. |
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.
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 may 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 may 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
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.
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 in 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 in 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.
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Notes to Financial Statements (continued)
June 30, 2022 (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, 2022:
| | Citi ($) |
| Assets | |
| Centrally cleared credit default swap contracts (a) | 24,865 |
| Total financial and derivative net assets | 24,865 |
| Total collateral received (pledged) (b) | - |
| Net amount (c) | 24,865 |
| (a) | Centrally cleared swaps are included within payable/receivable for variation margin in 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.
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. For convertible securities, premiums attributable to the conversion feature are not amortized.
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 collectability 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 investment company taxable income and net capital gain, 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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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 in 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 annually. 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 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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 subadvisers (see Subadvisory agreements below) have 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 0.50% to 0.34% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2022 was 0.46% of the Fund’s average daily net assets.
Subadvisory agreements
The Investment Manager has entered into Subadvisory Agreements with Allspring Global Investments, LLC and J.P. Morgan Investment Management Inc., each of which subadvises a portion of the assets of the Fund. New investments in the Fund, net of redemptions, are allocated in accordance with the Investment Manager’s determination. Each subadviser’s proportionate share of investments in the Fund will vary due to market fluctuations. The Investment Manager compensates each subadviser to manage the investment of the Fund’s assets.
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 Deferred 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
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
remains in the Fund until distributed in accordance with the Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.00% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | Fee rate(s) contractual
through
April 30, 2023 |
| Class 1 | 0.54% |
| Class 2 | 0.79 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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, 2022, the approximate cost of all 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) ($) | Net unrealized
(depreciation) ($) |
| 5,977,840,000 | 11,649,000 | (484,088,000) | (472,439,000) |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
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 $7,862,094,579 and $8,066,785,513, respectively, for the six months ended June 30, 2022, of which $6,619,419,409 and $6,639,489,860, 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
| 78 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The Fund’s activity in the Interfund Program during the six months ended June 30, 2022 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Lender | 1,620,000 | 0.85 | 5 |
Interest income earned by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at June 30, 2022.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 9. Significant risks
Credit risk
Credit risk is the risk that the value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower-rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
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 instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise 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. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
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.
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Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Mortgage- and other asset-backed securities risk
The value of any mortgage-backed and other asset-backed securities including collateralized debt obligations, if any, 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,
| 80 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 liquidity risk and prepayment risk. A decline or flattening of housing values may cause delinquencies in mortgages (especially sub-prime or non-prime mortgages) underlying mortgage-backed securities and thereby adversely affect the ability of the mortgage-backed securities issuer to make principal and/or interest payments to mortgage-backed securities holders, including the Fund. 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, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. 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 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
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Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management and Subadvisory
Agreements
(Unaudited)
Columbia Management Investment Advisers, LLC (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), the Investment Manager 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 the Investment Manager and each of Allspring Global Investments, LLC and J.P. Morgan Investment Management Inc. (collectively, the Subadvisers), the Subadvisers provide 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 Agreements (together, the Advisory Agreements). The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
| 82 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board, at its June 23, 2022 Board meeting (the June Meeting), considered the renewal of each 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. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Advisory Agreements; |
| • | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreements; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager and the Subadvisers under the Advisory Agreements, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager and Subadvisers, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager and the Subadvisers with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager and the Subadvisers
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager and the Subadvisers, as well as their history, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers. With respect to the Investment Manager, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as
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Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. 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 the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by the Investment Manager in addition to monitoring each Subadviser), noting that no changes were proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
The Board 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 subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no changes were recommended to the Subadvisory Agreements. The Board took into account the Investment Manager’s representation that each Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Advisory Agreements supported the continuation of the Management Agreement and the Subadvisory Agreements.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
Additionally, the Board reviewed the performance of each of the Subadvisers and the Investment Manager’s process for monitoring such Subadvisers’ performance. The Board considered, in particular, management’s rationale for recommending the continued retention of each Subadviser and management’s representations that the Investment Manager’s profitability is not the key factor driving their recommendation to select, renew or terminate the Subadvisers.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
| 84 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board also considered the Investment Manager’s and Subadvisers’ performance and reputation generally, and the Investment Manager’s evaluation of each Subadviser’s contribution to the Fund’s broader investment mandate. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadvisers, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory Agreements.
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates 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 Broadridge and JDL) 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 the Investment Manager’s profitability.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
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 Fund. The Board also reviewed advisory fee rates charged by other comparable mutual funds employing each Subadviser to provide comparable subadvisory services. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees, subadvisory fees and expenses of the Fund, in light of other considerations, supported the continuation of each of the Management Agreement and the Subadvisory Agreements.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. Because the Subadvisory Agreements were negotiated at arms-length by the Investment Manager, which is responsible for payments to the Subadvisers thereunder, the Board did not consider the profitability to each Subadviser from its relationship with the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreements.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation
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Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. The Board also noted that the breakpoints in the Subadvisory Agreements did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement and the Subadvisory Agreements. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under each of the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided and approved the renewal of each of the Advisory Agreements.
| 86 | Variable Portfolio – Partners Core Bond Fund | Semiannual Report 2022 |
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Variable Portfolio – Partners Core Bond Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
Variable Portfolio – Partners International 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Variable Portfolio – Partners International Value Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term capital growth.
Portfolio management
Pzena Investment Management, LLC
John Goetz
Caroline Cai, CFA
Allison Fisch
Thompson, Siegel & Walmsley LLC
Brandon Harrell, CFA
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/07/10 | -16.72 | -17.13 | -0.94 | 3.10 |
| Class 2 | 05/07/10 | -16.92 | -17.41 | -1.21 | 2.84 |
| MSCI EAFE Value Index (Net) | | -12.12 | -11.95 | 0.52 | 4.25 |
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 May 2021 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 subadvisers and strategies had been in place for the prior periods, results shown may have been different.
The MSCI EAFE Value Index (Net) captures large- and mid-cap securities exhibiting overall value style characteristics across 21 of 23 developed market 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.
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), which reflects reinvested dividends net of withholding taxes) or other expenses of investing. Securities in the Fund may not match those in an index.
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 3.5 |
| Consumer Discretionary | 13.1 |
| Consumer Staples | 11.5 |
| Energy | 5.4 |
| Financials | 21.0 |
| Health Care | 10.3 |
| Industrials | 16.2 |
| Information Technology | 8.4 |
| Materials | 7.5 |
| Real Estate | 0.9 |
| Utilities | 2.2 |
| 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, 2022) |
| Australia | 2.0 |
| Austria | 0.1 |
| Belgium | 1.4 |
| Brazil | 1.3 |
| Canada | 0.3 |
| China | 2.3 |
| Denmark | 1.1 |
| Finland | 2.0 |
| France | 10.7 |
| Germany | 10.1 |
| Hong Kong | 2.3 |
| Ireland | 1.4 |
| Isle of Man | 0.2 |
| Israel | 0.5 |
| Italy | 0.8 |
| Japan | 18.8 |
| Netherlands | 5.3 |
| Norway | 1.0 |
| Portugal | 0.0(a) |
| Singapore | 1.4 |
| South Korea | 2.6 |
| Spain | 0.8 |
| Sweden | 1.1 |
| Switzerland | 8.8 |
| Taiwan | 1.6 |
| United Kingdom | 20.6 |
| United States(b) | 1.5 |
| 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, excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| 4 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 832.80 | 1,020.63 | 3.82 | 4.21 | 0.84 |
| Class 2 | 1,000.00 | 1,000.00 | 830.80 | 1,019.39 | 4.95 | 5.46 | 1.09 |
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.
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 96.8% |
| Issuer | Shares | Value ($) |
| Australia 2.0% |
| BHP Group Ltd. | 73,300 | 2,098,844 |
| BHP Group Ltd., ADR | 57,000 | 3,202,260 |
| LendLease Group | 454,900 | 2,865,389 |
| Macquarie Group Ltd. | 64,100 | 7,298,166 |
| Santos Ltd. | 1,654,500 | 8,388,616 |
| Woodside Energy Group Ltd. | 77,444 | 1,702,113 |
| Total | 25,555,388 |
| Austria 0.1% |
| ams-OSRAM AG(a) | 123,500 | 1,117,304 |
| Belgium 1.4% |
| Anheuser-Busch InBev SA/NV | 171,900 | 9,257,152 |
| Groupe Bruxelles Lambert SA | 50,700 | 4,250,153 |
| KBC Group NV | 82,300 | 4,630,279 |
| Total | 18,137,584 |
| Brazil 1.3% |
| Ambev SA | 6,524,900 | 16,681,761 |
| Canada 0.3% |
| TFI International, Inc. | 41,900 | 3,363,523 |
| China 2.3% |
| Alibaba Group Holding Ltd.(a) | 997,400 | 14,228,303 |
| Trip.com Group Ltd., ADR(a) | 552,887 | 15,176,748 |
| Total | 29,405,051 |
| Denmark 1.1% |
| AP Moller - Maersk A/S, Class B | 3,544 | 8,319,887 |
| Danske Bank A/S | 398,779 | 5,675,708 |
| Total | 13,995,595 |
| Finland 1.9% |
| Nokia OYJ | 5,371,883 | 24,898,959 |
| France 10.6% |
| Accor SA(a) | 210,881 | 5,753,162 |
| Amundi SA | 265,730 | 14,630,317 |
| Bouygues SA | 191,190 | 5,900,797 |
| Capgemini SE | 35,200 | 6,070,597 |
| Cie de Saint-Gobain | 69,700 | 3,011,684 |
| Cie Generale des Etablissements Michelin SCA | 523,836 | 14,306,471 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Dassault Aviation SA | 23,620 | 3,688,566 |
| Engie SA | 912,900 | 10,570,435 |
| Euroapi SA(a) | 3,222 | 50,830 |
| Publicis Groupe SA(a) | 173,135 | 8,514,873 |
| Rexel SA(a) | 1,282,394 | 19,815,553 |
| Sanofi | 181,210 | 18,274,315 |
| SCOR SE | 178,394 | 3,842,445 |
| TotalEnergies SE | 162,700 | 8,564,035 |
| Ubisoft Entertainment SA(a) | 76,700 | 3,382,726 |
| Veolia Environnement SA(a) | 364,640 | 8,938,534 |
| Total | 135,315,340 |
| Germany 9.2% |
| Allianz SE, Registered Shares | 22,700 | 4,351,824 |
| BASF SE | 423,431 | 18,526,058 |
| Bayer AG, Registered Shares | 62,000 | 3,702,417 |
| Covestro AG | 448,481 | 15,584,133 |
| Deutsche Boerse AG | 46,600 | 7,825,387 |
| Deutsche Post AG | 211,711 | 7,993,394 |
| Fresenius Medical Care AG & Co. KGaA | 270,133 | 13,533,963 |
| Fresenius SE & Co. KGaA | 206,100 | 6,267,860 |
| HeidelbergCement AG | 130,500 | 6,300,710 |
| Infineon Technologies AG | 229,300 | 5,577,843 |
| SAP SE | 88,400 | 8,057,701 |
| Siemens AG, Registered Shares | 135,173 | 13,895,311 |
| Siemens Energy AG | 254,450 | 3,750,171 |
| Talanx AG | 63,400 | 2,423,447 |
| Total | 117,790,219 |
| Hong Kong 2.2% |
| CK Asset Holdings Ltd. | 871,500 | 6,192,284 |
| CK Hutchison Holdings Ltd. | 1,408,900 | 9,557,979 |
| Galaxy Entertainment Group Ltd. | 2,145,000 | 12,849,782 |
| Total | 28,600,045 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Ireland 1.4% |
| AIB Group PLC | 2,021,000 | 4,612,549 |
| Bank of Ireland Group PLC | 924,379 | 5,842,615 |
| Ryanair Holdings PLC, ADR(a) | 7,900 | 531,275 |
| Smurfit Kappa Group PLC | 217,100 | 7,321,057 |
| Total | 18,307,496 |
| Isle of Man 0.2% |
| Entain PLC(a) | 170,400 | 2,593,091 |
| Israel 0.5% |
| Check Point Software Technologies Ltd.(a) | 53,400 | 6,503,052 |
| Italy 0.8% |
| Enel SpA | 1,553,490 | 8,519,684 |
| Prysmian SpA | 76,900 | 2,112,668 |
| Total | 10,632,352 |
| Japan 18.6% |
| Astellas Pharma, Inc. | 533,400 | 8,321,949 |
| Bridgestone Corp. | 134,300 | 4,896,496 |
| Denka Co., Ltd. | 118,300 | 2,866,621 |
| FANUC Corp. | 32,600 | 5,109,701 |
| Fujitsu Ltd. | 46,200 | 5,780,913 |
| Fukuoka Financial Group, Inc. | 314,000 | 5,655,143 |
| Hitachi Ltd. | 172,400 | 8,201,080 |
| Honda Motor Co., Ltd. | 575,400 | 13,873,528 |
| Iida Group Holdings Co., Ltd. | 219,400 | 3,368,309 |
| Isuzu Motors Ltd. | 1,076,200 | 11,904,263 |
| Kirin Holdings Co., Ltd. | 330,600 | 5,222,504 |
| Komatsu Ltd. | 894,900 | 19,926,892 |
| Kyocera Corp. | 131,600 | 7,034,863 |
| Mitsui & Co., Ltd. | 140,100 | 3,078,633 |
| MS&AD Insurance Group Holdings, Inc. | 127,100 | 3,897,316 |
| Nintendo Co., Ltd. | 18,800 | 8,085,061 |
| Olympus Corp. | 272,400 | 5,520,239 |
| ORIX Corp. | 529,300 | 8,870,988 |
| Panasonic Holdings Corp. | 1,342,300 | 10,837,979 |
| Rakuten Group, Inc. | 899,300 | 4,066,283 |
| Resona Holdings, Inc. | 1,937,450 | 7,247,061 |
| SBI Holdings, Inc. | 272,200 | 5,318,683 |
| Sega Sammy Holdings, Inc. | 181,400 | 2,913,707 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Seven & I Holdings Co., Ltd. | 280,400 | 10,879,633 |
| Sony Group Corp. | 187,300 | 15,275,585 |
| Square Enix Holdings Co., Ltd. | 93,400 | 4,145,723 |
| Sumitomo Mitsui Financial Group, Inc. | 397,600 | 11,818,699 |
| T&D Holdings, Inc. | 268,300 | 3,211,700 |
| Takeda Pharmaceutical Co., Ltd. | 322,600 | 9,061,302 |
| Toray Industries, Inc. | 1,049,700 | 5,908,590 |
| Toshiba Corp. | 157,900 | 6,415,524 |
| Toyota Industries Corp. | 152,600 | 9,462,309 |
| Total | 238,177,277 |
| Netherlands 5.3% |
| AerCap Holdings NV(a) | 122,900 | 5,031,526 |
| ArcelorMittal SA | 335,920 | 7,533,135 |
| ASML Holding NV | 12,900 | 6,094,449 |
| CNH Industrial NV | 443,600 | 5,130,391 |
| EXOR NV | 32,900 | 2,055,920 |
| Heineken Holding NV | 104,220 | 7,571,025 |
| ING Groep NV | 1,333,979 | 13,141,836 |
| Koninklijke Philips NV | 117,035 | 2,510,229 |
| NXP Semiconductors NV | 29,800 | 4,411,294 |
| Randstad NV | 287,897 | 13,914,178 |
| Total | 67,393,983 |
| Norway 1.0% |
| Aker BP ASA(a) | 87,205 | 3,028,801 |
| DNB Bank ASA | 257,800 | 4,667,099 |
| Mowi ASA | 215,500 | 4,927,986 |
| Total | 12,623,886 |
| Portugal 0.0% |
| Banco Espirito Santo SA, Registered Shares(a),(b),(c) | 533,756 | 1 |
| Singapore 1.4% |
| DBS Group Holdings Ltd. | 725,300 | 15,519,542 |
| Wilmar International Ltd. | 598,700 | 1,742,567 |
| Total | 17,262,109 |
| South Korea 2.6% |
| POSCO Holdings, Inc. | 70,603 | 12,591,138 |
| POSCO Holdings, Inc., ADR | 200 | 8,904 |
| Samsung Electronics Co., Ltd. | 204,400 | 9,015,544 |
| Shinhan Financial Group Co., Ltd. | 399,670 | 11,460,328 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Shinhan Financial Group Co., Ltd., ADR | 15,057 | 430,028 |
| Total | 33,505,942 |
| Spain 0.8% |
| CaixaBank SA | 2,801,976 | 9,812,668 |
| Sweden 1.1% |
| Essity AB, Class B | 219,000 | 5,724,784 |
| Husqvarna AB, Class B | 153,200 | 1,129,210 |
| Investor AB, Class B | 232,500 | 3,834,336 |
| Volvo AB, B Shares | 224,300 | 3,489,971 |
| Total | 14,178,301 |
| Switzerland 8.7% |
| ABB Ltd. | 273,000 | 7,321,365 |
| Alcon, Inc. | 27,200 | 1,907,307 |
| Cie Financiere Richemont SA, Class A, Registered Shares | 56,200 | 6,045,051 |
| Credit Suisse Group AG, Registered Shares | 921,300 | 5,258,640 |
| Julius Baer Group Ltd. | 57,471 | 2,666,085 |
| Nestlé SA, Registered Shares | 142,900 | 16,701,117 |
| Novartis AG, Registered Shares | 178,229 | 15,110,367 |
| Roche Holding AG, Genusschein Shares | 89,250 | 29,836,261 |
| UBS AG | 1,645,454 | 26,601,611 |
| Total | 111,447,804 |
| Taiwan 1.6% |
| Hon Hai Precision Industry Co., Ltd. | 5,499,000 | 20,187,618 |
| United Kingdom 20.4% |
| Ashtead Group PLC | 109,300 | 4,598,093 |
| Aviva PLC | 1,890,401 | 9,259,686 |
| Barclays Bank PLC | 3,059,458 | 5,721,057 |
| Barratt Developments PLC | 441,600 | 2,470,162 |
| BP PLC | 1,523,800 | 7,154,995 |
| British Land Co. PLC (The) | 314,600 | 1,720,974 |
| Bunzl PLC | 154,900 | 5,144,344 |
| Burberry Group PLC | 84,100 | 1,687,170 |
| DCC PLC | 106,094 | 6,600,804 |
| Glencore PLC(a) | 985,600 | 5,338,439 |
| GSK PLC | 352,500 | 7,596,940 |
| HSBC Holdings PLC | 1,893,281 | 12,367,901 |
| HSBC Holdings PLC, ADR | 78,996 | 2,580,799 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Imperial Brands PLC | 113,900 | 2,549,963 |
| Inchcape PLC | 308,600 | 2,622,486 |
| Informa PLC(a) | 699,100 | 4,516,614 |
| J. Sainsbury PLC | 5,488,492 | 13,658,999 |
| John Wood Group PLC(a) | 4,398,515 | 8,352,727 |
| Kingfisher PLC | 1,829,700 | 5,468,033 |
| Liberty Global PLC, Class C(a) | 253,400 | 5,597,606 |
| Linde PLC | 23,200 | 6,670,696 |
| Lloyds Banking Group PLC | 14,735,100 | 7,581,304 |
| Melrose Industries PLC | 2,851,230 | 5,229,871 |
| NatWest Group PLC | 2,437,856 | 6,488,994 |
| NatWest Group PLC, ADR | 131,591 | 717,171 |
| Persimmon PLC | 173,900 | 3,956,555 |
| Reckitt Benckiser Group PLC | 206,378 | 15,522,156 |
| Shell PLC, ADR | 392,324 | 20,514,622 |
| Smith & Nephew PLC | 475,300 | 6,646,969 |
| Standard Chartered PLC | 1,325,719 | 10,008,378 |
| TechnipFMC PLC(a) | 1,389,134 | 9,348,872 |
| Tesco PLC | 7,500,886 | 23,377,295 |
| Travis Perkins PLC | 835,926 | 9,908,398 |
| Unilever PLC | 214,700 | 9,785,983 |
| Vodafone Group PLC | 6,445,674 | 10,022,331 |
| Total | 260,787,387 |
Total Common Stocks
(Cost $1,466,002,218) | 1,238,273,736 |
| Preferred Stocks 0.8% |
| Issuer | | Shares | Value ($) |
| Germany 0.8% |
| Volkswagen AG | | 72,219 | 9,723,547 |
Total Preferred Stocks
(Cost $18,421,613) | 9,723,547 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Money Market Funds 1.5% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(d),(e) | 19,626,445 | 19,614,669 |
Total Money Market Funds
(Cost $19,614,210) | 19,614,669 |
Total Investments in Securities
(Cost $1,504,038,041) | 1,267,611,952 |
| Other Assets & Liabilities, Net | | 10,960,330 |
| Net Assets | $1,278,572,282 |
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, 2022, the total value of these securities amounted to $1, which represents less than 0.01% of total net assets. |
| (c) | Valuation based on significant unobservable inputs. |
| (d) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (e) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 24,605,917 | 93,892,598 | (98,885,958) | 2,112 | 19,614,669 | (6,991) | 39,446 | 19,626,445 |
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 market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (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.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Australia | 3,202,260 | 22,353,128 | — | 25,555,388 |
| Austria | — | 1,117,304 | — | 1,117,304 |
| Belgium | — | 18,137,584 | — | 18,137,584 |
| Brazil | 16,681,761 | — | — | 16,681,761 |
| Canada | 3,363,523 | — | — | 3,363,523 |
| China | 15,176,748 | 14,228,303 | — | 29,405,051 |
| Denmark | — | 13,995,595 | — | 13,995,595 |
| Finland | — | 24,898,959 | — | 24,898,959 |
| France | — | 135,315,340 | — | 135,315,340 |
| Germany | — | 117,790,219 | — | 117,790,219 |
| Hong Kong | — | 28,600,045 | — | 28,600,045 |
| Ireland | 531,275 | 17,776,221 | — | 18,307,496 |
| Isle of Man | — | 2,593,091 | — | 2,593,091 |
| Israel | 6,503,052 | — | — | 6,503,052 |
| Italy | — | 10,632,352 | — | 10,632,352 |
| Japan | — | 238,177,277 | — | 238,177,277 |
| Netherlands | 9,442,820 | 57,951,163 | — | 67,393,983 |
| Norway | — | 12,623,886 | — | 12,623,886 |
| Portugal | — | — | 1 | 1 |
| Singapore | — | 17,262,109 | — | 17,262,109 |
| South Korea | 438,932 | 33,067,010 | — | 33,505,942 |
| Spain | — | 9,812,668 | — | 9,812,668 |
| Sweden | — | 14,178,301 | — | 14,178,301 |
| Switzerland | — | 111,447,804 | — | 111,447,804 |
| Taiwan | — | 20,187,618 | — | 20,187,618 |
| United Kingdom | 45,429,766 | 215,357,621 | — | 260,787,387 |
| Total Common Stocks | 100,770,137 | 1,137,503,598 | 1 | 1,238,273,736 |
| Preferred Stocks | | | | |
| Germany | — | 9,723,547 | — | 9,723,547 |
| Total Preferred Stocks | — | 9,723,547 | — | 9,723,547 |
| Money Market Funds | 19,614,669 | — | — | 19,614,669 |
| Total Investments in Securities | 120,384,806 | 1,147,227,145 | 1 | 1,267,611,952 |
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.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Fair value measurements (continued)
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022
| 11 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,484,423,831) | $1,247,997,283 |
| Affiliated issuers (cost $19,614,210) | 19,614,669 |
| Foreign currency (cost $2,623,514) | 1,212,231 |
| Receivable for: | |
| Investments sold | 3,027,143 |
| Capital shares sold | 66,631 |
| Dividends | 2,267,538 |
| Foreign tax reclaims | 6,552,076 |
| Expense reimbursement due from Investment Manager | 569 |
| Prepaid expenses | 9,698 |
| Total assets | 1,280,747,838 |
| Liabilities | |
| Due to custodian | 435,455 |
| Payable for: | |
| Investments purchased | 1,336,192 |
| Capital shares purchased | 203,143 |
| Management services fees | 29,361 |
| Distribution and/or service fees | 174 |
| Service fees | 1,121 |
| Compensation of board members | 120,280 |
| Compensation of chief compliance officer | 141 |
| Other expenses | 49,689 |
| Total liabilities | 2,175,556 |
| Net assets applicable to outstanding capital stock | $1,278,572,282 |
| Represented by | |
| Paid in capital | 1,518,224,380 |
| Total distributable earnings (loss) | (239,652,098) |
| Total - representing net assets applicable to outstanding capital stock | $1,278,572,282 |
| Class 1 | |
| Net assets | $1,253,320,753 |
| Shares outstanding | 152,168,544 |
| Net asset value per share | $8.24 |
| Class 2 | |
| Net assets | $25,251,529 |
| Shares outstanding | 3,078,103 |
| Net asset value per share | $8.20 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $39,790,487 |
| Dividends — affiliated issuers | 39,446 |
| Foreign taxes withheld | (3,676,437) |
| Total income | 36,153,496 |
| Expenses: | |
| Management services fees | 5,925,954 |
| Distribution and/or service fees | |
| Class 2 | 33,938 |
| Service fees | 8,302 |
| Compensation of board members | 8,515 |
| Custodian fees | 99,861 |
| Printing and postage fees | 5,450 |
| Audit fees | 21,427 |
| Legal fees | 12,580 |
| Compensation of chief compliance officer | 89 |
| Other | 16,416 |
| Total expenses | 6,132,532 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (25,834) |
| Total net expenses | 6,106,698 |
| Net investment income | 30,046,798 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 6,593,380 |
| Investments — affiliated issuers | (6,991) |
| Foreign currency translations | (566,592) |
| Net realized gain | 6,019,797 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (293,825,457) |
| Investments — affiliated issuers | 2,112 |
| Foreign currency translations | (412,521) |
| Net change in unrealized appreciation (depreciation) | (294,235,866) |
| Net realized and unrealized loss | (288,216,069) |
| Net decrease in net assets resulting from operations | $(258,169,271) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022
| 13 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $30,046,798 | $26,725,642 |
| Net realized gain | 6,019,797 | 105,917,445 |
| Net change in unrealized appreciation (depreciation) | (294,235,866) | (27,873,646) |
| Net increase (decrease) in net assets resulting from operations | (258,169,271) | 104,769,441 |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class 1 | (32,784,196) | (27,325,440) |
| Class 2 | (567,247) | (485,576) |
| Total distributions to shareholders | (33,351,443) | (27,811,016) |
| Increase in net assets from capital stock activity | 9,957,956 | 340,649,920 |
| Total increase (decrease) in net assets | (281,562,758) | 417,608,345 |
| Net assets at beginning of period | 1,560,135,040 | 1,142,526,695 |
| Net assets at end of period | $1,278,572,282 | $1,560,135,040 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 557,174 | 5,084,036 | 60,886,063 | 621,648,130 |
| Distributions reinvested | 3,422,150 | 32,784,196 | 2,769,397 | 27,325,440 |
| Redemptions | (3,213,877) | (30,675,438) | (33,410,457) | (313,506,452) |
| Net increase | 765,447 | 7,192,794 | 30,245,003 | 335,467,118 |
| Class 2 | | | | |
| Subscriptions | 325,566 | 3,015,140 | 648,347 | 6,527,468 |
| Distributions reinvested | 59,397 | 567,247 | 49,365 | 485,576 |
| Redemptions | (87,546) | (817,225) | (184,329) | (1,830,242) |
| Net increase | 297,417 | 2,765,162 | 513,383 | 5,182,802 |
| Total net increase | 1,062,864 | 9,957,956 | 30,758,386 | 340,649,920 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
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Variable Portfolio – Partners International Value Fund | Semiannual Report 2022
| 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.
| | 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 | Total
distributions to
shareholders |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $10.12 | 0.19 | (1.85) | (1.66) | (0.22) | — | (0.22) |
| Year Ended 12/31/2021 | $9.26 | 0.20 | 0.89 | 1.09 | (0.23) | — | (0.23) |
| Year Ended 12/31/2020 | $9.71 | 0.14 | (0.53) | (0.39) | (0.06) | — | (0.06) |
| Year Ended 12/31/2019 | $9.17 | 0.30 | 0.91 | 1.21 | (0.38) | (0.29) | (0.67) |
| Year Ended 12/31/2018 | $11.47 | 0.29 | (2.23) | (1.94) | (0.31) | (0.05) | (0.36) |
| Year Ended 12/31/2017 | $9.34 | 0.26 | 2.09 | 2.35 | (0.22) | — | (0.22) |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $10.07 | 0.18 | (1.86) | (1.68) | (0.19) | — | (0.19) |
| Year Ended 12/31/2021 | $9.21 | 0.18 | 0.89 | 1.07 | (0.21) | — | (0.21) |
| Year Ended 12/31/2020 | $9.69 | 0.12 | (0.54) | (0.42) | (0.06) | — | (0.06) |
| Year Ended 12/31/2019 | $9.15 | 0.28 | 0.90 | 1.18 | (0.35) | (0.29) | (0.64) |
| Year Ended 12/31/2018 | $11.44 | 0.26 | (2.22) | (1.96) | (0.28) | (0.05) | (0.33) |
| Year Ended 12/31/2017 | $9.33 | 0.23 | 2.08 | 2.31 | (0.20) | — | (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) | Annualized. |
| (d) | Ratios include interfund lending expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $8.24 | (16.72%) | 0.84%(c) | 0.84%(c) | 4.16%(c) | 9% | $1,253,321 |
| Year Ended 12/31/2021 | $10.12 | 11.80% | 0.86% | 0.84% | 1.95% | 73% | $1,532,143 |
| Year Ended 12/31/2020 | $9.26 | (3.82%) | 0.88%(d) | 0.85%(d) | 1.72% | 77% | $1,121,635 |
| Year Ended 12/31/2019 | $9.71 | 13.53% | 0.88%(d) | 0.88%(d) | 3.17% | 22% | $1,028,139 |
| Year Ended 12/31/2018 | $9.17 | (17.30%) | 0.83% | 0.83% | 2.70% | 16% | $821,718 |
| Year Ended 12/31/2017 | $11.47 | 25.44% | 0.86% | 0.86% | 2.48% | 9% | $1,759,557 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $8.20 | (16.92%) | 1.09%(c) | 1.09%(c) | 3.98%(c) | 9% | $25,252 |
| Year Ended 12/31/2021 | $10.07 | 11.64% | 1.11% | 1.09% | 1.80% | 73% | $27,992 |
| Year Ended 12/31/2020 | $9.21 | (4.14%) | 1.13%(d) | 1.10%(d) | 1.54% | 77% | $20,892 |
| Year Ended 12/31/2019 | $9.69 | 13.20% | 1.13%(d) | 1.13%(d) | 2.93% | 22% | $23,667 |
| Year Ended 12/31/2018 | $9.15 | (17.48%) | 1.09% | 1.09% | 2.41% | 16% | $19,537 |
| Year Ended 12/31/2017 | $11.44 | 25.02% | 1.11% | 1.11% | 2.18% | 9% | $20,666 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
Variable Portfolio – Partners International 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 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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 18 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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.
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (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 investment company taxable income and net capital gain, 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 in 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 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 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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 subadvisers (see Subadvisory agreements below) have 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 0.87% to 0.67% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2022 was 0.82% of the Fund’s average daily net assets.
| 20 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Subadvisory agreements
The Investment Manager has entered into Subadvisory Agreements with Pzena Investment Management, LLC and Thompson, Siegel & Walmsley LLC, each of which subadvises a portion of the assets of the Fund. New investments in the Fund, net of redemptions, are allocated in accordance with the Investment Manager’s determination. Each subadviser’s proportionate share of investments in the Fund will vary due to market fluctuations. The Investment Manager compensates each subadviser to manage the investment of the Fund’s assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.00% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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.
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements (continued)
June 30, 2022 (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 classes’ average daily net assets:
| | Fee rate(s) contractual
through
April 30, 2023 |
| Class 1 | 0.84% |
| Class 2 | 1.09 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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, 2022, the approximate cost of all 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) ($) |
| 1,504,038,000 | 33,627,000 | (270,053,000) | (236,426,000) |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss carryforwards, determined at December 31, 2021, may be available to reduce future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code.
No expiration
short-term ($) | No expiration
long-term ($) | Total ($) |
| — | (19,464,530) | (19,464,530) |
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.
| 22 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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 $140,370,998 and $135,236,982, respectively, for the six months ended June 30, 2022. 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022
| 23 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 9. Significant risks
Financial sector risk
The Fund is 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 one or more industries or sectors, which makes them vulnerable to economic conditions that affect such industries or sectors. Performance of such companies may be affected by competitive pressures and exposure to investments, agreements and counterparties, including credit products 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 involve heightened risks relative to investments in U.S. securities. Investing in foreign securities subjects the Fund to the risks associated with the issuer’s country of organization and places of business operations, including risks associated with political, regulatory, economic, social, diplomatic and other conditions or events occurring in the country or region, which may result in significant market volatility. In addition, certain foreign securities may be more volatile and less liquid than U.S. securities. Investing in emerging markets may increase these risks and expose the Fund to elevated risks associated with increased inflation, deflation or currency devaluation. 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 risks associated with the conditions, events or other factors impacting those countries or regions and may, therefore, have a greater risk than that of a fund that is more geographically diversified. The financial information and disclosure made available by issuers of emerging market securities may be considerably less reliable than publicly available information about other foreign securities. The Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in certain foreign countries. Investors in foreign countries often have limited rights and few practical remedies to pursue shareholder claims, including class actions or fraud claims, and the ability of the U.S. Securities and Exchange Commission, the U.S. Department of Justice and other authorities to bring and enforce actions against foreign issuers or foreign persons is limited.
Geographic focus risk
The Fund may be particularly susceptible to risks related to economic, political, regulatory or other events or conditions affecting issuers and countries within the specific geographic regions in which the Fund invests. The Fund’s net asset value may be more volatile than the net asset value of a more geographically diversified fund.
Asia Pacific Region. The Fund is particularly susceptible to economic, political, regulatory or other events or conditions affecting issuers and countries in the Asia Pacific region. Many of the countries in the region are considered underdeveloped or developing, including from a political, economic and/or social perspective, and may have relatively unstable governments and economies based on limited business, industries and/or natural resources or commodities. Events in any one country within the region may impact other countries in the region or the region as a whole. As a result, events in the region will generally have a greater effect on the Fund than if the Fund were more geographically diversified. This could result in increased volatility in the value of the Fund’s investments and losses for the Fund. Also, securities of some companies in the region can be less liquid than U.S. or other foreign securities, potentially making it difficult for the Fund to sell such securities at a desirable time and price.
Europe. The Fund is particularly susceptible to risks related to economic, political, regulatory or other events or conditions, including acts of war or other conflicts in the region, affecting issuers and countries in Europe. Countries in Europe are often closely connected and interdependent, and events in one European country can have an adverse impact on, and potentially spread to, other European countries. In addition, private and public sectors’ significant debt problems of a single European Union (EU) country can pose economic risks to the EU as a whole. As a result, the Fund’s net asset value may be more volatile than the net asset value of a more geographically diversified fund. If securities of issuers in Europe fall out of favor, it
| 24 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
may cause the Fund to underperform other funds that do not focus their investments in this region of the world. The departure of the United Kingdom (UK) from the EU single market became effective January 1, 2021 with the end of the Brexit transition period and the post-Brexit trade deal between the UK and EU taking effect on December 31, 2020. The impact of Brexit on the UK and European economies and the broader global economy could be significant, resulting in negative impacts on currency and financial markets generally, such as increased volatility and illiquidity, and potentially lower economic growth in markets in Europe, which may adversely affect the value of your investment in the Fund.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, 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
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022
| 25 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. 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 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
| 26 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management and Subadvisory
Agreements
(Unaudited)
Columbia Management Investment Advisers, LLC (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 International Value Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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 the Investment Manager and each of Pzena Investment Management, LLC and Thompson, Siegel & Walmsley LLC (collectively, the Subadvisers), the Subadvisers provide 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 Agreements (together, the Advisory Agreements). The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022
| 27 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board, at its June 23, 2022 Board meeting (the June Meeting), considered the renewal of each 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. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Advisory Agreements; |
| • | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreements; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager and the Subadvisers under the Advisory Agreements, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager and Subadvisers, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager and the Subadvisers with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager and the Subadvisers
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager and the Subadvisers, as well as their history, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers. With respect to the Investment Manager, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as
| 28 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. 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 the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by the Investment Manager in addition to monitoring each Subadviser), noting that no changes were proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
The Board 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 subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no changes were recommended to the Subadvisory Agreements. The Board took into account the Investment Manager’s representation that each Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Advisory Agreements supported the continuation of the Management Agreement and the Subadvisory Agreements.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
Additionally, the Board reviewed the performance of each of the Subadvisers and the Investment Manager’s process for monitoring such Subadvisers’ performance. The Board considered, in particular, management’s rationale for recommending the continued retention of each Subadviser and management’s representations that the Investment Manager’s profitability is not the key factor driving their recommendation to select, renew or terminate the Subadvisers.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022
| 29 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board also considered the Investment Manager’s and Subadvisers’ performance and reputation generally, and the Investment Manager’s evaluation of each Subadviser’s contribution to the Fund’s broader investment mandate. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadvisers, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory Agreements.
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates 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 Broadridge and JDL) 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 the Investment Manager’s profitability.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe. The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was slightly below the peer universe’s median expense ratio shown in the reports.
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 Fund. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees, subadvisory fees and expenses of the Fund, in light of other considerations, supported the continuation of each of the Management Agreement and the Subadvisory Agreements.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. Because the Subadvisory Agreements were negotiated at arms-length by the Investment Manager, which is responsible for payments to the Subadvisers thereunder, the Board did not consider the profitability to each Subadviser from its relationship with the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreements.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation
| 30 | Variable Portfolio – Partners International Value Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. The Board also noted that the breakpoints in the Subadvisory Agreements did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement and the Subadvisory Agreements. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under each of the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided and approved the renewal of each of the Advisory Agreements.
Variable Portfolio – Partners International Value Fund | Semiannual Report 2022
| 31 |
Variable Portfolio – Partners International Value Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
Variable Portfolio – Partners International Core 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Variable Portfolio – Partners International Core Equity Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term growth of capital.
Portfolio management
Schroder Investment Management North America Inc. (subadviser)
Schroder Investment Management North America Limited (sub-subadviser)
James Gautrey, CFA
Simon Webber, CFA
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/07/10 | -22.90 | -20.41 | 0.70 | 3.99 |
| Class 2 | 05/07/10 | -22.96 | -20.57 | 0.44 | 3.73 |
| MSCI EAFE Index (Net) | | -19.57 | -17.77 | 2.20 | 5.40 |
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 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 May 2021 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 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.
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 1.6 |
| Consumer Discretionary | 17.4 |
| Consumer Staples | 14.2 |
| Energy | 4.7 |
| Financials | 17.2 |
| Health Care | 12.3 |
| Industrials | 18.4 |
| Information Technology | 9.2 |
| Materials | 1.2 |
| Utilities | 3.8 |
| 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, 2022) |
| Argentina | 1.4 |
| Austria | 1.4 |
| Canada | 1.9 |
| China | 1.5 |
| Denmark | 1.8 |
| France | 6.4 |
| Germany | 9.9 |
| Hong Kong | 5.8 |
| India | 2.3 |
| Italy | 3.2 |
| Japan | 9.1 |
| Netherlands | 6.0 |
| Norway | 1.8 |
| Spain | 2.0 |
| Sweden | 2.2 |
| Switzerland | 13.8 |
| Taiwan | 1.5 |
| United Kingdom | 22.9 |
| United States(a) | 5.1 |
| 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, excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| 4 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 771.00 | 1,020.73 | 3.60 | 4.11 | 0.82 |
| Class 2 | 1,000.00 | 1,000.00 | 770.40 | 1,019.49 | 4.70 | 5.36 | 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.
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.
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 97.9% |
| Issuer | Shares | Value ($) |
| Argentina 1.4% |
| MercadoLibre, Inc.(a) | 41,281 | 26,290,630 |
| Austria 1.4% |
| Erste Group Bank AG | 1,026,661 | 26,088,771 |
| Canada 1.9% |
| Canadian National Railway Co. | 312,770 | 35,181,765 |
| China 1.5% |
| Alibaba Group Holding Ltd.(a) | 1,960,100 | 27,961,597 |
| Denmark 1.7% |
| Vestas Wind Systems A/S | 1,558,799 | 33,143,187 |
| France 6.4% |
| Carrefour SA | 1,762,021 | 31,278,181 |
| Legrand SA | 404,005 | 29,996,769 |
| Sanofi | 195,813 | 19,746,970 |
| Schneider Electric SE | 326,642 | 39,080,416 |
| Total | 120,102,336 |
| Germany 9.8% |
| Bayerische Motoren Werke AG | 526,610 | 40,823,131 |
| Infineon Technologies AG | 1,394,340 | 33,918,052 |
| Knorr-Bremse AG | 359,238 | 20,575,329 |
| SAP SE | 510,909 | 46,569,593 |
| Siemens AG, Registered Shares | 416,524 | 42,817,208 |
| Total | 184,703,313 |
| Hong Kong 5.8% |
| AIA Group Ltd. | 6,673,000 | 72,913,000 |
| Hong Kong Exchanges and Clearing Ltd. | 729,700 | 36,088,238 |
| Total | 109,001,238 |
| India 2.3% |
| HDFC Bank Ltd., ADR | 776,746 | 42,689,960 |
| Italy 3.2% |
| FinecoBank Banca Fineco SpA | 1,897,298 | 22,761,055 |
| Intesa Sanpaolo SpA | 19,901,276 | 37,244,661 |
| Total | 60,005,716 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Japan 9.0% |
| Bridgestone Corp. | 1,426,900 | 52,023,905 |
| Recruit Holdings Co., Ltd. | 1,385,300 | 40,797,699 |
| SMC Corp. | 77,100 | 34,320,260 |
| Sony Group Corp. | 524,100 | 42,743,908 |
| Total | 169,885,772 |
| Netherlands 6.0% |
| ASML Holding NV | 130,205 | 61,513,781 |
| Shell PLC | 1,984,551 | 51,494,220 |
| Total | 113,008,001 |
| Norway 1.8% |
| Equinor ASA | 987,715 | 34,417,321 |
| Spain 2.0% |
| Iberdrola SA | 3,575,449 | 37,225,475 |
| Sweden 2.2% |
| Nibe Industrier AB, Class B | 304,487 | 2,295,298 |
| Svenska Handelsbanken AB, Class A | 4,581,997 | 39,331,443 |
| Total | 41,626,741 |
| Switzerland 13.7% |
| Chocoladefabriken Lindt & Spruengli AG | 3,541 | 36,054,612 |
| Cie Financiere Richemont SA, Class A, Registered Shares | 310,428 | 33,390,624 |
| Lonza Group AG, Registered Shares | 49,248 | 26,305,201 |
| Nestlé SA, Registered Shares | 693,171 | 81,012,808 |
| Roche Holding AG, Genusschein Shares | 177,649 | 59,388,034 |
| Sika AG | 94,824 | 21,888,914 |
| Total | 258,040,193 |
| Taiwan 1.5% |
| Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 345,525 | 28,246,669 |
| United Kingdom 22.7% |
| AstraZeneca PLC | 538,579 | 71,050,315 |
| Bunzl PLC | 807,852 | 26,829,365 |
| Burberry Group PLC | 1,532,569 | 30,745,599 |
| Diageo PLC | 805,331 | 34,784,435 |
| GSK PLC | 2,305,255 | 49,681,937 |
| HSBC Holdings PLC | 6,137,584 | 40,093,905 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| National Grid PLC | 2,520,556 | 32,391,505 |
| NMC Health PLC(a),(b),(c) | 293,698 | 0 |
| Reckitt Benckiser Group PLC | 641,572 | 48,254,080 |
| RELX PLC | 1,275,137 | 34,621,704 |
| Tesco PLC | 9,788,893 | 30,508,108 |
| Vodafone Group PLC | 18,733,188 | 29,128,095 |
| Total | 428,089,048 |
| United States 3.6% |
| Booking Holdings, Inc.(a) | 22,029 | 38,528,501 |
| lululemon athletica, Inc.(a) | 107,664 | 29,350,283 |
| Total | 67,878,784 |
Total Common Stocks
(Cost $1,996,178,371) | 1,843,586,517 |
|
| Money Market Funds 1.5% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(d),(e) | 28,340,980 | 28,323,975 |
Total Money Market Funds
(Cost $28,320,980) | 28,323,975 |
Total Investments in Securities
(Cost $2,024,499,351) | 1,871,910,492 |
| Other Assets & Liabilities, Net | | 11,139,406 |
| Net Assets | $1,883,049,898 |
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, 2022, the total value of these securities amounted to $0, which represents less than 0.01% of total net assets. |
| (c) | Valuation based on significant unobservable inputs. |
| (d) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (e) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 42,084,558 | 529,934,248 | (543,697,826) | 2,995 | 28,323,975 | (1,043) | 59,549 | 28,340,980 |
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 – Partners International Core Equity Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (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 market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Argentina | 26,290,630 | — | — | 26,290,630 |
| Austria | — | 26,088,771 | — | 26,088,771 |
| Canada | 35,181,765 | — | — | 35,181,765 |
| China | — | 27,961,597 | — | 27,961,597 |
| Denmark | — | 33,143,187 | — | 33,143,187 |
| France | — | 120,102,336 | — | 120,102,336 |
| Germany | — | 184,703,313 | — | 184,703,313 |
| Hong Kong | — | 109,001,238 | — | 109,001,238 |
| India | 42,689,960 | — | — | 42,689,960 |
| Italy | — | 60,005,716 | — | 60,005,716 |
| Japan | — | 169,885,772 | — | 169,885,772 |
| Netherlands | — | 113,008,001 | — | 113,008,001 |
| Norway | — | 34,417,321 | — | 34,417,321 |
| Spain | — | 37,225,475 | — | 37,225,475 |
| Sweden | — | 41,626,741 | — | 41,626,741 |
| Switzerland | — | 258,040,193 | — | 258,040,193 |
| Taiwan | 28,246,669 | — | — | 28,246,669 |
| United Kingdom | — | 428,089,048 | 0* | 428,089,048 |
| United States | 67,878,784 | — | — | 67,878,784 |
| Total Common Stocks | 200,287,808 | 1,643,298,709 | 0* | 1,843,586,517 |
| Money Market Funds | 28,323,975 | — | — | 28,323,975 |
| Total Investments in Securities | 228,611,783 | 1,643,298,709 | 0* | 1,871,910,492 |
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.
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,996,178,371) | $1,843,586,517 |
| Affiliated issuers (cost $28,320,980) | 28,323,975 |
| Foreign currency (cost $148,109) | 147,691 |
| Receivable for: | |
| Capital shares sold | 5,982 |
| Dividends | 4,725,817 |
| Interest | 590,198 |
| Foreign tax reclaims | 9,305,901 |
| Prepaid expenses | 20,194 |
| Total assets | 1,886,706,275 |
| Liabilities | |
| Payable for: | |
| Capital shares purchased | 3,444,344 |
| Management services fees | 34,993 |
| Distribution and/or service fees | 86 |
| Service fees | 866 |
| Compensation of board members | 150,969 |
| Compensation of chief compliance officer | 262 |
| Other expenses | 24,857 |
| Total liabilities | 3,656,377 |
| Net assets applicable to outstanding capital stock | $1,883,049,898 |
| Represented by | |
| Paid in capital | 2,027,965,431 |
| Total distributable earnings (loss) | (144,915,533) |
| Total - representing net assets applicable to outstanding capital stock | $1,883,049,898 |
| Class 1 | |
| Net assets | $1,867,863,058 |
| Shares outstanding | 221,689,504 |
| Net asset value per share | $8.43 |
| Class 2 | |
| Net assets | $15,186,840 |
| Shares outstanding | 1,819,704 |
| Net asset value per share | $8.35 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022
| 9 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $37,060,793 |
| Dividends — affiliated issuers | 59,549 |
| Interfund lending | 105 |
| Foreign taxes withheld | (4,183,178) |
| Total income | 32,937,269 |
| Expenses: | |
| Management services fees | 7,935,128 |
| Distribution and/or service fees | |
| Class 2 | 20,836 |
| Service fees | 5,577 |
| Compensation of board members | 9,388 |
| Custodian fees | 105,613 |
| Printing and postage fees | 5,627 |
| Audit fees | 56,985 |
| Legal fees | 15,227 |
| Interest on interfund lending | 86 |
| Compensation of chief compliance officer | 190 |
| Other | 18,515 |
| Total expenses | 8,173,172 |
| Net investment income | 24,764,097 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (12,032,261) |
| Investments — affiliated issuers | (1,043) |
| Foreign currency translations | (54,948) |
| Net realized loss | (12,088,252) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (544,105,196) |
| Investments — affiliated issuers | 2,995 |
| Foreign currency translations | (899,076) |
| Net change in unrealized appreciation (depreciation) | (545,001,277) |
| Net realized and unrealized loss | (557,089,529) |
| Net decrease in net assets resulting from operations | $(532,325,432) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $24,764,097 | $37,693,986 |
| Net realized gain (loss) | (12,088,252) | 451,483,269 |
| Net change in unrealized appreciation (depreciation) | (545,001,277) | (161,227,626) |
| Net increase (decrease) in net assets resulting from operations | (532,325,432) | 327,949,629 |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class 1 | (375,784,857) | (48,867,259) |
| Class 2 | (3,057,530) | (224,826) |
| Total distributions to shareholders | (378,842,387) | (49,092,085) |
| Increase (decrease) in net assets from capital stock activity | 625,643,488 | (1,250,633,312) |
| Total decrease in net assets | (285,524,331) | (971,775,768) |
| Net assets at beginning of period | 2,168,574,229 | 3,140,349,997 |
| Net assets at end of period | $1,883,049,898 | $2,168,574,229 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 29,441,891 | 346,109,922 | 22,834,420 | 291,109,718 |
| Distributions reinvested | 42,765,251 | 375,784,857 | 3,880,104 | 48,867,259 |
| Redemptions | (9,030,230) | (100,959,053) | (124,994,532) | (1,597,873,548) |
| Net increase (decrease) | 63,176,912 | 620,935,726 | (98,280,008) | (1,257,896,571) |
| Class 2 | | | | |
| Subscriptions | 229,039 | 2,725,786 | 588,001 | 7,629,194 |
| Distributions reinvested | 351,901 | 3,057,530 | 17,941 | 224,826 |
| Redemptions | (93,721) | (1,075,554) | (45,193) | (590,761) |
| Net increase | 487,219 | 4,707,762 | 560,749 | 7,263,259 |
| Total net increase (decrease) | 63,664,131 | 625,643,488 | (97,719,259) | (1,250,633,312) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022
| 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.
| | 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 | Total
distributions to
shareholders |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $13.57 | 0.15 | (3.20) | (3.05) | (0.23) | (1.86) | (2.09) |
| Year Ended 12/31/2021 | $12.19 | 0.20 | 1.43 | 1.63 | (0.25) | — | (0.25) |
| Year Ended 12/31/2020 | $11.03 | 0.16 | 1.05 | 1.21 | (0.02) | (0.03) | (0.05) |
| Year Ended 12/31/2019 | $9.70 | 0.29 | 1.50 | 1.79 | (0.30) | (0.16) | (0.46) |
| Year Ended 12/31/2018 | $11.92 | 0.25 | (2.18) | (1.93) | (0.26) | (0.03) | (0.29) |
| Year Ended 12/31/2017 | $9.91 | 0.20 | 2.02 | 2.22 | (0.21) | — | (0.21) |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $13.44 | 0.13 | (3.16) | (3.03) | (0.20) | (1.86) | (2.06) |
| Year Ended 12/31/2021 | $12.09 | 0.18 | 1.40 | 1.58 | (0.23) | — | (0.23) |
| Year Ended 12/31/2020 | $10.96 | 0.14 | 1.04 | 1.18 | (0.02) | (0.03) | (0.05) |
| Year Ended 12/31/2019 | $9.64 | 0.25 | 1.50 | 1.75 | (0.27) | (0.16) | (0.43) |
| Year Ended 12/31/2018 | $11.84 | 0.22 | (2.16) | (1.94) | (0.23) | (0.03) | (0.26) |
| Year Ended 12/31/2017 | $9.86 | 0.17 | 2.00 | 2.17 | (0.19) | — | (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) | Annualized. |
| (d) | Ratios include interfund lending expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $8.43 | (22.90%) | 0.82%(c),(d) | 0.82%(c),(d) | 2.48%(c) | 19% | $1,867,863 |
| Year Ended 12/31/2021 | $13.57 | 13.55% | 0.80%(d) | 0.80%(d) | 1.56% | 57% | $2,150,661 |
| Year Ended 12/31/2020 | $12.19 | 11.16% | 0.80% | 0.80% | 1.59% | 163% | $3,131,021 |
| Year Ended 12/31/2019 | $11.03 | 18.76% | 0.79% | 0.79% | 2.74% | 94% | $2,893,855 |
| Year Ended 12/31/2018 | $9.70 | (16.53%) | 0.83% | 0.83% | 2.23% | 105% | $2,766,782 |
| Year Ended 12/31/2017 | $11.92 | 22.56% | 0.92% | 0.92% | 1.79% | 68% | $2,606,365 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $8.35 | (22.96%) | 1.07%(c),(d) | 1.07%(c),(d) | 2.20%(c) | 19% | $15,187 |
| Year Ended 12/31/2021 | $13.44 | 13.18% | 1.06%(d) | 1.06%(d) | 1.40% | 57% | $17,913 |
| Year Ended 12/31/2020 | $12.09 | 10.96% | 1.05% | 1.05% | 1.33% | 163% | $9,329 |
| Year Ended 12/31/2019 | $10.96 | 18.41% | 1.04% | 1.04% | 2.45% | 94% | $8,279 |
| Year Ended 12/31/2018 | $9.64 | (16.69%) | 1.08% | 1.08% | 1.99% | 105% | $6,925 |
| Year Ended 12/31/2017 | $11.84 | 22.14% | 1.17% | 1.17% | 1.50% | 68% | $8,554 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022
| 13 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
Variable Portfolio – Partners International 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). 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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 14 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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.
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements (continued)
June 30, 2022 (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 investment company taxable income and net capital gain, 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 in 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 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 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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 0.87% to 0.67% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2022 was 0.79% of the Fund’s average daily net assets.
| 16 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Subadvisory agreement
The Investment Manager has entered into a Subadvisory Agreement with Schroder Investment Management North America Inc. (SIMNA Inc.) to serve as a subadviser to the Fund. Schroder Investment Management North America Limited (SIMNA Ltd.), an affiliate of SIMNA Inc., assists in providing day-to-day portfolio management of the Fund pursuant to a Sub-Subadvisory Agreement between SIMNA Inc. and SIMNA Ltd. The Investment Manager compensates the subadviser to manage the investment of the Fund’s assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.00% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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.
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (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 classes’ average daily net assets:
| | Fee rate(s) contractual
through
April 30, 2023 |
| Class 1 | 0.88% |
| Class 2 | 1.13 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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, 2022, the approximate cost of all 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) ($) |
| 2,024,499,000 | 75,541,000 | (228,130,000) | (152,589,000) |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
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 $660,498,757 and $379,201,736, respectively, for the six months ended June 30, 2022. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
| 18 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended June 30, 2022 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Borrower | 1,150,000 | 1.34 | 2 |
| Lender | 2,200,000 | 0.86 | 2 |
Interest income earned and interest expense incurred by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at June 30, 2022.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 9. Significant risks
Foreign securities and emerging market countries risk
Investing in foreign securities may involve heightened risks relative to investments in U.S. securities. Investing in foreign securities subjects the Fund to the risks associated with the issuer’s country of organization and places of business operations, including risks associated with political, regulatory, economic, social, diplomatic and other conditions or events occurring in the country or region, which may result in significant market volatility. In addition, certain foreign securities may be more volatile and less liquid than U.S. securities. Investing in emerging markets may increase these risks and expose the Fund to elevated risks associated with increased inflation, deflation or currency devaluation. 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 risks associated with the conditions, events or other factors impacting those countries or regions and may, therefore, have a greater risk than that of a fund that is more geographically diversified. The financial information and disclosure made available by issuers of emerging market securities may be considerably less reliable than publicly available information about other foreign securities. The Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in certain foreign countries. Investors in foreign countries often have limited rights and few practical remedies to pursue shareholder claims, including class actions or fraud claims, and the ability of the U.S. Securities and Exchange Commission, the U.S. Department of Justice and other authorities to bring and enforce actions against foreign issuers or foreign persons is limited.
Geographic focus risk
The Fund may be particularly susceptible to risks related to economic, political, regulatory or other events or conditions affecting issuers and countries within the specific geographic regions in which the Fund invests. The Fund’s net asset value may be more volatile than the net asset value of a more geographically diversified fund.
Asia Pacific Region. The Fund is particularly susceptible to economic, political, regulatory or other events or conditions affecting issuers and countries in the Asia Pacific region. Many of the countries in the region are considered underdeveloped or developing, including from a political, economic and/or social perspective, and may have relatively unstable governments and economies based on limited business, industries and/or natural resources or commodities. Events in any one country within the region may impact other countries in the region or the region as a whole. As a result, events in the region will generally have a greater effect on the Fund than if the Fund were more geographically diversified. This could result in increased volatility in the value of the Fund’s investments and losses for the Fund. Also, securities of some companies in the region can be less liquid than U.S. or other foreign securities, potentially making it difficult for the Fund to sell such securities at a desirable time and price.
Europe. The Fund is particularly susceptible to risks related to economic, political, regulatory or other events or conditions, including acts of war or other conflicts in the region, affecting issuers and countries in Europe. Countries in Europe are often closely connected and interdependent, and events in one European country can have an adverse impact on, and potentially spread to, other European countries. In addition, private and public sectors’ significant debt problems of a single European Union (EU) country can pose economic risks to the EU as a whole. As a result, the Fund’s net asset value may be more volatile than the net asset value of a more geographically diversified fund. If securities of issuers in Europe fall out of favor, it may cause the Fund to underperform other funds that do not focus their investments in this region of the world. The departure of the United Kingdom (UK) from the EU single market became effective January 1, 2021 with the end of the Brexit transition period and the post-Brexit trade deal between the UK and EU taking effect on December 31, 2020. The impact of Brexit on the UK and European economies and the broader global economy could be significant, resulting in negative impacts on currency and financial markets generally, such as increased volatility and illiquidity, and potentially lower economic growth in markets in Europe, which may adversely affect the value of your investment in the Fund.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the
| 20 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. 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 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
| 22 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management and Subadvisory
Agreements
(Unaudited)
Columbia Management Investment Advisers, LLC (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 International Core Equity Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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 agreement between the Investment Manager and Schroder Investment Management North America Inc. and the sub-subadvisory agreement between Schroder Investment Management North America Inc. and Schroder Investment Management North America Limited (Schroder Investment Management North America Inc. and Schroder Investment Management North America Limited, collectively, the Subadvisers, and the subadvisory agreement and sub-subadvisory agreement, collectively, the Subadvisory Agreements), the Subadvisers provide 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 Agreements (together, the Advisory Agreements). The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022
| 23 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board, at its June 23, 2022 Board meeting (the June Meeting), considered the renewal of each 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. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Advisory Agreements; |
| • | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreements; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager and the Subadvisers under the Advisory Agreements, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager and Subadvisers, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager and the Subadvisers with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager and the Subadvisers
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager and the Subadvisers, as well as their history, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers. With respect to the Investment Manager, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as
| 24 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. 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 the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by the Investment Manager in addition to monitoring each Subadviser), noting that no changes were proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
The Board 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 subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no changes were recommended to the Subadvisory Agreements. The Board took into account the Investment Manager’s representation that each Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Advisory Agreements supported the continuation of the Management Agreement and the Subadvisory Agreements.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
Additionally, the Board reviewed the performance of each of the Subadvisers and the Investment Manager’s process for monitoring such Subadvisers’ performance. The Board considered, in particular, management’s rationale for recommending the continued retention of each Subadviser and management’s representations that the Investment Manager’s profitability is not the key factor driving their recommendation to select, renew or terminate the Subadvisers.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022
| 25 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board also considered the Investment Manager’s and Subadvisers’ performance and reputation generally, and the Investment Manager’s evaluation of each Subadviser’s contribution to the Fund’s broader investment mandate. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadvisers, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory Agreements.
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates 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 Broadridge and JDL) 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 the Investment Manager’s profitability.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
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 Fund. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees, subadvisory fees and expenses of the Fund, in light of other considerations, supported the continuation of each of the Management Agreement and the Subadvisory Agreements.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. Because the Subadvisory Agreements were negotiated at arms-length by the Investment Manager, which is responsible for payments to the Subadvisers thereunder, the Board did not consider the profitability to each Subadviser from its relationship with the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreements.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other
| 26 | Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement and the Subadvisory Agreements. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under each of the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided and approved the renewal of each of the Advisory Agreements.
Variable Portfolio – Partners International Core Equity Fund | Semiannual Report 2022
| 27 |
Variable Portfolio – Partners International Core Equity Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
Please remember that you may not buy (nor will you own) shares of the Fund directly. The Fund is available through variable annuity contracts and variable life insurance policies offered by the separate accounts of participating insurance companies as well as qualified pension and retirement plans. Please contact your financial advisor or insurance representative for more information.
Not FDIC or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which CTIVP® – MFS® Value Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
CTIVP® – MFS® Value Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term capital growth.
Portfolio management
Massachusetts Financial Services Company
Katherine Cannan
Nevin Chitkara
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/07/10 | -13.28 | -5.28 | 7.26 | 10.95 |
| Class 2 | 05/07/10 | -13.39 | -5.51 | 7.00 | 10.67 |
| Russell 1000 Value Index | | -12.86 | -6.82 | 7.17 | 10.50 |
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 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.
CTIVP® – MFS® Value Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Common Stocks | 99.2 |
| Money Market Funds | 0.8 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 3.5 |
| Consumer Discretionary | 3.4 |
| Consumer Staples | 6.7 |
| Energy | 3.8 |
| Financials | 26.1 |
| Health Care | 20.0 |
| Industrials | 17.8 |
| Information Technology | 6.8 |
| Materials | 4.1 |
| Real Estate | 0.4 |
| Utilities | 7.4 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 867.20 | 1,021.37 | 3.19 | 3.46 | 0.69 |
| Class 2 | 1,000.00 | 1,000.00 | 866.10 | 1,020.13 | 4.35 | 4.71 | 0.94 |
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.
CTIVP® – MFS® Value Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 99.3% |
| Issuer | Shares | Value ($) |
| Communication Services 3.5% |
| Media 3.5% |
| Charter Communications, Inc., Class A(a) | 40,069 | 18,773,529 |
| Comcast Corp., Class A | 896,676 | 35,185,566 |
| Total | | 53,959,095 |
| Total Communication Services | 53,959,095 |
| Consumer Discretionary 3.3% |
| Hotels, Restaurants & Leisure 0.9% |
| Marriott International, Inc., Class A | 98,972 | 13,461,182 |
| Multiline Retail 0.9% |
| Target Corp. | 103,714 | 14,647,528 |
| Specialty Retail 1.5% |
| Lowe’s Companies, Inc. | 136,167 | 23,784,290 |
| Total Consumer Discretionary | 51,893,000 |
| Consumer Staples 6.7% |
| Beverages 2.7% |
| Diageo PLC | 549,899 | 23,751,633 |
| PepsiCo, Inc. | 108,673 | 18,111,442 |
| Total | | 41,863,075 |
| Food Products 1.8% |
| Archer-Daniels-Midland Co. | 66,900 | 5,191,440 |
| Nestlé SA, Registered Shares | 200,949 | 23,485,464 |
| Total | | 28,676,904 |
| Household Products 2.2% |
| Colgate-Palmolive Co. | 125,964 | 10,094,755 |
| Kimberly-Clark Corp. | 105,215 | 14,219,807 |
| Reckitt Benckiser Group PLC | 125,227 | 9,418,606 |
| Total | | 33,733,168 |
| Total Consumer Staples | 104,273,147 |
| Energy 3.8% |
| Oil, Gas & Consumable Fuels 3.8% |
| ConocoPhillips Co. | 277,689 | 24,939,249 |
| EOG Resources, Inc. | 116,764 | 12,895,416 |
| Pioneer Natural Resources Co. | 97,254 | 21,695,422 |
| Total | | 59,530,087 |
| Total Energy | 59,530,087 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Financials 26.0% |
| Banks 6.6% |
| Citigroup, Inc. | 380,237 | 17,487,100 |
| JPMorgan Chase & Co. | 470,694 | 53,004,851 |
| PNC Financial Services Group, Inc. (The) | 111,998 | 17,669,924 |
| Truist Financial Corp. | 204,549 | 9,701,759 |
| U.S. Bancorp | 99,683 | 4,587,412 |
| Total | | 102,451,046 |
| Capital Markets 7.0% |
| BlackRock, Inc. | 36,016 | 21,935,185 |
| Goldman Sachs Group, Inc. (The) | 54,350 | 16,143,037 |
| KKR & Co., Inc., Class A | 183,652 | 8,501,251 |
| Moody’s Corp. | 39,685 | 10,793,129 |
| Morgan Stanley | 353,841 | 26,913,147 |
| Nasdaq, Inc. | 162,493 | 24,786,682 |
| Total | | 109,072,431 |
| Consumer Finance 1.6% |
| American Express Co. | 180,620 | 25,037,544 |
| Insurance 10.8% |
| Aon PLC, Class A | 141,694 | 38,212,038 |
| Chubb Ltd. | 178,258 | 35,041,958 |
| Marsh & McLennan Companies, Inc. | 236,929 | 36,783,227 |
| Progressive Corp. (The) | 306,927 | 35,686,402 |
| Travelers Companies, Inc. (The) | 135,405 | 22,901,048 |
| Total | | 168,624,673 |
| Total Financials | 405,185,694 |
| Health Care 19.9% |
| Health Care Equipment & Supplies 3.8% |
| Abbott Laboratories | 212,125 | 23,047,381 |
| Boston Scientific Corp.(a) | 381,914 | 14,233,935 |
| Medtronic PLC | 251,212 | 22,546,277 |
| Total | | 59,827,593 |
| Health Care Providers & Services 4.2% |
| Cigna Corp. | 161,826 | 42,644,387 |
| McKesson Corp. | 69,872 | 22,792,945 |
| Total | | 65,437,332 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Life Sciences Tools & Services 3.4% |
| Danaher Corp. | 80,400 | 20,383,008 |
| Thermo Fisher Scientific, Inc. | 59,664 | 32,414,258 |
| Total | | 52,797,266 |
| Pharmaceuticals 8.5% |
| Johnson & Johnson | 317,659 | 56,387,649 |
| Merck & Co., Inc. | 318,826 | 29,067,366 |
| Pfizer, Inc. | 806,957 | 42,308,756 |
| Roche Holding AG, Genusschein Shares | 14,804 | 4,948,975 |
| Total | | 132,712,746 |
| Total Health Care | 310,774,937 |
| Industrials 17.7% |
| Aerospace & Defense 4.7% |
| General Dynamics Corp. | 70,658 | 15,633,083 |
| Northrop Grumman Corp. | 91,750 | 43,908,797 |
| Raytheon Technologies Corp. | 135,811 | 13,052,795 |
| Total | | 72,594,675 |
| Building Products 2.8% |
| Johnson Controls International PLC | 389,964 | 18,671,476 |
| Masco Corp. | 232,325 | 11,755,645 |
| Trane Technologies PLC | 104,291 | 13,544,272 |
| Total | | 43,971,393 |
| Electrical Equipment 1.4% |
| Eaton Corp. PLC | 174,635 | 22,002,264 |
| Industrial Conglomerates 2.1% |
| Honeywell International, Inc. | 189,805 | 32,990,007 |
| Machinery 2.9% |
| Illinois Tool Works, Inc. | 123,265 | 22,465,047 |
| Otis Worldwide Corp. | 70,148 | 4,957,359 |
| PACCAR, Inc. | 103,409 | 8,514,697 |
| Stanley Black & Decker, Inc. | 93,870 | 9,843,208 |
| Total | | 45,780,311 |
| Professional Services 1.2% |
| Equifax, Inc. | 102,368 | 18,710,823 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Road & Rail 2.6% |
| Canadian National Railway Co. | 83,993 | 9,446,693 |
| Union Pacific Corp. | 141,433 | 30,164,830 |
| Total | | 39,611,523 |
| Total Industrials | 275,660,996 |
| Information Technology 6.7% |
| IT Services 2.2% |
| Accenture PLC, Class A | 123,215 | 34,210,645 |
| Semiconductors & Semiconductor Equipment 4.5% |
| Analog Devices, Inc. | 73,718 | 10,769,462 |
| KLA Corp. | 28,922 | 9,228,432 |
| NXP Semiconductors NV | 94,764 | 14,027,915 |
| Texas Instruments, Inc. | 238,063 | 36,578,380 |
| Total | | 70,604,189 |
| Total Information Technology | 104,814,834 |
| Materials 4.0% |
| Chemicals 4.0% |
| DuPont de Nemours, Inc. | 306,215 | 17,019,430 |
| International Flavors & Fragrances, Inc. | 62,689 | 7,467,514 |
| PPG Industries, Inc. | 186,658 | 21,342,476 |
| Sherwin-Williams Co. (The) | 76,815 | 17,199,646 |
| Total | | 63,029,066 |
| Total Materials | 63,029,066 |
| Real Estate 0.4% |
| Equity Real Estate Investment Trusts (REITS) 0.4% |
| Public Storage | 21,663 | 6,773,370 |
| Total Real Estate | 6,773,370 |
| Utilities 7.3% |
| Electric Utilities 5.5% |
| American Electric Power Co., Inc. | 128,380 | 12,316,777 |
| Duke Energy Corp. | 336,126 | 36,036,068 |
| Southern Co. (The) | 419,670 | 29,926,668 |
| Xcel Energy, Inc. | 117,751 | 8,332,061 |
| Total | | 86,611,574 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – MFS® Value Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Multi-Utilities 1.8% |
| Dominion Energy, Inc. | 347,791 | 27,757,200 |
| Total Utilities | 114,368,774 |
Total Common Stocks
(Cost $1,256,775,261) | 1,550,263,000 |
|
| Money Market Funds 0.8% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(b),(c) | 12,260,974 | 12,253,618 |
Total Money Market Funds
(Cost $12,255,629) | 12,253,618 |
Total Investments in Securities
(Cost: $1,269,030,890) | 1,562,516,618 |
| Other Assets & Liabilities, Net | | (1,189,195) |
| Net Assets | 1,561,327,423 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 8,587,856 | 134,084,567 | (130,417,647) | (1,158) | 12,253,618 | (8,690) | 30,705 | 12,260,974 |
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 market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (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.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 53,959,095 | — | — | 53,959,095 |
| Consumer Discretionary | 51,893,000 | — | — | 51,893,000 |
| Consumer Staples | 47,617,444 | 56,655,703 | — | 104,273,147 |
| Energy | 59,530,087 | — | — | 59,530,087 |
| Financials | 405,185,694 | — | — | 405,185,694 |
| Health Care | 305,825,962 | 4,948,975 | — | 310,774,937 |
| Industrials | 275,660,996 | — | — | 275,660,996 |
| Information Technology | 104,814,834 | — | — | 104,814,834 |
| Materials | 63,029,066 | — | — | 63,029,066 |
| Real Estate | 6,773,370 | — | — | 6,773,370 |
| Utilities | 114,368,774 | — | — | 114,368,774 |
| Total Common Stocks | 1,488,658,322 | 61,604,678 | — | 1,550,263,000 |
| Money Market Funds | 12,253,618 | — | — | 12,253,618 |
| Total Investments in Securities | 1,500,911,940 | 61,604,678 | — | 1,562,516,618 |
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.
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – MFS® Value Fund | Semiannual Report 2022
| 9 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,256,775,261) | $1,550,263,000 |
| Affiliated issuers (cost $12,255,629) | 12,253,618 |
| Foreign currency (cost $35,848) | 35,848 |
| Receivable for: | |
| Investments sold | 1,948,887 |
| Capital shares sold | 68,762 |
| Dividends | 1,560,539 |
| Foreign tax reclaims | 99,076 |
| Expense reimbursement due from Investment Manager | 843 |
| Prepaid expenses | 12,492 |
| Total assets | 1,566,243,065 |
| Liabilities | |
| Due to custodian | 58,066 |
| Payable for: | |
| Investments purchased | 2,120,796 |
| Capital shares purchased | 2,528,460 |
| Management services fees | 29,460 |
| Distribution and/or service fees | 528 |
| Service fees | 3,280 |
| Compensation of board members | 147,506 |
| Compensation of chief compliance officer | 177 |
| Other expenses | 27,369 |
| Total liabilities | 4,915,642 |
| Net assets applicable to outstanding capital stock | $1,561,327,423 |
| Represented by | |
| Trust capital | $1,561,327,423 |
| Total - representing net assets applicable to outstanding capital stock | $1,561,327,423 |
| Class 1 | |
| Net assets | $1,484,256,102 |
| Shares outstanding | 45,181,772 |
| Net asset value per share | $32.85 |
| Class 2 | |
| Net assets | $77,071,321 |
| Shares outstanding | 2,417,067 |
| Net asset value per share | $31.89 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $19,354,128 |
| Dividends — affiliated issuers | 30,705 |
| Foreign taxes withheld | (313,649) |
| Total income | 19,071,184 |
| Expenses: | |
| Management services fees | 5,934,543 |
| Distribution and/or service fees | |
| Class 2 | 101,716 |
| Service fees | 25,559 |
| Compensation of board members | 8,517 |
| Custodian fees | 10,181 |
| Printing and postage fees | 6,544 |
| Audit fees | 14,669 |
| Legal fees | 14,172 |
| Interest on interfund lending | 10 |
| Compensation of chief compliance officer | 119 |
| Other | 13,276 |
| Total expenses | 6,129,306 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (40,747) |
| Total net expenses | 6,088,559 |
| Net investment income | 12,982,625 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 84,720,468 |
| Investments — affiliated issuers | (8,690) |
| Foreign currency translations | (8,174) |
| Net realized gain | 84,703,604 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (344,430,532) |
| Investments — affiliated issuers | (1,158) |
| Net change in unrealized appreciation (depreciation) | (344,431,690) |
| Net realized and unrealized loss | (259,728,086) |
| Net decrease in net assets resulting from operations | $(246,745,461) |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – MFS® Value Fund | Semiannual Report 2022
| 11 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $12,982,625 | $25,097,226 |
| Net realized gain | 84,703,604 | 172,546,236 |
| Net change in unrealized appreciation (depreciation) | (344,431,690) | 233,409,169 |
| Net increase (decrease) in net assets resulting from operations | (246,745,461) | 431,052,631 |
| Decrease in net assets from capital stock activity | (130,663,124) | (279,254,817) |
| Total increase (decrease) in net assets | (377,408,585) | 151,797,814 |
| Net assets at beginning of period | 1,938,736,008 | 1,786,938,194 |
| Net assets at end of period | $1,561,327,423 | $1,938,736,008 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 62,747 | 2,184,164 | 11,549,033 | 359,209,880 |
| Redemptions | (3,782,530) | (135,379,750) | (19,571,121) | (639,860,567) |
| Net decrease | (3,719,783) | (133,195,586) | (8,022,088) | (280,650,687) |
| Class 2 | | | | |
| Subscriptions | 144,295 | 4,956,909 | 243,166 | 8,139,195 |
| Redemptions | (70,404) | (2,424,447) | (201,877) | (6,743,325) |
| Net increase | 73,891 | 2,532,462 | 41,289 | 1,395,870 |
| Total net decrease | (3,645,892) | (130,663,124) | (7,980,799) | (279,254,817) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
CTIVP® – MFS® Value Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $37.88 | 0.27 | (5.30) | (5.03) |
| Year Ended 12/31/2021 | $30.20 | 0.46 | 7.22 | 7.68 |
| Year Ended 12/31/2020 | $29.16 | 0.43 | 0.61 | 1.04 |
| Year Ended 12/31/2019 | $22.46 | 0.42 | 6.28 | 6.70 |
| Year Ended 12/31/2018 | $24.96 | 0.50 | (3.00) | (2.50) |
| Year Ended 12/31/2017 | $21.22 | 0.42 | 3.32 | 3.74 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $36.82 | 0.22 | (5.15) | (4.93) |
| Year Ended 12/31/2021 | $29.43 | 0.36 | 7.03 | 7.39 |
| Year Ended 12/31/2020 | $28.48 | 0.36 | 0.59 | 0.95 |
| Year Ended 12/31/2019 | $21.99 | 0.35 | 6.14 | 6.49 |
| Year Ended 12/31/2018 | $24.50 | 0.44 | (2.95) | (2.51) |
| Year Ended 12/31/2017 | $20.88 | 0.35 | 3.27 | 3.62 |
| 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) | Annualized. |
| (d) | Ratios include interfund lending expense which is less than 0.01%. |
| (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 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $32.85 | (13.28%) | 0.69%(c),(d) | 0.69%(c),(d) | 1.50%(c) | 8% | $1,484,256 |
| Year Ended 12/31/2021 | $37.88 | 25.43% | 0.69%(d) | 0.69%(d) | 1.33% | 10% | $1,852,472 |
| Year Ended 12/31/2020 | $30.20 | 3.57% | 0.71%(d),(e) | 0.71%(d),(e) | 1.59% | 38% | $1,719,205 |
| Year Ended 12/31/2019 | $29.16 | 29.83% | 0.70%(d) | 0.70%(d) | 1.62% | 12% | $1,493,599 |
| Year Ended 12/31/2018 | $22.46 | (10.02%) | 0.69%(d) | 0.69%(d) | 2.00% | 8% | $1,588,214 |
| Year Ended 12/31/2017 | $24.96 | 17.62% | 0.71% | 0.71% | 1.84% | 13% | $2,203,985 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $31.89 | (13.39%) | 0.94%(c),(d) | 0.94%(c),(d) | 1.26%(c) | 8% | $77,071 |
| Year Ended 12/31/2021 | $36.82 | 25.11% | 0.94%(d) | 0.94%(d) | 1.08% | 10% | $86,264 |
| Year Ended 12/31/2020 | $29.43 | 3.33% | 0.96%(d),(e) | 0.96%(d),(e) | 1.36% | 38% | $67,733 |
| Year Ended 12/31/2019 | $28.48 | 29.51% | 0.95%(d) | 0.95%(d) | 1.36% | 12% | $63,976 |
| Year Ended 12/31/2018 | $21.99 | (10.25%) | 0.94%(d) | 0.94%(d) | 1.80% | 8% | $45,033 |
| Year Ended 12/31/2017 | $24.50 | 17.34% | 0.96% | 0.96% | 1.57% | 13% | $49,410 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – MFS® Value Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
CTIVP® – MFS® 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 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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 16 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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.
CTIVP® – MFS® Value Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (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.
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 in 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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, 2022 was 0.68% of the Fund’s average daily net assets.
Subadvisory agreement
The Investment Manager has entered into a Subadvisory Agreement with Massachusetts Financial Services Company to serve as the subadviser to the Fund. The Investment Manager compensates the subadviser to manage the investment of the Fund’s assets.
| 18 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.00% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | May 1, 2022
through
April 30, 2023 | Prior to
May 1, 2022 |
| Class 1 | 0.68% | 0.72% |
| Class 2 | 0.93 | 0.97 |
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
CTIVP® – MFS® Value Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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 $138,952,688 and $261,943,380, respectively, for the six months ended June 30, 2022. 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended June 30, 2022 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Borrower | 400,000 | 0.86 | 1 |
Interest expense incurred by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at June 30, 2022.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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
| 20 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
equal to its pro rata share of the unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 8. Significant risks
Financial sector risk
The Fund is 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 one or more industries or sectors, which makes them vulnerable to economic conditions that affect such industries or sectors. Performance of such companies may be affected by competitive pressures and exposure to investments, agreements and counterparties, including credit products 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.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in
CTIVP® – MFS® Value Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. 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 and noted 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 are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
| 22 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management and Subadvisory
Agreements
(Unaudited)
Columbia Management Investment Advisers, LLC (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 CTIVP® – MFS® Value Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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 the Investment Manager and Massachusetts Financial Services Company (the Subadviser), the Subadviser provides 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). The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
The Board, at its June 23, 2022 Board meeting (the June Meeting), considered the renewal of each 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
CTIVP® – MFS® Value Fund | Semiannual Report 2022
| 23 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Advisory Agreements; |
| • | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager and the Subadviser under the Advisory Agreements, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager and the Subadviser, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager and the Subadviser with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement and the Subadvisory Agreement.
Nature, extent and quality of services provided by the Investment Manager and the Subadviser
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager and the Subadviser, as well as their history, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers. With respect to the Investment Manager, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’s ability to attract and retain
| 24 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. 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 the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by the Investment Manager in addition to monitoring the Subadviser), noting that no changes were proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
The Board 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 subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no changes were recommended to the Subadvisory Agreement. The Board took into account the Investment Manager’s representation that the Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Advisory Agreements supported the continuation of the Management Agreement and the Subadvisory Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
Additionally, the Board reviewed the performance of the Subadviser and the Investment Manager’s process for monitoring the Subadviser’s performance. The Board considered, in particular, management’s rationale for recommending the continued retention of the Subadviser and management’s representations that the Investment Manager’s profitability is not the key factor driving their recommendation to select, renew or terminate the Subadviser.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
CTIVP® – MFS® Value Fund | Semiannual Report 2022
| 25 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board also considered the Investment Manager’s and Subadviser’s performance and reputation generally, and the Investment Manager’s evaluation of the Subadviser’s contribution to the Fund’s broader investment mandate. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadviser, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates 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 Broadridge and JDL) 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 the Investment Manager’s profitability.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
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 advisory fee rates charged by other comparable mutual funds employing the Subadviser to provide comparable subadvisory services. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees, subadvisory fees and expenses of the Fund, in light of other considerations, supported the continuation of each of the Management Agreement and the Subadvisory Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. Because the Subadvisory Agreement was negotiated at arms-length by the Investment Manager, which is responsible for payments to the Subadviser thereunder, the Board did not consider the profitability to the Subadviser from its relationship with the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation
| 26 | CTIVP® – MFS® Value Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. The Board also noted that the breakpoints in the Subadvisory Agreement did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement and the Subadvisory Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under each of the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided and approved the renewal of each of the Advisory Agreements.
CTIVP® – MFS® Value Fund | Semiannual Report 2022
| 27 |
CTIVP® – MFS® Value Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
Variable Portfolio – Partners International 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Variable Portfolio – Partners International Growth Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term capital growth.
Portfolio management
Walter Scott & Partners Limited
Roy Leckie
Charlie Macquaker
Jane Henderson
William Blair Investment Management, LLC
Alaina Anderson, CFA
Simon Fennell
Kenneth McAtamney
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/07/10 | -29.03 | -26.36 | 1.67 | 4.56 |
| Class 2 | 05/07/10 | -29.15 | -26.57 | 1.41 | 4.30 |
| MSCI EAFE Growth Index (Net) | | -26.81 | -23.76 | 3.47 | 6.29 |
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 May 2020 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 subadvisers 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.
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Equity sector breakdown (%) (at June 30, 2022) |
| Consumer Discretionary | 11.2 |
| Consumer Staples | 5.1 |
| Energy | 5.2 |
| Financials | 9.8 |
| Health Care | 17.4 |
| Industrials | 25.6 |
| Information Technology | 16.6 |
| Materials | 5.8 |
| Real Estate | 1.8 |
| 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, 2022) |
| Argentina | 0.8 |
| Australia | 2.9 |
| Belgium | 1.0 |
| Brazil | 0.5 |
| Canada | 6.0 |
| Denmark | 7.9 |
| Finland | 1.3 |
| France | 13.4 |
| Germany | 2.9 |
| Hong Kong | 3.4 |
| India | 4.6 |
| Ireland | 3.4 |
| Italy | 0.2 |
| Japan | 8.1 |
| Luxembourg | 0.9 |
| Netherlands | 3.0 |
| New Zealand | 0.4 |
| Norway | 0.4 |
| Singapore | 0.6 |
| Spain | 2.4 |
| Sweden | 3.2 |
| Switzerland | 8.4 |
| Taiwan | 2.2 |
| United Kingdom | 16.0 |
| United States(a) | 6.1 |
| 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, excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| 4 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 709.70 | 1,020.48 | 3.69 | 4.36 | 0.87 |
| Class 2 | 1,000.00 | 1,000.00 | 708.50 | 1,019.24 | 4.74 | 5.61 | 1.12 |
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.
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 97.3% |
| Issuer | Shares | Value ($) |
| Argentina 0.8% |
| Globant SA(a) | 24,206 | 4,211,844 |
| MercadoLibre, Inc.(a) | 8,648 | 5,507,652 |
| Total | 9,719,496 |
| Australia 2.9% |
| Aristocrat Leisure Ltd. | 971,948 | 23,118,785 |
| Cochlear Ltd. | 25,500 | 3,500,963 |
| CSL Ltd. | 37,000 | 6,869,969 |
| Total | 33,489,717 |
| Belgium 1.0% |
| KBC Group NV | 207,765 | 11,689,064 |
| Brazil 0.5% |
| B3 SA - Brasil Bolsa Balcao | 2,516,500 | 5,294,149 |
| Canada 6.1% |
| Alimentation Couche-Tard, Inc. | 216,700 | 8,452,849 |
| Canadian National Railway Co. | 280,255 | 31,524,333 |
| Dollarama, Inc. | 134,652 | 7,753,578 |
| Intact Financial Corp. | 45,584 | 6,429,639 |
| Toronto-Dominion Bank (The) | 254,871 | 16,713,534 |
| Total | 70,873,933 |
| Denmark 8.0% |
| Chr. Hansen Holding A/S | 240,819 | 17,579,248 |
| Coloplast A/S, Class B | 108,239 | 12,367,355 |
| DSV A/S | 75,853 | 10,666,246 |
| Novo Nordisk A/S, Class B | 290,508 | 32,218,033 |
| Novozymes AS, Class B | 120,700 | 7,264,083 |
| Ørsted AS | 115,085 | 12,121,203 |
| Total | 92,216,168 |
| Finland 1.4% |
| KONE OYJ, Class B | 80,900 | 3,866,631 |
| Neste OYJ | 265,045 | 11,789,463 |
| Total | 15,656,094 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| France 13.7% |
| Air Liquide SA | 43,780 | 5,892,912 |
| Airbus Group SE | 293,901 | 28,746,426 |
| Dassault Systemes SE | 349,665 | 12,951,896 |
| L’Oreal SA | 50,414 | 17,504,020 |
| LVMH Moet Hennessy Louis Vuitton SE | 46,637 | 28,582,793 |
| Safran SA | 222,103 | 22,113,798 |
| Sartorius Stedim Biotech | 31,609 | 9,973,204 |
| Teleperformance SA | 23,919 | 7,385,807 |
| TotalEnergies SE | 137,200 | 7,221,792 |
| VINCI SA | 190,148 | 17,067,969 |
| Total | 157,440,617 |
| Germany 2.9% |
| Adidas AG | 35,900 | 6,376,952 |
| Infineon Technologies AG | 452,834 | 11,015,425 |
| Merck KGaA | 40,600 | 6,886,626 |
| Rational AG | 7,502 | 4,373,591 |
| SAP SE | 53,900 | 4,913,010 |
| Total | 33,565,604 |
| Hong Kong 3.4% |
| AIA Group Ltd. | 2,010,200 | 21,964,590 |
| CLP Holdings Ltd. | 603,000 | 5,011,100 |
| Hang Lung Properties Ltd. | 2,855,000 | 5,432,560 |
| Jardine Matheson Holdings Ltd. | 139,700 | 7,340,385 |
| Total | 39,748,635 |
| India 4.7% |
| Housing Development Finance Corp., Ltd. | 457,367 | 12,653,841 |
| Infosys Ltd. | 671,995 | 12,490,056 |
| Reliance Industries Ltd.(a) | 885,004 | 29,222,280 |
| Total | 54,366,177 |
| Ireland 3.5% |
| ICON PLC(a) | 91,978 | 19,931,633 |
| Kingspan Group PLC | 148,857 | 9,000,486 |
| Ryanair Holdings PLC, ADR(a) | 164,981 | 11,094,972 |
| Total | 40,027,091 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Italy 0.2% |
| Recordati Industria Chimica e Farmaceutica SpA | 59,100 | 2,577,307 |
| Japan 8.2% |
| Asahi Intecc Co., Ltd. | 219,900 | 3,329,483 |
| Daikin Industries Ltd. | 94,400 | 15,156,782 |
| FANUC Corp. | 30,300 | 4,749,201 |
| Hoya Corp. | 156,700 | 13,410,847 |
| Keyence Corp. | 54,640 | 18,738,145 |
| Makita Corp. | 146,600 | 3,633,708 |
| MISUMI Group, Inc. | 125,600 | 2,652,607 |
| Murata Manufacturing Co., Ltd. | 96,400 | 5,246,794 |
| Nihon M&A Center Holdings, Inc. | 365,100 | 3,892,022 |
| Obic Co., Ltd. | 22,000 | 3,128,537 |
| Shimadzu Corp. | 89,500 | 2,836,748 |
| Shin-Etsu Chemical Co., Ltd. | 56,700 | 6,373,702 |
| SMC Corp. | 13,000 | 5,786,814 |
| Sysmex Corp. | 94,500 | 5,702,194 |
| Total | 94,637,584 |
| Luxembourg 0.9% |
| Tenaris SA | 785,085 | 10,083,738 |
| Netherlands 3.0% |
| Adyen NV(a) | 8,949 | 12,914,592 |
| ASML Holding NV | 47,039 | 22,223,008 |
| Total | 35,137,600 |
| New Zealand 0.4% |
| Fisher & Paykel Healthcare Corp., Ltd. | 370,561 | 4,616,337 |
| Norway 0.4% |
| TOMRA Systems ASA | 243,341 | 4,567,015 |
| Singapore 0.6% |
| Ascendas Real Estate Investment Trust | 3,165,024 | 6,495,731 |
| Spain 2.5% |
| Amadeus IT Group SA, Class A(a) | 403,550 | 22,596,445 |
| Industria de Diseno Textil SA | 250,500 | 5,692,730 |
| Total | 28,289,175 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Sweden 3.3% |
| Atlas Copco AB, Class A(a) | 1,009,572 | 9,449,640 |
| EQT AB | 208,060 | 4,276,269 |
| Evolution AB | 68,144 | 6,233,885 |
| Hexagon AB, Class B | 1,360,288 | 14,213,724 |
| Indutrade AB | 211,979 | 3,889,396 |
| Total | 38,062,914 |
| Switzerland 8.6% |
| Givaudan SA | 1,600 | 5,639,540 |
| Kuehne & Nagel International AG | 31,700 | 7,531,999 |
| Lonza Group AG, Registered Shares | 43,399 | 23,181,031 |
| Nestlé SA, Registered Shares | 57,500 | 6,720,184 |
| Novartis AG, Registered Shares | 73,000 | 6,188,986 |
| Partners Group Holding AG | 10,856 | 9,804,020 |
| Roche Holding AG, Genusschein Shares | 19,400 | 6,485,417 |
| SGS SA, Registered Shares | 2,170 | 4,977,286 |
| Sika AG | 40,261 | 9,293,740 |
| Straumann Holding AG, Registered Shares | 120,695 | 14,539,659 |
| VAT Group AG | 19,200 | 4,591,805 |
| Total | 98,953,667 |
| Taiwan 2.3% |
| Taiwan Semiconductor Manufacturing Co., Ltd. | 1,029,000 | 16,491,117 |
| Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 118,000 | 9,646,500 |
| Total | 26,137,617 |
| United Kingdom 16.3% |
| Ashtead Group PLC | 217,283 | 9,140,781 |
| AstraZeneca PLC | 175,241 | 23,118,110 |
| Bunzl PLC | 482,169 | 16,013,191 |
| Compass Group PLC | 1,470,557 | 30,192,580 |
| Diageo PLC | 555,010 | 23,972,391 |
| Experian PLC | 618,007 | 18,145,185 |
| Halma PLC | 181,683 | 4,460,707 |
| Linde PLC | 47,197 | 13,570,553 |
| London Stock Exchange Group PLC | 165,190 | 15,414,162 |
| Prudential PLC | 499,000 | 6,207,179 |
| Rentokil Initial PLC | 2,304,124 | 13,356,915 |
| Segro PLC | 663,537 | 7,921,152 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Spirax-Sarco Engineering PLC | 48,915 | 5,899,573 |
| Total | 187,412,479 |
| United States 1.7% |
| Atlassian Corp. PLC, Class A(a) | 42,946 | 8,048,080 |
| lululemon athletica, Inc.(a) | 43,164 | 11,766,938 |
| Total | 19,815,018 |
Total Common Stocks
(Cost $1,214,502,382) | 1,120,872,927 |
|
| Money Market Funds 4.5% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(b),(c) | 52,080,955 | 52,049,707 |
Total Money Market Funds
(Cost $52,048,045) | 52,049,707 |
Total Investments in Securities
(Cost $1,266,550,427) | 1,172,922,634 |
| Other Assets & Liabilities, Net | | (20,230,542) |
| Net Assets | $1,152,692,092 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 31,084,383 | 140,870,416 | (119,909,493) | 4,401 | 52,049,707 | (13,439) | 60,502 | 52,080,955 |
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 market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (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.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Argentina | 9,719,496 | — | — | 9,719,496 |
| Australia | — | 33,489,717 | — | 33,489,717 |
| Belgium | — | 11,689,064 | — | 11,689,064 |
| Brazil | 5,294,149 | — | — | 5,294,149 |
| Canada | 70,873,933 | — | — | 70,873,933 |
| Denmark | — | 92,216,168 | — | 92,216,168 |
| Finland | — | 15,656,094 | — | 15,656,094 |
| France | — | 157,440,617 | — | 157,440,617 |
| Germany | — | 33,565,604 | — | 33,565,604 |
| Hong Kong | — | 39,748,635 | — | 39,748,635 |
| India | — | 54,366,177 | — | 54,366,177 |
| Ireland | 31,026,605 | 9,000,486 | — | 40,027,091 |
| Italy | — | 2,577,307 | — | 2,577,307 |
| Japan | — | 94,637,584 | — | 94,637,584 |
| Luxembourg | — | 10,083,738 | — | 10,083,738 |
| Netherlands | — | 35,137,600 | — | 35,137,600 |
| New Zealand | — | 4,616,337 | — | 4,616,337 |
| Norway | — | 4,567,015 | — | 4,567,015 |
| Singapore | — | 6,495,731 | — | 6,495,731 |
| Spain | — | 28,289,175 | — | 28,289,175 |
| Sweden | — | 38,062,914 | — | 38,062,914 |
| Switzerland | — | 98,953,667 | — | 98,953,667 |
| Taiwan | 9,646,500 | 16,491,117 | — | 26,137,617 |
| United Kingdom | 13,570,553 | 173,841,926 | — | 187,412,479 |
| United States | 19,815,018 | — | — | 19,815,018 |
| Total Common Stocks | 159,946,254 | 960,926,673 | — | 1,120,872,927 |
| Money Market Funds | 52,049,707 | — | — | 52,049,707 |
| Total Investments in Securities | 211,995,961 | 960,926,673 | — | 1,172,922,634 |
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.
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022
| 9 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,214,502,382) | $1,120,872,927 |
| Affiliated issuers (cost $52,048,045) | 52,049,707 |
| Foreign currency (cost $2,904,180) | 2,903,935 |
| Receivable for: | |
| Capital shares sold | 1,522 |
| Dividends | 1,206,407 |
| Foreign tax reclaims | 4,470,617 |
| Expense reimbursement due from Investment Manager | 1,588 |
| Prepaid expenses | 9,792 |
| Total assets | 1,181,516,495 |
| Liabilities | |
| Due to custodian | 119,029 |
| Payable for: | |
| Investments purchased | 28,035,651 |
| Capital shares purchased | 85,907 |
| Foreign capital gains taxes deferred | 376,687 |
| Management services fees | 26,401 |
| Distribution and/or service fees | 252 |
| Service fees | 1,990 |
| Compensation of board members | 136,758 |
| Compensation of chief compliance officer | 119 |
| Other expenses | 41,609 |
| Total liabilities | 28,824,403 |
| Net assets applicable to outstanding capital stock | $1,152,692,092 |
| Represented by | |
| Paid in capital | 1,236,226,570 |
| Total distributable earnings (loss) | (83,534,478) |
| Total - representing net assets applicable to outstanding capital stock | $1,152,692,092 |
| Class 1 | |
| Net assets | $1,113,511,016 |
| Shares outstanding | 114,382,008 |
| Net asset value per share | $9.74 |
| Class 2 | |
| Net assets | $39,181,076 |
| Shares outstanding | 4,068,695 |
| Net asset value per share | $9.63 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $13,751,092 |
| Dividends — affiliated issuers | 60,502 |
| Interfund lending | 505 |
| European Union tax reclaim | 1,024,196 |
| Foreign taxes withheld | (1,701,405) |
| Total income | 13,134,890 |
| Expenses: | |
| Management services fees | 5,641,611 |
| Distribution and/or service fees | |
| Class 2 | 56,100 |
| Service fees | 14,245 |
| Compensation of board members | 6,952 |
| Custodian fees | 85,823 |
| Printing and postage fees | 6,936 |
| Audit fees | 39,267 |
| Legal fees | 12,061 |
| Compensation of chief compliance officer | 72 |
| Other | 12,106 |
| Total expenses | 5,875,173 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (225,552) |
| Total net expenses | 5,649,621 |
| Net investment income | 7,485,269 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 8,920,123 |
| Investments — affiliated issuers | (13,439) |
| Foreign currency translations | (584,573) |
| Net realized gain | 8,322,111 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (472,391,703) |
| Investments — affiliated issuers | 4,401 |
| Foreign currency translations | (218,011) |
| Foreign capital gains tax | 506,760 |
| Net change in unrealized appreciation (depreciation) | (472,098,553) |
| Net realized and unrealized loss | (463,776,442) |
| Net decrease in net assets resulting from operations | $(456,291,173) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022
| 11 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $7,485,269 | $830,175 |
| Net realized gain | 8,322,111 | 72,560,718 |
| Net change in unrealized appreciation (depreciation) | (472,098,553) | 56,489,164 |
| Net increase (decrease) in net assets resulting from operations | (456,291,173) | 129,880,057 |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class 1 | (69,892,196) | (66,545,822) |
| Class 2 | (2,488,406) | (2,343,808) |
| Total distributions to shareholders | (72,380,602) | (68,889,630) |
| Increase in net assets from capital stock activity | 117,305,376 | 324,521,353 |
| Total increase (decrease) in net assets | (411,366,399) | 385,511,780 |
| Net assets at beginning of period | 1,564,058,491 | 1,178,546,711 |
| Net assets at end of period | $1,152,692,092 | $1,564,058,491 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 4,205,196 | 45,284,764 | 30,014,523 | 435,939,035 |
| Distributions reinvested | 7,161,086 | 69,892,196 | 4,675,920 | 66,545,822 |
| Redemptions | (113,087) | (1,443,119) | (13,367,843) | (184,912,011) |
| Net increase | 11,253,195 | 113,733,841 | 21,322,600 | 317,572,846 |
| Class 2 | | | | |
| Subscriptions | 217,972 | 2,651,333 | 560,144 | 7,982,696 |
| Distributions reinvested | 257,599 | 2,488,406 | 165,874 | 2,343,808 |
| Redemptions | (129,616) | (1,568,204) | (236,179) | (3,377,997) |
| Net increase | 345,955 | 3,571,535 | 489,839 | 6,948,507 |
| Total net increase | 11,599,150 | 117,305,376 | 21,812,439 | 324,521,353 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
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Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022
| 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.
| | 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 | Total
distributions to
shareholders |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $14.64 | 0.07(c) | (4.32) | (4.25) | — | (0.65) | (0.65) |
| Year Ended 12/31/2021 | $13.86 | 0.01 | 1.44 | 1.45 | (0.01) | (0.66) | (0.67) |
| Year Ended 12/31/2020 | $11.46 | 0.02 | 2.53 | 2.55 | (0.03) | (0.12) | (0.15) |
| Year Ended 12/31/2019 | $9.46 | 0.10 | 2.38 | 2.48 | (0.12) | (0.36) | (0.48) |
| Year Ended 12/31/2018 | $12.29 | 0.11 | (2.35) | (2.24) | (0.12) | (0.47) | (0.59) |
| Year Ended 12/31/2017 | $10.70 | 0.11 | 2.65 | 2.76 | (0.09) | (1.08) | (1.17) |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $14.51 | 0.06(c) | (4.29) | (4.23) | — | (0.65) | (0.65) |
| Year Ended 12/31/2021 | $13.77 | (0.03) | 1.43 | 1.40 | — | (0.66) | (0.66) |
| Year Ended 12/31/2020 | $11.40 | (0.01) | 2.51 | 2.50 | (0.01) | (0.12) | (0.13) |
| Year Ended 12/31/2019 | $9.42 | 0.07 | 2.37 | 2.44 | (0.10) | (0.36) | (0.46) |
| Year Ended 12/31/2018 | $12.24 | 0.07 | (2.32) | (2.25) | (0.10) | (0.47) | (0.57) |
| Year Ended 12/31/2017 | $10.66 | 0.08 | 2.64 | 2.72 | (0.06) | (1.08) | (1.14) |
| 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) | Net investment income per share includes European Union tax reclaims. The effect of these reclaims amounted to $0.01 per share. |
| (d) | Annualized. |
| (e) | Ratios include interfund lending expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $9.74 | (29.03%) | 0.91%(d) | 0.87%(d) | 1.17%(d) | 20% | $1,113,511 |
| Year Ended 12/31/2021 | $14.64 | 10.63% | 0.90% | 0.88% | 0.06% | 26% | $1,510,036 |
| Year Ended 12/31/2020 | $13.86 | 22.62% | 0.93%(e) | 0.92%(e) | 0.15% | 73% | $1,134,033 |
| Year Ended 12/31/2019 | $11.46 | 26.70% | 0.93% | 0.92% | 0.92% | 113% | $1,057,916 |
| Year Ended 12/31/2018 | $9.46 | (18.95%) | 0.91% | 0.91% | 0.92% | 19% | $793,614 |
| Year Ended 12/31/2017 | $12.29 | 26.87% | 0.95% | 0.95% | 0.93% | 22% | $1,682,196 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $9.63 | (29.15%) | 1.15%(d) | 1.12%(d) | 0.93%(d) | 20% | $39,181 |
| Year Ended 12/31/2021 | $14.51 | 10.33% | 1.15% | 1.13% | (0.21%) | 26% | $54,022 |
| Year Ended 12/31/2020 | $13.77 | 22.30% | 1.18%(e) | 1.17%(e) | (0.10%) | 73% | $44,514 |
| Year Ended 12/31/2019 | $11.40 | 26.36% | 1.18% | 1.17% | 0.67% | 113% | $35,306 |
| Year Ended 12/31/2018 | $9.42 | (19.10%) | 1.17% | 1.17% | 0.64% | 19% | $29,694 |
| Year Ended 12/31/2017 | $12.24 | 26.56% | 1.20% | 1.20% | 0.67% | 22% | $33,356 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
Variable Portfolio – Partners International 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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 16 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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.
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (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 investment company taxable income and net capital gain, 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 in the Statement of Assets and Liabilities.
The Fund may file withholding tax reclaims in certain European Union countries to recover a portion of foreign taxes previously withheld on dividends earned, which may be reclaimable based upon certain provisions in the Treaty on the Functioning of the European Union (EU) and subsequent rulings by the European Court of Justice. The Fund may record a reclaim receivable when the amount is known, the Fund has received notice of a pending refund, and there are no significant uncertainties on collectability. Income received from EU reclaims is included in the Statement of Operations.
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 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 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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 subadvisers (see Subadvisory agreements below) have the primary responsibility for the day-to-day portfolio management of
| 18 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 0.92% to 0.75% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2022 was 0.88% of the Fund’s average daily net assets.
Subadvisory agreements
The Investment Manager has entered into Subadvisory Agreements with Walter Scott & Partners Limited and William Blair Investment Management, LLC, each of which subadvises a portion of the assets of the Fund. New investments in the Fund, net of redemptions, are allocated in accordance with the Investment Manager’s determination. Each subadviser’s proportionate share of investments in the Fund will vary due to market fluctuations. The Investment Manager compensates each subadviser to manage the investment of the Fund’s assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.00% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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.
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (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 classes’ average daily net assets:
| | Fee rate(s) contractual
through
April 30, 2023 |
| Class 1 | 0.87% |
| Class 2 | 1.12 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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, 2022, the approximate cost of all 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) ($) |
| 1,266,550,000 | 50,264,000 | (143,891,000) | (93,627,000) |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
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 $307,681,068 and $254,027,511, respectively, for the six months ended June 30, 2022. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
| 20 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended June 30, 2022 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Lender | 3,625,000 | 1.16 | 4 |
Interest income earned by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at June 30, 2022.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 9. Significant risks
Foreign securities and emerging market countries risk
Investing in foreign securities may involve heightened risks relative to investments in U.S. securities. Investing in foreign securities subjects the Fund to the risks associated with the issuer’s country of organization and places of business operations, including risks associated with political, regulatory, economic, social, diplomatic and other conditions or events occurring in the country or region, which may result in significant market volatility. In addition, certain foreign securities may be more volatile and less liquid than U.S. securities. Investing in emerging markets may increase these risks and expose the Fund to elevated risks associated with increased inflation, deflation or currency devaluation. 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 risks associated with the conditions, events or other factors impacting those countries or regions and may, therefore, have a greater risk than that of a fund that is more geographically diversified. The financial information and disclosure made available by issuers of emerging market securities may be considerably less reliable than publicly available information about other foreign securities. The Public Company Accounting Oversight Board, which regulates auditors of U.S. public companies, is unable to inspect audit work papers in certain foreign countries. Investors in foreign countries often have limited rights and few practical remedies to pursue shareholder claims, including class actions or fraud claims, and the ability of the U.S. Securities and Exchange Commission, the U.S. Department of Justice and other authorities to bring and enforce actions against foreign issuers or foreign persons is limited.
Geographic focus risk
The Fund may be particularly susceptible to risks related to economic, political, regulatory or other events or conditions affecting issuers and countries within the specific geographic regions in which the Fund invests. The Fund’s net asset value may be more volatile than the net asset value of a more geographically diversified fund.
Asia Pacific Region. The Fund is particularly susceptible to economic, political, regulatory or other events or conditions affecting issuers and countries in the Asia Pacific region. Many of the countries in the region are considered underdeveloped or developing, including from a political, economic and/or social perspective, and may have relatively unstable governments and economies based on limited business, industries and/or natural resources or commodities. Events in any one country within the region may impact other countries in the region or the region as a whole. As a result, events in the region will generally have a greater effect on the Fund than if the Fund were more geographically diversified. This could result in increased volatility in the value of the Fund’s investments and losses for the Fund. Also, securities of some companies in the region can be less liquid than U.S. or other foreign securities, potentially making it difficult for the Fund to sell such securities at a desirable time and price.
Europe. The Fund is particularly susceptible to risks related to economic, political, regulatory or other events or conditions, including acts of war or other conflicts in the region, affecting issuers and countries in Europe. Countries in Europe are often closely connected and interdependent, and events in one European country can have an adverse impact on, and potentially spread to, other European countries. In addition, private and public sectors’ significant debt problems of a single European Union (EU) country can pose economic risks to the EU as a whole. As a result, the Fund’s net asset value may be more volatile than the net asset value of a more geographically diversified fund. If securities of issuers in Europe fall out of favor, it may cause the Fund to underperform other funds that do not focus their investments in this region of the world. The departure of the United Kingdom (UK) from the EU single market became effective January 1, 2021 with the end of the Brexit transition period and the post-Brexit trade deal between the UK and EU taking effect on December 31, 2020. The impact of Brexit on the UK and European economies and the broader global economy could be significant, resulting in negative impacts on currency and financial markets generally, such as increased volatility and illiquidity, and potentially lower economic growth in markets in Europe, which may adversely affect the value of your investment in the Fund.
Industrials sector risk
The Fund is 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,
| 22 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022
| 23 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 10. 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 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
| 24 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management and Subadvisory
Agreements
(Unaudited)
Columbia Management Investment Advisers, LLC (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 International Growth Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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 the Investment Manager and each of Walter Scott & Partners Limited and William Blair Investment Management, LLC (collectively, the Subadvisers), the Subadvisers provide 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 Agreements (together, the Advisory Agreements). The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022
| 25 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board, at its June 23, 2022 Board meeting (the June Meeting), considered the renewal of each 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. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Advisory Agreements; |
| • | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreements; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager and the Subadvisers under the Advisory Agreements, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager and Subadvisers, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager and the Subadvisers with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager and the Subadvisers
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager and the Subadvisers, as well as their history, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers. With respect to the Investment Manager, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as
| 26 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. 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 the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by the Investment Manager in addition to monitoring each Subadviser), noting that no changes were proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
The Board 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 subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no changes were recommended to the Subadvisory Agreements. The Board took into account the Investment Manager’s representation that each Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Advisory Agreements supported the continuation of the Management Agreement and the Subadvisory Agreements.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
Additionally, the Board reviewed the performance of each of the Subadvisers and the Investment Manager’s process for monitoring such Subadvisers’ performance. The Board considered, in particular, management’s rationale for recommending the continued retention of each Subadviser and management’s representations that the Investment Manager’s profitability is not the key factor driving their recommendation to select, renew or terminate the Subadvisers.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022
| 27 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board also considered the Investment Manager’s and Subadvisers’ performance and reputation generally, and the Investment Manager’s evaluation of each Subadviser’s contribution to the Fund’s broader investment mandate. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadvisers, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory Agreements.
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates 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 Broadridge and JDL) 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 the Investment Manager’s profitability.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
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 Fund. The Board also reviewed advisory fee rates charged by other comparable mutual funds employing each Subadviser to provide comparable subadvisory services. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees, subadvisory fees and expenses of the Fund, in light of other considerations, supported the continuation of each of the Management Agreement and the Subadvisory Agreements.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. Because the Subadvisory Agreements were negotiated at arms-length by the Investment Manager, which is responsible for payments to the Subadvisers thereunder, the Board did not consider the profitability to each Subadviser from its relationship with the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreements.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation
| 28 | Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. The Board also noted that the breakpoints in the Subadvisory Agreements did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement and the Subadvisory Agreements. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under each of the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided and approved the renewal of each of the Advisory Agreements.
Variable Portfolio – Partners International Growth Fund | Semiannual Report 2022
| 29 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Variable Portfolio – Partners International Growth Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
CTIVP® – T. Rowe Price 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which CTIVP® – T. Rowe Price Large Cap Value Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term growth of capital and income.
Portfolio management
T. Rowe Price Associates, Inc.
Mark Finn, CFA, CPA*
John Linehan, CFA
Gabriel Solomon
* Effective December 31, 2022, Mr. Finn will step down as a Co-Portfolio Manager of the Fund.
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/07/10 | -10.03 | -4.17 | 7.71 | 9.40 |
| Class 2 | 05/07/10 | -10.15 | -4.42 | 7.44 | 9.13 |
| Russell 1000 Value Index | | -12.86 | -6.82 | 7.17 | 10.50 |
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 November 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.
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Common Stocks | 97.6 |
| Convertible Preferred Stocks | 0.6 |
| Money Market Funds | 1.8 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 5.2 |
| Consumer Discretionary | 3.3 |
| Consumer Staples | 8.5 |
| Energy | 7.2 |
| Financials | 13.9 |
| Health Care | 21.3 |
| Industrials | 10.8 |
| Information Technology | 10.0 |
| Materials | 5.3 |
| Real Estate | 5.3 |
| Utilities | 9.2 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 899.70 | 1,021.42 | 3.20 | 3.41 | 0.68 |
| Class 2 | 1,000.00 | 1,000.00 | 898.50 | 1,020.18 | 4.38 | 4.66 | 0.93 |
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.
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 97.6% |
| Issuer | Shares | Value ($) |
| Communication Services 5.1% |
| Entertainment 1.7% |
| Walt Disney Co. (The)(a) | 342,230 | 32,306,512 |
| Interactive Media & Services 1.2% |
| Alphabet, Inc., Class C(a) | 7,295 | 15,957,448 |
| Meta Platforms, Inc., Class A(a) | 33,000 | 5,321,250 |
| Total | | 21,278,698 |
| Media 2.2% |
| Comcast Corp., Class A | 460,317 | 18,062,839 |
| News Corp., Class A | 1,497,430 | 23,329,959 |
| Total | | 41,392,798 |
| Total Communication Services | 94,978,008 |
| Consumer Discretionary 3.2% |
| Auto Components 0.1% |
| Magna International, Inc. | 50,373 | 2,765,478 |
| Hotels, Restaurants & Leisure 0.6% |
| Las Vegas Sands Corp.(a) | 332,802 | 11,178,819 |
| Multiline Retail 0.4% |
| Kohl’s Corp. | 208,176 | 7,429,801 |
| Specialty Retail 2.1% |
| Best Buy Co., Inc. | 167,000 | 10,886,730 |
| TJX Companies, Inc. (The) | 495,737 | 27,686,912 |
| Total | | 38,573,642 |
| Total Consumer Discretionary | 59,947,740 |
| Consumer Staples 8.4% |
| Beverages 1.1% |
| Coca-Cola Co. (The) | 326,710 | 20,553,326 |
| Food & Staples Retailing 1.9% |
| Walmart, Inc. | 287,221 | 34,920,329 |
| Food Products 2.3% |
| Bunge Ltd. | 74,717 | 6,776,085 |
| ConAgra Foods, Inc. | 980,586 | 33,575,265 |
| Tyson Foods, Inc., Class A | 43,952 | 3,782,509 |
| Total | | 44,133,859 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Household Products 1.6% |
| Kimberly-Clark Corp. | 219,278 | 29,635,422 |
| Tobacco 1.5% |
| Philip Morris International, Inc. | 278,342 | 27,483,489 |
| Total Consumer Staples | 156,726,425 |
| Energy 7.1% |
| Oil, Gas & Consumable Fuels 7.1% |
| ConocoPhillips Co. | 277,223 | 24,897,398 |
| Exxon Mobil Corp. | 296,355 | 25,379,842 |
| TC Energy Corp. | 488,852 | 25,327,422 |
| TotalEnergies SE, ADR | 1,086,227 | 57,178,989 |
| Total | | 132,783,651 |
| Total Energy | 132,783,651 |
| Financials 13.6% |
| Banks 5.8% |
| Bank of America Corp. | 518,388 | 16,137,418 |
| Citigroup, Inc. | 315,900 | 14,528,241 |
| Fifth Third Bancorp | 200,018 | 6,720,605 |
| Huntington Bancshares, Inc. | 1,473,471 | 17,725,856 |
| Wells Fargo & Co. | 1,364,274 | 53,438,613 |
| Total | | 108,550,733 |
| Capital Markets 2.3% |
| Charles Schwab Corp. (The) | 199,633 | 12,612,813 |
| Goldman Sachs Group, Inc. (The) | 69,098 | 20,523,488 |
| Morgan Stanley | 128,452 | 9,770,059 |
| Total | | 42,906,360 |
| Diversified Financial Services 1.2% |
| Equitable Holdings, Inc. | 896,540 | 23,372,798 |
| Insurance 4.3% |
| American International Group, Inc. | 744,958 | 38,089,702 |
| Chubb Ltd. | 214,878 | 42,240,717 |
| Total | | 80,330,419 |
| Total Financials | 255,160,310 |
| Health Care 20.7% |
| Biotechnology 1.8% |
| AbbVie, Inc. | 224,685 | 34,412,755 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Health Care Equipment & Supplies 6.1% |
| Becton Dickinson and Co. | 166,145 | 40,959,727 |
| Hologic, Inc.(a) | 226,600 | 15,703,380 |
| Medtronic PLC | 317,599 | 28,504,510 |
| Zimmer Biomet Holdings, Inc. | 278,175 | 29,225,066 |
| Total | | 114,392,683 |
| Health Care Providers & Services 4.9% |
| Cigna Corp. | 132,540 | 34,926,941 |
| CVS Health Corp. | 179,871 | 16,666,847 |
| Elevance Health, Inc. | 83,158 | 40,130,387 |
| Total | | 91,724,175 |
| Life Sciences Tools & Services 0.9% |
| Thermo Fisher Scientific, Inc. | 29,032 | 15,772,505 |
| Pharmaceuticals 7.0% |
| Bristol-Myers Squibb Co. | 286,000 | 22,022,000 |
| Elanco Animal Health, Inc.(a) | 511,831 | 10,047,242 |
| Johnson & Johnson | 262,178 | 46,539,217 |
| Merck & Co., Inc. | 315,584 | 28,771,793 |
| Pfizer, Inc. | 427,895 | 22,434,535 |
| Total | | 129,814,787 |
| Total Health Care | 386,116,905 |
| Industrials 10.6% |
| Aerospace & Defense 1.3% |
| Boeing Co. (The)(a) | 60,398 | 8,257,615 |
| L3Harris Technologies, Inc. | 70,749 | 17,100,033 |
| Total | | 25,357,648 |
| Air Freight & Logistics 2.7% |
| United Parcel Service, Inc., Class B | 275,539 | 50,296,889 |
| Airlines 0.6% |
| Southwest Airlines Co.(a) | 316,369 | 11,427,248 |
| Commercial Services & Supplies 0.6% |
| Stericycle, Inc.(a) | 279,589 | 12,259,978 |
| Industrial Conglomerates 3.5% |
| General Electric Co. | 756,402 | 48,160,115 |
| Siemens AG, ADR | 323,113 | 16,532,077 |
| Total | | 64,692,192 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Machinery 1.9% |
| Cummins, Inc. | 151,003 | 29,223,611 |
| Illinois Tool Works, Inc. | 32,398 | 5,904,535 |
| Total | | 35,128,146 |
| Total Industrials | 199,162,101 |
| Information Technology 9.8% |
| Communications Equipment 0.7% |
| Cisco Systems, Inc. | 325,724 | 13,888,871 |
| Electronic Equipment, Instruments & Components 0.7% |
| TE Connectivity Ltd. | 112,775 | 12,760,491 |
| IT Services 1.9% |
| Fiserv, Inc.(a) | 389,719 | 34,673,300 |
| Semiconductors & Semiconductor Equipment 4.2% |
| Applied Materials, Inc. | 79,130 | 7,199,248 |
| NXP Semiconductors NV | 41,871 | 6,198,164 |
| QUALCOMM, Inc. | 349,388 | 44,630,823 |
| Texas Instruments, Inc. | 137,331 | 21,100,908 |
| Total | | 79,129,143 |
| Software 2.3% |
| Citrix Systems, Inc. | 156,773 | 15,233,632 |
| Microsoft Corp. | 106,206 | 27,276,887 |
| Total | | 42,510,519 |
| Total Information Technology | 182,962,324 |
| Materials 5.2% |
| Chemicals 3.1% |
| CF Industries Holdings, Inc. | 199,522 | 17,105,021 |
| International Flavors & Fragrances, Inc. | 237,361 | 28,274,442 |
| RPM International, Inc. | 149,800 | 11,792,256 |
| Total | | 57,171,719 |
| Containers & Packaging 2.1% |
| International Paper Co. | 945,844 | 39,564,655 |
| Total Materials | 96,736,374 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Real Estate 5.2% |
| Equity Real Estate Investment Trusts (REITS) 5.2% |
| AvalonBay Communities, Inc. | 182,139 | 35,380,501 |
| Equinix, Inc. | 24,000 | 15,768,480 |
| Welltower, Inc. | 158,718 | 13,070,427 |
| Weyerhaeuser Co. | 994,891 | 32,950,790 |
| Total | | 97,170,198 |
| Total Real Estate | 97,170,198 |
| Utilities 8.7% |
| Electric Utilities 5.5% |
| Entergy Corp. | 154,670 | 17,422,029 |
| NextEra Energy, Inc. | 313,901 | 24,314,772 |
| Southern Co. (The) | 840,272 | 59,919,796 |
| Total | | 101,656,597 |
| Multi-Utilities 3.2% |
| Ameren Corp. | 248,424 | 22,447,592 |
| Sempra Energy | 253,003 | 38,018,761 |
| Total | | 60,466,353 |
| Total Utilities | 162,122,950 |
Total Common Stocks
(Cost $1,723,204,724) | 1,823,866,986 |
| Convertible Preferred Stocks 0.6% |
| Issuer | | Shares | Value ($) |
| Health Care 0.2% |
| Health Care Equipment & Supplies 0.2% |
| Becton Dickinson and Co. | 6.000% | 89,331 | 4,440,644 |
| Pharmaceuticals 0.0% |
| Elanco Animal Health, Inc. | 5.000% | 10,173 | 330,089 |
| Total Health Care | 4,770,733 |
| Utilities 0.4% |
| Electric Utilities 0.4% |
| Southern Co. (The) | 6.750% | 139,371 | 7,108,935 |
| Total Utilities | 7,108,935 |
Total Convertible Preferred Stocks
(Cost $12,093,859) | 11,879,668 |
| Money Market Funds 1.8% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(b),(c) | 33,271,945 | 33,251,982 |
Total Money Market Funds
(Cost $33,256,080) | 33,251,982 |
Total Investments in Securities
(Cost: $1,768,554,663) | 1,868,998,636 |
| Other Assets & Liabilities, Net | | (780,279) |
| Net Assets | 1,868,218,357 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 35,772,647 | 135,884,111 | (138,402,968) | (1,808) | 33,251,982 | (12,777) | 78,191 | 33,271,945 |
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
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (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.
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 market movements following the close of local trading, as described in Note 2 to the financial statements – Security valuation.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 94,978,008 | — | — | 94,978,008 |
| Consumer Discretionary | 59,947,740 | — | — | 59,947,740 |
| Consumer Staples | 156,726,425 | — | — | 156,726,425 |
| Energy | 132,783,651 | — | — | 132,783,651 |
| Financials | 255,160,310 | — | — | 255,160,310 |
| Health Care | 386,116,905 | — | — | 386,116,905 |
| Industrials | 182,630,024 | 16,532,077 | — | 199,162,101 |
| Information Technology | 182,962,324 | — | — | 182,962,324 |
| Materials | 96,736,374 | — | — | 96,736,374 |
| Real Estate | 97,170,198 | — | — | 97,170,198 |
| Utilities | 162,122,950 | — | — | 162,122,950 |
| Total Common Stocks | 1,807,334,909 | 16,532,077 | — | 1,823,866,986 |
| Convertible Preferred Stocks | | | | |
| Health Care | — | 4,770,733 | — | 4,770,733 |
| Utilities | — | 7,108,935 | — | 7,108,935 |
| Total Convertible Preferred Stocks | — | 11,879,668 | — | 11,879,668 |
| Money Market Funds | 33,251,982 | — | — | 33,251,982 |
| Total Investments in Securities | 1,840,586,891 | 28,411,745 | — | 1,868,998,636 |
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.
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (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.
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $1,735,298,583) | $1,835,746,654 |
| Affiliated issuers (cost $33,256,080) | 33,251,982 |
| Receivable for: | |
| Investments sold | 1,959,164 |
| Capital shares sold | 92,404 |
| Dividends | 3,491,827 |
| Foreign tax reclaims | 276,262 |
| Prepaid expenses | 12,025 |
| Total assets | 1,874,830,318 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 3,286,596 |
| Capital shares purchased | 3,112,337 |
| Management services fees | 35,100 |
| Distribution and/or service fees | 299 |
| Service fees | 1,426 |
| Compensation of board members | 150,812 |
| Compensation of chief compliance officer | 215 |
| Other expenses | 25,176 |
| Total liabilities | 6,611,961 |
| Net assets applicable to outstanding capital stock | $1,868,218,357 |
| Represented by | |
| Trust capital | $1,868,218,357 |
| Total - representing net assets applicable to outstanding capital stock | $1,868,218,357 |
| Class 1 | |
| Net assets | $1,824,625,468 |
| Shares outstanding | 60,198,722 |
| Net asset value per share | $30.31 |
| Class 2 | |
| Net assets | $43,592,889 |
| Shares outstanding | 1,482,539 |
| Net asset value per share | $29.40 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022
| 11 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $25,742,599 |
| Dividends — affiliated issuers | 78,191 |
| Foreign taxes withheld | (649,473) |
| Total income | 25,171,317 |
| Expenses: | |
| Management services fees | 7,070,519 |
| Distribution and/or service fees | |
| Class 2 | 55,006 |
| Service fees | 13,129 |
| Compensation of board members | 10,308 |
| Custodian fees | 7,820 |
| Printing and postage fees | 5,271 |
| Audit fees | 14,758 |
| Legal fees | 16,032 |
| Compensation of chief compliance officer | 144 |
| Other | 41,572 |
| Total expenses | 7,234,559 |
| Net investment income | 17,936,758 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 169,070,973 |
| Investments — affiliated issuers | (12,777) |
| Foreign currency translations | (7,393) |
| Net realized gain | 169,050,803 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (397,431,946) |
| Investments — affiliated issuers | (1,808) |
| Foreign currency translations | (1,276) |
| Net change in unrealized appreciation (depreciation) | (397,435,030) |
| Net realized and unrealized loss | (228,384,227) |
| Net decrease in net assets resulting from operations | $(210,447,469) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $17,936,758 | $30,610,234 |
| Net realized gain | 169,050,803 | 201,747,978 |
| Net change in unrealized appreciation (depreciation) | (397,435,030) | 260,054,219 |
| Net increase (decrease) in net assets resulting from operations | (210,447,469) | 492,412,431 |
| Increase (decrease) in net assets from capital stock activity | (204,754,279) | 152,636,535 |
| Total increase (decrease) in net assets | (415,201,748) | 645,048,966 |
| Net assets at beginning of period | 2,283,420,105 | 1,638,371,139 |
| Net assets at end of period | $1,868,218,357 | $2,283,420,105 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 67,843 | 2,138,832 | 20,279,983 | 566,807,255 |
| Redemptions | (6,390,593) | (213,031,351) | (13,563,239) | (418,510,276) |
| Net increase (decrease) | (6,322,750) | (210,892,519) | 6,716,744 | 148,296,979 |
| Class 2 | | | | |
| Subscriptions | 232,011 | 7,493,654 | 254,177 | 7,705,657 |
| Redemptions | (42,663) | (1,355,414) | (112,525) | (3,366,101) |
| Net increase | 189,348 | 6,138,240 | 141,652 | 4,339,556 |
| Total net increase (decrease) | (6,133,402) | (204,754,279) | 6,858,396 | 152,636,535 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $33.69 | 0.28 | (3.66) | (3.38) |
| Year Ended 12/31/2021 | $26.89 | 0.44 | 6.36 | 6.80 |
| Year Ended 12/31/2020 | $26.19 | 0.50 | 0.20(d) | 0.70 |
| Year Ended 12/31/2019 | $20.69 | 0.52 | 4.98 | 5.50 |
| Year Ended 12/31/2018 | $22.81 | 0.44 | (2.56) | (2.12) |
| Year Ended 12/31/2017 | $19.62 | 0.37 | 2.82 | 3.19 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $32.72 | 0.24 | (3.56) | (3.32) |
| Year Ended 12/31/2021 | $26.19 | 0.35 | 6.18 | 6.53 |
| Year Ended 12/31/2020 | $25.56 | 0.44 | 0.19(d) | 0.63 |
| Year Ended 12/31/2019 | $20.25 | 0.45 | 4.86 | 5.31 |
| Year Ended 12/31/2018 | $22.38 | 0.38 | (2.51) | (2.13) |
| Year Ended 12/31/2017 | $19.30 | 0.31 | 2.77 | 3.08 |
| 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) | Annualized. |
| (d) | 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. |
| (e) | Ratios include interfund lending expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $30.31 | (10.03%) | 0.68%(c) | 0.68%(c) | 1.70%(c) | 15% | $1,824,625 |
| Year Ended 12/31/2021 | $33.69 | 25.29% | 0.68% | 0.68% | 1.40% | 32% | $2,241,102 |
| Year Ended 12/31/2020 | $26.89 | 2.67% | 0.70%(e) | 0.70%(e) | 2.20% | 37% | $1,608,218 |
| Year Ended 12/31/2019 | $26.19 | 26.58% | 0.69% | 0.69% | 2.17% | 28% | $1,987,789 |
| Year Ended 12/31/2018 | $20.69 | (9.30%) | 0.67% | 0.67% | 1.91% | 20% | $1,939,941 |
| Year Ended 12/31/2017 | $22.81 | 16.26% | 0.70% | 0.70% | 1.75% | 32% | $2,481,560 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $29.40 | (10.15%) | 0.93%(c) | 0.93%(c) | 1.48%(c) | 15% | $43,593 |
| Year Ended 12/31/2021 | $32.72 | 24.93% | 0.93% | 0.93% | 1.14% | 32% | $42,318 |
| Year Ended 12/31/2020 | $26.19 | 2.47% | 0.96%(e) | 0.96%(e) | 1.96% | 37% | $30,153 |
| Year Ended 12/31/2019 | $25.56 | 26.22% | 0.94% | 0.94% | 1.94% | 28% | $27,449 |
| Year Ended 12/31/2018 | $20.25 | (9.52%) | 0.92% | 0.92% | 1.70% | 20% | $20,084 |
| Year Ended 12/31/2017 | $22.38 | 15.96% | 0.94% | 0.94% | 1.52% | 32% | $17,050 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
CTIVP® – T. Rowe Price 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 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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 16 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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.
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (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.
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 in 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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, 2022 was 0.67% of the Fund’s average daily net assets.
Subadvisory agreement
The Investment Manager has entered into a Subadvisory Agreement with T. Rowe Price Associates, Inc. to serve as the subadviser to the Fund. The Investment Manager compensates the subadviser to manage the investment of the Fund’s assets.
| 18 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.00% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | | | Fee rate(s) contractual
through
April 30, 2023 |
| Class 1 | | | 0.71% |
| Class 2 | | | 0.96 |
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
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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 $317,713,952 and $500,722,880, respectively, for the six months ended June 30, 2022. 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective
| 20 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 8. Significant risks
Health care sector risk
The Fund is 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.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. 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 and noted 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 are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
| 22 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management and Subadvisory
Agreements
(Unaudited)
Columbia Management Investment Advisers, LLC (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 CTIVP® – T. Rowe Price Large Cap Value Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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 the Investment Manager and T. Rowe Price Associates, Inc. (the Subadviser), the Subadviser provides 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). The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
The Board, at its June 23, 2022 Board meeting (the June Meeting), considered the renewal of each 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
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022
| 23 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Advisory Agreements; |
| • | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager and the Subadviser under the Advisory Agreements, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager and the Subadviser, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager and the Subadviser with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement and the Subadvisory Agreement.
Nature, extent and quality of services provided by the Investment Manager and the Subadviser
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager and the Subadviser, as well as their history, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers. With respect to the Investment Manager, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’s ability to attract and retain
| 24 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. 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 the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by the Investment Manager in addition to monitoring the Subadviser), noting that no changes were proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
The Board 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 subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no changes were recommended to the Subadvisory Agreement. The Board took into account the Investment Manager’s representation that the Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Advisory Agreements supported the continuation of the Management Agreement and the Subadvisory Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that Fund performance was well within the range of that of its peers.
Additionally, the Board reviewed the performance of the Subadviser and the Investment Manager’s process for monitoring the Subadviser’s performance. The Board considered, in particular, management’s rationale for recommending the continued retention of the Subadviser and management’s representations that the Investment Manager’s profitability is not the key factor driving their recommendation to select, renew or terminate the Subadviser.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022
| 25 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board also considered the Investment Manager’s and Subadviser’s performance and reputation generally, and the Investment Manager’s evaluation of the Subadviser’s contribution to the Fund’s broader investment mandate. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadviser, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Manager and discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
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 advisory fee rates charged by other comparable mutual funds employing the Subadviser to provide comparable subadvisory services. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees, subadvisory fees and expenses of the Fund, in light of other considerations, supported the continuation of each of the Management Agreement and the Subadvisory Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. Because the Subadvisory Agreement was negotiated at arms-length by the Investment Manager, which is responsible for payments to the Subadviser thereunder, the Board did not consider the profitability to the Subadviser from its relationship with the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreement.
| 26 | CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. The Board also noted that the breakpoints in the Subadvisory Agreement did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement and the Subadvisory Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under each of the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided and approved the renewal of each of the Advisory Agreements.
CTIVP® – T. Rowe Price Large Cap Value Fund | Semiannual Report 2022
| 27 |
CTIVP® – T. Rowe Price Large Cap Value Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
CTIVP® – CenterSquare Real Estate 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which CTIVP® – CenterSquare Real Estate Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with current income and capital appreciation.
Portfolio management
CenterSquare Investment Management LLC
Dean Frankel, CFA
Eric Rothman, CFA
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/07/10 | -18.75 | -5.45 | 6.34 | 6.71 |
| Class 2 | 05/07/10 | -18.80 | -5.69 | 6.10 | 6.45 |
| FTSE Nareit Equity REITs Index | | -20.20 | -6.27 | 5.30 | 7.39 |
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 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.
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Common Stocks | 99.2 |
| Money Market Funds | 0.8 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2022) |
| Real Estate | 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, 2022) |
| Real Estate | |
| Diversified REITs | 1.4 |
| Health Care REITs | 10.8 |
| Hotel & Resort REITs | 3.2 |
| Industrial REITs | 15.2 |
| Office REITs | 6.9 |
| Real Estate Operating Companies | 0.1 |
| Residential REITs | 23.4 |
| Retail REITs | 13.4 |
| Specialized REITs | 25.6 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 812.50 | 1,020.83 | 3.60 | 4.01 | 0.80 |
| Class 2 | 1,000.00 | 1,000.00 | 812.00 | 1,019.59 | 4.72 | 5.26 | 1.05 |
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.
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 99.1% |
| Issuer | Shares | Value ($) |
| Real Estate 99.1% |
| Diversified REITs 1.4% |
| Broadstone Net Lease, Inc. | 109,386 | 2,243,507 |
| Empire State Realty Trust, Inc., Class A | 81,020 | 569,570 |
| Total Diversified REITs | 2,813,077 |
| Health Care REITs 10.7% |
| CareTrust REIT, Inc. | 41,570 | 766,551 |
| Diversified Healthcare Trust | 69,772 | 126,985 |
| Healthpeak Properties, Inc. | 19,270 | 499,286 |
| Medical Properties Trust, Inc. | 212,700 | 3,247,929 |
| Omega Healthcare Investors, Inc. | 30,006 | 845,869 |
| Sabra Health Care REIT, Inc. | 135,420 | 1,891,817 |
| Ventas, Inc. | 163,030 | 8,384,633 |
| Welltower, Inc. | 66,540 | 5,479,569 |
| Total Health Care REITs | 21,242,639 |
| Hotel & Resort REITs 3.2% |
| Apple Hospitality REIT, Inc. | 81,510 | 1,195,752 |
| Park Hotels & Resorts, Inc. | 92,250 | 1,251,833 |
| Ryman Hospitality Properties, Inc.(a) | 11,883 | 903,465 |
| Sunstone Hotel Investors, Inc.(a) | 96,620 | 958,470 |
| Xenia Hotels & Resorts, Inc.(a) | 140,580 | 2,042,627 |
| Total Hotel & Resort REITs | 6,352,147 |
| Industrial REITs 15.1% |
| Americold Realty Trust, Inc. | 104,220 | 3,130,769 |
| Duke Realty Corp. | 95,570 | 5,251,572 |
| EastGroup Properties, Inc. | 8,540 | 1,317,978 |
| First Industrial Realty Trust, Inc. | 64,369 | 3,056,240 |
| Prologis, Inc. | 118,270 | 13,914,465 |
| Rexford Industrial Realty, Inc. | 58,166 | 3,349,780 |
| Total Industrial REITs | 30,020,804 |
| Office REITs 6.8% |
| Alexandria Real Estate Equities, Inc. | 23,560 | 3,416,907 |
| Cousins Properties, Inc. | 77,042 | 2,251,938 |
| Hudson Pacific Properties, Inc. | 30,820 | 457,369 |
| JBG SMITH Properties | 89,065 | 2,105,496 |
| Kilroy Realty Corp. | 71,090 | 3,720,140 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Veris Residential, Inc.(a) | 115,180 | 1,524,983 |
| Total Office REITs | 13,476,833 |
| Real Estate Operating Companies 0.1% |
| WeWork, Inc., Class A(a) | 52,574 | 263,922 |
| Total Real Estate Operating Companies | 263,922 |
| Residential REITs 23.1% |
| American Homes 4 Rent, Class A | 127,343 | 4,513,036 |
| Apartment Investment and Management Co.(a) | 52,250 | 334,400 |
| AvalonBay Communities, Inc. | 41,420 | 8,045,835 |
| Equity Residential | 105,260 | 7,601,877 |
| Invitation Homes, Inc. | 219,270 | 7,801,627 |
| Mid-America Apartment Communities, Inc. | 30,699 | 5,362,194 |
| Sun Communities, Inc. | 43,330 | 6,905,069 |
| UDR, Inc. | 119,960 | 5,522,958 |
| Total Residential REITs | 46,086,996 |
| Retail REITs 13.3% |
| Acadia Realty Trust | 130,800 | 2,043,096 |
| Agree Realty Corp. | 64,820 | 4,675,466 |
| Brixmor Property Group, Inc. | 224,885 | 4,544,926 |
| Federal Realty OP LP | 10,720 | 1,026,333 |
| Realty Income Corp. | 69,373 | 4,735,401 |
| RPT Realty | 162,430 | 1,596,687 |
| Simon Property Group, Inc. | 52,280 | 4,962,417 |
| Spirit Realty Capital, Inc. | 52,120 | 1,969,094 |
| Urban Edge Properties | 56,090 | 853,129 |
| Total Retail REITs | 26,406,549 |
| Specialized REITs 25.4% |
| American Tower Corp. | 24,549 | 6,274,479 |
| Digital Realty Trust, Inc. | 48,990 | 6,360,372 |
| Equinix, Inc. | 17,309 | 11,372,359 |
| Extra Space Storage, Inc. | 16,519 | 2,810,212 |
| Four Corners Property Trust, Inc. | 28,320 | 753,029 |
| Gaming and Leisure Properties, Inc. | 24,390 | 1,118,525 |
| Lamar Advertising Co., Class A | 5,260 | 462,722 |
| Life Storage, Inc. | 53,760 | 6,002,842 |
| Outfront Media, Inc. | 86,810 | 1,471,429 |
| Public Storage | 29,870 | 9,339,453 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| SBA Communications Corp. | 6,540 | 2,093,127 |
| VICI Properties, Inc. | 82,220 | 2,449,334 |
| Total Specialized REITs | 50,507,883 |
| Total Real Estate | 197,170,850 |
Total Common Stocks
(Cost: $196,549,975) | 197,170,850 |
|
| Money Market Funds 0.8% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(b),(c) | 1,515,944 | 1,515,034 |
Total Money Market Funds
(Cost: $1,515,048) | 1,515,034 |
Total Investments in Securities
(Cost $198,065,023) | 198,685,884 |
| Other Assets & Liabilities, Net | | 165,142 |
| Net Assets | $198,851,026 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 839,660 | 16,349,432 | (15,674,044) | (14) | 1,515,034 | (676) | 2,613 | 1,515,944 |
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.
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (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.
The following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Real Estate | 197,170,850 | — | — | 197,170,850 |
| Total Common Stocks | 197,170,850 | — | — | 197,170,850 |
| Money Market Funds | 1,515,034 | — | — | 1,515,034 |
| Total Investments in Securities | 198,685,884 | — | — | 198,685,884 |
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 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $196,549,975) | $197,170,850 |
| Affiliated issuers (cost $1,515,048) | 1,515,034 |
| Receivable for: | |
| Investments sold | 1,174,251 |
| Capital shares sold | 165 |
| Dividends | 670,358 |
| Prepaid expenses | 5,523 |
| Total assets | 200,536,181 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 1,556,695 |
| Capital shares purchased | 37,837 |
| Management services fees | 4,104 |
| Distribution and/or service fees | 195 |
| Service fees | 1,177 |
| Compensation of board members | 62,459 |
| Compensation of chief compliance officer | 23 |
| Other expenses | 22,665 |
| Total liabilities | 1,685,155 |
| Net assets applicable to outstanding capital stock | $198,851,026 |
| Represented by | |
| Paid in capital | 141,783,255 |
| Total distributable earnings (loss) | 57,067,771 |
| Total - representing net assets applicable to outstanding capital stock | $198,851,026 |
| Class 1 | |
| Net assets | $170,463,884 |
| Shares outstanding | 20,807,382 |
| Net asset value per share | $8.19 |
| Class 2 | |
| Net assets | $28,387,142 |
| Shares outstanding | 3,497,633 |
| Net asset value per share | $8.12 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022
| 9 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $3,294,526 |
| Dividends — affiliated issuers | 2,613 |
| Total income | 3,297,139 |
| Expenses: | |
| Management services fees | 856,190 |
| Distribution and/or service fees | |
| Class 2 | 39,541 |
| Service fees | 9,777 |
| Compensation of board members | 5,326 |
| Custodian fees | 4,855 |
| Printing and postage fees | 10,980 |
| Audit fees | 14,713 |
| Legal fees | 6,382 |
| Interest on interfund lending | 20 |
| Compensation of chief compliance officer | 15 |
| Other | 4,036 |
| Total expenses | 951,835 |
| Net investment income | 2,345,304 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 13,610,127 |
| Investments — affiliated issuers | (676) |
| Net realized gain | 13,609,451 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (62,627,954) |
| Investments — affiliated issuers | (14) |
| Net change in unrealized appreciation (depreciation) | (62,627,968) |
| Net realized and unrealized loss | (49,018,517) |
| Net decrease in net assets resulting from operations | $(46,673,213) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $2,345,304 | $3,186,952 |
| Net realized gain | 13,609,451 | 44,366,045 |
| Net change in unrealized appreciation (depreciation) | (62,627,968) | 43,627,913 |
| Net increase (decrease) in net assets resulting from operations | (46,673,213) | 91,180,910 |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class 1 | — | (24,506,165) |
| Class 2 | — | (3,210,746) |
| Total distributions to shareholders | — | (27,716,911) |
| Decrease in net assets from capital stock activity | (18,737,699) | (48,319,714) |
| Total increase (decrease) in net assets | (65,410,912) | 15,144,285 |
| Net assets at beginning of period | 264,261,938 | 249,117,653 |
| Net assets at end of period | $198,851,026 | $264,261,938 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 100,655 | 906,506 | 148,159 | 1,355,549 |
| Distributions reinvested | — | — | 2,692,985 | 24,506,165 |
| Redemptions | (2,037,809) | (19,604,374) | (8,235,957) | (76,302,493) |
| Net decrease | (1,937,154) | (18,697,868) | (5,394,813) | (50,440,779) |
| Class 2 | | | | |
| Subscriptions | 160,731 | 1,473,817 | 464,483 | 4,196,638 |
| Distributions reinvested | — | — | 355,564 | 3,210,746 |
| Redemptions | (165,079) | (1,513,648) | (585,103) | (5,286,319) |
| Net increase (decrease) | (4,348) | (39,831) | 234,944 | 2,121,065 |
| Total net decrease | (1,941,502) | (18,737,699) | (5,159,869) | (48,319,714) |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022
| 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.
| | 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 | Total
distributions to
shareholders |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $10.08 | 0.10 | (1.99) | (1.89) | — | — | — |
| Year Ended 12/31/2021 | $7.94 | 0.11 | 3.07 | 3.18 | (0.13) | (0.91) | (1.04) |
| Year Ended 12/31/2020 | $9.85 | 0.11 | (0.70) | (0.59) | (0.39) | (0.93) | (1.32) |
| Year Ended 12/31/2019 | $7.94 | 0.19 | 1.89 | 2.08 | (0.17) | — | (0.17) |
| Year Ended 12/31/2018 | $8.64 | 0.17 | (0.64) | (0.47) | (0.16) | (0.07) | (0.23) |
| Year Ended 12/31/2017 | $8.59 | 0.17 | 0.33 | 0.50 | (0.19) | (0.26) | (0.45) |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $10.00 | 0.08 | (1.96) | (1.88) | — | — | — |
| Year Ended 12/31/2021 | $7.88 | 0.09 | 3.05 | 3.14 | (0.11) | (0.91) | (1.02) |
| Year Ended 12/31/2020 | $9.79 | 0.11 | (0.72) | (0.61) | (0.37) | (0.93) | (1.30) |
| Year Ended 12/31/2019 | $7.89 | 0.17 | 1.88 | 2.05 | (0.15) | — | (0.15) |
| Year Ended 12/31/2018 | $8.59 | 0.15 | (0.64) | (0.49) | (0.14) | (0.07) | (0.21) |
| Year Ended 12/31/2017 | $8.54 | 0.15 | 0.32 | 0.47 | (0.16) | (0.26) | (0.42) |
| 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) | Annualized. |
| (d) | Ratios include interfund lending expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $8.19 | (18.75%) | 0.80%(c),(d) | 0.80%(c),(d) | 2.09%(c) | 26% | $170,464 |
| Year Ended 12/31/2021 | $10.08 | 41.44% | 0.80%(d) | 0.80%(d) | 1.24% | 57% | $229,250 |
| Year Ended 12/31/2020 | $7.94 | (4.87%) | 0.79% | 0.79% | 1.37% | 98% | $223,363 |
| Year Ended 12/31/2019 | $9.85 | 26.41% | 0.77% | 0.77% | 2.05% | 70% | $508,863 |
| Year Ended 12/31/2018 | $7.94 | (5.58%) | 0.77% | 0.77% | 2.03% | 51% | $402,354 |
| Year Ended 12/31/2017 | $8.64 | 6.01% | 0.81% | 0.81% | 2.00% | 72% | $426,287 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $8.12 | (18.80%) | 1.05%(c),(d) | 1.05%(c),(d) | 1.85%(c) | 26% | $28,387 |
| Year Ended 12/31/2021 | $10.00 | 41.20% | 1.05%(d) | 1.05%(d) | 1.03% | 57% | $35,012 |
| Year Ended 12/31/2020 | $7.88 | (5.18%) | 1.05% | 1.05% | 1.31% | 98% | $25,754 |
| Year Ended 12/31/2019 | $9.79 | 26.16% | 1.02% | 1.02% | 1.81% | 70% | $30,302 |
| Year Ended 12/31/2018 | $7.89 | (5.85%) | 1.02% | 1.02% | 1.76% | 51% | $24,164 |
| Year Ended 12/31/2017 | $8.59 | 5.74% | 1.06% | 1.06% | 1.76% | 72% | $27,353 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022
| 13 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
CTIVP® – CenterSquare Real Estate 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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Investments in open-end investment companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
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, if available.
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 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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 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 investment company taxable income and net capital gain, 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 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 the Fund at the net asset value as of the ex-dividend date of the distribution.
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements (continued)
June 30, 2022 (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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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 0.75% to 0.66% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2022 was 0.75% of the Fund’s average daily net assets.
Subadvisory agreement
The Investment Manager has entered into a Subadvisory Agreement with CenterSquare Investment Management LLC to serve as the subadviser to the Fund. The Investment Manager compensates the subadviser to manage the investment of the Fund’s assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.01% of the Fund’s average daily net assets.
| 16 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | May 1, 2022
through
April 30, 2023 | Prior to
May 1, 2022 |
| Class 1 | 0.85% | 0.89% |
| Class 2 | 1.10 | 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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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, 2022, the approximate cost of all 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 ($) |
| 198,065,000 | 14,077,000 | (13,456,000) | 621,000 |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
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.
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (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 $61,205,262 and $77,822,948, respectively, for the six months ended June 30, 2022. 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended June 30, 2022 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Borrower | 450,000 | 0.73 | 2 |
Interest expense incurred by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at June 30, 2022.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
| 18 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 9. Significant risks
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Real estate sector risk
The risks associated with investments in real estate investment trusts (REITs) and other companies principally engaged in the real estate industry subject the Fund to risks similar to those of direct investments in real estate and the real estate industry in general. These include risks related to general and local economic conditions, possible lack of availability of financing and changes in interest rates or property values. The value of such investments may be affected by, among other factors, changes in the value of the underlying properties owned by the issuer, changes in the prospect for earnings and/or cash flow growth of the investment, 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.
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
REITs depend upon specialized management skills, may have limited financial resources, may have less trading volume in their securities, 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 favorable tax treatment. 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, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
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.
Note 10. 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 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
| 20 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management and Subadvisory
Agreements
(Unaudited)
Columbia Management Investment Advisers, LLC (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 CTIVP® – CenterSquare Real Estate Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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 the Investment Manager and CenterSquare Investment Management LLC (the Subadviser), the Subadviser provides 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). The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
The Board, at its June 23, 2022 Board meeting (the June Meeting), considered the renewal of each 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
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022
| 21 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Advisory Agreements; |
| • | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager and the Subadviser under the Advisory Agreements, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager and the Subadviser, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager and the Subadviser with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement and the Subadvisory Agreement.
Nature, extent and quality of services provided by the Investment Manager and the Subadviser
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager and the Subadviser, as well as their history, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers. With respect to the Investment Manager, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’s ability to attract and retain
| 22 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. 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 the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by the Investment Manager in addition to monitoring the Subadviser), noting that no changes were proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
The Board 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 subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no changes were recommended to the Subadvisory Agreement. The Board took into account the Investment Manager’s representation that the Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Advisory Agreements supported the continuation of the Management Agreement and the Subadvisory Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that Fund performance was well within the range of that of its peers.
Additionally, the Board reviewed the performance of the Subadviser and the Investment Manager’s process for monitoring the Subadviser’s performance. The Board considered, in particular, management’s rationale for recommending the continued retention of the Subadviser and management’s representations that the Investment Manager’s profitability is not the key factor driving their recommendation to select, renew or terminate the Subadviser.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022
| 23 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board also considered the Investment Manager’s and Subadviser’s performance and reputation generally, and the Investment Manager’s evaluation of the Subadviser’s contribution to the Fund’s broader investment mandate. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadviser, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates 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 Broadridge and JDL) 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 the Investment Manager’s profitability.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
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 advisory fee rates charged by other comparable mutual funds employing the Subadviser to provide comparable subadvisory services. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees, subadvisory fees and expenses of the Fund, in light of other considerations, supported the continuation of each of the Management Agreement and the Subadvisory Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. Because the Subadvisory Agreement was negotiated at arms-length by the Investment Manager, which is responsible for payments to the Subadviser thereunder, the Board did not consider the profitability to the Subadviser from its relationship with the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation
| 24 | CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. The Board also noted that the breakpoints in the Subadvisory Agreement did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement and the Subadvisory Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under each of the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided and approved the renewal of each of the Advisory Agreements.
CTIVP® – CenterSquare Real Estate Fund | Semiannual Report 2022
| 25 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
CTIVP® – CenterSquare Real Estate Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
CTIVP® – Westfield 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which CTIVP® – Westfield Mid Cap Growth Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term capital growth.
Portfolio management
Westfield Capital Management Company, L.P.
William Muggia
Richard Lee, CFA
Ethan Meyers, CFA
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/07/10 | -28.44 | -23.67 | 10.05 | 10.31 |
| Class 2 | 05/07/10 | -28.54 | -23.87 | 9.77 | 10.03 |
| Russell Midcap Growth Index | | -31.00 | -29.57 | 8.88 | 11.50 |
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 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.
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Common Stocks | 97.5 |
| Money Market Funds | 2.5 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 3.7 |
| Consumer Discretionary | 11.5 |
| Energy | 3.0 |
| Financials | 10.0 |
| Health Care | 17.9 |
| Industrials | 17.4 |
| Information Technology | 30.6 |
| Materials | 1.8 |
| Real Estate | 4.1 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 715.60 | 1,020.63 | 3.57 | 4.21 | 0.84 |
| Class 2 | 1,000.00 | 1,000.00 | 714.60 | 1,019.39 | 4.63 | 5.46 | 1.09 |
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.
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 97.1% |
| Issuer | Shares | Value ($) |
| Communication Services 3.5% |
| Entertainment 1.9% |
| Live Nation Entertainment, Inc.(a) | 73,310 | 6,053,940 |
| Interactive Media & Services 1.6% |
| ZoomInfo Technologies, Inc., Class A(a) | 150,280 | 4,995,307 |
| Total Communication Services | 11,049,247 |
| Consumer Discretionary 11.2% |
| Hotels, Restaurants & Leisure 4.4% |
| Expedia Group, Inc.(a) | 26,300 | 2,494,029 |
| Hilton Worldwide Holdings, Inc. | 60,530 | 6,745,463 |
| Vail Resorts, Inc. | 20,410 | 4,450,401 |
| Total | | 13,689,893 |
| Internet & Direct Marketing Retail 1.3% |
| Etsy, Inc.(a) | 54,240 | 3,970,910 |
| Specialty Retail 2.3% |
| Ulta Beauty, Inc.(a) | 18,778 | 7,238,543 |
| Textiles, Apparel & Luxury Goods 3.2% |
| lululemon athletica, Inc.(a) | 16,590 | 4,522,600 |
| Tapestry, Inc. | 179,121 | 5,466,773 |
| Total | | 9,989,373 |
| Total Consumer Discretionary | 34,888,719 |
| Energy 2.9% |
| Oil, Gas & Consumable Fuels 2.9% |
| Devon Energy Corp. | 165,190 | 9,103,621 |
| Total Energy | 9,103,621 |
| Financials 9.7% |
| Banks 2.1% |
| First Republic Bank | 45,470 | 6,556,774 |
| Capital Markets 5.7% |
| LPL Financial Holdings, Inc. | 35,858 | 6,615,084 |
| MSCI, Inc. | 13,955 | 5,751,553 |
| Tradeweb Markets, Inc., Class A | 76,979 | 5,253,817 |
| Total | | 17,620,454 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Insurance 1.9% |
| Arthur J Gallagher & Co. | 36,860 | 6,009,654 |
| Total Financials | 30,186,882 |
| Health Care 17.4% |
| Biotechnology 3.2% |
| Ascendis Pharma A/S ADR(a) | 45,020 | 4,185,059 |
| Horizon Therapeutics PLC(a) | 59,250 | 4,725,780 |
| Rocket Pharmaceuticals, Inc.(a) | 82,540 | 1,135,751 |
| Total | | 10,046,590 |
| Health Care Equipment & Supplies 8.2% |
| Cooper Companies, Inc. (The) | 19,019 | 5,955,229 |
| DexCom, Inc.(a) | 115,510 | 8,608,960 |
| IDEXX Laboratories, Inc.(a) | 19,480 | 6,832,221 |
| Insulet Corp.(a) | 18,768 | 4,090,298 |
| Total | | 25,486,708 |
| Health Care Providers & Services 1.7% |
| Quest Diagnostics, Inc. | 38,980 | 5,183,560 |
| Life Sciences Tools & Services 4.3% |
| Avantor, Inc.(a) | 188,476 | 5,861,604 |
| ICON PLC(a) | 35,540 | 7,701,518 |
| Total | | 13,563,122 |
| Total Health Care | 54,279,980 |
| Industrials 16.9% |
| Aerospace & Defense 2.7% |
| TransDigm Group, Inc.(a) | 15,603 | 8,373,662 |
| Commercial Services & Supplies 3.5% |
| Copart, Inc.(a) | 63,800 | 6,932,508 |
| Waste Connections, Inc. | 31,590 | 3,915,896 |
| Total | | 10,848,404 |
| Electrical Equipment 4.0% |
| AMETEK, Inc. | 51,760 | 5,687,907 |
| Rockwell Automation, Inc. | 34,075 | 6,791,488 |
| Total | | 12,479,395 |
| Machinery 1.7% |
| IDEX Corp. | 28,970 | 5,261,821 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Professional Services 2.2% |
| TransUnion | 85,094 | 6,806,669 |
| Trading Companies & Distributors 2.8% |
| WESCO International, Inc.(a) | 81,930 | 8,774,703 |
| Total Industrials | 52,544,654 |
| Information Technology 29.8% |
| Communications Equipment 1.2% |
| Ciena Corp.(a) | 81,440 | 3,721,808 |
| Electronic Equipment, Instruments & Components 1.9% |
| Teledyne Technologies, Inc.(a) | 15,455 | 5,797,325 |
| IT Services 4.4% |
| Global Payments, Inc. | 67,760 | 7,496,966 |
| Globant SA(a) | 10,455 | 1,819,170 |
| MongoDB, Inc.(a) | 17,240 | 4,473,780 |
| Total | | 13,789,916 |
| Semiconductors & Semiconductor Equipment 4.9% |
| Marvell Technology, Inc. | 114,680 | 4,992,021 |
| Microchip Technology, Inc. | 121,310 | 7,045,685 |
| ON Semiconductor Corp.(a) | 66,140 | 3,327,503 |
| Total | | 15,365,209 |
| Software 15.8% |
| Fortinet, Inc.(a) | 219,180 | 12,401,204 |
| HubSpot, Inc.(a) | 13,570 | 4,079,821 |
| Lightspeed Commerce, Inc.(a) | 124,869 | 2,784,579 |
| NiCE Ltd., ADR(a) | 22,260 | 4,283,937 |
| Palo Alto Networks, Inc.(a) | 19,020 | 9,394,739 |
| Splunk, Inc.(a) | 51,357 | 4,543,040 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Zendesk, Inc.(a) | 95,550 | 7,077,388 |
| Zscaler, Inc.(a) | 30,410 | 4,546,599 |
| Total | | 49,111,307 |
| Technology Hardware, Storage & Peripherals 1.6% |
| NetApp, Inc. | 74,545 | 4,863,316 |
| Total Information Technology | 92,648,881 |
| Materials 1.7% |
| Chemicals 1.7% |
| Celanese Corp., Class A | 45,070 | 5,300,683 |
| Total Materials | 5,300,683 |
| Real Estate 4.0% |
| Equity Real Estate Investment Trusts (REITS) 4.0% |
| Essex Property Trust, Inc. | 29,960 | 7,834,839 |
| Lamar Advertising Co., Class A | 51,510 | 4,531,335 |
| Total | | 12,366,174 |
| Total Real Estate | 12,366,174 |
Total Common Stocks
(Cost $322,753,286) | 302,368,841 |
|
| Money Market Funds 2.5% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(b),(c) | 7,663,405 | 7,658,807 |
Total Money Market Funds
(Cost $7,658,648) | 7,658,807 |
Total Investments in Securities
(Cost: $330,411,934) | 310,027,648 |
| Other Assets & Liabilities, Net | | 1,266,682 |
| Net Assets | 311,294,330 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 9,142,488 | 55,432,838 | (56,916,678) | 159 | 7,658,807 | (4,258) | 21,623 | 7,663,405 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 11,049,247 | — | — | 11,049,247 |
| Consumer Discretionary | 34,888,719 | — | — | 34,888,719 |
| Energy | 9,103,621 | — | — | 9,103,621 |
| Financials | 30,186,882 | — | — | 30,186,882 |
| Health Care | 54,279,980 | — | — | 54,279,980 |
| Industrials | 52,544,654 | — | — | 52,544,654 |
| Information Technology | 92,648,881 | — | — | 92,648,881 |
| Materials | 5,300,683 | — | — | 5,300,683 |
| Real Estate | 12,366,174 | — | — | 12,366,174 |
| Total Common Stocks | 302,368,841 | — | — | 302,368,841 |
| Money Market Funds | 7,658,807 | — | — | 7,658,807 |
| Total Investments in Securities | 310,027,648 | — | — | 310,027,648 |
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 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $322,753,286) | $302,368,841 |
| Affiliated issuers (cost $7,658,648) | 7,658,807 |
| Receivable for: | |
| Investments sold | 1,318,874 |
| Dividends | 117,719 |
| Prepaid expenses | 7,446 |
| Total assets | 311,471,687 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 52,997 |
| Capital shares purchased | 14,883 |
| Management services fees | 6,988 |
| Distribution and/or service fees | 176 |
| Service fees | 1,274 |
| Compensation of board members | 81,054 |
| Compensation of chief compliance officer | 36 |
| Audit fees | 14,669 |
| Other expenses | 5,280 |
| Total liabilities | 177,357 |
| Net assets applicable to outstanding capital stock | $311,294,330 |
| Represented by | |
| Trust capital | $311,294,330 |
| Total - representing net assets applicable to outstanding capital stock | $311,294,330 |
| Class 1 | |
| Net assets | $285,898,189 |
| Shares outstanding | 8,343,200 |
| Net asset value per share | $34.27 |
| Class 2 | |
| Net assets | $25,396,141 |
| Shares outstanding | 764,884 |
| Net asset value per share | $33.20 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022
| 9 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $1,307,097 |
| Dividends — affiliated issuers | 21,623 |
| Interfund lending | 177 |
| Foreign taxes withheld | (2,490) |
| Total income | 1,326,407 |
| Expenses: | |
| Management services fees | 1,457,036 |
| Distribution and/or service fees | |
| Class 2 | 36,965 |
| Service fees | 9,185 |
| Compensation of board members | 4,971 |
| Custodian fees | 5,924 |
| Printing and postage fees | 5,482 |
| Audit fees | 14,669 |
| Legal fees | 7,095 |
| Compensation of chief compliance officer | 22 |
| Other | 5,639 |
| Total expenses | 1,546,988 |
| Net investment loss | (220,581) |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 10,901,009 |
| Investments — affiliated issuers | (4,258) |
| Net realized gain | 10,896,751 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (131,866,500) |
| Investments — affiliated issuers | 159 |
| Net change in unrealized appreciation (depreciation) | (131,866,341) |
| Net realized and unrealized loss | (120,969,590) |
| Net decrease in net assets resulting from operations | $(121,190,171) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment loss | $(220,581) | $(1,538,118) |
| Net realized gain | 10,896,751 | 161,419,806 |
| Net change in unrealized appreciation (depreciation) | (131,866,341) | (92,818,320) |
| Net increase (decrease) in net assets resulting from operations | (121,190,171) | 67,063,368 |
| Increase (decrease) in net assets from capital stock activity | 6,049,984 | (309,829,368) |
| Total decrease in net assets | (115,140,187) | (242,766,000) |
| Net assets at beginning of period | 426,434,517 | 669,200,517 |
| Net assets at end of period | $311,294,330 | $426,434,517 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 223,469 | 8,031,900 | 33,555 | 1,463,238 |
| Redemptions | (57,209) | (2,513,827) | (7,419,513) | (310,614,653) |
| Net increase (decrease) | 166,260 | 5,518,073 | (7,385,958) | (309,151,415) |
| Class 2 | | | | |
| Subscriptions | 50,303 | 1,990,058 | 63,728 | 2,779,787 |
| Redemptions | (35,816) | (1,458,147) | (80,326) | (3,457,740) |
| Net increase (decrease) | 14,487 | 531,911 | (16,598) | (677,953) |
| Total net increase (decrease) | 180,747 | 6,049,984 | (7,402,556) | (309,829,368) |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $47.89 | (0.02) | (13.60) | (13.62) |
| Year Ended 12/31/2021 | $41.03 | (0.14) | 7.00 | 6.86 |
| Year Ended 12/31/2020 | $32.18 | (0.11) | 8.96 | 8.85 |
| Year Ended 12/31/2019 | $22.64 | 0.07 | 9.47 | 9.54 |
| Year Ended 12/31/2018 | $23.43 | 0.01 | (0.80) | (0.79) |
| Year Ended 12/31/2017 | $19.06 | 0.01 | 4.36 | 4.37 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $46.46 | (0.07) | (13.19) | (13.26) |
| Year Ended 12/31/2021 | $39.91 | (0.24) | 6.79 | 6.55 |
| Year Ended 12/31/2020 | $31.38 | (0.19) | 8.72 | 8.53 |
| Year Ended 12/31/2019 | $22.13 | 0.01 | 9.24 | 9.25 |
| Year Ended 12/31/2018 | $22.96 | (0.05) | (0.78) | (0.83) |
| Year Ended 12/31/2017 | $18.72 | (0.04) | 4.28 | 4.24 |
| 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) | Annualized. |
| (d) | Ratios include interfund lending expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $34.27 | (28.44%) | 0.84%(c) | 0.84%(c) | (0.10%)(c) | 30% | $285,898 |
| Year Ended 12/31/2021 | $47.89 | 16.72% | 0.84%(d) | 0.84%(d) | (0.32%) | 58% | $391,573 |
| Year Ended 12/31/2020 | $41.03 | 27.50% | 0.83%(d) | 0.83%(d) | (0.35%) | 75% | $638,591 |
| Year Ended 12/31/2019 | $32.18 | 42.14% | 0.83% | 0.83% | 0.25% | 70% | $555,819 |
| Year Ended 12/31/2018 | $22.64 | (3.37%) | 0.84% | 0.84% | 0.05% | 72% | $491,881 |
| Year Ended 12/31/2017 | $23.43 | 22.93% | 0.87% | 0.87% | 0.04% | 121% | $515,408 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $33.20 | (28.54%) | 1.09%(c) | 1.09%(c) | (0.35%)(c) | 30% | $25,396 |
| Year Ended 12/31/2021 | $46.46 | 16.41% | 1.09%(d) | 1.09%(d) | (0.56%) | 58% | $34,861 |
| Year Ended 12/31/2020 | $39.91 | 27.18% | 1.08%(d) | 1.08%(d) | (0.60%) | 75% | $30,610 |
| Year Ended 12/31/2019 | $31.38 | 41.80% | 1.08% | 1.08% | 0.02% | 70% | $26,048 |
| Year Ended 12/31/2018 | $22.13 | (3.61%) | 1.09% | 1.09% | (0.20%) | 72% | $18,181 |
| Year Ended 12/31/2017 | $22.96 | 22.65% | 1.12% | 1.12% | (0.21%) | 121% | $19,303 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022
| 13 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
CTIVP® – Westfield 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 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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 14 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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.
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements (continued)
June 30, 2022 (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 in 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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 0.81% to 0.68% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2022 was 0.81% of the Fund’s average daily net assets.
Subadvisory agreement
The Investment Manager has entered into a Subadvisory Agreement with Westfield Capital Management Company, L.P. to serve as the subadviser to the Fund. The Investment Manager compensates the subadviser to manage the investment of the Fund’s assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
| 16 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.01% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | Fee rate(s) contractual
through
April 30, 2023 |
| Class 1 | 0.84% |
| Class 2 | 1.09 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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.
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 4. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $115,577,916 and $109,789,883, respectively, for the six months ended June 30, 2022. 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended June 30, 2022 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Lender | 4,700,000 | 1.36 | 1 |
Interest income earned by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at June 30, 2022.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
| 18 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 8. Significant risks
Information technology sector risk
The Fund is more susceptible to the particular risks that may affect companies in the information technology sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the information technology sector 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 information 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. Some companies in the information technology sector are facing increased government and regulatory scrutiny and may be subject to adverse government or regulatory action, which could negatively impact the value of their securities.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
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.
Note 9. 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 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
| 20 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management and Subadvisory
Agreements
(Unaudited)
Columbia Management Investment Advisers, LLC (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 CTIVP® – Westfield Mid Cap Growth Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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 the Investment Manager and Westfield Capital Management Company, L.P. (the Subadviser) the Subadviser provides 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). The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
The Board, at its June 23, 2022 Board meeting (the June Meeting), considered the renewal of each 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
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022
| 21 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Advisory Agreements; |
| • | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager and the Subadviser under the Advisory Agreements, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager and the Subadviser, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager and the Subadviser with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement and the Subadvisory Agreement.
Nature, extent and quality of services provided by the Investment Manager and the Subadviser
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager and the Subadviser, as well as their history, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers. With respect to the Investment Manager, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’s ability to attract and retain
| 22 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. 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 the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by the Investment Manager in addition to monitoring the Subadviser), noting that no changes were proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
The Board 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 subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no changes were recommended to the Subadvisory Agreement. The Board took into account the Investment Manager’s representation that the Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Advisory Agreements supported the continuation of the Management Agreement and the Subadvisory Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
Additionally, the Board reviewed the performance of the Subadviser and the Investment Manager’s process for monitoring the Subadviser’s performance. The Board considered, in particular, management’s rationale for recommending the continued retention of the Subadviser and management’s representations that the Investment Manager’s profitability is not the key factor driving their recommendation to select, renew or terminate the Subadviser.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022
| 23 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board also considered the Investment Manager’s and Subadviser’s performance and reputation generally, and the Investment Manager’s evaluation of the Subadviser’s contribution to the Fund’s broader investment mandate. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadviser, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates 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 Broadridge and JDL) 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 the Investment Manager’s profitability.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
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 advisory fee rates charged by other comparable mutual funds employing the Subadviser to provide comparable subadvisory services. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees, subadvisory fees and expenses of the Fund, in light of other considerations, supported the continuation of each of the Management Agreement and the Subadvisory Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. Because the Subadvisory Agreement was negotiated at arms-length by the Investment Manager, which is responsible for payments to the Subadviser thereunder, the Board did not consider the profitability to the Subadviser from its relationship with the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation
| 24 | CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. The Board also noted that the breakpoints in the Subadvisory Agreement did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement and the Subadvisory Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under each of the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided and approved the renewal of each of the Advisory Agreements.
CTIVP® – Westfield Mid Cap Growth Fund | Semiannual Report 2022
| 25 |
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CTIVP® – Westfield Mid Cap Growth Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
Variable Portfolio – Partners Small 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Variable Portfolio – Partners Small Cap Growth Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term capital growth.
Portfolio management
Scout Investments, Inc.
James McBride, CFA
Timothy Miller, CFA
Allspring Global Investments, LLC
Thomas Ognar, CFA
Robert Gruendyke, CFA
David Nazaret, CFA
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/07/10 | -30.60 | -31.92 | 5.68 | 7.77 |
| Class 2 | 05/07/10 | -30.67 | -32.08 | 5.42 | 7.51 |
| Russell 2000 Growth Index | | -29.45 | -33.43 | 4.80 | 9.30 |
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 May 2021 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.
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Common Stocks | 95.8 |
| Money Market Funds | 4.2 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 1.9 |
| Consumer Discretionary | 11.5 |
| Consumer Staples | 3.7 |
| Energy | 0.5 |
| Financials | 5.6 |
| Health Care | 27.4 |
| Industrials | 16.2 |
| Information Technology | 30.5 |
| Materials | 1.5 |
| Real Estate | 1.2 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 694.00 | 1,020.53 | 3.61 | 4.31 | 0.86 |
| Class 2 | 1,000.00 | 1,000.00 | 693.30 | 1,019.29 | 4.66 | 5.56 | 1.11 |
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.
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 98.7% |
| Issuer | Shares | Value ($) |
| Communication Services 1.8% |
| Interactive Media & Services 1.1% |
| Eventbrite, Inc., Class A(a) | 188,500 | 1,935,895 |
| Ziff Davis, Inc.(a) | 56,906 | 4,241,204 |
| Total | | 6,177,099 |
| Media 0.7% |
| Magnite, Inc.(a) | 297,536 | 2,642,120 |
| TechTarget, Inc.(a) | 22,300 | 1,465,556 |
| Total | | 4,107,676 |
| Total Communication Services | 10,284,775 |
| Consumer Discretionary 11.3% |
| Auto Components 1.7% |
| Fox Factory Holding Corp.(a) | 50,365 | 4,056,397 |
| Patrick Industries, Inc. | 61,204 | 3,172,815 |
| Stoneridge, Inc.(a) | 142,531 | 2,444,407 |
| Total | | 9,673,619 |
| Automobiles 0.6% |
| Thor Industries, Inc. | 43,374 | 3,241,339 |
| Diversified Consumer Services 0.5% |
| OneSpaWorld Holdings Ltd.(a) | 393,500 | 2,821,395 |
| Hotels, Restaurants & Leisure 3.3% |
| Cheesecake Factory, Inc. (The) | 92,303 | 2,438,645 |
| Cracker Barrel Old Country Store, Inc. | 26,423 | 2,206,056 |
| Hilton Grand Vacations, Inc.(a) | 126,000 | 4,501,980 |
| Lindblad Expeditions Holdings, Inc.(a) | 140,597 | 1,138,836 |
| Papa John’s International, Inc. | 71,755 | 5,992,978 |
| Wingstop, Inc. | 28,000 | 2,093,560 |
| Total | | 18,372,055 |
| Household Durables 1.5% |
| Installed Building Products, Inc. | 57,892 | 4,814,299 |
| LGI Homes, Inc.(a) | 40,322 | 3,503,982 |
| Total | | 8,318,281 |
| Leisure Products 0.5% |
| YETI Holdings, Inc.(a) | 64,027 | 2,770,448 |
| Multiline Retail 0.2% |
| Ollie’s Bargain Outlet Holdings, Inc.(a) | 16,000 | 940,000 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Specialty Retail 1.9% |
| Boot Barn Holdings, Inc.(a) | 22,225 | 1,531,525 |
| Leslie’s, Inc.(a) | 147,262 | 2,235,437 |
| Lithia Motors, Inc., Class A | 14,910 | 4,097,417 |
| Monro, Inc. | 66,765 | 2,862,883 |
| Total | | 10,727,262 |
| Textiles, Apparel & Luxury Goods 1.1% |
| Crocs, Inc.(a) | 21,960 | 1,068,793 |
| Deckers Outdoor Corp.(a) | 8,065 | 2,059,398 |
| G-III Apparel Group Ltd.(a) | 140,544 | 2,843,205 |
| Total | | 5,971,396 |
| Total Consumer Discretionary | 62,835,795 |
| Consumer Staples 3.7% |
| Beverages 0.7% |
| Celsius Holdings, Inc.(a) | 26,230 | 1,711,770 |
| Duckhorn Portfolio, Inc. (The)(a) | 108,600 | 2,287,116 |
| Total | | 3,998,886 |
| Food & Staples Retailing 2.0% |
| Performance Food Group, Inc.(a) | 110,513 | 5,081,388 |
| The Chefs’ Warehouse(a) | 155,205 | 6,035,922 |
| Total | | 11,117,310 |
| Food Products 0.9% |
| Freshpet, Inc.(a) | 64,899 | 3,367,609 |
| Simply Good Foods Co. (The)(a) | 35,400 | 1,337,058 |
| Total | | 4,704,667 |
| Personal Products 0.1% |
| Thorne HealthTech, Inc.(a) | 135,866 | 657,592 |
| Total Consumer Staples | 20,478,455 |
| Energy 0.5% |
| Energy Equipment & Services 0.5% |
| Core Laboratories NV | 146,871 | 2,909,514 |
| Total Energy | 2,909,514 |
| Financials 5.6% |
| Banks 0.5% |
| Hilltop Holdings, Inc. | 97,160 | 2,590,286 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Capital Markets 2.2% |
| Cohen & Steers, Inc. | 80,645 | 5,128,216 |
| Open Lending Corp., Class A(a) | 142,356 | 1,456,302 |
| Stifel Financial Corp. | 96,670 | 5,415,453 |
| Total | | 11,999,971 |
| Consumer Finance 0.3% |
| Green Dot Corp., Class A(a) | 71,665 | 1,799,508 |
| Insurance 1.9% |
| Kinsale Capital Group, Inc. | 46,091 | 10,584,337 |
| Thrifts & Mortgage Finance 0.7% |
| Axos Financial, Inc.(a) | 106,939 | 3,833,763 |
| Total Financials | 30,807,865 |
| Health Care 27.1% |
| Biotechnology 7.5% |
| Arcutis Biotherapeutics, Inc.(a) | 136,947 | 2,918,341 |
| Biohaven Pharmaceutical Holding Co., Ltd.(a) | 31,455 | 4,583,308 |
| Coherus Biosciences, Inc.(a) | 344,317 | 2,492,855 |
| Cytokinetics, Inc.(a) | 38,100 | 1,496,949 |
| Eagle Pharmaceuticals, Inc.(a) | 73,603 | 3,270,181 |
| Fate Therapeutics, Inc.(a) | 41,730 | 1,034,069 |
| Halozyme Therapeutics, Inc.(a) | 283,519 | 12,474,836 |
| Insmed, Inc.(a) | 167,009 | 3,293,417 |
| Vericel Corp.(a) | 388,026 | 9,770,495 |
| Total | | 41,334,451 |
| Health Care Equipment & Supplies 9.2% |
| Axonics, Inc.(a) | 89,200 | 5,054,964 |
| Figs, Inc., Class A(a) | 153,450 | 1,397,929 |
| ICU Medical, Inc.(a) | 23,800 | 3,912,482 |
| Inari Medical, Inc.(a) | 6,300 | 428,337 |
| Integer Holdings Corp.(a) | 57,395 | 4,055,531 |
| iRhythm Technologies, Inc.(a) | 38,500 | 4,159,155 |
| LeMaitre Vascular, Inc. | 100,305 | 4,568,893 |
| Nyxoah SA(a) | 26,423 | 251,019 |
| Omnicell, Inc.(a) | 62,726 | 7,135,082 |
| OrthoPediatrics Corp.(a) | 78,625 | 3,392,669 |
| Outset Medical, Inc.(a) | 60,370 | 897,098 |
| Pulmonx Corp.(a) | 47,625 | 701,040 |
| Shockwave Medical, Inc.(a) | 42,176 | 8,062,786 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| SI-BONE, Inc.(a) | 168,620 | 2,225,784 |
| Silk Road Medical, Inc.(a) | 30,440 | 1,107,712 |
| Tandem Diabetes Care, Inc.(a) | 25,555 | 1,512,600 |
| Varex Imaging Corp.(a) | 107,548 | 2,300,452 |
| Total | | 51,163,533 |
| Health Care Providers & Services 5.1% |
| AdaptHealth Corp.(a) | 205,426 | 3,705,885 |
| AMN Healthcare Services, Inc.(a) | 70,308 | 7,713,491 |
| Castle Biosciences, Inc.(a) | 102,838 | 2,257,294 |
| HealthEquity, Inc.(a) | 93,847 | 5,761,267 |
| ModivCare, Inc.(a) | 35,228 | 2,976,766 |
| Privia Health Group, Inc.(a) | 57,069 | 1,661,849 |
| U.S. Physical Therapy, Inc. | 39,703 | 4,335,568 |
| Total | | 28,412,120 |
| Health Care Technology 1.0% |
| Inspire Medical Systems, Inc.(a) | 29,370 | 5,365,018 |
| Life Sciences Tools & Services 1.9% |
| Akoya Biosciences, Inc.(a) | 47,804 | 614,281 |
| Alpha Teknova, Inc.(a) | 18,684 | 156,946 |
| Codexis, Inc.(a) | 305,576 | 3,196,325 |
| Medpace Holdings, Inc.(a) | 37,381 | 5,594,814 |
| NeoGenomics, Inc.(a) | 140,026 | 1,141,212 |
| Total | | 10,703,578 |
| Pharmaceuticals 2.4% |
| Amylyx Pharmaceuticals, Inc.(a) | 89,110 | 1,716,259 |
| Pacira Pharmaceuticals, Inc.(a) | 116,172 | 6,772,828 |
| Supernus Pharmaceuticals, Inc.(a) | 160,806 | 4,650,509 |
| Total | | 13,139,596 |
| Total Health Care | 150,118,296 |
| Industrials 15.9% |
| Aerospace & Defense 0.6% |
| Kratos Defense & Security Solutions, Inc.(a) | 246,518 | 3,421,670 |
| Air Freight & Logistics 0.9% |
| Forward Air Corp. | 51,688 | 4,753,228 |
| Building Products 1.3% |
| Zurn Water Solutions Corp. | 259,345 | 7,064,558 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Commercial Services & Supplies 1.8% |
| Aris Water Solution, Inc. | 80,576 | 1,344,008 |
| Casella Waste Systems, Inc., Class A(a) | 97,280 | 7,070,310 |
| Healthcare Services Group, Inc. | 102,683 | 1,787,711 |
| Total | | 10,202,029 |
| Construction & Engineering 1.1% |
| Construction Partners, Inc., Class A(a) | 40,040 | 838,438 |
| Dycom Industries, Inc.(a) | 55,831 | 5,194,516 |
| Total | | 6,032,954 |
| Electrical Equipment 1.9% |
| Regal Rexnord Corp. | 45,516 | 5,166,976 |
| TPI Composites, Inc.(a) | 143,962 | 1,799,525 |
| Vicor Corp.(a) | 62,472 | 3,419,093 |
| Total | | 10,385,594 |
| Machinery 3.0% |
| Albany International Corp., Class A | 53,771 | 4,236,617 |
| Chart Industries, Inc.(a) | 48,395 | 8,100,355 |
| Evoqua Water Technologies Corp.(a) | 89,400 | 2,906,394 |
| Proto Labs, Inc.(a) | 34,496 | 1,650,289 |
| Total | | 16,893,655 |
| Professional Services 2.6% |
| ASGN, Inc.(a) | 93,185 | 8,409,945 |
| Insperity, Inc. | 63,289 | 6,318,141 |
| Total | | 14,728,086 |
| Road & Rail 0.3% |
| Saia, Inc.(a) | 7,980 | 1,500,240 |
| Trading Companies & Distributors 2.4% |
| Applied Industrial Technologies, Inc. | 59,228 | 5,695,957 |
| Global Industrial Co. | 121,475 | 4,102,211 |
| SiteOne Landscape Supply, Inc.(a) | 30,920 | 3,675,460 |
| Total | | 13,473,628 |
| Total Industrials | 88,455,642 |
| Information Technology 30.1% |
| Communications Equipment 0.6% |
| Calix, Inc.(a) | 103,600 | 3,536,904 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Electronic Equipment, Instruments & Components 5.0% |
| Advanced Energy Industries, Inc. | 48,180 | 3,516,176 |
| ePlus, Inc.(a) | 89,406 | 4,749,247 |
| Fabrinet(a) | 50,523 | 4,097,415 |
| II-VI, Inc.(a) | 98,107 | 4,998,552 |
| Novanta, Inc.(a) | 58,113 | 7,047,364 |
| Plexus Corp.(a) | 44,397 | 3,485,164 |
| Total | | 27,893,918 |
| IT Services 4.6% |
| BigCommerce Holdings, Inc.(a) | 167,100 | 2,707,020 |
| DigitalOcean Holdings, Inc.(a) | 40,000 | 1,654,400 |
| Endava PLC, ADR(a) | 39,598 | 3,495,315 |
| Evo Payments, Inc., Class A(a) | 122,305 | 2,876,614 |
| Flywire Corp.(a) | 55,700 | 981,991 |
| I3 Verticals, Inc.(a) | 187,908 | 4,701,458 |
| Paymentus Holdings, Inc., Class A(a) | 96,271 | 1,287,143 |
| Perficient, Inc.(a) | 28,400 | 2,603,996 |
| Shift4 Payments, Inc., Class A(a) | 52,500 | 1,735,650 |
| TTEC Holdings, Inc. | 48,193 | 3,271,823 |
| Total | | 25,315,410 |
| Semiconductors & Semiconductor Equipment 7.1% |
| Allegro MicroSystems, Inc.(a) | 166,659 | 3,448,175 |
| Ambarella, Inc.(a) | 62,550 | 4,094,523 |
| Credo Technology Group Holding Ltd.(a) | 328,420 | 3,835,946 |
| Diodes, Inc.(a) | 69,600 | 4,494,072 |
| Impinj, Inc.(a) | 74,229 | 4,355,015 |
| Power Integrations, Inc. | 53,703 | 4,028,262 |
| Semtech Corp.(a) | 158,413 | 8,707,963 |
| Silicon Laboratories, Inc.(a) | 18,825 | 2,639,641 |
| SiTime Corp.(a) | 8,500 | 1,385,755 |
| Ultra Clean Holdings, Inc.(a) | 73,920 | 2,200,598 |
| Total | | 39,189,950 |
| Software 12.8% |
| Box, Inc., Class A(a) | 218,128 | 5,483,738 |
| CyberArk Software Ltd.(a) | 38,500 | 4,926,460 |
| Descartes Systems Group, Inc. (The)(a) | 75,709 | 4,698,501 |
| Domo, Inc., Class B(a) | 65,700 | 1,826,460 |
| Envestnet, Inc.(a) | 57,487 | 3,033,589 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Jamf Holding Corp.(a) | 133,795 | 3,314,102 |
| Olo, Inc., Class A(a) | 137,419 | 1,356,326 |
| Paycor HCM, Inc.(a) | 153,571 | 3,992,846 |
| Q2 Holdings, Inc.(a) | 64,328 | 2,481,131 |
| Qualys, Inc.(a) | 44,124 | 5,565,801 |
| Rapid7, Inc.(a) | 115,365 | 7,706,382 |
| RingCentral, Inc., Class A(a) | 22,000 | 1,149,720 |
| Sprout Social, Inc., Class A(a) | 68,027 | 3,950,328 |
| SPS Commerce, Inc.(a) | 84,868 | 9,594,327 |
| Upland Software, Inc.(a) | 177,436 | 2,576,371 |
| Verint Systems, Inc.(a) | 126,167 | 5,343,173 |
| Workiva, Inc., Class A(a) | 61,760 | 4,075,542 |
| Total | | 71,074,797 |
| Total Information Technology | 167,010,979 |
| Materials 1.5% |
| Chemicals 1.0% |
| Balchem Corp. | 41,460 | 5,379,020 |
| Metals & Mining 0.5% |
| Materion Corp. | 37,226 | 2,744,673 |
| Total Materials | 8,123,693 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Real Estate 1.2% |
| Equity Real Estate Investment Trusts (REITS) 1.2% |
| CareTrust REIT, Inc. | 213,752 | 3,941,587 |
| UMH Properties, Inc. | 151,647 | 2,678,086 |
| Total | | 6,619,673 |
| Total Real Estate | 6,619,673 |
Total Common Stocks
(Cost $586,266,834) | 547,644,687 |
|
| Money Market Funds 4.4% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(b),(c) | 24,242,470 | 24,227,925 |
Total Money Market Funds
(Cost $24,226,053) | 24,227,925 |
Total Investments in Securities
(Cost: $610,492,887) | 571,872,612 |
| Other Assets & Liabilities, Net | | (17,290,213) |
| Net Assets | 554,582,399 |
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 4,604,054 | 59,260,794 | (39,638,879) | 1,956 | 24,227,925 | (3,408) | 20,211 | 24,242,470 |
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
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 10,284,775 | — | — | 10,284,775 |
| Consumer Discretionary | 62,835,795 | — | — | 62,835,795 |
| Consumer Staples | 20,478,455 | — | — | 20,478,455 |
| Energy | 2,909,514 | — | — | 2,909,514 |
| Financials | 30,807,865 | — | — | 30,807,865 |
| Health Care | 150,118,296 | — | — | 150,118,296 |
| Industrials | 88,455,642 | — | — | 88,455,642 |
| Information Technology | 167,010,979 | — | — | 167,010,979 |
| Materials | 8,123,693 | — | — | 8,123,693 |
| Real Estate | 6,619,673 | — | — | 6,619,673 |
| Total Common Stocks | 547,644,687 | — | — | 547,644,687 |
| Money Market Funds | 24,227,925 | — | — | 24,227,925 |
| Total Investments in Securities | 571,872,612 | — | — | 571,872,612 |
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.
| 10 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $586,266,834) | $547,644,687 |
| Affiliated issuers (cost $24,226,053) | 24,227,925 |
| Receivable for: | |
| Investments sold | 439,264 |
| Capital shares sold | 34,504 |
| Dividends | 85,914 |
| Interfund lending | 3,200,000 |
| Expense reimbursement due from Investment Manager | 613 |
| Prepaid expenses | 8,428 |
| Total assets | 575,641,335 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 20,939,089 |
| Capital shares purchased | 13,955 |
| Management services fees | 12,337 |
| Distribution and/or service fees | 110 |
| Service fees | 569 |
| Compensation of board members | 75,536 |
| Compensation of chief compliance officer | 62 |
| Other expenses | 17,278 |
| Total liabilities | 21,058,936 |
| Net assets applicable to outstanding capital stock | $554,582,399 |
| Represented by | |
| Trust capital | $554,582,399 |
| Total - representing net assets applicable to outstanding capital stock | $554,582,399 |
| Class 1 | |
| Net assets | $538,615,303 |
| Shares outstanding | 20,344,762 |
| Net asset value per share | $26.47 |
| Class 2 | |
| Net assets | $15,967,096 |
| Shares outstanding | 621,779 |
| Net asset value per share | $25.68 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022
| 11 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $1,148,183 |
| Dividends — affiliated issuers | 20,211 |
| Foreign taxes withheld | (212) |
| Total income | 1,168,182 |
| Expenses: | |
| Management services fees | 2,546,347 |
| Distribution and/or service fees | |
| Class 2 | 21,368 |
| Service fees | 5,112 |
| Compensation of board members | 6,662 |
| Custodian fees | 10,068 |
| Printing and postage fees | 6,171 |
| Audit fees | 14,668 |
| Legal fees | 8,377 |
| Compensation of chief compliance officer | 33 |
| Other | 7,916 |
| Total expenses | 2,626,722 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (52,751) |
| Total net expenses | 2,573,971 |
| Net investment loss | (1,405,789) |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (21,014,502) |
| Investments — affiliated issuers | (3,408) |
| Net realized loss | (21,017,910) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (202,557,836) |
| Investments — affiliated issuers | 1,956 |
| Net change in unrealized appreciation (depreciation) | (202,555,880) |
| Net realized and unrealized loss | (223,573,790) |
| Net decrease in net assets resulting from operations | $(224,979,579) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment loss | $(1,405,789) | $(4,822,844) |
| Net realized gain (loss) | (21,017,910) | 163,650,235 |
| Net change in unrealized appreciation (depreciation) | (202,555,880) | (84,366,066) |
| Net increase (decrease) in net assets resulting from operations | (224,979,579) | 74,461,325 |
| Increase (decrease) in net assets from capital stock activity | 47,820,283 | (166,372,322) |
| Total decrease in net assets | (177,159,296) | (91,910,997) |
| Net assets at beginning of period | 731,741,695 | 823,652,692 |
| Net assets at end of period | $554,582,399 | $731,741,695 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 1,699,496 | 45,924,993 | 1,253,539 | 47,088,309 |
| Redemptions | (35,212) | (1,147,057) | (5,509,554) | (215,620,168) |
| Net increase (decrease) | 1,664,284 | 44,777,936 | (4,256,015) | (168,531,859) |
| Class 2 | | | | |
| Subscriptions | 120,486 | 3,606,668 | 133,941 | 4,994,351 |
| Redemptions | (18,870) | (564,321) | (76,631) | (2,834,814) |
| Net increase | 101,616 | 3,042,347 | 57,310 | 2,159,537 |
| Total net increase (decrease) | 1,765,900 | 47,820,283 | (4,198,705) | (166,372,322) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $38.14 | (0.07) | (11.60) | (11.67) |
| Year Ended 12/31/2021 | $35.22 | (0.24) | 3.16 | 2.92 |
| Year Ended 12/31/2020 | $25.38 | (0.14) | 9.98 | 9.84 |
| Year Ended 12/31/2019 | $20.93 | (0.09) | 4.54 | 4.45 |
| Year Ended 12/31/2018 | $21.95 | (0.11) | (0.91) | (1.02) |
| Year Ended 12/31/2017 | $18.48 | (0.08) | 3.55 | 3.47 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $37.04 | (0.11) | (11.25) | (11.36) |
| Year Ended 12/31/2021 | $34.29 | (0.32) | 3.07 | 2.75 |
| Year Ended 12/31/2020 | $24.77 | (0.20) | 9.72 | 9.52 |
| Year Ended 12/31/2019 | $20.48 | (0.14) | 4.43 | 4.29 |
| Year Ended 12/31/2018 | $21.53 | (0.17) | (0.88) | (1.05) |
| Year Ended 12/31/2017 | $18.17 | (0.13) | 3.49 | 3.36 |
| 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. 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) | Annualized. |
| (d) | Ratios include interfund lending expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $26.47 | (30.60%) | 0.88%(c) | 0.86%(c) | (0.47%)(c) | 14% | $538,615 |
| Year Ended 12/31/2021 | $38.14 | 8.29% | 0.87%(d) | 0.87%(d) | (0.61%) | 48% | $712,475 |
| Year Ended 12/31/2020 | $35.22 | 38.77% | 0.88% | 0.87% | (0.52%) | 63% | $807,783 |
| Year Ended 12/31/2019 | $25.38 | 21.26% | 0.88% | 0.87% | (0.38%) | 90% | $574,507 |
| Year Ended 12/31/2018 | $20.93 | (4.65%) | 0.87% | 0.86% | (0.46%) | 113% | $579,389 |
| Year Ended 12/31/2017 | $21.95 | 18.78% | 0.91% | 0.91% | (0.42%) | 114% | $644,746 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $25.68 | (30.67%) | 1.13%(c) | 1.11%(c) | (0.71%)(c) | 14% | $15,967 |
| Year Ended 12/31/2021 | $37.04 | 8.02% | 1.12%(d) | 1.12%(d) | (0.85%) | 48% | $19,267 |
| Year Ended 12/31/2020 | $34.29 | 38.43% | 1.13% | 1.12% | (0.77%) | 63% | $15,870 |
| Year Ended 12/31/2019 | $24.77 | 20.95% | 1.13% | 1.12% | (0.62%) | 90% | $11,277 |
| Year Ended 12/31/2018 | $20.48 | (4.88%) | 1.12% | 1.11% | (0.70%) | 113% | $8,375 |
| Year Ended 12/31/2017 | $21.53 | 18.49% | 1.16% | 1.16% | (0.67%) | 114% | $7,101 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
Variable Portfolio – Partners Small 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 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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 16 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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 – Partners Small Cap Growth Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (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 in 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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 subadvisers (see Subadvisory agreements below) have 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 0.87% to 0.75% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2022 was 0.86% of the Fund’s average daily net assets.
Subadvisory agreements
The Investment Manager has entered into Subadvisory Agreements with Allspring Global Investments, LLC and Scout Investments, Inc., each of which subadvises a portion of the assets of the Fund. New investments in the Fund, net of redemptions, are allocated in accordance with the Investment Manager’s determination. Each subadviser’s proportionate share of investments in the Fund will vary due to market fluctuations. The Investment Manager compensates each subadviser to manage the investment of the Fund’s assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
| 18 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.00% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | May 1, 2022
through
April 30, 2023 | Prior to
May 1, 2022 |
| Class 1 | 0.85% | 0.87% |
| Class 2 | 1.10 | 1.12 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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.
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 4. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $126,472,452 and $82,168,596, respectively, for the six months ended June 30, 2022. 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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the six months ended June 30, 2022 was as follows:
| Borrower or lender | Average loan
balance ($) | Weighted average
interest rate (%) | Number of days
with outstanding loans |
| Lender | 32,000,000 | 2.08 | 1 |
The Fund had an outstanding interfund loan balance at June 30, 2022 as shown in the Statement of Assets and Liabilities. The loans are unsecured.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
| 20 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Note 8. Significant risks
Health care sector risk
The Fund is 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.
Information technology sector risk
The Fund is more susceptible to the particular risks that may affect companies in the information technology sector than if it were invested in a wider variety of companies in unrelated sectors. Companies in the information technology sector 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 information 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. Some companies in the information technology sector are facing increased government and regulatory scrutiny and may be subject to adverse government or regulatory action, which could negatively impact the value of their securities.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
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.
Note 9. 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 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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
| 22 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 or one or more of its affiliates that provides services to the Fund.
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022
| 23 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Board Consideration and Approval of Subadvisory
Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (the Investment Manager, and together with its domestic and global affiliates, Columbia Threadneedle Investments), a wholly-owned subsidiary of Ameriprise Financial, Inc., serves as the investment manager to Variable Portfolio – Partners Small Cap Growth Fund (the “Fund”). On June 15, 2021, the Fund’s Board of Trustees (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”), upon the recommendation of the Investment Manager, unanimously approved the Subadvisory Agreement (the “Subadvisory Agreement”) between the Investment Manager and Allspring Global Investments, LLC (“Allspring”), with respect to the Fund.
At meetings held on June 2, 2021, June 4, 2021, and June 15, 2021, independent legal counsel to the Independent Trustees reviewed with the Board the legal standards for consideration by directors/trustees of advisory and subadvisory agreements and referred to the various written materials and oral presentations received by the Board, its Contracts and Compliance Committees, and its Investment Review Committee subcommittees in connection with the Board’s evaluation of Allspring’s proposed services.
The Trustees held discussions with the Investment Manager and Allspring and reviewed and considered various written materials and oral presentations in connection with the evaluation of Allspring’s proposed services, including reports from management with respect to the fees and terms of the proposed Subadvisory Agreement and Allspring’s investment strategy/style and performance and from the Compliance Committee, with respect to the code of ethics and compliance program of Allspring. In considering the Subadvisory Agreement, the Board reviewed, among other things:
| • | Terms of the Subadvisory Agreement; |
| • | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
| 24 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
Board Consideration and Approval of Subadvisory
Agreement (continued)
(Unaudited)
| • | Descriptions of various services proposed to be performed by Allspring under the Subadvisory Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding the Transaction and the experience and resources of Allspring, including information regarding senior management, portfolio managers, and other personnel; |
| • | Information regarding the capabilities of Allspring’s compliance program; and |
| • | The profitability of the Investment Manager and its affiliates from their relationships with the fund. |
Following an analysis and discussion of the foregoing, and the factors identified below, the Board, including all of the Independent Trustees, approved the Subadvisory Agreement on June 15, 2021.
Nature, extent and quality of services
The Board considered its analysis of the reports and presentations received by it, detailing the services proposed to be performed by Allspring as a subadviser for the Fund, as well as the history, expertise, resources and capabilities, and the qualifications of the personnel of Allspring. The Board considered the diligence and selection process undertaken by the Investment Manager to select Allspring, including the Investment Manager’s rationale for recommending Allspring, and the process for monitoring Allspring’s ongoing performance of services for the Fund. The Board observed that Allspring’s compliance program had been reviewed by the Fund’s Chief Compliance Officer and was determined by him to be reasonably designed to prevent violation of the federal securities laws by the Fund. The Board also observed that information had been presented regarding Allspring’s ability to carry out its responsibilities under the proposed Subadvisory Agreement. The Board also considered the information provided by management regarding the personnel, risk controls, philosophy, and investment processes of Allspring. The Board also noted the presentation by Allspring to the Board’s Contracts 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 and form to subadvisory agreements applicable to other subadvised Funds. The Board noted the Investment Manager’s representation that Allspring has experience subadvising registered mutual funds.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the expected nature, extent and quality of the services to be provided to the Fund supported the approval of the Subadvisory Agreement.
Investment performance of Allspring
The Board observed Allspring’s relevant performance results versus the Fund’s benchmark and versus peers over various periods.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of Allspring, in light of other considerations, supported the approval of the Subadvisory Agreement.
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 Allspring would be paid by the Investment Manager and would not impact the fees paid by the Fund. The Board observed that the proposed subadvisory fees for Allspring were within a reasonable range of subadvisory fees paid by the Investment Manager to the subadvisers of other Funds with similar strategies. The Trustees observed that management fees, which were not proposed to change, remained within the range of other peers and that the Fund’s expense ratio also remained within the range of other peers.
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022
| 25 |
Board Consideration and Approval of Subadvisory
Agreement (continued)
(Unaudited)
Additionally, the Board considered that no change was expected in the total profitability of the Investment Manager and its affiliates in connection with the hiring of Allspring. Because the Subadvisory Agreement was negotiated at arms-length by the Investment Manager, which is responsible for payments to Allspring thereunder, the Board did not consider the profitability to Allspring from its relationship with the Fund.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the proposed level of subadvisory fees, anticipated costs of services provided and the expected profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the approval of the Subadvisory Agreement.
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 considered, in this regard, that no change in profitability to the Investment Manager from its management agreement with the Fund was expected as a result of the proposed Subadvisory Agreement. The Board took into account, in this regard, the significant oversight services provided by the Investment Manager to the Fund. The Board also observed that 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 the Fund’s management agreement with the Investment Manager continues to provide for sharing of economies of scale as management fees decline as assets increase at pre-established breakpoints.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the Subadvisory Agreement. In reaching its conclusions, no single factor was determinative.
On June 15, 2021, the Board, including all of the Independent Trustees, determined that fees payable under the Subadvisory Agreement appeared fair and reasonable in light of the services proposed to be provided and, taking into account the factors described above, approved the Subadvisory Agreement.
Approval of Management and Subadvisory
Agreements
(Unaudited)
Columbia Management Investment Advisers, LLC (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 Growth Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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 the Investment Manager and each of Allspring Global Investments, LLC and Scout Investments, Inc. (collectively, the Subadvisers), the Subadvisers provide 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 Agreements (together, the Advisory Agreements). The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition,
| 26 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
The Board, at its June 23, 2022 Board meeting (the June Meeting), considered the renewal of each 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. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Advisory Agreements; |
| • | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreements; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager and the Subadvisers under the Advisory Agreements, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager and Subadvisers, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager and the Subadvisers with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager and the Subadvisers
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager and the Subadvisers, as well as their history, expertise, resources and relative capabilities, and the qualifications of their personnel.
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022
| 27 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers. With respect to the Investment Manager, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. 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 the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by the Investment Manager in addition to monitoring each Subadviser), noting that no changes were proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
The Board 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 subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no changes were recommended to the Subadvisory Agreements. The Board took into account the Investment Manager’s representation that each Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Advisory Agreements supported the continuation of the Management Agreement and the Subadvisory Agreements.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that Fund performance was well within the range of that of its peers.
| 28 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
Additionally, the Board reviewed the performance of each of the Subadvisers and the Investment Manager’s process for monitoring such Subadvisers’ performance. The Board considered, in particular, management’s rationale for recommending the continued retention of each Subadviser and management’s representations that the Investment Manager’s profitability is not the key factor driving their recommendation to select, renew or terminate the Subadvisers.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s and Subadvisers’ performance and reputation generally, and the Investment Manager’s evaluation of each Subadviser’s contribution to the Fund’s broader investment mandate. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadvisers, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory Agreements.
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Manager and discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
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 Fund. The Board also reviewed advisory fee rates charged by other comparable mutual funds employing each Subadviser to provide comparable subadvisory services. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees, subadvisory fees and expenses of the Fund, in light of other considerations, supported the continuation of each of the Management Agreement and the Subadvisory Agreements.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. Because the Subadvisory Agreements were negotiated at arms-length by the Investment Manager, which is responsible for payments to the Subadvisers thereunder, the Board did not consider the profitability to each Subadviser from its relationship with the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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
Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022
| 29 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
necessary investments in its business and earn an appropriate profit. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreements.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. The Board also noted that the breakpoints in the Subadvisory Agreements did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement and the Subadvisory Agreements. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under each of the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided and approved the renewal of each of the Advisory Agreements.
| 30 | Variable Portfolio – Partners Small Cap Growth Fund | Semiannual Report 2022 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
Variable Portfolio – Partners Small Cap Growth Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
CTIVP® – TCW Core Plus 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which CTIVP® – TCW Core Plus Bond Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with total return through current income and capital appreciation.
Portfolio management
TCW Investment Management Company LLC
Laird Landmann
Stephen Kane, CFA
Bryan Whalen, CFA
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/07/10 | -11.08 | -11.09 | 1.11 | 1.39 |
| Class 2 | 05/07/10 | -11.13 | -11.22 | 0.88 | 1.14 |
| Bloomberg U.S. Aggregate Bond Index | | -10.35 | -10.29 | 0.88 | 1.54 |
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 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 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.
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Asset-Backed Securities — Non-Agency | 4.4 |
| Commercial Mortgage-Backed Securities - Agency | 0.6 |
| Commercial Mortgage-Backed Securities - Non-Agency | 3.0 |
| Common Stocks | 0.1 |
| Corporate Bonds & Notes | 23.8 |
| Foreign Government Obligations | 1.3 |
| Inflation-Indexed Bonds | 0.2 |
| Money Market Funds | 18.5 |
| Municipal Bonds | 0.5 |
| Residential Mortgage-Backed Securities - Agency | 27.0 |
| Residential Mortgage-Backed Securities - Non-Agency | 6.1 |
| Senior Loans | 1.4 |
| Treasury Bills | 1.4 |
| U.S. Treasury Obligations | 11.7 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Quality breakdown (%) (at June 30, 2022) |
| AAA rating | 57.0 |
| AA rating | 3.1 |
| A rating | 11.0 |
| BBB rating | 16.2 |
| BB rating | 3.8 |
| B rating | 2.9 |
| CCC rating | 1.1 |
| CC rating | 0.3 |
| C rating | 0.0(a) |
| Not rated | 4.6 |
| Total | 100.0 |
Percentages indicated are based upon total fixed income investments.
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. If a security is not rated but has a rating by Kroll and/or DBRS, the same methodology is applied to those bonds that would otherwise be not rated. 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.
| 4 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 889.20 | 1,022.41 | 2.25 | 2.41 | 0.48 |
| Class 2 | 1,000.00 | 1,000.00 | 888.70 | 1,021.17 | 3.42 | 3.66 | 0.73 |
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.
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Asset-Backed Securities — Non-Agency 5.3% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| AIMCO CLO(a),(b) |
| Series 2015-AA Class AR2 |
3-month USD LIBOR + 1.140%
Floor 1.140%
10/17/2034 | 2.184% | | 10,475,000 | 10,029,362 |
| Aligned Data Centers Issuer LLC(a) |
| Series 2021-1A Class A2 |
| 08/15/2046 | 1.937% | | 7,600,000 | 6,722,868 |
| Apidos CLO XXII(a),(b) |
| Series 2015-22A Class A1R |
3-month USD LIBOR + 1.060%
04/20/2031 | 2.123% | | 8,000,000 | 7,841,976 |
| BlueMountain Fuji US Clo I Ltd.(a),(b) |
| Series 2017-1A Class A1R |
3-month USD LIBOR + 0.980%
Floor 0.980%
07/20/2029 | 2.043% | | 9,000,000 | 8,846,694 |
| Cedar Funding XII CLO Ltd.(a),(b) |
| Series 2020-12A Class A1R |
3-month USD LIBOR + 1.130%
Floor 1.130%
10/25/2034 | 2.314% | | 7,200,000 | 6,927,055 |
| Cedar Funding XIV CLO Ltd.(a),(b) |
| Series 2021-14A Class A |
3-month USD LIBOR + 1.100%
Floor 1.100%
07/15/2033 | 2.144% | | 8,765,000 | 8,512,095 |
| CIFC Funding Ltd.(a),(b) |
| Series 2021-7A Class B |
3-month USD LIBOR + 1.600%
Floor 1.600%
01/23/2035 | 2.784% | | 9,300,000 | 8,769,584 |
| Eaton Vance CLO Ltd.(a),(b) |
| Series 2019-1A Class AR |
3-month USD LIBOR + 1.100%
Floor 1.100%
04/15/2031 | 2.144% | | 9,100,000 | 8,873,701 |
| Education Loan Asset-Backed Trust I(a),(b) |
| Series 2013-1 Class A2 |
1-month USD LIBOR + 0.800%
Floor 0.800%
04/26/2032 | 2.424% | | 2,040,745 | 2,024,505 |
| Global SC Finance II SRL(a) |
| Series 2014-1A Class A2 |
| 07/17/2029 | 3.090% | | 1,148,003 | 1,121,660 |
| Henderson Receivables LLC(a) |
| Series 2014-2A Class A |
| 01/17/2073 | 3.610% | | 2,239,914 | 2,178,686 |
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| LCM(a),(b) |
| Series 2019A Class AR |
3-month USD LIBOR + 1.240%
Floor 1.240%
07/15/2027 | 2.284% | | 2,648,704 | 2,632,561 |
| Navient Student Loan Trust(b) |
| Series 2014-1 Class A3 |
1-month USD LIBOR + 0.510%
Floor 0.510%
06/25/2031 | 1.516% | | 4,222,953 | 4,143,832 |
| Series 2014-3 Class A |
1-month USD LIBOR + 0.620%
Floor 0.620%
03/25/2083 | 1.626% | | 4,510,285 | 4,476,126 |
| Series 2014-4 Class A |
1-month USD LIBOR + 0.620%
Floor 0.620%
03/25/2083 | 1.626% | | 3,216,722 | 3,193,834 |
| Series 2015-2 Class A3 |
1-month USD LIBOR + 0.570%
Floor 0.570%
11/26/2040 | 1.576% | | 8,287,749 | 8,213,133 |
| Navient Student Loan Trust(a),(b) |
| Series 2016-2 Class A3 |
1-month USD LIBOR + 1.500%
06/25/2065 | 2.506% | | 7,763,523 | 7,762,615 |
| Nelnet Student Loan Trust(a),(b) |
| Series 2014-4A Class A2 |
1-month USD LIBOR + 0.950%
Floor 0.950%
11/25/2048 | 2.574% | | 4,345,000 | 4,226,362 |
| Neuberger Berman Loan Advisers CLO 43 Ltd.(a),(b) |
| Series 2021-43A Class B |
3-month USD LIBOR + 1.600%
Floor 1.600%
07/17/2035 | 2.644% | | 8,500,000 | 8,051,931 |
| New Economy Assets Phase 1 Sponsor LLC(a) |
| Subordinated Series 2021-1 Class B1 |
| 10/20/2061 | 2.410% | | 8,935,000 | 7,744,250 |
| Regatta XIII Funding Ltd.(a),(b) |
| Series 2018-2A Class A2 |
3-month USD LIBOR + 1.750%
07/15/2031 | 2.794% | | 3,500,000 | 3,300,206 |
| Rockford Tower CLO Ltd.(a),(b) |
| Series 2020-1A Class A |
3-month USD LIBOR + 1.280%
01/20/2032 | 2.343% | | 8,000,000 | 7,859,104 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Asset-Backed Securities — Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| SLC Student Loan Trust(b) |
| Series 2006-1 Class B |
3-month USD LIBOR + 0.210%
Floor 0.210%
03/15/2055 | 2.039% | | 286,069 | 241,734 |
| SLM Student Loan Trust(b) |
| Series 2007-7 Class A4 |
3-month USD LIBOR + 0.330%
12/25/2022 | 1.514% | | 4,174,719 | 4,055,266 |
| Series 2007-7 Class B |
3-month USD LIBOR + 0.750%
Floor 0.750%
10/27/2070 | 1.934% | | 1,990,000 | 1,728,182 |
| Series 2008-4 Class A4 |
3-month USD LIBOR + 1.650%
Floor 1.650%
07/25/2022 | 2.834% | | 1,217,072 | 1,217,071 |
| Series 2008-5 Class B |
3-month USD LIBOR + 1.850%
Floor 1.850%
07/25/2073 | 3.034% | | 5,860,000 | 5,803,625 |
| Series 2008-6 Class A4 |
3-month USD LIBOR + 1.100%
Floor 1.100%
07/25/2023 | 2.284% | | 4,342,494 | 4,226,467 |
| Series 2008-8 Class A4 |
3-month USD LIBOR + 1.500%
Floor 1.500%
04/25/2023 | 2.684% | | 1,035,489 | 1,027,129 |
| Series 2008-9 Class B |
3-month USD LIBOR + 2.250%
Floor 2.250%
10/25/2083 | 3.434% | | 5,775,000 | 5,740,599 |
| SLM Student Loan Trust(a),(b) |
| Series 2009-3 Class A |
1-month USD LIBOR + 0.750%
Floor 0.750%
01/25/2045 | 2.374% | | 2,418,485 | 2,342,862 |
| Wachovia Student Loan Trust(a),(b) |
| Series 2006-1 Class A6 |
3-month USD LIBOR + 0.170%
Floor 0.170%
04/25/2040 | 1.354% | | 8,057,071 | 7,737,871 |
Total Asset-Backed Securities — Non-Agency
(Cost $171,656,468) | 167,572,946 |
|
| Commercial Mortgage-Backed Securities - Agency 0.7% |
| | | | |
| Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates |
| Series K155 Class A3 |
| 04/25/2033 | 3.750% | | 6,990,000 | 7,005,937 |
| Commercial Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal National Mortgage Association |
| 04/01/2040 | 2.455% | | 4,525,000 | 3,584,922 |
| Series 2001-M2 Class Z2 |
| 06/25/2031 | 6.300% | | 9,546 | 9,555 |
| Government National Mortgage Association(c),(d) |
| Series 2012-55 Class IO |
| 04/16/2052 | 0.000% | | 546,369 | 5 |
| Government National Mortgage Association |
| Series 2020-193 Class AC |
| 09/16/2062 | 1.250% | | 1,620,862 | 1,257,584 |
| Series 2021-14 Class AB |
| 06/16/2063 | 1.340% | | 1,975,179 | 1,553,593 |
| Series 2021-2 Class AH |
| 06/16/2063 | 1.500% | | 4,580,095 | 3,662,799 |
| Series 2021-21 Class AH |
| 06/16/2063 | 1.400% | | 3,217,009 | 2,567,610 |
| Series 2021-31 Class B |
| 01/16/2061 | 1.250% | | 3,363,593 | 2,591,857 |
Total Commercial Mortgage-Backed Securities - Agency
(Cost $23,510,882) | 22,233,862 |
|
| Commercial Mortgage-Backed Securities - Non-Agency 3.6% |
| | | | |
| BFLD Trust(a),(b) |
| Series 2020-EYP Class A |
1-month USD LIBOR + 1.150%
Floor 1.150%
10/15/2035 | 2.474% | | 7,500,000 | 7,282,035 |
| BPR Trust(a),(b) |
| Series 2022-OANA Class A |
1-month Term SOFR + 1.898%
Floor 1.898%
04/15/2037 | 3.177% | | 8,446,000 | 8,273,205 |
| BX Commercial Mortgage Trust(a),(b) |
| Series 2019-XL Class A |
1-month USD LIBOR + 0.920%
Floor 0.921%
10/15/2036 | 2.244% | | 10,047,921 | 9,872,840 |
| Series 2022-CSMO Class A |
1-month Term SOFR + 2.115%
Floor 2.115%
06/15/2027 | 2.865% | | 6,925,000 | 6,829,512 |
| Subordinated Series 2022-CSMO Class B |
1-month Term SOFR + 3.141%
Floor 3.141%
06/15/2027 | 3.891% | | 4,080,000 | 4,008,401 |
| BX Trust(a) |
| Series 2019-OC11 Class A |
| 12/09/2041 | 3.202% | | 1,355,000 | 1,213,270 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| BXHPP Trust(a),(b) |
| Series 2021-FILM Class A |
1-month USD LIBOR + 0.650%
Floor 0.650%
08/15/2036 | 1.974% | | 8,878,000 | 8,412,277 |
| BXSC Commercial Mortgage Trust(a),(b) |
| Series 2022-WSS Class D |
1-month Term SOFR + 3.188%
Floor 3.188%
03/15/2035 | 3.970% | | 8,939,000 | 8,581,202 |
| CF Hippolyta Issuer LLC(a) |
| Series 2020-1 Class A1 |
| 07/15/2060 | 1.690% | | 10,081,354 | 9,143,910 |
| DBJPM Mortgage Trust(a) |
| Series 2016-SFC Class A |
| 08/10/2036 | 2.833% | | 3,700,000 | 3,165,867 |
| Hudson Yards Mortgage Trust(a) |
| Series 2019-30HY Class A |
| 07/10/2039 | 3.228% | | 2,770,000 | 2,525,567 |
| Invitation Homes Trust(a),(b) |
| Series 2018-SFR4 Class A |
1-month USD LIBOR + 1.100%
Floor 1.000%
01/17/2038 | 2.623% | | 10,031,402 | 9,898,640 |
| JPMorgan Chase Commercial Mortgage Securities Trust(a) |
| Series 2019-OSB Class A |
| 06/05/2039 | 3.397% | | 2,720,000 | 2,497,308 |
| JPMorgan Chase Commercial Mortgage Securities Trust(a),(b) |
| Series 2021-MHC Class A |
1-month USD LIBOR + 0.800%
Floor 0.800%
04/15/2038 | 2.124% | | 7,374,920 | 7,115,501 |
| Manhattan West(a) |
| Series 2020-1MW Class A |
| 09/10/2039 | 2.130% | | 3,470,000 | 3,056,282 |
| MKT Mortgage Trust(a) |
| Series 2020-525M Class A |
| 02/12/2040 | 2.694% | | 2,035,000 | 1,752,102 |
| RBS Commercial Funding, Inc., Trust(a),(c) |
| Series 2013-GSP Class A |
| 01/15/2032 | 3.961% | | 1,475,000 | 1,451,946 |
| SFO Commercial Mortgage Trust(a),(b) |
| Series 2021-555 Class A |
1-month USD LIBOR + 1.150%
Floor 1.150%
05/15/2038 | 2.474% | | 2,703,000 | 2,581,005 |
| StorageMart Commercial Mortgage Trust(a),(b) |
| Subordinated Series 2022-MINI Class F |
1-month Term SOFR + 3.350%
Floor 3.350%
01/15/2039 | 4.629% | | 6,607,000 | 6,097,540 |
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Wells Fargo Commercial Mortgage Trust |
| Series 2015-SG1 Class A4 |
| 09/15/2048 | 3.789% | | 10,883,768 | 10,605,633 |
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $119,527,851) | 114,364,043 |
| Common Stocks 0.1% |
| Issuer | Shares | Value ($) |
| Communication Services 0.0% |
| Media 0.0% |
| Intelsat Jackson Holdings SA(e),(f),(g) | 2,750,000 | 3 |
| Intelsat Jackson Holdings SA(e),(f),(g) | 3,372,000 | 3 |
| Intelsat Jackson Holdings SA(e),(f),(g) | 5,923,000 | 6 |
| Intelsat Jackson Series A, CVR(e),(f),(g) | 11,998 | 0 |
| Intelsat Jackson Series B, CVR(e),(f),(g) | 11,998 | 0 |
| Total | | 12 |
| Total Communication Services | 12 |
| Financials 0.1% |
| Diversified Financial Services 0.1% |
| Intelsat Emergence SA(f) | 114,573 | 3,236,687 |
| Total Financials | 3,236,687 |
| Utilities 0.0% |
| Electric Utilities 0.0% |
| Homer City Holdings(f),(g) | 32,056 | 1,763 |
| Total Utilities | 1,763 |
Total Common Stocks
(Cost $5,832,928) | 3,238,462 |
| Corporate Bonds & Notes 28.7% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Aerospace & Defense 0.2% |
| Boeing Co. (The) |
| 02/04/2024 | 1.433% | | 6,730,000 | 6,438,250 |
| Airlines 0.2% |
| Delta Air Lines Pass-Through Trust |
| 06/10/2028 | 2.000% | | 7,923,709 | 6,952,412 |
| Apartment REIT 0.0% |
| Post Apartment Homes LP |
| 12/01/2022 | 3.375% | | 1,157,000 | 1,156,291 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Automotive 0.1% |
| Ford Motor Credit Co. LLC(b) |
3-month USD LIBOR + 1.080%
08/03/2022 | 2.366% | | 1,940,000 | 1,937,458 |
| General Motors Co. |
| 10/02/2023 | 4.875% | | 1,320,000 | 1,332,508 |
| Total | 3,269,966 |
| Banking 10.0% |
| American Express Co. |
| 03/04/2027 | 2.550% | | 3,535,000 | 3,295,101 |
| Bank of America Corp.(h) |
| 12/20/2023 | 3.004% | | 8,937,000 | 8,905,629 |
| 07/22/2027 | 1.734% | | 12,270,000 | 10,935,432 |
| 06/14/2029 | 2.087% | | 9,300,000 | 7,964,066 |
| 02/07/2030 | 3.974% | | 4,925,000 | 4,627,199 |
| 04/22/2032 | 2.687% | | 1,100,000 | 924,302 |
| 10/20/2032 | 2.572% | | 7,650,000 | 6,312,320 |
| 02/04/2033 | 2.972% | | 1,737,000 | 1,480,562 |
| Bank of America Corp.(b) |
| Subordinated |
3-month USD LIBOR + 0.650%
12/01/2026 | 2.230% | | 1,000,000 | 924,970 |
| Capital One Financial Corp.(h) |
| 03/01/2030 | 3.273% | | 4,950,000 | 4,383,380 |
| Citigroup, Inc.(h) |
| 04/24/2025 | 3.352% | | 590,000 | 578,535 |
| 11/03/2025 | 1.281% | | 965,000 | 896,739 |
| 01/25/2026 | 2.014% | | 1,480,000 | 1,387,717 |
| 02/24/2028 | 3.070% | | 1,760,000 | 1,631,054 |
| 10/27/2028 | 3.520% | | 1,735,000 | 1,619,215 |
| 03/31/2031 | 4.412% | | 3,110,000 | 2,978,569 |
| 06/03/2031 | 2.572% | | 2,325,000 | 1,955,848 |
| 05/01/2032 | 2.561% | | 2,560,000 | 2,111,376 |
| 01/25/2033 | 3.057% | | 10,280,000 | 8,731,851 |
| 03/17/2033 | 3.785% | | 3,355,000 | 3,029,659 |
| Credit Suisse Group AG(a),(h) |
| 09/11/2025 | 2.593% | | 750,000 | 706,147 |
| 06/05/2026 | 2.193% | | 5,677,000 | 5,172,782 |
| 02/02/2027 | 1.305% | | 5,350,000 | 4,603,766 |
| 05/14/2032 | 3.091% | | 5,550,000 | 4,438,544 |
| Credit Suisse Group AG(a) |
| 01/09/2028 | 4.282% | | 2,940,000 | 2,750,784 |
| Discover Bank |
| 08/08/2023 | 4.200% | | 4,000,000 | 4,012,094 |
| DNB Bank ASA(a),(h) |
| 09/16/2026 | 1.127% | | 645,000 | 581,690 |
| 03/30/2028 | 1.605% | | 5,000,000 | 4,361,995 |
| Fifth Third Bancorp |
| 05/05/2027 | 2.550% | | 4,635,000 | 4,252,193 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Goldman Sachs Group, Inc. (The) |
| 02/23/2023 | 3.200% | | 1,750,000 | 1,750,567 |
| 12/06/2023 | 1.217% | | 9,325,000 | 8,996,549 |
| Goldman Sachs Group, Inc. (The)(h) |
| 09/29/2025 | 3.272% | | 2,930,000 | 2,849,865 |
| 12/09/2026 | 1.093% | | 1,092,000 | 970,699 |
| 03/09/2027 | 1.431% | | 12,950,000 | 11,513,672 |
| 10/21/2027 | 1.948% | | 9,195,000 | 8,142,422 |
| 07/21/2032 | 2.383% | | 5,140,000 | 4,160,273 |
| 10/21/2032 | 2.650% | | 2,525,000 | 2,081,544 |
| HSBC Holdings PLC(h) |
| 06/04/2026 | 2.099% | | 8,565,000 | 7,921,753 |
| 05/24/2027 | 1.589% | | 1,450,000 | 1,274,874 |
| 06/09/2028 | 4.755% | | 860,000 | 836,209 |
| 09/22/2028 | 2.013% | | 8,240,000 | 7,050,693 |
| 08/17/2029 | 2.206% | | 5,105,000 | 4,287,652 |
| 05/24/2032 | 2.804% | | 1,000,000 | 820,976 |
| JPMorgan Chase & Co.(h) |
| 10/15/2025 | 2.301% | | 2,830,000 | 2,697,372 |
| 12/10/2025 | 1.561% | | 5,705,000 | 5,343,690 |
| 04/22/2027 | 1.578% | | 4,495,000 | 4,012,056 |
| 02/24/2028 | 2.947% | | 2,290,000 | 2,121,749 |
| 04/22/2032 | 2.580% | | 1,090,000 | 917,787 |
| 11/08/2032 | 2.545% | | 3,720,000 | 3,090,861 |
| 01/25/2033 | 2.963% | | 6,650,000 | 5,710,042 |
| Lloyds Banking Group PLC(h) |
| 11/07/2023 | 2.907% | | 6,995,000 | 6,970,713 |
| 07/09/2025 | 3.870% | | 4,114,000 | 4,066,423 |
| Lloyds Banking Group PLC |
| 03/12/2024 | 3.900% | | 3,175,000 | 3,167,605 |
| Macquarie Group Ltd.(a),(h) |
| 01/12/2027 | 1.340% | | 5,000,000 | 4,406,860 |
| 01/14/2033 | 2.871% | | 4,360,000 | 3,562,703 |
| 06/21/2033 | 4.442% | | 2,220,000 | 2,059,319 |
| Morgan Stanley(h) |
| 05/30/2025 | 0.790% | | 970,000 | 903,773 |
| 10/21/2025 | 1.164% | | 2,745,000 | 2,546,232 |
| 05/04/2027 | 1.593% | | 5,470,000 | 4,879,170 |
| 07/20/2027 | 1.512% | | 10,255,000 | 9,015,874 |
| 04/28/2032 | 1.928% | | 8,020,000 | 6,362,360 |
| 07/21/2032 | 2.239% | | 960,000 | 780,061 |
| Subordinated |
| 04/20/2037 | 5.297% | | 2,150,000 | 2,085,784 |
| Nationwide Building Society(a),(h) |
| 03/08/2024 | 3.766% | | 4,465,000 | 4,451,826 |
| 02/16/2028 | 2.972% | | 4,305,000 | 3,942,345 |
| Royal Bank of Scotland Group PLC(h) |
| 03/22/2025 | 4.269% | | 6,935,000 | 6,862,400 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 9 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Santander UK Group Holdings PLC(h) |
| 11/15/2024 | 4.796% | | 8,860,000 | 8,864,791 |
| 03/15/2025 | 1.089% | | 7,235,000 | 6,762,225 |
| 08/21/2026 | 1.532% | | 465,000 | 416,538 |
| 06/14/2027 | 1.673% | | 2,185,000 | 1,909,432 |
| 01/11/2028 | 2.469% | | 1,035,000 | 918,018 |
| UBS AG(a) |
| 08/09/2024 | 0.700% | | 5,210,000 | 4,886,422 |
| UBS Group AG(a),(h) |
| 05/12/2026 | 4.488% | | 500,000 | 498,105 |
| Wells Fargo & Co.(h) |
| 04/30/2026 | 2.188% | | 11,945,000 | 11,197,935 |
| 06/02/2028 | 2.393% | | 4,905,000 | 4,395,787 |
| 03/02/2033 | 3.350% | | 15,385,000 | 13,655,473 |
| 04/04/2051 | 5.013% | | 4,010,000 | 3,933,359 |
| Total | 315,606,357 |
| Brokerage/Asset Managers/Exchanges 0.3% |
| Charles Schwab Corp. (The) |
| 03/03/2032 | 2.900% | | 5,300,000 | 4,661,548 |
| Intercontinental Exchange, Inc. |
| 09/15/2032 | 1.850% | | 3,937,000 | 3,082,820 |
| 03/15/2033 | 4.600% | | 1,065,000 | 1,058,687 |
| Raymond James Financial, Inc. |
| 07/15/2046 | 4.950% | | 1,030,000 | 1,001,507 |
| Total | 9,804,562 |
| Cable and Satellite 0.9% |
| CCO Holdings LLC/Capital Corp.(a) |
| 02/01/2032 | 4.750% | | 1,787,000 | 1,471,280 |
| Charter Communications Operating LLC/Capital |
| 05/01/2047 | 5.375% | | 5,300,000 | 4,536,853 |
| 04/01/2048 | 5.750% | | 4,189,000 | 3,766,971 |
| 07/01/2049 | 5.125% | | 1,335,000 | 1,114,237 |
| 03/01/2050 | 4.800% | | 2,745,000 | 2,174,754 |
| 04/01/2053 | 5.250% | | 2,875,000 | 2,452,088 |
| Cox Communications, Inc.(a) |
| 06/15/2031 | 2.600% | | 2,610,000 | 2,188,505 |
| CSC Holdings LLC(a) |
| 02/01/2028 | 5.375% | | 855,000 | 747,271 |
| 02/01/2029 | 6.500% | | 1,000,000 | 909,650 |
| 12/01/2030 | 4.125% | | 2,500,000 | 1,948,615 |
| 02/15/2031 | 3.375% | | 1,150,000 | 853,354 |
| Intelsat Jackson Holdings SA(a) |
| 03/15/2030 | 6.500% | | 6,965,000 | 5,749,322 |
| Time Warner Cable LLC |
| 09/01/2041 | 5.500% | | 850,000 | 747,749 |
| Total | 28,660,649 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Chemicals 0.2% |
| International Flavors & Fragrances, Inc. |
| 09/26/2048 | 5.000% | | 5,060,000 | 4,727,919 |
| Consumer Products 0.1% |
| Clorox Co. (The) |
| 05/01/2032 | 4.600% | | 2,500,000 | 2,509,827 |
| Spectrum Brands, Inc.(a) |
| 03/15/2031 | 3.875% | | 2,000,000 | 1,613,757 |
| Total | 4,123,584 |
| Diversified Manufacturing 0.2% |
| GE Capital International Funding Co. Unlimited Co. |
| 11/15/2035 | 4.418% | | 3,838,000 | 3,592,103 |
| General Electric Co.(b) |
3-month USD LIBOR + 0.380%
05/05/2026 | 1.743% | | 1,886,000 | 1,786,298 |
| General Electric Co. |
| 03/15/2032 | 6.750% | | 930,000 | 1,040,362 |
| Total | 6,418,763 |
| Electric 1.6% |
| AEP Transmission Co. LLC |
| 12/01/2047 | 3.750% | | 1,600,000 | 1,355,569 |
| 04/01/2050 | 3.650% | | 305,000 | 253,033 |
| Appalachian Power Co. |
| 05/15/2033 | 5.950% | | 3,225,000 | 3,432,397 |
| Duke Energy Carolinas LLC |
| 12/15/2041 | 4.250% | | 900,000 | 832,220 |
| Duke Energy Corp. |
| 06/15/2031 | 2.550% | | 3,120,000 | 2,593,934 |
| 09/01/2046 | 3.750% | | 1,110,000 | 875,439 |
| Duke Energy Progress LLC |
| 04/01/2052 | 4.000% | | 500,000 | 449,466 |
| Entergy Louisiana LLC |
| 04/01/2025 | 3.780% | | 5,900,000 | 5,845,223 |
| Eversource Energy |
| 07/01/2027 | 4.600% | | 3,135,000 | 3,161,139 |
| Florida Power & Light Co. |
| 03/01/2049 | 3.990% | | 1,500,000 | 1,372,845 |
| ITC Holdings Corp. |
| 07/01/2023 | 4.050% | | 1,740,000 | 1,745,055 |
| 11/15/2027 | 3.350% | | 1,000,000 | 954,811 |
| Metropolitan Edison Co.(a) |
| 04/15/2025 | 4.000% | | 3,000,000 | 2,946,373 |
| 01/15/2029 | 4.300% | | 1,752,000 | 1,724,046 |
| Mong Duong Finance Holdings BV(a) |
| 05/07/2029 | 5.125% | | 400,000 | 323,189 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| NextEra Energy Capital Holdings, Inc.(b) |
3-month USD LIBOR + 0.270%
02/22/2023 | 1.775% | | 3,700,000 | 3,678,022 |
| NextEra Energy Capital Holdings, Inc. |
| 07/15/2027 | 4.625% | | 2,790,000 | 2,826,243 |
| Northern States Power Co. |
| 08/15/2045 | 4.000% | | 2,250,000 | 1,976,238 |
| Oncor Electric Delivery Co. LLC(a) |
| 06/01/2052 | 4.600% | | 2,945,000 | 2,913,988 |
| PacifiCorp |
| 07/01/2025 | 3.350% | | 2,000,000 | 1,969,449 |
| PECO Energy Co. |
| 05/15/2052 | 4.600% | | 2,690,000 | 2,700,741 |
| Pennsylvania Electric Co.(a) |
| 03/15/2028 | 3.250% | | 6,950,000 | 6,448,861 |
| Total | 50,378,281 |
| Environmental 0.1% |
| Republic Services, Inc. |
| 03/01/2030 | 2.300% | | 1,324,000 | 1,134,105 |
| Waste Pro USA, Inc.(a) |
| 02/15/2026 | 5.500% | | 1,750,000 | 1,552,195 |
| Total | 2,686,300 |
| Finance Companies 1.0% |
| AerCap Ireland Capital DAC/Global Aviation Trust |
| 10/01/2025 | 4.450% | | 3,070,000 | 2,973,896 |
| 10/29/2028 | 3.000% | | 6,350,000 | 5,342,121 |
| 01/30/2032 | 3.300% | | 3,650,000 | 2,908,728 |
| Air Lease Corp. |
| 03/01/2025 | 3.250% | | 2,810,000 | 2,683,755 |
| 07/01/2025 | 3.375% | | 4,500,000 | 4,241,139 |
| Avolon Holdings Funding Ltd.(a) |
| 02/15/2027 | 3.250% | | 2,035,000 | 1,775,895 |
| 11/18/2027 | 2.528% | | 3,398,000 | 2,793,732 |
| FirstCash, Inc.(a) |
| 01/01/2030 | 5.625% | | 1,850,000 | 1,620,439 |
| Park Aerospace Holdings Ltd.(a) |
| 03/15/2023 | 4.500% | | 5,335,000 | 5,358,314 |
| 02/15/2024 | 5.500% | | 733,000 | 737,519 |
| Total | 30,435,538 |
| Food and Beverage 1.2% |
| Anheuser-Busch Companies LLC/InBev Worldwide, Inc. |
| 02/01/2046 | 4.900% | | 5,935,000 | 5,597,711 |
| Anheuser-Busch InBev Worldwide, Inc. |
| 04/15/2048 | 4.600% | | 1,850,000 | 1,665,737 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Bacardi Ltd.(a) |
| 05/15/2025 | 4.450% | | 3,375,000 | 3,349,351 |
| Constellation Brands, Inc. |
| 05/09/2032 | 4.750% | | 2,870,000 | 2,833,874 |
| JBS SA/Food Co./Finance, Inc.(a) |
| 05/15/2032 | 3.000% | | 2,215,000 | 1,704,809 |
| JBS USA LUX SA/Food Co./Finance, Inc.(a) |
| 02/02/2029 | 3.000% | | 1,565,000 | 1,336,963 |
| 12/01/2031 | 3.750% | | 2,570,000 | 2,107,779 |
| 12/01/2052 | 6.500% | | 4,280,000 | 4,038,880 |
| Kraft Heinz Foods Co. |
| 06/04/2042 | 5.000% | | 1,414,000 | 1,293,433 |
| 10/01/2049 | 4.875% | | 1,680,000 | 1,485,737 |
| Kraft Heinz Foods Co. (The) |
| 07/15/2045 | 5.200% | | 6,570,000 | 6,092,828 |
| Pilgrim’s Pride Corp.(a) |
| 04/15/2031 | 4.250% | | 1,800,000 | 1,501,663 |
| Post Holdings, Inc.(a) |
| 03/01/2027 | 5.750% | | 1,700,000 | 1,647,060 |
| 04/15/2030 | 4.625% | | 3,500,000 | 2,952,780 |
| Smithfield Foods, Inc.(a) |
| 09/13/2031 | 2.625% | | 1,500,000 | 1,196,105 |
| Total | 38,804,710 |
| Gaming 0.8% |
| CDI Escrow Issuer, Inc.(a) |
| 04/01/2030 | 5.750% | | 1,150,000 | 1,046,557 |
| Churchill Downs, Inc.(a) |
| 01/15/2028 | 4.750% | | 465,000 | 413,860 |
| Colt Merger Sub, Inc.(a) |
| 07/01/2027 | 8.125% | | 1,050,000 | 1,012,469 |
| GLP Capital LP/Financing II, Inc. |
| 11/01/2023 | 5.375% | | 4,120,000 | 4,104,486 |
| 09/01/2024 | 3.350% | | 1,800,000 | 1,729,292 |
| 06/01/2025 | 5.250% | | 1,930,000 | 1,895,966 |
| 04/15/2026 | 5.375% | | 755,000 | 738,854 |
| 06/01/2028 | 5.750% | | 870,000 | 849,563 |
| 01/15/2029 | 5.300% | | 2,325,000 | 2,213,767 |
| 01/15/2030 | 4.000% | | 1,615,000 | 1,418,906 |
| VICI Properties LP |
| 02/15/2030 | 4.950% | | 165,000 | 156,019 |
| 05/15/2032 | 5.125% | | 2,190,000 | 2,066,272 |
| 05/15/2052 | 5.625% | | 2,794,000 | 2,541,522 |
| VICI Properties LP/Note Co., Inc.(a) |
| 06/15/2025 | 4.625% | | 270,000 | 257,266 |
| 09/01/2026 | 4.500% | | 1,010,000 | 930,561 |
| 02/01/2027 | 5.750% | | 1,195,000 | 1,139,508 |
| 02/15/2027 | 3.750% | | 95,000 | 83,362 |
| 01/15/2028 | 4.500% | | 575,000 | 522,276 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 11 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 02/15/2029 | 3.875% | | 1,930,000 | 1,661,256 |
| Total | 24,781,762 |
| Health Care 1.8% |
| Becton Dickinson and Co. |
| 06/06/2024 | 3.363% | | 626,000 | 619,513 |
| Cigna Corp. |
| 08/15/2038 | 4.800% | | 5,000,000 | 4,868,427 |
| 10/15/2047 | 3.875% | | 1,190,000 | 979,780 |
| CommonSpirit Health |
| 10/01/2025 | 1.547% | | 5,000,000 | 4,584,040 |
| 10/01/2030 | 2.782% | | 1,575,000 | 1,345,058 |
| CVS Health Corp. |
| 07/20/2035 | 4.875% | | 1,095,000 | 1,081,649 |
| 07/20/2045 | 5.125% | | 1,780,000 | 1,718,370 |
| 03/25/2048 | 5.050% | | 8,170,000 | 7,816,677 |
| Embecta Corp.(a) |
| 02/15/2030 | 5.000% | | 1,800,000 | 1,521,899 |
| Encompass Health Corp. |
| 04/01/2031 | 4.625% | | 3,750,000 | 3,038,263 |
| Fresenius Medical Care US Finance III, Inc.(a) |
| 12/01/2026 | 1.875% | | 3,755,000 | 3,230,556 |
| HCA, Inc. |
| 04/15/2025 | 5.250% | | 488,000 | 489,245 |
| 06/15/2026 | 5.250% | | 4,480,000 | 4,448,542 |
| 06/15/2029 | 4.125% | | 4,000,000 | 3,652,553 |
| 07/15/2031 | 2.375% | | 1,125,000 | 868,189 |
| 06/15/2047 | 5.500% | | 3,000,000 | 2,684,475 |
| 06/15/2049 | 5.250% | | 4,500,000 | 3,884,956 |
| HCA, Inc.(a) |
| 03/15/2027 | 3.125% | | 1,000,000 | 914,012 |
| 03/15/2032 | 3.625% | | 2,490,000 | 2,101,621 |
| 03/15/2052 | 4.625% | | 1,775,000 | 1,420,077 |
| ModivCare Escrow Issuer, Inc.(a) |
| 10/01/2029 | 5.000% | | 2,600,000 | 2,100,386 |
| Tenet Healthcare Corp. |
| 07/15/2024 | 4.625% | | 241,000 | 231,556 |
| Tenet Healthcare Corp.(a) |
| 06/01/2029 | 4.250% | | 1,830,000 | 1,546,430 |
| 06/15/2030 | 6.125% | | 1,600,000 | 1,499,846 |
| Universal Health Services, Inc.(a) |
| 09/01/2026 | 1.650% | | 1,890,000 | 1,637,425 |
| Total | 58,283,545 |
| Healthcare Insurance 0.5% |
| Centene Corp. |
| 12/15/2027 | 4.250% | | 1,505,000 | 1,405,311 |
| 07/15/2028 | 2.450% | | 8,542,000 | 7,125,317 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Humana, Inc. |
| 04/01/2030 | 4.875% | | 1,333,000 | 1,345,752 |
| Molina Healthcare, Inc.(a) |
| 06/15/2028 | 4.375% | | 4,438,000 | 3,978,148 |
| 11/15/2030 | 3.875% | | 2,000,000 | 1,709,073 |
| UnitedHealth Group, Inc. |
| 12/15/2048 | 4.450% | | 1,245,000 | 1,192,589 |
| 05/15/2051 | 3.250% | | 457,000 | 359,499 |
| Total | 17,115,689 |
| Healthcare REIT 0.2% |
| Healthcare Trust of America Holdings LP |
| 08/01/2026 | 3.500% | | 2,367,000 | 2,251,001 |
| 07/01/2027 | 3.750% | | 1,695,000 | 1,607,525 |
| 03/15/2031 | 2.000% | | 1,880,000 | 1,458,279 |
| Total | 5,316,805 |
| Independent Energy 0.1% |
| Hess Corp. |
| 02/15/2041 | 5.600% | | 2,000,000 | 1,948,945 |
| Occidental Petroleum Corp.(i) |
| 10/10/2036 | 0.000% | | 2,048,000 | 1,016,087 |
| Total | 2,965,032 |
| Integrated Energy 0.1% |
| Exxon Mobil Corp. |
| 03/19/2050 | 4.327% | | 247,000 | 233,216 |
| Shell International Finance BV |
| 05/10/2046 | 4.000% | | 2,037,000 | 1,803,622 |
| Total | 2,036,838 |
| Life Insurance 0.6% |
| Athene Global Funding(a),(b) |
SOFR + 0.700%
05/24/2024 | 2.210% | | 3,780,000 | 3,670,388 |
| Athene Global Funding(a) |
| 06/29/2026 | 1.608% | | 3,760,000 | 3,268,356 |
| 03/08/2027 | 3.205% | | 1,550,000 | 1,409,666 |
| 01/07/2029 | 2.717% | | 1,770,000 | 1,507,949 |
| New York Life Insurance Co.(a) |
| Subordinated |
| 05/15/2050 | 3.750% | | 3,235,000 | 2,646,390 |
| Teachers Insurance & Annuity Association of America(a) |
| Subordinated |
| 05/15/2050 | 3.300% | | 3,035,000 | 2,346,792 |
| Teachers Insurance & Annuity Association of America(a),(h) |
| Subordinated |
| 09/15/2054 | 4.375% | | 3,920,000 | 3,866,083 |
| Total | 18,715,624 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Media and Entertainment 0.6% |
| Diamond Sports Group LLC/Finance Co.(a) |
| 08/15/2026 | 5.375% | | 4,750,000 | 1,211,955 |
| Magallanes, Inc.(a) |
| 03/15/2032 | 4.279% | | 35,000 | 31,269 |
| 03/15/2042 | 5.050% | | 6,975,000 | 5,931,821 |
| 03/15/2052 | 5.141% | | 9,640,000 | 8,093,132 |
| Take-Two Interactive Software, Inc. |
| 04/14/2032 | 4.000% | | 3,355,000 | 3,149,883 |
| Walt Disney Co. (The) |
| 01/13/2051 | 3.600% | | 1,110,000 | 926,751 |
| Total | 19,344,811 |
| Midstream 0.6% |
| Enbridge Energy Partners LP |
| 10/15/2025 | 5.875% | | 2,500,000 | 2,612,242 |
| Energy Transfer Operating LP |
| 06/01/2027 | 5.500% | | 341,000 | 346,060 |
| 05/15/2050 | 5.000% | | 1,350,000 | 1,148,562 |
| Energy Transfer Partners LP |
| 03/15/2045 | 5.150% | | 3,048,000 | 2,608,698 |
| 12/15/2045 | 6.125% | | 2,400,000 | 2,299,807 |
| Enterprise Products Operating LLC |
| 02/15/2045 | 5.100% | | 1,255,000 | 1,180,505 |
| EQM Midstream Partners LP |
| 07/15/2028 | 5.500% | | 695,000 | 602,019 |
| Galaxy Pipeline Assets Bidco Ltd.(a) |
| 03/31/2034 | 2.160% | | 409,327 | 347,913 |
| Plains All American Pipeline LP/Finance Corp. |
| 09/15/2030 | 3.800% | | 2,175,000 | 1,924,469 |
| Rockies Express Pipeline LLC(a) |
| 05/15/2025 | 3.600% | | 1,808,000 | 1,624,316 |
| 07/15/2029 | 4.950% | | 910,000 | 778,306 |
| 04/15/2040 | 6.875% | | 1,890,000 | 1,563,712 |
| Sunoco Logistics Partners Operations LP |
| 05/15/2045 | 5.350% | | 925,000 | 809,248 |
| 10/01/2047 | 5.400% | | 1,750,000 | 1,538,932 |
| TransMontaigne Partners LP/TLP Finance Corp. |
| 02/15/2026 | 6.125% | | 1,189,000 | 1,050,842 |
| Total | 20,435,631 |
| Office REIT 0.5% |
| Boston Properties LP |
| 01/30/2031 | 3.250% | | 745,000 | 638,746 |
| Hudson Pacific Properties LP |
| 11/01/2027 | 3.950% | | 2,621,000 | 2,497,268 |
| Piedmont Operating Partnership LP |
| 06/01/2023 | 3.400% | | 4,815,000 | 4,788,279 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| SL Green Operating Partnership LP |
| 10/15/2022 | 3.250% | | 7,000,000 | 6,990,230 |
| Total | 14,914,523 |
| Oil Field Services 0.1% |
| Transocean Phoenix 2 Ltd.(a) |
| 10/15/2024 | 7.750% | | 996,299 | 963,823 |
| Transocean Poseidon Ltd.(a) |
| 02/01/2027 | 6.875% | | 1,150,313 | 1,025,854 |
| Transocean Proteus Ltd.(a) |
| 12/01/2024 | 6.250% | | 1,152,000 | 1,087,620 |
| USA Compression Partners LP/Finance Corp. |
| 04/01/2026 | 6.875% | | 1,650,000 | 1,501,018 |
| Total | 4,578,315 |
| Other Industry 0.0% |
| PowerTeam Services LLC(a) |
| 12/04/2025 | 9.033% | | 961,000 | 775,939 |
| Other REIT 0.3% |
| American Assets Trust LP |
| 02/01/2031 | 3.375% | | 3,650,000 | 3,109,037 |
| American Campus Communities Operating Partnership LP |
| 07/01/2024 | 4.125% | | 1,000,000 | 1,003,910 |
| 11/15/2027 | 3.625% | | 1,072,000 | 1,054,117 |
| 01/15/2029 | 2.250% | | 1,770,000 | 1,636,874 |
| 02/01/2030 | 2.850% | | 2,735,000 | 2,593,210 |
| Lexington Realty Trust |
| 10/01/2031 | 2.375% | | 1,895,000 | 1,470,061 |
| Total | 10,867,209 |
| Packaging 0.2% |
| Berry Global Escrow Corp.(a) |
| 07/15/2026 | 4.875% | | 582,000 | 555,775 |
| Berry Global, Inc. |
| 01/15/2026 | 1.570% | | 5,900,000 | 5,267,554 |
| Trivium Packaging Finance BV(a) |
| 08/15/2026 | 5.500% | | 1,750,000 | 1,649,684 |
| Total | 7,473,013 |
| Paper 0.1% |
| Weyerhaeuser Co. |
| 03/09/2033 | 3.375% | | 3,535,000 | 3,082,927 |
| Pharmaceuticals 1.0% |
| AbbVie, Inc. |
| 03/15/2035 | 4.550% | | 530,000 | 516,298 |
| 05/14/2035 | 4.500% | | 4,702,000 | 4,561,461 |
| 11/06/2042 | 4.400% | | 280,000 | 254,556 |
| 05/14/2045 | 4.700% | | 1,000,000 | 941,865 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 13 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 05/14/2046 | 4.450% | | 1,425,000 | 1,292,610 |
| Amgen, Inc. |
| 02/22/2032 | 3.350% | | 315,000 | 288,430 |
| 01/15/2052 | 3.000% | | 5,000,000 | 3,557,173 |
| 02/22/2062 | 4.400% | | 1,765,000 | 1,534,911 |
| Bausch Health Companies, Inc.(a) |
| 04/01/2026 | 9.250% | | 252,000 | 180,251 |
| Bayer US Finance II LLC(a) |
| 07/15/2024 | 3.375% | | 2,860,000 | 2,813,811 |
| 12/15/2025 | 4.250% | | 4,835,000 | 4,771,740 |
| 12/15/2028 | 4.375% | | 1,405,000 | 1,364,967 |
| 06/25/2038 | 4.625% | | 2,925,000 | 2,633,311 |
| 06/25/2048 | 4.875% | | 6,145,000 | 5,540,968 |
| Endo Dac/Finance LLC/Finco, Inc.(a) |
| 06/30/2028 | 6.000% | | 4,283,000 | 340,486 |
| Grifols Escrow Issuer SA(a) |
| 10/15/2028 | 4.750% | | 800,000 | 693,862 |
| Total | 31,286,700 |
| Property & Casualty 0.8% |
| Aon Corp./Global Holdings PLC |
| 02/28/2052 | 3.900% | | 3,545,000 | 2,913,970 |
| Arthur J. Gallagher & Co. |
| 03/09/2052 | 3.050% | | 2,240,000 | 1,550,794 |
| Berkshire Hathaway Finance Corp. |
| 01/15/2051 | 2.500% | | 1,000,000 | 678,514 |
| 03/15/2052 | 3.850% | | 4,465,000 | 3,821,239 |
| Farmers Exchange Capital(a) |
| Subordinated |
| 07/15/2028 | 7.050% | | 3,225,000 | 3,514,971 |
| Farmers Exchange Capital II(a),(h) |
| Subordinated |
| 11/01/2053 | 6.151% | | 3,810,000 | 3,928,249 |
| Nationwide Mutual Insurance Co.(a),(b) |
| Subordinated |
3-month USD LIBOR + 2.290%
12/15/2024 | 4.119% | | 6,815,000 | 6,788,161 |
| Willis North America, Inc. |
| 09/15/2029 | 2.950% | | 3,595,000 | 3,078,698 |
| Total | 26,274,596 |
| Railroads 0.1% |
| Union Pacific Corp. |
| 02/14/2042 | 3.375% | | 1,750,000 | 1,458,659 |
| Restaurants 0.1% |
| 1011778 BC ULC/New Red Finance, Inc.(a) |
| 10/15/2030 | 4.000% | | 3,000,000 | 2,408,033 |
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Retailers 0.1% |
| Alimentation Couche-Tard, Inc.(a) |
| 01/25/2030 | 2.950% | | 331,000 | 285,052 |
| Magic MergeCo, Inc.(a) |
| 05/01/2029 | 7.875% | | 3,655,000 | 2,420,186 |
| Total | 2,705,238 |
| Technology 0.6% |
| Broadcom, Inc. |
| 11/15/2032 | 4.300% | | 3,305,000 | 3,006,640 |
| CommScope, Inc.(a) |
| 09/01/2029 | 4.750% | | 1,500,000 | 1,202,250 |
| Intel Corp. |
| 08/12/2051 | 3.050% | | 579,000 | 431,156 |
| Oracle Corp. |
| 03/25/2031 | 2.875% | | 1,425,000 | 1,174,109 |
| 07/15/2036 | 3.850% | | 260,000 | 208,688 |
| 04/01/2050 | 3.600% | | 3,400,000 | 2,372,915 |
| 03/25/2051 | 3.950% | | 4,468,000 | 3,280,626 |
| S&P Global, Inc.(a) |
| 08/01/2028 | 4.750% | | 2,500,000 | 2,543,841 |
| Tencent Holdings Ltd.(a) |
| 04/22/2051 | 3.840% | | 3,570,000 | 2,761,837 |
| TSMC Arizona Corp. |
| 04/22/2052 | 4.500% | | 1,650,000 | 1,628,531 |
| Total | 18,610,593 |
| Tobacco 0.7% |
| BAT Capital Corp. |
| 08/15/2037 | 4.390% | | 3,870,000 | 3,075,549 |
| 08/15/2047 | 4.540% | | 6,792,000 | 4,990,752 |
| 03/16/2052 | 5.650% | | 1,730,000 | 1,478,637 |
| Imperial Brands Finance PLC(a) |
| 02/11/2023 | 3.500% | | 2,005,000 | 1,994,173 |
| 07/26/2024 | 3.125% | | 4,145,000 | 4,012,991 |
| 07/26/2026 | 3.500% | | 950,000 | 890,108 |
| Reynolds American, Inc. |
| 08/15/2035 | 5.700% | | 1,185,000 | 1,104,488 |
| 08/15/2045 | 5.850% | | 4,180,000 | 3,516,398 |
| Total | 21,063,096 |
| Wireless 1.4% |
| Sprint Corp. |
| 09/15/2023 | 7.875% | | 270,000 | 278,869 |
| Sprint Spectrum Co. I/II/III LLC(a) |
| 03/20/2025 | 4.738% | | 11,161,587 | 11,192,373 |
| 03/20/2028 | 5.152% | | 4,880,000 | 4,918,956 |
| T-Mobile USA, Inc.(a) |
| 02/15/2026 | 2.250% | | 1,970,000 | 1,779,659 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Corporate Bonds & Notes (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| T-Mobile USA, Inc. |
| 04/15/2026 | 2.625% | | 5,424,000 | 4,923,345 |
| 04/15/2027 | 3.750% | | 2,625,000 | 2,525,199 |
| 04/15/2030 | 3.875% | | 6,375,000 | 5,951,895 |
| 02/15/2031 | 2.550% | | 2,340,000 | 1,968,522 |
| 04/15/2040 | 4.375% | | 3,000,000 | 2,686,133 |
| Vmed O2 UK Financing I PLC(a) |
| 01/31/2031 | 4.250% | | 1,212,000 | 989,485 |
| Vodafone Group PLC |
| 05/30/2048 | 5.250% | | 3,110,000 | 2,957,190 |
| 06/19/2049 | 4.875% | | 4,340,000 | 3,990,941 |
| Total | 44,162,567 |
| Wirelines 1.3% |
| AT&T, Inc. |
| 12/01/2033 | 2.550% | | 4,285,000 | 3,475,210 |
| 05/15/2035 | 4.500% | | 620,000 | 587,800 |
| 03/01/2037 | 5.250% | | 5,640,000 | 5,833,323 |
| 03/01/2039 | 4.850% | | 2,796,000 | 2,667,597 |
| 12/15/2042 | 4.300% | | 1,000,000 | 869,019 |
| 05/15/2046 | 4.750% | | 3,360,000 | 3,116,495 |
| 09/15/2055 | 3.550% | | 2,375,000 | 1,779,856 |
| 12/01/2057 | 3.800% | | 9,715,000 | 7,534,590 |
| C&W Senior Financing DAC(a) |
| 09/15/2027 | 6.875% | | 480,000 | 430,827 |
| Level 3 Financing, Inc.(a) |
| 03/01/2027 | 3.400% | | 1,040,000 | 901,951 |
| 11/15/2029 | 3.875% | | 9,220,000 | 7,689,100 |
| Lumen Technologies, Inc.(a) |
| 06/15/2029 | 5.375% | | 3,750,000 | 2,974,847 |
| Verizon Communications, Inc. |
| 03/21/2031 | 2.550% | | 1,845,000 | 1,577,866 |
| Total | 39,438,481 |
Total Corporate Bonds & Notes
(Cost $1,018,615,599) | 907,559,208 |
|
| Foreign Government Obligations(j) 1.6% |
| | | | |
| Azerbaijan 0.0% |
| Southern Gas Corridor CJSC(a) |
| 03/24/2026 | 6.875% | | 600,000 | 588,958 |
| Bahrain 0.0% |
| Bahrain Government International Bond(a) |
| 01/26/2026 | 7.000% | | 415,000 | 427,219 |
| Brazil 0.1% |
| Brazilian Government International Bond |
| 06/06/2025 | 2.875% | | 1,700,000 | 1,605,892 |
| 06/12/2030 | 3.875% | | 925,000 | 776,248 |
| Total | 2,382,140 |
| Foreign Government Obligations(j) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Chile 0.1% |
| Chile Government International Bond |
| 01/31/2031 | 2.450% | | 361,000 | 308,063 |
| 01/27/2032 | 2.550% | | 200,000 | 169,943 |
| Corporación Nacional del Cobre de Chile(a) |
| 01/14/2030 | 3.150% | | 749,000 | 655,214 |
| Empresa de Transporte de Pasajeros Metro SA(a) |
| 05/07/2030 | 3.650% | | 520,000 | 469,085 |
| Total | 1,602,305 |
| Colombia 0.1% |
| Colombia Government International Bond |
| 01/28/2026 | 4.500% | | 1,640,000 | 1,537,169 |
| 01/30/2030 | 3.000% | | 1,340,000 | 1,020,414 |
| Ecopetrol SA |
| 04/29/2030 | 6.875% | | 400,000 | 354,100 |
| Total | 2,911,683 |
| Dominican Republic 0.0% |
| Dominican Republic International Bond(a) |
| 01/30/2030 | 4.500% | | 300,000 | 240,729 |
| 09/23/2032 | 4.875% | | 1,090,000 | 838,722 |
| Total | 1,079,451 |
| Egypt 0.0% |
| Egypt Government International Bond(a) |
| 10/06/2025 | 5.250% | | 750,000 | 614,242 |
| 03/01/2029 | 7.600% | | 400,000 | 291,592 |
| Total | 905,834 |
| Guatemala 0.0% |
| Guatemala Government Bond(a) |
| 06/01/2030 | 4.900% | | 253,000 | 231,187 |
| Hong Kong 0.1% |
| Airport Authority(a) |
| 01/12/2052 | 3.250% | | 3,635,000 | 2,906,232 |
| Hungary 0.0% |
| Hungary Government International Bond(a) |
| 09/22/2031 | 2.125% | | 1,100,000 | 850,535 |
| Indonesia 0.1% |
| Indonesia Government International Bond |
| 02/14/2030 | 2.850% | | 701,000 | 624,176 |
| PT Indonesia Asahan Aluminium Persero(a) |
| 11/15/2028 | 6.530% | | 1,200,000 | 1,218,401 |
| PT Pertamina Persero(a) |
| 08/25/2030 | 3.100% | | 1,443,000 | 1,258,328 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 15 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Foreign Government Obligations(j) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| PT Perusahaan Gas Negara Persero Tbk(a) |
| 05/16/2024 | 5.125% | | 1,100,000 | 1,101,794 |
| Total | 4,202,699 |
| Kazakhstan 0.0% |
| KazMunayGas National Co. JSC(a) |
| 04/19/2027 | 4.750% | | 300,000 | 267,109 |
| 04/24/2030 | 5.375% | | 234,000 | 207,135 |
| KazTransGas JSC(a) |
| 09/26/2027 | 4.375% | | 400,000 | 351,981 |
| Total | 826,225 |
| Malaysia 0.1% |
| Petronas Capital Ltd.(a) |
| 04/21/2030 | 3.500% | | 1,600,000 | 1,508,399 |
| 01/28/2032 | 2.480% | | 900,000 | 767,307 |
| Total | 2,275,706 |
| Mexico 0.4% |
| Mexico Government International Bond |
| 01/11/2028 | 3.750% | | 2,000,000 | 1,914,496 |
| 05/24/2031 | 2.659% | | 2,196,000 | 1,805,187 |
| 04/27/2032 | 4.750% | | 300,000 | 287,985 |
| Petroleos Mexicanos |
| 09/21/2047 | 6.750% | | 3,348,000 | 2,071,583 |
| 01/23/2050 | 7.690% | | 5,375,000 | 3,604,895 |
| 01/28/2060 | 6.950% | | 1,730,000 | 1,070,234 |
| Total | 10,754,380 |
| Oman 0.0% |
| Oman Government International Bond(a) |
| 01/17/2028 | 5.625% | | 700,000 | 673,119 |
| Panama 0.1% |
| Panama Government International Bond |
| 01/23/2030 | 3.160% | | 1,486,000 | 1,322,939 |
| 09/29/2032 | 2.252% | | 300,000 | 234,571 |
| Total | 1,557,510 |
| Paraguay 0.0% |
| Paraguay Government International Bond(a) |
| 01/29/2033 | 2.739% | | 1,465,000 | 1,092,319 |
| Peru 0.1% |
| Peruvian Government International Bond |
| 08/25/2027 | 4.125% | | 547,000 | 536,223 |
| 06/20/2030 | 2.844% | | 482,000 | 420,306 |
| 01/23/2031 | 2.783% | | 400,000 | 340,328 |
| Total | 1,296,857 |
| Foreign Government Obligations(j) (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Philippines 0.0% |
| Philippine Government International Bond |
| 05/05/2030 | 2.457% | | 770,000 | 671,543 |
| 06/10/2031 | 1.648% | | 550,000 | 441,292 |
| Total | 1,112,835 |
| Qatar 0.1% |
| Qatar Energy(a) |
| 07/12/2031 | 2.250% | | 600,000 | 512,871 |
| Qatar Government International Bond(a) |
| 04/23/2028 | 4.500% | | 1,956,000 | 2,027,803 |
| 04/16/2030 | 3.750% | | 790,000 | 783,739 |
| Total | 3,324,413 |
| Romania 0.0% |
| Romanian Government International Bond(a) |
| 02/14/2031 | 3.000% | | 1,140,000 | 877,464 |
| Saudi Arabia 0.1% |
| Saudi Arabian Oil Co.(a) |
| 11/24/2025 | 1.625% | | 200,000 | 185,192 |
| Saudi Government International Bond(a) |
| 10/26/2026 | 3.250% | | 900,000 | 881,214 |
| 03/04/2028 | 3.625% | | 725,000 | 716,226 |
| 10/22/2030 | 3.250% | | 610,000 | 574,601 |
| Total | 2,357,233 |
| South Africa 0.1% |
| Republic of South Africa Government International Bond |
| 10/12/2028 | 4.300% | | 900,000 | 768,331 |
| 09/30/2029 | 4.850% | | 1,650,000 | 1,409,778 |
| Total | 2,178,109 |
| Turkey 0.0% |
| Turkey Government International Bond |
| 03/23/2023 | 3.250% | | 1,070,000 | 1,035,257 |
| United Arab Emirates 0.1% |
| Abu Dhabi Government International Bond(a) |
| 09/30/2029 | 2.500% | | 2,014,000 | 1,852,900 |
| DP World Crescent Ltd.(a) |
| 09/26/2028 | 4.848% | | 940,000 | 938,506 |
| Total | 2,791,406 |
| Uruguay 0.0% |
| Uruguay Government International Bond |
| 01/23/2031 | 4.375% | | 825,000 | 835,464 |
Total Foreign Government Obligations
(Cost $61,076,966) | 51,076,540 |
|
The accompanying Notes to Financial Statements are an integral part of this statement.
| 16 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Inflation-Indexed Bonds 0.2% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| United States 0.2% |
| U.S. Treasury Inflation-Indexed Bond |
| 02/15/2052 | 0.125% | | 7,884,747 | 6,132,201 |
Total Inflation-Indexed Bonds
(Cost $7,314,679) | 6,132,201 |
|
| Municipal Bonds 0.7% |
| Issue Description | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Airport 0.0% |
| County of Miami-Dade Aviation |
| Refunding Revenue Bonds |
| Taxable |
| Series 2019B |
| 10/01/2034 | 3.555% | | 930,000 | 849,657 |
| Higher Education 0.1% |
| University of Michigan |
| Revenue Bonds |
| Taxable |
| Series 2022A |
| 04/01/2052 | 3.504% | | 1,795,000 | 1,587,628 |
| Hospital 0.2% |
| Regents of the University of California Medical Center |
| Revenue Bonds |
| Taxable |
| Series 2020N |
| 05/15/2060 | 3.256% | | 6,865,000 | 5,102,817 |
| Local General Obligation 0.3% |
| City of New York |
| Unlimited General Obligation Bonds |
| Build America Bonds |
| Series 2009 |
| 10/01/2031 | 5.206% | | 2,400,000 | 2,563,580 |
| Series 2010 |
| 10/01/2024 | 5.047% | | 5,000,000 | 5,091,852 |
| Total | 7,655,432 |
| Special Non Property Tax 0.1% |
| New York City Transitional Finance Authority |
| Refunding Revenue Bonds |
| Future Tax Secured |
| Subordinated Series 2020B-3 |
| 08/01/2035 | 2.000% | | 2,000,000 | 1,519,554 |
| Municipal Bonds (continued) |
| Issue Description | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| New York City Transitional Finance Authority Future Tax |
| Secured Revenue Bonds |
| Build America Bonds |
| Series 2010 |
| 08/01/2037 | 5.508% | | 2,110,000 | 2,319,470 |
| Total | 3,839,024 |
| Transportation 0.0% |
| Metropolitan Transportation Authority |
| Revenue Bonds |
| Taxable Green Bonds |
| Series 2020C-2 |
| 11/15/2049 | 5.175% | | 970,000 | 1,000,845 |
| Turnpike / Bridge / Toll Road 0.0% |
| North Texas Tollway Authority |
| Taxable Refunding Revenue Bonds |
| First Tier |
| Series 2021 |
| 01/01/2034 | 2.430% | | 1,500,000 | 1,250,282 |
Total Municipal Bonds
(Cost $24,122,216) | 21,285,685 |
|
| Residential Mortgage-Backed Securities - Agency 32.5% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal Home Loan Mortgage Corp. |
04/01/2031-
01/01/2050 | 3.000% | | 35,909,207 | 34,051,384 |
09/01/2032-
01/01/2050 | 3.500% | | 79,207,741 | 77,742,244 |
07/01/2035-
10/01/2048 | 5.000% | | 2,188,399 | 2,272,665 |
04/01/2036-
09/01/2039 | 6.000% | | 137,288 | 146,560 |
06/01/2038-
01/01/2040 | 5.500% | | 383,599 | 412,336 |
03/01/2039-
10/01/2048 | 4.500% | | 4,920,780 | 5,049,581 |
08/01/2044-
01/01/2049 | 4.000% | | 5,456,024 | 5,498,179 |
| 04/01/2052 | 2.000% | | 15,121,601 | 13,170,269 |
| 04/01/2052 | 2.500% | | 12,248,809 | 11,048,204 |
| CMO Series 360 Class 250 |
| 11/15/2047 | 2.500% | | 1,811,901 | 1,716,065 |
| Federal Home Loan Mortgage Corp.(b),(d) |
| CMO Series 2980 Class SL |
-1.0 x 1-month USD LIBOR + 6.700%
Cap 6.700%
11/15/2034 | 5.376% | | 226,434 | 30,559 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 17 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Federal Home Loan Mortgage Corp.(d) |
| CMO Series 4037 Class PI |
| 04/15/2027 | 3.000% | | 191,436 | 6,706 |
| CMO Series 4090 Class EI |
| 08/15/2022 | 2.500% | | 1,103 | — |
| CMO Series 4093 Class IA |
| 03/15/2042 | 4.000% | | 2,157,500 | 509,496 |
| Federal National Mortgage Association |
12/01/2025-
06/01/2049 | 3.500% | | 16,677,104 | 16,369,422 |
06/01/2032-
04/01/2052 | 3.000% | | 23,634,697 | 22,466,160 |
05/01/2033-
08/01/2039 | 5.000% | | 124,888 | 129,838 |
11/01/2038-
11/01/2040 | 6.000% | | 1,732,675 | 1,891,663 |
10/01/2040-
04/01/2052 | 2.000% | | 87,899,205 | 77,540,069 |
08/01/2043-
07/01/2047 | 4.000% | | 16,980,663 | 17,108,012 |
02/01/2046-
08/01/2048 | 4.500% | | 6,710,068 | 6,812,656 |
| 01/01/2052 | 2.500% | | 23,081,611 | 20,889,375 |
| CMO Series 2013-13 Class PH |
| 04/25/2042 | 2.500% | | 2,716,474 | 2,645,100 |
| CMO Series 2018-54 Class KA |
| 01/25/2047 | 3.500% | | 1,043,742 | 1,036,268 |
| CMO Series 2018-86 Class JA |
| 05/25/2047 | 4.000% | | 760,090 | 755,891 |
| CMO Series 2018-94D Class KD |
| 12/25/2048 | 3.500% | | 705,193 | 692,359 |
| CMO Series 2019-1 Class KP |
| 02/25/2049 | 3.250% | | 1,374,584 | 1,324,551 |
| Federal National Mortgage Association(k) |
| 04/01/2052 | 2.000% | | 18,486,823 | 16,109,841 |
| Federal National Mortgage Association(b),(d) |
| CMO Series 2006-8 Class HL |
-1.0 x 1-month USD LIBOR + 6.700%
Cap 6.700%
03/25/2036 | 5.076% | | 715,802 | 86,319 |
| CMO Series 2013-81 Class NS |
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
10/25/2042 | 4.576% | | 214,379 | 13,429 |
| Federal National Mortgage Association(d) |
| CMO Series 2013-45 Class IK |
| 02/25/2043 | 3.000% | | 140,558 | 17,452 |
| Residential Mortgage-Backed Securities - Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Government National Mortgage Association |
08/15/2033-
08/20/2048 | 4.500% | | 6,008,037 | 6,237,508 |
04/15/2035-
10/20/2047 | 5.000% | | 3,197,471 | 3,328,142 |
07/15/2040-
10/20/2048 | 4.000% | | 7,032,589 | 7,090,127 |
04/20/2046-
07/20/2049 | 3.500% | | 18,957,906 | 18,709,215 |
11/20/2046-
10/20/2049 | 3.000% | | 11,788,845 | 11,287,303 |
| Government National Mortgage Association(l) |
| CMO Series 2006-26 Class |
| 06/20/2036 | 0.000% | | 19,222 | 17,321 |
| Government National Mortgage Association TBA(m) |
| 07/21/2052 | 2.500% | | 45,525,000 | 41,735,400 |
| Uniform Mortgage-Backed Security TBA(m) |
07/14/2052-
08/11/2052 | 2.000% | | 188,750,000 | 164,021,111 |
07/14/2052-
08/11/2052 | 2.500% | | 267,575,000 | 240,878,614 |
07/14/2052-
08/11/2052 | 3.000% | | 119,675,000 | 111,585,694 |
07/14/2052-
08/11/2052 | 3.500% | | 39,925,000 | 38,436,826 |
| 07/14/2052 | 4.000% | | 32,850,000 | 32,431,676 |
| 07/14/2052 | 4.500% | | 17,400,000 | 17,489,039 |
Total Residential Mortgage-Backed Securities - Agency
(Cost $1,045,776,210) | 1,030,790,629 |
|
| Residential Mortgage-Backed Securities - Non-Agency 7.4% |
| | | | |
| Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates(b) |
| CMO Series 2005-R8 Class M3 |
1-month USD LIBOR + 0.765%
Floor 0.510%
10/25/2035 | 2.389% | | 6,190,908 | 6,174,803 |
| BCAP LLC Trust(b) |
| CMO Series 2007-AA1 Class 2A1 |
1-month USD LIBOR + 0.180%
Floor 0.180%
03/25/2037 | 1.804% | | 5,086,915 | 4,672,365 |
| BRAVO Residential Funding Trust(a),(c) |
| CMO Series 2021-B Class A1 |
| 04/01/2069 | 2.115% | | 3,701,583 | 3,524,809 |
| CIM Group(a),(c) |
| CMO Series 2020-R7 Class A1A |
| 12/27/2061 | 2.250% | | 9,149,702 | 8,183,675 |
| CIM Trust(a),(c) |
| CMO Series 2019-R4 Class A1 |
| 10/25/2059 | 3.000% | | 7,194,863 | 7,290,392 |
| CMO Series 2020-R3 Class A1A |
| 01/26/2060 | 4.000% | | 8,270,053 | 7,893,307 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 18 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2020-R4 Class A1A |
| 06/25/2060 | 3.300% | | 9,779,631 | 9,215,610 |
| CMO Series 2020-R6 Class A1A |
| 12/25/2060 | 2.250% | | 5,673,507 | 5,083,128 |
| CMO Series 2021-NR2 Class A1 |
| 07/25/2059 | 2.568% | | 8,010,030 | 7,627,276 |
| CMO Series 2021-NR3 Class A1 |
| 06/25/2057 | 2.566% | | 4,898,967 | 4,643,010 |
| CMO Series 2021-R3 Class A1A |
| 06/25/2057 | 1.951% | | 12,657,601 | 10,976,579 |
| CMO Series 2021-R5 Class A1A |
| 08/25/2061 | 2.000% | | 9,633,407 | 8,212,697 |
| CMO Series 2022-I1 Class A1 |
| 02/25/2067 | 4.350% | | 8,000,000 | 7,869,023 |
| CitiMortgage Alternative Loan Trust |
| CMO Series 2006-A5 Class 1A12 |
| 10/25/2036 | 6.000% | | 1,082,096 | 981,642 |
| Countrywide Alternative Loan Trust(b) |
| CMO Series 2005-76 Class 1A1 |
1-year MTA + 1.480%
Floor 1.480%
01/25/2036 | 2.124% | | 2,721,953 | 2,541,430 |
| Countrywide Alternative Loan Trust(c) |
| CMO Series 2006-HY12 Class A5 |
| 08/25/2036 | 3.359% | | 3,615,864 | 3,391,224 |
| Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates(c) |
| CMO Series 2004-AR5 Class 2A1 |
| 06/25/2034 | 3.139% | | 129,669 | 131,114 |
| Credit Suisse Mortgage Capital Certificates(a),(c) |
| CMO Series 2015-5R Class 1A1 |
| 09/27/2046 | 1.139% | | 324,976 | 319,489 |
| Credit Suisse Mortgage Capital Trust(a),(c) |
| CMO Series 2021-RP11 Class PT |
| 10/25/2061 | 3.759% | | 10,653,123 | 9,572,018 |
| CSMC Trust(a),(c) |
| CMO Series 2018-RPL9 Class A |
| 09/25/2057 | 3.850% | | 5,881,262 | 5,711,339 |
| CSMC Trust(a) |
| CMO Series 2022-RPL3 Class A1 |
| 03/25/2061 | 3.608% | | 14,300,000 | 13,922,580 |
| CSMCM Trust(a) |
| CMO Series 2021-RP11 Class CERT |
| 10/27/2061 | 3.778% | | 453,813 | 391,798 |
| CWABS Asset-Backed Certificates Trust(b) |
| CMO Series 2006-14 Class 2A3 |
1-month USD LIBOR + 0.240%
Floor 0.240%
02/25/2037 | 1.864% | | 3,415,192 | 3,287,184 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| First Horizon Alternative Mortgage Securities Trust(c) |
| CMO Series 2005-AA10 Class 2A1 |
| 12/25/2035 | 2.772% | | 1,428,582 | 1,217,810 |
| CMO Series 2005-AA7 Class 2A1 |
| 09/25/2035 | 2.448% | | 845,898 | 764,648 |
| CMO Series 2005-AA8 Class 2A1 |
| 10/25/2035 | 2.429% | | 1,866,025 | 1,312,083 |
| First Horizon Alternative Mortgage Securities Trust |
| CMO Series 2006-FA8 Class 1A11 |
| 02/25/2037 | 6.000% | | 799,732 | 388,868 |
| GMAC Mortgage Loan Trust(c) |
| CMO Series 2005-AR6 Class 2A1 |
| 11/19/2035 | 3.077% | | 1,265,298 | 1,159,680 |
| GS Mortgage-Backed Securities Trust(a) |
| CMO Series 2018-RPL1 Class A1A |
| 10/25/2057 | 3.750% | | 5,206,226 | 5,110,709 |
| GSR Mortgage Loan Trust(c) |
| CMO Series 2005-AR6 Class 4A5 |
| 09/25/2035 | 3.092% | | 202,109 | 195,851 |
| HarborView Mortgage Loan Trust(b) |
| CMO Series 2006-10 Class 1A1A |
1-month USD LIBOR + 0.200%
Floor 0.200%
11/19/2036 | 1.795% | | 9,101,522 | 7,748,107 |
| IndyMac Index Mortgage Loan Trust(b) |
| CMO Series 2006-AR27 Class 1A3 |
1-month USD LIBOR + 0.540%
Floor 0.270%, Cap 10.500%
10/25/2036 | 2.164% | | 3,519,159 | 1,736,653 |
| JPMorgan Mortgage Acquisition Trust(b) |
| CMO Series 2006-FRE1 Class M1 |
1-month USD LIBOR + 0.585%
Floor 0.585%
05/25/2035 | 2.209% | | 5,219,391 | 5,154,848 |
| JPMorgan Mortgage Trust(a),(c) |
| CMO Series 2021-13 Class A3 |
| 04/25/2052 | 2.500% | | 10,694,296 | 9,120,648 |
| Long Beach Mortgage Loan Trust(b) |
| CMO Series 2006-10 Class 1A |
1-month USD LIBOR + 0.150%
Floor 0.150%
11/25/2036 | 1.774% | | 4,432,093 | 3,217,440 |
| Merrill Lynch First Franklin Mortgage Loan Trust(b) |
| CMO Series 2007-2 Class A2C |
1-month USD LIBOR + 0.240%
Floor 0.240%
05/25/2037 | 1.864% | | 3,379,181 | 2,647,518 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 19 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Merrill Lynch Mortgage-Backed Securities Trust(b) |
| CMO Series 2007-2 Class 1A1 |
1-year CMT + 2.400%
Floor 2.400%
08/25/2036 | 3.044% | | 728,472 | 662,276 |
| Morgan Stanley Mortgage Loan Trust(b) |
| CMO Series 2005-2AR Class A |
1-month USD LIBOR + 0.260%
Floor 0.260%, Cap 11.000%
04/25/2035 | 1.884% | | 439,616 | 420,142 |
| MortgageIT Trust(b) |
| CMO Series 2005-4 Class A1 |
1-month USD LIBOR + 0.560%
Floor 0.280%, Cap 11.500%
10/25/2035 | 2.184% | | 1,303,495 | 1,239,076 |
| New Century Home Equity Loan Trust(b) |
| CMO Series 2005-1 Class M1 |
1-month USD LIBOR + 0.675%
Floor 0.675%, Cap 12.500%
03/25/2035 | 2.299% | | 3,184,542 | 3,163,486 |
| Option One Mortgage Loan Trust(b) |
| CMO Series 2006-1 Class 1A1 |
1-month USD LIBOR + 0.440%
Floor 0.220%
01/25/2036 | 2.064% | | 131,103 | 131,066 |
| Preston Ridge Partners Mortgage Trust(a),(c) |
| CMO Series 2021-10 Class A1 |
| 10/25/2026 | 2.487% | | 4,226,312 | 3,998,427 |
| CMO Series 2021-7 Class A1 |
| 08/25/2026 | 1.867% | | 16,400,536 | 15,434,269 |
| CMO Series 2022-1 Class A1 |
| 02/25/2027 | 3.720% | | 11,557,580 | 11,282,959 |
| PRPM LLC(a),(c) |
| CMO Series 2021-11 Class A1 |
| 11/25/2026 | 2.487% | | 5,938,654 | 5,578,919 |
| RALI Trust(c) |
| CMO Series 2005-QA8 Class CB21 |
| 07/25/2035 | 3.709% | | 1,000,975 | 603,517 |
| Structured Asset Mortgage Investments II Trust(b) |
| CMO Series 2006-AR3 Class 12A1 |
1-month USD LIBOR + 0.440%
Floor 0.220%, Cap 10.500%
05/25/2036 | 2.064% | | 5,160,479 | 4,391,712 |
| Verus Securitization Trust(a),(c) |
| CMO Series 2021-7 Class A1 |
| 10/25/2066 | 1.829% | | 7,681,181 | 6,960,160 |
| WaMu Mortgage Pass-Through Certificates Trust(c) |
| CMO Series 2003-AR10 Class A7 |
| 10/25/2033 | 2.499% | | 377,018 | 362,115 |
| CMO Series 2003-AR9 Class 1A6 |
| 09/25/2033 | 2.529% | | 319,777 | 304,339 |
| Residential Mortgage-Backed Securities - Non-Agency (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| CMO Series 2005-AR4 Class A5 |
| 04/25/2035 | 2.978% | | 468,829 | 445,050 |
| CMO Series 2007-HY2 Class 1A1 |
| 12/25/2036 | 3.196% | | 1,899,376 | 1,775,861 |
| WaMu Mortgage Pass-Through Certificates Trust(b) |
| CMO Series 2005-AR15 Class A1A1 |
1-month USD LIBOR + 0.520%
Floor 0.260%, Cap 10.500%
11/25/2045 | 2.144% | | 1,770,479 | 1,627,464 |
| CMO Series 2006-AR11 Class 1A |
1-year MTA + 0.960%
Floor 0.960%
09/25/2046 | 1.604% | | 3,351,776 | 2,878,784 |
| CMO Series 2006-AR4 Class 1A1A |
1-year MTA + 0.940%
Floor 0.940%
05/25/2046 | 1.584% | | 2,196,607 | 1,995,863 |
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $248,836,702) | 234,646,840 |
|
| Senior Loans 1.7% |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Aerospace & Defense 0.0% |
| TransDigm, Inc.(b),(n) |
| Tranche E Term Loan |
1-month USD LIBOR + 2.250%
05/30/2025 | 3.916% | | 921,731 | 873,957 |
| TransDigm, Inc.(b),(k),(n) |
| Tranche F Term Loan |
1-month USD LIBOR + 2.250%
12/09/2025 | 3.916% | | 265,646 | 251,331 |
| Total | 1,125,288 |
| Airlines 0.0% |
| American Airlines, Inc.(b),(n) |
| Term Loan |
1-month USD LIBOR + 1.750%
01/29/2027 | 3.402% | | 345,475 | 303,348 |
| United AirLines, Inc.(b),(n) |
| Tranche B Term Loan |
3-month USD LIBOR + 3.750%
Floor 0.750%
04/21/2028 | 5.392% | | 451,957 | 418,910 |
| Total | 722,258 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 20 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Senior Loans (continued) |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Automotive 0.1% |
| Clarios Global LP(b),(n) |
| 1st Lien Term Loan |
1-month USD LIBOR + 3.250%
04/30/2026 | 4.916% | | 2,163,296 | 2,014,570 |
| Cable and Satellite 0.1% |
| Charter Communications Operating LLC(b),(n) |
| Tranche B2 Term Loan |
3-month USD LIBOR + 1.750%
02/01/2027 | 3.420% | | 243,734 | 231,852 |
| CSC Holdings LLC(b),(n) |
| Term Loan |
3-month USD LIBOR + 2.250%
07/17/2025 | 3.574% | | 639,896 | 593,824 |
| Direct TV Financing LLC(b),(n) |
| Term Loan |
1-month USD LIBOR + 5.000%
Floor 0.750%
08/02/2027 | 6.666% | | 1,757,763 | 1,613,485 |
| Virgin Media Bristol LLC(b),(n) |
| Tranche N Term Loan |
3-month USD LIBOR + 2.500%
01/31/2028 | 3.824% | | 1,750,000 | 1,635,270 |
| Total | 4,074,431 |
| Consumer Cyclical Services 0.1% |
| Amentum Government Services Holdings LLC(b),(k),(n) |
| Tranche 1 1st Lien Term Loan |
1-month USD LIBOR + 3.750%
01/29/2027 | 5.416% | | 366,363 | 347,818 |
| Prepaid Legal Services, Inc.(b),(k),(n) |
| Term Loan |
3-month USD LIBOR + 3.750%
Floor 0.500%
12/15/2028 | 2.750% | | 362,515 | 337,592 |
| Prime Security Services Borrower LLC(b),(k),(n) |
| Tranche B1 1st Lien Term Loan |
3-month USD LIBOR + 2.750%
Floor 0.750%
09/23/2026 | 3.557% | | 362,282 | 337,451 |
| Spin Holdco, Inc.(b),(k),(n) |
| Term Loan |
1-month USD LIBOR + 4.000%
Floor 0.750%
03/04/2028 | 5.611% | | 965,358 | 886,681 |
| Senior Loans (continued) |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| TruGreen LP(b),(k),(n) |
| 1st Lien Term Loan |
1-month USD LIBOR + 4.000%
Floor 0.750%
11/02/2027 | 5.666% | | 339,364 | 321,829 |
| Total | 2,231,371 |
| Consumer Products 0.1% |
| Acuity Specialty Products, Inc.(b),(n) |
| 1st Lien Term Loan |
3-month USD LIBOR + 4.000%
Floor 1.000%
08/12/2024 | 5.000% | | 1,113,308 | 968,578 |
| AI Aqua Merger Sub, Inc.(b),(k),(n) |
| Delayed Draw Term Loan |
1-month Term SOFR + 4.000%
Floor 0.500%
07/31/2028 | 4.922% | | 77,136 | 69,937 |
| Tranche B Term Loan |
1-month Term SOFR + 4.000%
Floor 0.500%
07/31/2028 | 4.922% | | 339,400 | 307,724 |
| Total | 1,346,239 |
| Diversified Manufacturing 0.0% |
| Homer City Generation LP(b),(g),(n),(o) |
| Term Loan |
3-month USD LIBOR + 13.000%
Floor 1.000%
04/05/2023 | 15.000% | | 277,227 | 138,614 |
| Electric 0.0% |
| Vistra Operations Co. LLC(b),(n) |
| Term Loan |
3-month USD LIBOR + 1.750%
12/31/2025 | 3.388% | | 340,413 | 325,343 |
| Finance Companies 0.1% |
| Avolon Borrower 1 LLC(b),(n) |
| Tranche B3 Term Loan |
3-month USD LIBOR + 1.750%
Floor 0.750%
01/15/2025 | 3.345% | | 175,812 | 167,489 |
| Tranche B5 Term Loan |
1-month USD LIBOR + 2.250%
Floor 0.500%
12/01/2027 | 3.845% | | 2,474,875 | 2,346,503 |
| Total | 2,513,992 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 21 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Senior Loans (continued) |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Food and Beverage 0.1% |
| Naked Juice LLC(b),(n) |
| 1st Lien Term Loan |
SOFR + 3.250%
Floor 0.500%
01/24/2029 | 5.403% | | 1,887,456 | 1,752,975 |
| Gaming 0.0% |
| Caesars Resort Collection LLC(b),(n) |
| Tranche B Term Loan |
3-month USD LIBOR + 2.750%
12/23/2024 | 4.416% | | 6,030 | 5,795 |
| Fertitta Entertainment LLC(b),(n) |
| Tranche B Term Loan |
SOFR + 4.000%
Floor 0.500%
01/27/2029 | 5.525% | | 663,259 | 609,953 |
| Scientific Games International, Inc.(b),(k),(n) |
| Tranche B Term Loan |
1-month Term SOFR + 3.000%
Floor 0.500%
04/14/2029 | 4.358% | | 305,766 | 289,713 |
| Total | 905,461 |
| Health Care 0.1% |
| Avantor Funding, Inc.(b),(n) |
| Tranche B5 Term Loan |
1-month USD LIBOR + 2.250%
Floor 0.500%
11/08/2027 | 3.916% | | 1,272,345 | 1,220,458 |
| Change Healthcare Holdings LLC(b),(n) |
| Term Loan |
3-month USD LIBOR + 2.500%
Floor 1.000%
03/01/2024 | 4.166% | | 1,087,524 | 1,056,127 |
| Gainwell Acquisition Corp.(b),(n) |
| Tranche B 1st Lien Term Loan |
1-month USD LIBOR + 4.000%
Floor 0.750%
10/01/2027 | 6.250% | | 847,853 | 800,162 |
| IQVIA, Inc.(b),(g),(n) |
| Tranche B2 Term Loan |
3-month USD LIBOR + 1.750%
01/17/2025 | 3.416% | | 405,183 | 392,014 |
| Medline Borrower LP(b),(n) |
| Term Loan |
1-month USD LIBOR + 3.250%
Floor 0.500%
10/23/2028 | 4.916% | | 997,500 | 923,466 |
| Total | 4,392,227 |
| Senior Loans (continued) |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Media and Entertainment 0.1% |
| Diamond Sports Group LLC(b),(n) |
| 2nd Lien Term Loan |
SOFR + 3.250%
08/24/2026 | 4.431% | | 627,014 | 146,301 |
| Sinclair Television Group, Inc.(b),(n) |
| Tranche B3 Term Loan |
1-month USD LIBOR + 3.000%
04/01/2028 | 4.670% | | 1,584,000 | 1,464,535 |
| Total | 1,610,836 |
| Oil Field Services 0.0% |
| Lucid Energy Group(b),(k),(n) |
| 1st Lien Term Loan |
1-month USD LIBOR + 4.250%
Floor 0.750%
11/24/2028 | 3.250% | | 549,956 | 541,904 |
| Other Financial Institutions 0.1% |
| Deerfield Dakota Holdings LLC(b),(k),(n) |
| Term Loan |
1-month Term SOFR + 3.750%
Floor 1.000%
04/09/2027 | 5.275% | | 707,251 | 660,396 |
| Petvet Care Centers LLC(b),(k),(n) |
| Term Loan |
3-month USD LIBOR + 3.500%
Floor 0.750%
02/14/2025 | 2.500% | | 150,800 | 141,877 |
| Trans Union LLC(b),(k),(n) |
| Tranche B6 Term Loan |
1-month USD LIBOR + 2.250%
Floor 0.500%
12/01/2028 | 3.916% | | 1,025,240 | 975,475 |
| Total | 1,777,748 |
| Other Industry 0.0% |
| Artera Services LLC(b),(n) |
| 1st Lien Term Loan |
3-month USD LIBOR + 3.250%
Floor 1.000%
03/06/2025 | 5.500% | | 451,462 | 355,901 |
| Packaging 0.1% |
| Berry Global, Inc.(b),(n) |
| Tranche Z Term Loan |
1-month USD LIBOR + 1.750%
07/01/2026 | 3.005% | | 2,567,994 | 2,475,623 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 22 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Senior Loans (continued) |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Pharmaceuticals 0.3% |
| Elanco Animal Health, Inc.(b),(n) |
| Term Loan |
1-month USD LIBOR + 1.750%
08/01/2027 | 2.812% | | 3,414,840 | 3,218,487 |
| Grifols Worldwide Operations Ltd.(b),(n) |
| Tranche B Term Loan |
1-month USD LIBOR + 2.000%
11/15/2027 | 3.666% | | 2,804,715 | 2,644,509 |
| Horizon Therapeutics USA, Inc.(b),(n) |
| Tranche B2 Term Loan |
1-month USD LIBOR + 1.750%
Floor 0.500%
03/15/2028 | 3.375% | | 1,334,000 | 1,285,229 |
| Jazz Pharmaceuticals PLC(b),(k),(n) |
| Term Loan |
1-month USD LIBOR + 3.500%
Floor 0.500%
05/05/2028 | 5.166% | | 1,746,231 | 1,662,464 |
| Organon & Co.(b),(n) |
| Term Loan |
1-month USD LIBOR + 3.000%
Floor 0.500%
06/02/2028 | 4.625% | | 1,822,245 | 1,750,121 |
| Total | 10,560,810 |
| Property & Casualty 0.1% |
| Acrisure LLC(b),(n) |
| 1st Lien Term Loan |
1-month USD LIBOR + 3.500%
02/15/2027 | 5.166% | | 1,318,257 | 1,206,205 |
| AmWINS Group, Inc.(b),(n) |
| Term Loan |
1-month USD LIBOR + 2.250%
Floor 0.750%
02/19/2028 | 3.916% | | 3,447,520 | 3,250,736 |
| Total | 4,456,941 |
| Restaurants 0.0% |
| 1011778 BC ULC(b),(n) |
| Tranche B4 Term Loan |
3-month USD LIBOR + 1.750%
11/19/2026 | 3.416% | | 529,905 | 504,867 |
| Technology 0.1% |
| athenahealth Group, Inc.(b),(k),(n),(p) |
| Delayed Draw Term Loan |
SOFR + 3.500%
Floor 0.500%
02/15/2029 | 3.500% | | 144,928 | 133,062 |
| Senior Loans (continued) |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| athenahealth Group, Inc.(b),(n) |
| Term Loan |
SOFR + 3.500%
Floor 0.500%
02/15/2029 | 5.009% | | 855,072 | 785,068 |
| CDK Global(b),(k),(n) |
| Term Loan B |
1-month Term SOFR + 4.500%
Floor 0.500%
06/08/2029 | 3.500% | | 564,830 | 532,425 |
| Entegris, Inc.(b),(k),(n) |
| Term Loan |
SOFR + 3.000%
03/02/2029 | 4.728% | | 560,000 | 540,400 |
| Ingram Micro, Inc.(b),(k),(n) |
| Term Loan |
1-month USD LIBOR + 3.500%
Floor 0.500%
06/30/2028 | 5.750% | | 433,645 | 409,253 |
| Peraton Corp.(b),(n) |
| Tranche B 1st Lien Term Loan |
3-month USD LIBOR + 3.750%
Floor 0.750%
02/01/2028 | 5.416% | | 222,858 | 208,809 |
| Proofpoint, Inc.(b),(k),(n) |
| 1st Lien Term Loan |
1-month USD LIBOR + 3.250%
Floor 0.500%
08/31/2028 | 4.825% | | 470,453 | 436,176 |
| Total | 3,045,193 |
| Wireless 0.0% |
| SBA Senior Finance II LLC(b),(n) |
| Term Loan |
3-month USD LIBOR + 1.750%
04/11/2025 | 3.420% | | 1,396,800 | 1,343,456 |
| Wirelines 0.2% |
| Lumen Technologies, Inc.(b),(n) |
| Tranche B Term Loan |
1-month USD LIBOR + 2.250%
03/15/2027 | 3.916% | | 243,750 | 223,716 |
| Telenet Financing USD LLC(b),(n) |
| Term Loan |
6-month USD LIBOR + 2.000%
04/30/2028 | 3.324% | | 750,000 | 692,498 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 23 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Senior Loans (continued) |
| Borrower | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| Zayo Group Holdings, Inc.(b),(n) |
| Term Loan |
1-month USD LIBOR + 3.000%
03/09/2027 | 4.666% | | 3,730,724 | 3,428,945 |
1-month Term SOFR + 4.250%
Floor 0.500%
03/09/2027 | 5.775% | | 377,598 | 351,480 |
| Total | 4,696,639 |
Total Senior Loans
(Cost $55,818,726) | 52,912,687 |
|
| Treasury Bills 1.6% |
| Issuer | Yield | | Principal
Amount ($) | Value ($) |
| United States 1.6% |
| U.S. Treasury Bills |
| 09/15/2022 | 1.600% | | 42,265,000 | 42,123,221 |
| 10/20/2022 | 2.000% | | 1,275,000 | 1,267,226 |
| 11/10/2022 | 2.060% | | 8,655,000 | 8,590,561 |
| Total | 51,981,008 |
Total Treasury Bills
(Cost $52,009,156) | 51,981,008 |
|
| U.S. Treasury Obligations 14.2% |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| U.S. Treasury |
| 04/30/2024 | 2.500% | | 270,000 | 267,669 |
| 05/31/2024 | 2.500% | | 31,130,000 | 30,853,964 |
| 06/30/2024 | 3.000% | | 30,815,000 | 30,833,056 |
| 06/15/2025 | 2.875% | | 118,215,000 | 117,753,223 |
| 04/30/2027 | 2.750% | | 26,410,000 | 26,055,116 |
| U.S. Treasury Obligations (continued) |
| Issuer | Coupon
Rate | | Principal
Amount ($) | Value ($) |
| 05/31/2027 | 2.625% | | 42,950,000 | 42,137,976 |
| 06/30/2027 | 3.250% | | 13,775,000 | 13,910,598 |
| 05/15/2032 | 2.875% | | 9,690,000 | 9,582,501 |
| 11/15/2041 | 2.000% | | 117,150,000 | 93,024,422 |
| 02/15/2042 | 2.375% | | 35,840,000 | 30,385,600 |
| 05/15/2052 | 2.875% | | 56,640,000 | 53,489,400 |
Total U.S. Treasury Obligations
(Cost $465,341,532) | 448,293,525 |
| Money Market Funds 22.3% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(q),(r) | 705,465,911 | 705,042,631 |
Total Money Market Funds
(Cost $705,142,850) | 705,042,631 |
Total Investments in Securities
(Cost: $4,004,582,765) | 3,817,130,267 |
| Other Assets & Liabilities, Net | | (651,371,729) |
| Net Assets | 3,165,758,538 |
At June 30, 2022, securities and/or cash totaling $13,785,283 were pledged as collateral.
Investments in derivatives
| Long futures contracts |
| Description | Number of
contracts | Expiration
date | Trading
currency | Notional
amount | Value/Unrealized
appreciation ($) | Value/Unrealized
depreciation ($) |
| U.S. Treasury 2-Year Note | 1,308 | 09/2022 | USD | 274,700,439 | — | (1,379,148) |
| U.S. Treasury 5-Year Note | 3,417 | 09/2022 | USD | 383,558,250 | — | (2,854,542) |
| U.S. Treasury Ultra 10-Year Note | 65 | 09/2022 | USD | 8,279,375 | — | (131,694) |
| U.S. Ultra Treasury Bond | 338 | 09/2022 | USD | 52,168,188 | — | (720,691) |
| Total | | | | | — | (5,086,075) |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 24 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Notes to Portfolio of Investments
| (a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At June 30, 2022, the total value of these securities amounted to $686,082,062, which represents 21.67% of total net assets. |
| (b) | Variable rate security. The interest rate shown was the current rate as of June 30, 2022. |
| (c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of June 30, 2022. |
| (d) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
| (e) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At June 30, 2022, the total value of these securities amounted to $12, which represents less than 0.01% of total net assets. |
| (f) | Non-income producing investment. |
| (g) | Valuation based on significant unobservable inputs. |
| (h) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of June 30, 2022. |
| (i) | Zero coupon bond. |
| (j) | Principal and interest may not be guaranteed by a governmental entity. |
| (k) | Represents a security purchased on a forward commitment basis. |
| (l) | Represents principal only securities which have the right to receive the principal portion only on an underlying pool of mortgage loans. |
| (m) | Represents a security purchased on a when-issued basis. |
| (n) | The stated interest rate represents the weighted average interest rate at June 30, 2022 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
| (o) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
| (p) | At June 30, 2022, 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 ($) |
athenahealth Group, Inc.
Delayed Draw Term Loan
02/15/2029 3.500% | 144,928 |
| (q) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (r) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 756,024,900 | 1,687,746,284 | (1,738,697,834) | (30,719) | 705,042,631 | (289,540) | 1,734,409 | 705,465,911 |
Abbreviation Legend
| CMO | Collateralized Mortgage Obligation |
| CMT | Constant Maturity Treasury |
| CVR | Contingent Value Rights |
| LIBOR | London Interbank Offered Rate |
| MTA | Monthly Treasury Average |
| SOFR | Secured Overnight Financing Rate |
| TBA | To Be Announced |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 25 |
Portfolio of Investments (continued)
June 30, 2022 (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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Asset-Backed Securities — Non-Agency | — | 167,572,946 | — | 167,572,946 |
| Commercial Mortgage-Backed Securities - Agency | — | 22,233,862 | — | 22,233,862 |
| Commercial Mortgage-Backed Securities - Non-Agency | — | 114,364,043 | — | 114,364,043 |
| Common Stocks | | | | |
| Communication Services | — | — | 12 | 12 |
| Financials | — | 3,236,687 | — | 3,236,687 |
| Utilities | — | — | 1,763 | 1,763 |
| Total Common Stocks | — | 3,236,687 | 1,775 | 3,238,462 |
| Corporate Bonds & Notes | — | 907,559,208 | — | 907,559,208 |
| Foreign Government Obligations | — | 51,076,540 | — | 51,076,540 |
| Inflation-Indexed Bonds | — | 6,132,201 | — | 6,132,201 |
| Municipal Bonds | — | 21,285,685 | — | 21,285,685 |
| Residential Mortgage-Backed Securities - Agency | — | 1,030,790,629 | — | 1,030,790,629 |
| Residential Mortgage-Backed Securities - Non-Agency | — | 234,646,840 | — | 234,646,840 |
| Senior Loans | — | 52,382,059 | 530,628 | 52,912,687 |
| Treasury Bills | 51,981,008 | — | — | 51,981,008 |
| U.S. Treasury Obligations | 448,293,525 | — | — | 448,293,525 |
| Money Market Funds | 705,042,631 | — | — | 705,042,631 |
| Total Investments in Securities | 1,205,317,164 | 2,611,280,700 | 532,403 | 3,817,130,267 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 26 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Fair value measurements (continued)
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Derivatives | | | | |
| Liability | | | | |
| Futures Contracts | (5,086,075) | — | — | (5,086,075) |
| Total | 1,200,231,089 | 2,611,280,700 | 532,403 | 3,812,044,192 |
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).
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 27 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $3,299,439,915) | $3,112,087,636 |
| Affiliated issuers (cost $705,142,850) | 705,042,631 |
| Cash collateral held at broker for: | |
| TBA | 5,158,283 |
| Margin deposits on: | |
| Futures contracts | 8,627,000 |
| Receivable for: | |
| Investments sold | 12,620,554 |
| Investments sold on a delayed delivery basis | 309,214,466 |
| Capital shares sold | 1,511 |
| Dividends | 640,665 |
| Interest | 13,501,231 |
| Foreign tax reclaims | 44,589 |
| Variation margin for futures contracts | 4,016,844 |
| Prepaid expenses | 19,660 |
| Total assets | 4,170,975,070 |
| Liabilities | |
| Due to custodian | 600,598 |
| Payable for: | |
| Investments purchased | 16,225,151 |
| Investments purchased on a delayed delivery basis | 983,195,973 |
| Capital shares purchased | 4,939,593 |
| Management services fees | 41,318 |
| Distribution and/or service fees | 116 |
| Service fees | 863 |
| Compensation of board members | 173,119 |
| Compensation of chief compliance officer | 346 |
| Other expenses | 39,455 |
| Total liabilities | 1,005,216,532 |
| Net assets applicable to outstanding capital stock | $3,165,758,538 |
| Represented by | |
| Paid in capital | 3,507,618,579 |
| Total distributable earnings (loss) | (341,860,041) |
| Total - representing net assets applicable to outstanding capital stock | $3,165,758,538 |
| Class 1 | |
| Net assets | $3,148,679,663 |
| Shares outstanding | 329,604,389 |
| Net asset value per share | $9.55 |
| Class 2 | |
| Net assets | $17,078,875 |
| Shares outstanding | 1,798,107 |
| Net asset value per share | $9.50 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 28 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — affiliated issuers | $1,734,409 |
| Interest | 33,778,307 |
| Total income | 35,512,716 |
| Expenses: | |
| Management services fees | 8,016,032 |
| Distribution and/or service fees | |
| Class 2 | 22,120 |
| Service fees | 5,727 |
| Compensation of board members | 15,834 |
| Custodian fees | 25,504 |
| Printing and postage fees | 7,821 |
| Audit fees | 20,534 |
| Legal fees | 22,502 |
| Interest on collateral | 33 |
| Compensation of chief compliance officer | 230 |
| Other | 23,258 |
| Total expenses | 8,159,595 |
| Net investment income | 27,353,121 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | (162,891,899) |
| Investments — affiliated issuers | (289,540) |
| Futures contracts | (36,517,476) |
| Net realized loss | (199,698,915) |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (221,447,692) |
| Investments — affiliated issuers | (30,719) |
| Futures contracts | (7,477,984) |
| Net change in unrealized appreciation (depreciation) | (228,956,395) |
| Net realized and unrealized loss | (428,655,310) |
| Net decrease in net assets resulting from operations | $(401,302,189) |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 29 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $27,353,121 | $36,953,904 |
| Net realized loss | (199,698,915) | (10,058,173) |
| Net change in unrealized appreciation (depreciation) | (228,956,395) | (65,631,595) |
| Net decrease in net assets resulting from operations | (401,302,189) | (38,735,864) |
| Distributions to shareholders | | |
| Net investment income and net realized gains | | |
| Class 1 | — | (214,899,768) |
| Class 2 | — | (1,119,084) |
| Total distributions to shareholders | — | (216,018,852) |
| Increase (decrease) in net assets from capital stock activity | (136,525,388) | 782,010,680 |
| Total increase (decrease) in net assets | (537,827,577) | 527,255,964 |
| Net assets at beginning of period | 3,703,586,115 | 3,176,330,151 |
| Net assets at end of period | $3,165,758,538 | $3,703,586,115 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 380,730 | 3,808,341 | 65,802,814 | 749,610,697 |
| Distributions reinvested | — | — | 19,843,007 | 214,899,768 |
| Redemptions | (13,914,680) | (140,100,339) | (16,239,665) | (180,551,973) |
| Net increase (decrease) | (13,533,950) | (136,291,998) | 69,406,156 | 783,958,492 |
| Class 2 | | | | |
| Subscriptions | 201,615 | 2,004,920 | 325,081 | 3,564,790 |
| Distributions reinvested | — | — | 103,619 | 1,119,084 |
| Redemptions | (221,804) | (2,238,310) | (601,349) | (6,631,686) |
| Net decrease | (20,189) | (233,390) | (172,649) | (1,947,812) |
| Total net increase (decrease) | (13,554,139) | (136,525,388) | 69,233,507 | 782,010,680 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 30 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
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CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 31 |
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.
| | 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 | Total
distributions to
shareholders |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $10.74 | 0.08 | (1.27) | (1.19) | — | — | — |
| Year Ended 12/31/2021 | $11.52 | 0.11 | (0.24) | (0.13) | (0.15) | (0.50) | (0.65) |
| Year Ended 12/31/2020 | $11.01 | 0.19 | 0.78 | 0.97 | (0.27) | (0.19) | (0.46) |
| Year Ended 12/31/2019 | $10.38 | 0.29 | 0.64 | 0.93 | (0.30) | — | (0.30) |
| Year Ended 12/31/2018 | $10.62 | 0.27 | (0.27) | 0.00 | (0.22) | (0.02) | (0.24) |
| Year Ended 12/31/2017 | $10.48 | 0.21 | 0.14 | 0.35 | (0.17) | (0.04) | (0.21) |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $10.69 | 0.07 | (1.26) | (1.19) | — | — | — |
| Year Ended 12/31/2021 | $11.47 | 0.08 | (0.23) | (0.15) | (0.13) | (0.50) | (0.63) |
| Year Ended 12/31/2020 | $10.96 | 0.15 | 0.80 | 0.95 | (0.25) | (0.19) | (0.44) |
| Year Ended 12/31/2019 | $10.35 | 0.25 | 0.63 | 0.88 | (0.27) | — | (0.27) |
| Year Ended 12/31/2018 | $10.58 | 0.25 | (0.26) | (0.01) | (0.20) | (0.02) | (0.22) |
| Year Ended 12/31/2017 | $10.44 | 0.18 | 0.15 | 0.33 | (0.15) | (0.04) | (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) | Annualized. |
| (d) | Ratios include interest on collateral expense which is less than 0.01%. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 32 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $9.55 | (11.08%) | 0.48%(c),(d) | 0.48%(c),(d) | 1.62%(c) | 217% | $3,148,680 |
| Year Ended 12/31/2021 | $10.74 | (1.14%) | 0.48%(d) | 0.48%(d) | 1.01% | 457% | $3,684,151 |
| Year Ended 12/31/2020 | $11.52 | 8.88% | 0.49% | 0.49% | 1.63% | 373% | $3,153,493 |
| Year Ended 12/31/2019 | $11.01 | 9.01% | 0.49% | 0.49% | 2.65% | 209% | $2,808,764 |
| Year Ended 12/31/2018 | $10.38 | 0.06% | 0.49% | 0.49% | 2.61% | 178% | $2,714,909 |
| Year Ended 12/31/2017 | $10.62 | 3.40% | 0.52% | 0.52% | 1.97% | 281% | $2,979,922 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $9.50 | (11.13%) | 0.73%(c),(d) | 0.73%(c),(d) | 1.38%(c) | 217% | $17,079 |
| Year Ended 12/31/2021 | $10.69 | (1.41%) | 0.73%(d) | 0.73%(d) | 0.76% | 457% | $19,435 |
| Year Ended 12/31/2020 | $11.47 | 8.67% | 0.74% | 0.74% | 1.32% | 373% | $22,838 |
| Year Ended 12/31/2019 | $10.96 | 8.58% | 0.74% | 0.74% | 2.37% | 209% | $12,125 |
| Year Ended 12/31/2018 | $10.35 | (0.10%) | 0.74% | 0.74% | 2.38% | 178% | $7,961 |
| Year Ended 12/31/2017 | $10.58 | 3.15% | 0.77% | 0.77% | 1.73% | 281% | $7,071 |
The accompanying Notes to Financial Statements are an integral part of this statement.
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 33 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
CTIVP® – TCW Core Plus 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 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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
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 market value, unless this method results in a valuation that management believes does not approximate fair 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. Debt securities maturing in 60 days or less are valued primarily at amortized market value, unless this method results in a valuation that management believes does not approximate fair value.
| 34 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
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 a settlement price, 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, if available.
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, in seeking 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, failure of the clearinghouse or CCP may pose additional counterparty credit risk. 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 clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing 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 counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts and contains, among other
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 35 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 instruments’ 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 for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as well. 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 may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in the Statement of Operations. 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 determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, 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 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 generally expects to earn interest income on its margin deposits. 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.
| 36 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, 2022:
| | Liability derivatives | |
Risk exposure
category | Statement
of assets and liabilities
location | Fair value ($) |
| Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 5,086,075* |
| * | 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, 2022:
| Amount of realized gain (loss) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Interest rate risk | (36,517,476) |
| |
| Change in unrealized appreciation (depreciation) on derivatives recognized in income |
| Risk exposure category | Futures
contracts
($) |
| Interest rate risk | (7,477,984) |
The following table is a summary of the average outstanding volume by derivative instrument for the six months ended June 30, 2022:
| Derivative instrument | Average notional
amounts ($)* |
| Futures contracts — long | 710,704,572 |
| * | Based on the ending quarterly outstanding amounts for the six months ended June 30, 2022. |
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.
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 37 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if any, 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.
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 may 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 may 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.
| 38 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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.
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 in 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 in 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.
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.
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 collectability 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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.
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 39 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 on the payment date, the proceeds are recorded as realized gains.
The value of additional securities received as an income payment through a payment in kind, if any, is recorded as interest 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 investment company taxable income and net capital gain, 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 in 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 annually. 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 the Fund at the net asset value as of the ex-dividend date of the distribution.
| 40 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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 0.50% to 0.34% as the Fund’s net assets increase. The annualized effective management services fee rate for the six months ended June 30, 2022 was 0.48% of the Fund’s average daily net assets.
Subadvisory agreement
The Investment Manager has entered into a Subadvisory Agreement with TCW Investment Management Company LLC to serve as the subadviser to the Fund. The Investment Manager compensates the subadviser to manage the investment of the Fund’s assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.00% of the Fund’s average daily net assets.
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 41 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | Fee rate(s) contractual
through
April 30, 2023 |
| Class 1 | 0.54% |
| Class 2 | 0.79 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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, 2022, the approximate cost of all 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) ($) |
| 4,004,583,000 | 6,867,000 | (199,406,000) | (192,539,000) |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
The following capital loss carryforwards, determined at December 31, 2021, may be available to reduce future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code.
| 42 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
No expiration
short-term ($) | No expiration
long-term ($) | Total ($) |
| (8,873,827) | — | (8,873,827) |
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 $7,135,042,166 and $7,280,806,885, respectively, for the six months ended June 30, 2022, of which $6,595,707,004 and $6,967,547,435, 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 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 7. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 43 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 9. Significant risks
Credit risk
Credit risk is the risk that the value of debt instruments in the Fund’s portfolio may decline because the issuer defaults or otherwise becomes unable or unwilling, or is perceived to be unable or unwilling, to honor its financial obligations, such as making payments to the Fund when due. Credit rating agencies assign credit ratings to certain debt instruments to indicate their credit risk. Lower-rated or unrated debt instruments held by the Fund may present increased credit risk as compared to higher-rated debt instruments.
Derivatives risk
Losses involving derivative instruments may be substantial, because a relatively small movement in the underlying reference (which is generally the price, rate or other economic indicator associated with a security(ies), commodity, currency, 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, liquidity risk and pricing 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 instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise. Actions by governments and central banking authorities can result in increases or decreases in interest rates. Higher periods of inflation could lead such authorities to raise 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. The Fund is subject to the risk that the income generated by its investments may not keep pace with inflation.
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.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events
| 44 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Money market fund investment risk
An investment in a money market fund is not a bank deposit and is not insured or guaranteed by any bank, the FDIC or any other government agency. Certain money market funds float their net asset value while others seek to preserve the value of investments at a stable net asset value (typically, $1.00 per share). An investment in a money market fund, even an investment in a fund seeking to maintain a stable net asset value per share, is not guaranteed and it is possible for the Fund to lose money by investing in these and other types of money market funds. If the liquidity of a money market fund’s portfolio deteriorates below certain levels, the money market fund may suspend redemptions (i.e., impose a redemption gate) and thereby prevent the Fund from selling its investment in the money market fund or impose a fee of up to 2% on amounts the Fund redeems from the money market fund (i.e., impose a liquidity fee). These measures may result in an investment loss or prohibit the Fund from redeeming shares when the Investment Manager would otherwise redeem shares. In addition to the fees and expenses that the Fund directly bears, the Fund indirectly bears the fees and expenses of any money market funds in which it invests, including affiliated money market funds. By investing in a money market fund, the Fund will be exposed to the investment risks of the money market fund in direct proportion to such investment. To the extent the Fund invests in instruments such as derivatives, the Fund may hold investments, which may be significant, in money market fund shares to cover its obligations resulting from the Fund’s investments in such instruments. Money market funds and the securities they invest in are subject to comprehensive regulations. The enactment of new legislation or regulations, as well as changes in interpretation and enforcement of current laws, may affect the manner of operation, performance and/or yield of money market funds.
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| 45 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Mortgage- and other asset-backed securities risk
The value of any mortgage-backed and other asset-backed securities including collateralized debt obligations, if any, 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 liquidity risk and prepayment risk. A decline or flattening of housing values may cause delinquencies in mortgages (especially sub-prime or non-prime mortgages) underlying mortgage-backed securities and thereby adversely affect the ability of the mortgage-backed securities issuer to make principal and/or interest payments to mortgage-backed securities holders, including the Fund. 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, 2022, 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. 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 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
| 46 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management and Subadvisory
Agreements
(Unaudited)
Columbia Management Investment Advisers, LLC (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 CTIVP® – TCW Core Plus Bond Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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 the Investment Manager and TCW Investment Management Company LLC (the Subadviser), the Subadviser provides 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). The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Advisory Agreements.
The Board, at its June 23, 2022 Board meeting (the June Meeting), considered the renewal of each 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
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 47 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of each of the Advisory Agreements. Among other things, the information and factors considered included the following:
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Advisory Agreements; |
| • | Subadvisory fees payable by the Investment Manager under the Subadvisory Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager and the Subadviser under the Advisory Agreements, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager and the Subadviser, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager and the Subadviser with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and the factors identified below, the Board, including all of the Independent Trustees, approved the renewal of the Management Agreement and the Subadvisory Agreement.
Nature, extent and quality of services provided by the Investment Manager and the Subadviser
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager and the Subadviser, as well as their history, expertise, resources and relative capabilities, and the qualifications of their personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager, including, in particular, detailed information regarding the process employed for selecting and overseeing affiliated and unaffiliated Subadvisers. With respect to the Investment Manager, the Board also noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to each subadvised Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’s ability to attract and retain
| 48 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
key portfolio management personnel and that it has sufficient resources to provide competitive and adequate compensation to investment personnel. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. 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 the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement (including the relatively broad scope of services required to be performed by the Investment Manager in addition to monitoring the Subadviser), noting that no changes were proposed from the forms of agreements previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
The Board 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 subadvisory agreements for subadvisers who manage other funds managed by the Investment Manager. It was observed that no changes were recommended to the Subadvisory Agreement. The Board took into account the Investment Manager’s representation that the Subadviser was in a position to provide quality services to the Fund. In this regard, the Board further observed the various services provided by the Investment Manager’s subadvisory oversight team and their significant resources added in recent years.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Advisory Agreements supported the continuation of the Management Agreement and the Subadvisory Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that Fund performance was well within the range of that of its peers.
Additionally, the Board reviewed the performance of the Subadviser and the Investment Manager’s process for monitoring the Subadviser’s performance. The Board considered, in particular, management’s rationale for recommending the continued retention of the Subadviser and management’s representations that the Investment Manager’s profitability is not the key factor driving their recommendation to select, renew or terminate the Subadviser.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
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| 49 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
The Board also considered the Investment Manager’s and Subadviser’s performance and reputation generally, and the Investment Manager’s evaluation of the Subadviser’s contribution to the Fund’s broader investment mandate. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund, the Investment Manager and the Subadviser, in light of other considerations, supported the continuation of the Management Agreement and the Subadvisory Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager and its affiliates 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 Broadridge and JDL) 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 the Investment Manager’s profitability.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper 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.
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 advisory fee rates charged by other comparable mutual funds employing the Subadviser to provide comparable subadvisory services. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees, subadvisory fees and expenses of the Fund, in light of other considerations, supported the continuation of each of the Management Agreement and the Subadvisory Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. Because the Subadvisory Agreement was negotiated at arms-length by the Investment Manager, which is responsible for payments to the Subadviser thereunder, the Board did not consider the profitability to the Subadviser from its relationship with the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement and the Subadvisory Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation
| 50 | CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022 |
Approval of Management and Subadvisory
Agreements (continued)
(Unaudited)
arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders. The Board also noted that the breakpoints in the Subadvisory Agreement did not occur at the same levels as the breakpoints in the Management Agreement. In this regard, the Board noted the potential challenges of seeking to tailor the Management Agreement breakpoints to those of a subadvisory agreement in this context.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement and the Subadvisory Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under each of the Advisory Agreements were fair and reasonable in light of the extent and quality of services provided and approved the renewal of each of the Advisory Agreements.
CTIVP® – TCW Core Plus Bond Fund | Semiannual Report 2022
| 51 |
CTIVP® – TCW Core Plus Bond Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 Columbia Management Investment Advisers, LLC.
SemiAnnual Report
June 30, 2022 (Unaudited)
Columbia Variable Portfolio – Select Small 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 or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which Columbia Variable Portfolio – Select Small Cap Value Fund (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; visiting columbiathreadneedleus.com/investor/; 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 columbiathreadneedleus.com/investor/, 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-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, is available on columbiathreadneedleus.com/investor/ or can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022
Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with long-term capital growth.
Portfolio management
Kari Montanus
Lead Portfolio Manager
Managed Fund since 2014
Jonas Patrikson, CFA
Portfolio Manager
Managed Fund since 2018
| Average annual total returns (%) (for the period ended June 30, 2022) |
| | | Inception | 6 Months
cumulative | 1 Year | 5 Years | 10 Years |
| Class 1 | 05/03/10 | -19.49 | -15.64 | 4.86 | 9.58 |
| Class 2 | 05/03/10 | -19.59 | -15.83 | 4.60 | 9.31 |
| Class 3 | 09/15/99 | -19.55 | -15.73 | 4.72 | 9.45 |
| Russell 2000 Value Index | | -17.31 | -16.28 | 4.89 | 9.05 |
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 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 – Select Small Cap Value Fund | Semiannual Report 2022
| 3 |
Fund at a Glance (continued)
(Unaudited)
| Portfolio breakdown (%) (at June 30, 2022) |
| Common Stocks | 95.2 |
| Money Market Funds | 4.8 |
| Total | 100.0 |
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
| Equity sector breakdown (%) (at June 30, 2022) |
| Communication Services | 2.5 |
| Consumer Discretionary | 9.3 |
| Consumer Staples | 1.8 |
| Energy | 4.9 |
| Financials | 27.2 |
| Health Care | 8.0 |
| Industrials | 17.2 |
| Information Technology | 9.6 |
| Materials | 8.3 |
| Real Estate | 9.0 |
| Utilities | 2.2 |
| Total | 100.0 |
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
| 4 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees, or expenses that apply to the subaccount or the Contract. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If the fees and expenses imposed under your Contract or Qualified Plan, if any, were included, your costs would be higher.
| January 1, 2022 — June 30, 2022 |
| | Account value at the
beginning of the
period ($) | 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 | 805.10 | 1,020.58 | 3.80 | 4.26 | 0.85 |
| Class 2 | 1,000.00 | 1,000.00 | 804.10 | 1,019.34 | 4.92 | 5.51 | 1.10 |
| Class 3 | 1,000.00 | 1,000.00 | 804.50 | 1,019.98 | 4.34 | 4.86 | 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.
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.
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022
| 5 |
Portfolio of Investments
June 30, 2022 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
| Common Stocks 95.5% |
| Issuer | Shares | Value ($) |
| Communication Services 2.4% |
| Media 0.8% |
| iHeartMedia, Inc., Class A(a) | 96,778 | 763,579 |
| Wireless Telecommunication Services 1.6% |
| Telephone and Data Systems, Inc. | 88,747 | 1,401,315 |
| Total Communication Services | 2,164,894 |
| Consumer Discretionary 8.8% |
| Auto Components 2.3% |
| Visteon Corp.(a) | 20,000 | 2,071,600 |
| Hotels, Restaurants & Leisure 4.1% |
| Penn National Gaming, Inc.(a) | 17,536 | 533,445 |
| Six Flags Entertainment Corp.(a) | 62,759 | 1,361,870 |
| Texas Roadhouse, Inc. | 25,239 | 1,847,495 |
| Total | | 3,742,810 |
| Household Durables 1.1% |
| KB Home | 35,494 | 1,010,160 |
| Textiles, Apparel & Luxury Goods 1.3% |
| Kontoor Brands, Inc. | 37,022 | 1,235,424 |
| Total Consumer Discretionary | 8,059,994 |
| Consumer Staples 1.8% |
| Food Products 1.8% |
| Nomad Foods Ltd.(a) | 79,968 | 1,598,560 |
| Total Consumer Staples | 1,598,560 |
| Energy 4.7% |
| Energy Equipment & Services 2.6% |
| Patterson-UTI Energy, Inc. | 149,387 | 2,354,339 |
| Oil, Gas & Consumable Fuels 2.1% |
| Devon Energy Corp. | 35,054 | 1,931,826 |
| Total Energy | 4,286,165 |
| Financials 26.0% |
| Banks 13.0% |
| First Hawaiian, Inc. | 71,929 | 1,633,508 |
| Huntington Bancshares, Inc. | 136,580 | 1,643,057 |
| OceanFirst Financial Corp. | 89,044 | 1,703,412 |
| Pacific Premier Bancorp, Inc. | 84,030 | 2,457,037 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Popular, Inc. | 31,922 | 2,455,760 |
| Stock Yards Bancorp, Inc. | 31,733 | 1,898,268 |
| Total | | 11,791,042 |
| Consumer Finance 0.5% |
| PROG Holdings, Inc.(a) | 29,618 | 488,697 |
| Insurance 5.9% |
| CNO Financial Group, Inc. | 72,987 | 1,320,335 |
| Hanover Insurance Group, Inc. (The) | 16,876 | 2,468,115 |
| Lincoln National Corp. | 33,108 | 1,548,461 |
| Total | | 5,336,911 |
| Mortgage Real Estate Investment Trusts (REITS) 0.8% |
| Ladder Capital Corp., Class A | 70,273 | 740,677 |
| Thrifts & Mortgage Finance 5.8% |
| Axos Financial, Inc.(a) | 73,369 | 2,630,279 |
| Radian Group, Inc. | 134,721 | 2,647,267 |
| Total | | 5,277,546 |
| Total Financials | 23,634,873 |
| Health Care 7.7% |
| Biotechnology 0.4% |
| Ligand Pharmaceuticals, Inc.(a) | 3,702 | 330,292 |
| Health Care Equipment & Supplies 3.7% |
| CONMED Corp. | 21,691 | 2,077,130 |
| LivaNova PLC(a) | 21,156 | 1,321,616 |
| Total | | 3,398,746 |
| Health Care Providers & Services 1.0% |
| LHC Group, Inc.(a) | 5,818 | 906,095 |
| Life Sciences Tools & Services 2.6% |
| Syneos Health, Inc.(a) | 32,791 | 2,350,459 |
| Total Health Care | 6,985,592 |
| Industrials 16.4% |
| Aerospace & Defense 2.0% |
| Curtiss-Wright Corp. | 13,898 | 1,835,370 |
| Airlines 1.3% |
| Spirit Airlines, Inc.(a) | 48,658 | 1,160,007 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 6 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Building Products 1.7% |
| Zurn Water Solutions Corp. | 56,768 | 1,546,360 |
| Commercial Services & Supplies 1.9% |
| Waste Connections, Inc. | 14,068 | 1,743,869 |
| Construction & Engineering 1.3% |
| Primoris Services Corp. | 55,573 | 1,209,268 |
| Electrical Equipment 2.4% |
| Bloom Energy Corp., Class A(a) | 42,700 | 704,550 |
| Regal Rexnord Corp. | 12,657 | 1,436,823 |
| Total | | 2,141,373 |
| Machinery 1.7% |
| ITT, Inc. | 23,098 | 1,553,109 |
| Professional Services 1.7% |
| CACI International, Inc., Class A(a) | 5,487 | 1,546,127 |
| Road & Rail 2.4% |
| Knight-Swift Transportation Holdings, Inc. | 46,902 | 2,171,094 |
| Total Industrials | 14,906,577 |
| Information Technology 9.2% |
| Communications Equipment 4.5% |
| Extreme Networks, Inc.(a) | 263,400 | 2,349,528 |
| Viavi Solutions, Inc.(a) | 132,200 | 1,749,006 |
| Total | | 4,098,534 |
| IT Services 1.0% |
| EPAM Systems, Inc.(a) | 3,175 | 935,927 |
| Semiconductors & Semiconductor Equipment 3.7% |
| Kulicke & Soffa Industries, Inc. | 34,577 | 1,480,241 |
| MACOM Technology Solutions Holdings, Inc.(a) | 40,000 | 1,844,000 |
| Total | | 3,324,241 |
| Total Information Technology | 8,358,702 |
| Materials 7.9% |
| Chemicals 1.9% |
| Minerals Technologies, Inc. | 28,531 | 1,750,091 |
| Common Stocks (continued) |
| Issuer | Shares | Value ($) |
| Construction Materials 1.8% |
| Summit Materials, Inc., Class A(a) | 69,565 | 1,620,169 |
| Containers & Packaging 2.2% |
| O-I Glass, Inc.(a) | 142,884 | 2,000,376 |
| Metals & Mining 2.0% |
| Allegheny Technologies, Inc.(a) | 80,752 | 1,833,878 |
| Total Materials | 7,204,514 |
| Real Estate 8.5% |
| Equity Real Estate Investment Trusts (REITS) 8.5% |
| Apple Hospitality REIT, Inc. | 130,000 | 1,907,100 |
| First Industrial Realty Trust, Inc. | 31,733 | 1,506,683 |
| Gaming and Leisure Properties, Inc. | 37,990 | 1,742,222 |
| Outfront Media, Inc. | 90,000 | 1,525,500 |
| Physicians Realty Trust | 63,467 | 1,107,499 |
| Total | | 7,789,004 |
| Total Real Estate | 7,789,004 |
| Utilities 2.1% |
| Electric Utilities 2.1% |
| Portland General Electric Co. | 39,897 | 1,928,222 |
| Total Utilities | 1,928,222 |
Total Common Stocks
(Cost $74,031,792) | 86,917,097 |
|
| Money Market Funds 4.8% |
| | Shares | Value ($) |
| Columbia Short-Term Cash Fund, 1.247%(b),(c) | 4,376,462 | 4,373,836 |
Total Money Market Funds
(Cost $4,374,537) | 4,373,836 |
Total Investments in Securities
(Cost: $78,406,329) | 91,290,933 |
| Other Assets & Liabilities, Net | | (246,578) |
| Net Assets | 91,044,355 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022
| 7 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Notes to Portfolio of Investments
| (a) | Non-income producing investment. |
| (b) | The rate shown is the seven-day current annualized yield at June 30, 2022. |
| (c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended June 30, 2022 are as follows: |
| Affiliated issuers | Beginning
of period($) | Purchases($) | Sales($) | Net change in
unrealized
appreciation
(depreciation)($) | End of
period($) | Realized gain
(loss)($) | Dividends($) | End of
period shares |
| Columbia Short-Term Cash Fund, 1.247% |
| | 2,079,185 | 8,971,615 | (6,676,333) | (631) | 4,373,836 | (643) | 8,948 | 4,376,462 |
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.
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 following table is a summary of the inputs used to value the Fund’s investments at June 30, 2022:
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Investments in Securities | | | | |
| Common Stocks | | | | |
| Communication Services | 2,164,894 | — | — | 2,164,894 |
| Consumer Discretionary | 8,059,994 | — | — | 8,059,994 |
| Consumer Staples | 1,598,560 | — | — | 1,598,560 |
| Energy | 4,286,165 | — | — | 4,286,165 |
| Financials | 23,634,873 | — | — | 23,634,873 |
| Health Care | 6,985,592 | — | — | 6,985,592 |
| Industrials | 14,906,577 | — | — | 14,906,577 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 8 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
Portfolio of Investments (continued)
June 30, 2022 (Unaudited)
Fair value measurements (continued)
| | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) |
| Information Technology | 8,358,702 | — | — | 8,358,702 |
| Materials | 7,204,514 | — | — | 7,204,514 |
| Real Estate | 7,789,004 | — | — | 7,789,004 |
| Utilities | 1,928,222 | — | — | 1,928,222 |
| Total Common Stocks | 86,917,097 | — | — | 86,917,097 |
| Money Market Funds | 4,373,836 | — | — | 4,373,836 |
| Total Investments in Securities | 91,290,933 | — | — | 91,290,933 |
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.
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022
| 9 |
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
| Assets | |
| Investments in securities, at value | |
| Unaffiliated issuers (cost $74,031,792) | $86,917,097 |
| Affiliated issuers (cost $4,374,537) | 4,373,836 |
| Receivable for: | |
| Investments sold | 425,307 |
| Capital shares sold | 30,287 |
| Dividends | 116,535 |
| Expense reimbursement due from Investment Manager | 474 |
| Prepaid expenses | 4,811 |
| Total assets | 91,868,347 |
| Liabilities | |
| Payable for: | |
| Investments purchased | 635,869 |
| Capital shares purchased | 101,569 |
| Management services fees | 2,183 |
| Distribution and/or service fees | 415 |
| Service fees | 10,685 |
| Compensation of board members | 51,699 |
| Compensation of chief compliance officer | 10 |
| Other expenses | 21,562 |
| Total liabilities | 823,992 |
| Net assets applicable to outstanding capital stock | $91,044,355 |
| Represented by | |
| Trust capital | $91,044,355 |
| Total - representing net assets applicable to outstanding capital stock | $91,044,355 |
| Class 1 | |
| Net assets | $5,859,771 |
| Shares outstanding | 203,452 |
| Net asset value per share | $28.80 |
| Class 2 | |
| Net assets | $35,361,212 |
| Shares outstanding | 1,264,648 |
| Net asset value per share | $27.96 |
| Class 3 | |
| Net assets | $49,823,372 |
| Shares outstanding | 1,754,771 |
| Net asset value per share | $28.39 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 10 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
Statement of Operations
Six Months Ended June 30, 2022 (Unaudited)
| Net investment income | |
| Income: | |
| Dividends — unaffiliated issuers | $896,962 |
| Dividends — affiliated issuers | 8,948 |
| Foreign taxes withheld | (4,229) |
| Total income | 901,681 |
| Expenses: | |
| Management services fees | 444,784 |
| Distribution and/or service fees | |
| Class 2 | 48,545 |
| Class 3 | 35,772 |
| Service fees | 39,035 |
| Compensation of board members | 5,249 |
| Custodian fees | 1,206 |
| Printing and postage fees | 8,930 |
| Audit fees | 14,668 |
| Legal fees | 5,702 |
| Compensation of chief compliance officer | 7 |
| Other | 3,361 |
| Total expenses | 607,259 |
| Fees waived or expenses reimbursed by Investment Manager and its affiliates | (88,404) |
| Total net expenses | 518,855 |
| Net investment income | 382,826 |
| Realized and unrealized gain (loss) — net | |
| Net realized gain (loss) on: | |
| Investments — unaffiliated issuers | 285,858 |
| Investments — affiliated issuers | (643) |
| Net realized gain | 285,215 |
| Net change in unrealized appreciation (depreciation) on: | |
| Investments — unaffiliated issuers | (22,669,106) |
| Investments — affiliated issuers | (631) |
| Net change in unrealized appreciation (depreciation) | (22,669,737) |
| Net realized and unrealized loss | (22,384,522) |
| Net decrease in net assets resulting from operations | $(22,001,696) |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022
| 11 |
Statement of Changes in Net Assets
| | Six Months Ended
June 30, 2022
(Unaudited) | Year Ended
December 31, 2021 |
| Operations | | |
| Net investment income | $382,826 | $435,053 |
| Net realized gain | 285,215 | 6,705,393 |
| Net change in unrealized appreciation (depreciation) | (22,669,737) | 18,264,894 |
| Net increase (decrease) in net assets resulting from operations | (22,001,696) | 25,405,340 |
| Increase in net assets from capital stock activity | 3,227,041 | 1,637,478 |
| Total increase (decrease) in net assets | (18,774,655) | 27,042,818 |
| Net assets at beginning of period | 109,819,010 | 82,776,192 |
| Net assets at end of period | $91,044,355 | $109,819,010 |
| | Six Months Ended | Year Ended |
| | June 30, 2022 (Unaudited) | December 31, 2021 |
| | Shares | Dollars ($) | Shares | Dollars ($) |
| Capital stock activity |
| Class 1 | | | | |
| Subscriptions | 69,955 | 2,375,483 | 226,494 | 7,733,265 |
| Redemptions | (44,400) | (1,508,279) | (208,193) | (7,074,331) |
| Net increase | 25,555 | 867,204 | 18,301 | 658,934 |
| Class 2 | | | | |
| Subscriptions | 127,507 | 4,099,734 | 253,344 | 8,281,484 |
| Redemptions | (45,606) | (1,456,884) | (175,559) | (5,714,130) |
| Net increase | 81,901 | 2,642,850 | 77,785 | 2,567,354 |
| Class 3 | | | | |
| Subscriptions | 63,339 | 2,143,549 | 112,840 | 3,719,235 |
| Redemptions | (75,033) | (2,426,562) | (162,272) | (5,308,045) |
| Net decrease | (11,694) | (283,013) | (49,432) | (1,588,810) |
| Total net increase | 95,762 | 3,227,041 | 46,654 | 1,637,478 |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 12 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
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Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022
| 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.
| | Net asset value,
beginning of
period | Net
investment
income
(loss) | Net
realized
and
unrealized
gain (loss) | Total from
investment
operations |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $35.77 | 0.15 | (7.12) | (6.97) |
| Year Ended 12/31/2021 | $27.32 | 0.20 | 8.25 | 8.45 |
| Year Ended 12/31/2020 | $25.02 | 0.11 | 2.19 | 2.30 |
| Year Ended 12/31/2019 | $21.25 | 0.16 | 3.61 | 3.77 |
| Year Ended 12/31/2018 | $24.31 | 0.11 | (3.17) | (3.06) |
| Year Ended 12/31/2017 | $21.65 | (0.02) | 2.68 | 2.66 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $34.77 | 0.11 | (6.92) | (6.81) |
| Year Ended 12/31/2021 | $26.62 | 0.11 | 8.04 | 8.15 |
| Year Ended 12/31/2020 | $24.44 | 0.05 | 2.13 | 2.18 |
| Year Ended 12/31/2019 | $20.81 | 0.10 | 3.53 | 3.63 |
| Year Ended 12/31/2018 | $23.87 | 0.05 | (3.11) | (3.06) |
| Year Ended 12/31/2017 | $21.30 | 0.04 | 2.53 | 2.57 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $35.29 | 0.13 | (7.03) | (6.90) |
| Year Ended 12/31/2021 | $26.98 | 0.15 | 8.16 | 8.31 |
| Year Ended 12/31/2020 | $24.74 | 0.08 | 2.16 | 2.24 |
| Year Ended 12/31/2019 | $21.04 | 0.14 | 3.56 | 3.70 |
| Year Ended 12/31/2018 | $24.10 | 0.08 | (3.14) | (3.06) |
| Year Ended 12/31/2017 | $21.48 | 0.06 | 2.56 | 2.62 |
| 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) | Annualized. |
The accompanying Notes to Financial Statements are an integral part of this statement.
| 14 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
Financial Highlights (continued)
| | 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) |
| Class 1 |
| Six Months Ended 6/30/2022 (Unaudited) | $28.80 | (19.49%) | 1.02%(c) | 0.85%(c) | 0.93%(c) | 5% | $5,860 |
| Year Ended 12/31/2021 | $35.77 | 30.93% | 1.04% | 0.85% | 0.59% | 16% | $6,364 |
| Year Ended 12/31/2020 | $27.32 | 9.19% | 1.09% | 0.86% | 0.49% | 28% | $4,360 |
| Year Ended 12/31/2019 | $25.02 | 17.74% | 1.05% | 0.88% | 0.68% | 21% | $4,280 |
| Year Ended 12/31/2018 | $21.25 | (12.59%) | 1.04% | 0.88% | 0.43% | 13% | $3,163 |
| Year Ended 12/31/2017 | $24.31 | 12.29% | 1.02% | 0.89% | (0.09%) | 23% | $4,111 |
| Class 2 |
| Six Months Ended 6/30/2022 (Unaudited) | $27.96 | (19.59%) | 1.27%(c) | 1.10%(c) | 0.67%(c) | 5% | $35,361 |
| Year Ended 12/31/2021 | $34.77 | 30.62% | 1.29% | 1.10% | 0.34% | 16% | $41,125 |
| Year Ended 12/31/2020 | $26.62 | 8.92% | 1.34% | 1.11% | 0.25% | 28% | $29,417 |
| Year Ended 12/31/2019 | $24.44 | 17.44% | 1.30% | 1.13% | 0.44% | 21% | $26,851 |
| Year Ended 12/31/2018 | $20.81 | (12.82%) | 1.29% | 1.13% | 0.20% | 13% | $24,086 |
| Year Ended 12/31/2017 | $23.87 | 12.06% | 1.29% | 1.14% | 0.19% | 23% | $28,050 |
| Class 3 |
| Six Months Ended 6/30/2022 (Unaudited) | $28.39 | (19.55%) | 1.15%(c) | 0.97%(c) | 0.78%(c) | 5% | $49,823 |
| Year Ended 12/31/2021 | $35.29 | 30.80% | 1.16% | 0.98% | 0.45% | 16% | $62,331 |
| Year Ended 12/31/2020 | $26.98 | 9.05% | 1.21% | 0.99% | 0.37% | 28% | $48,999 |
| Year Ended 12/31/2019 | $24.74 | 17.59% | 1.18% | 1.00% | 0.57% | 21% | $52,643 |
| Year Ended 12/31/2018 | $21.04 | (12.70%) | 1.17% | 1.01% | 0.33% | 13% | $51,927 |
| Year Ended 12/31/2017 | $24.10 | 12.20% | 1.16% | 1.02% | 0.25% | 23% | $67,684 |
The accompanying Notes to Financial Statements are an integral part of this statement.
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022
| 15 |
Notes to Financial Statements
June 30, 2022 (Unaudited)
Note 1. Organization
Columbia Variable Portfolio – Select Small 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 net investment income 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
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. 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 determined at the scheduled closing time of the New York Stock Exchange. 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. Under the policy, the Fund may utilize 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 (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
| 16 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (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, if available.
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 an 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 (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to 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 Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’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 on the payment date, 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 – Select Small Cap Value Fund | Semiannual Report 2022
| 17 |
Notes to Financial Statements (continued)
June 30, 2022 (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 in 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.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has 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, 2022 was 0.87% of the Fund’s average daily net assets.
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 Deferred 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 Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
| 18 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
Service fees
The Fund has entered into 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 pays a service fee equal to the payments made by the Transfer Agent to Participating Insurance Companies and other financial intermediaries (together, Participating Organizations) for services each such Participating Organization provides to its clients, customers and participants that are invested directly or indirectly in the Fund, up to a cap approved by the Board of Trustees from time to time. The annualized effective service fee rate for the six months ended June 30, 2022 was 0.08% of the Fund’s average daily net assets.
The Transfer Agent may retain as compensation for its services revenues from 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.
Distribution and/or service 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 classes’ average daily net assets:
| | Fee rate(s) contractual
through
April 30, 2023 |
| Class 1 | 0.85% |
| Class 2 | 1.10 |
| Class 3 | 0.975 |
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 expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, 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 $6,197,347 and $4,711,338, respectively, for the six months ended June 30, 2022. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022
| 19 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the six months ended June 30, 2022.
Note 7. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 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 unused 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. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the six months ended June 30, 2022.
Note 8. Significant risks
Financial sector risk
The Fund is 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 one or more industries or sectors, which makes them vulnerable to economic conditions that affect such industries or sectors. Performance of such companies may be affected by competitive pressures and exposure to investments, agreements and counterparties, including credit products that, under certain circumstances, may lead to losses (e.g., subprime loans). Companies in the financial services sector are
| 20 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter-measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At June 30, 2022, affiliated shareholders of record owned 83.3% 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 positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022
| 21 |
Notes to Financial Statements (continued)
June 30, 2022 (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.
Note 9. 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 10. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is 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 Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. 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 Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, 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 or one or more of its affiliates that provides services to the Fund.
| 22 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
Liquidity Risk Management Program
(Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (Program). The Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed the Investment Manager as the program administrator for the Fund’s Program. The Investment Manager has delegated oversight of the Program to its Liquidity Risk Management Committee (the Committee). At a board meeting during the fiscal period, the Committee provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2021, through December 31, 2021, including:
| • | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Approval of Management Agreement
(Unaudited)
Columbia Management Investment Advisers, LLC (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 Small Cap Value Fund (the Fund). Under a management agreement (the Management Agreement), the Investment Manager 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. The Investment Manager prepared detailed reports for the Board and its Contracts Committee (including its Contracts Subcommittee) in November 2021 and March, April and June 2022, including reports providing the results of analyses performed by an independent third-party data provider, Broadridge Financial Solutions, Inc. (Broadridge), and comprehensive responses to written requests for information by independent legal counsels to the Independent Trustees (Independent Legal Counsel) to the Investment Manager, to assist the Board in making this determination. In addition, throughout the year, the Board (or its committees or subcommittees) regularly meets with portfolio management teams and senior management personnel and reviews information prepared by the Investment Manager addressing the services the Investment Manager 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, the Audit Committee and the Compliance Committee in determining whether to continue the Management Agreement.
The Board, at its June 23, 2022 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 advisory agreements and the Board’s legal responsibilities related to such consideration. The Independent Trustees considered all information that they, their legal counsel or the Investment Manager believed reasonably necessary to evaluate and to approve the continuation of the Management Agreement. Among other things, the information and factors considered included the following:
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022
| 23 |
Approval of Management Agreement (continued)
(Unaudited)
| • | Information on the investment performance of the Fund relative to the performance of a group of mutual funds determined to be comparable to the Fund by Broadridge, as well as performance relative to benchmarks; |
| • | Information on the Fund’s management fees and total expenses, including information comparing the Fund’s expenses to those of a group of comparable mutual funds, as determined by Broadridge; |
| • | The Investment Manager’s agreement to contractually limit or cap total operating expenses for the Fund so that total operating expenses (excluding certain fees and expenses, such as transaction costs and certain other investment related expenses, interest, taxes, acquired fund fees and expenses and infrequent and/or unusual expenses) would not exceed a specified annual rate, as a percentage of the Fund’s net assets; |
| • | Terms of the Management Agreement; |
| • | Descriptions of other agreements and arrangements with affiliates of the Investment Manager relating to the operations of the Fund, including agreements with respect to the provision of transfer agency and shareholder services to the Fund; |
| • | Descriptions of various services performed by the Investment Manager under the Management Agreement, including portfolio management and portfolio trading practices; |
| • | Information regarding any recently negotiated management fees of similarly-managed portfolios of other institutional clients of the Investment Manager; |
| • | Information regarding the resources of the Investment Manager, including information regarding senior management, portfolio managers and other personnel; |
| • | Information regarding the capabilities of the Investment Manager with respect to compliance monitoring services; |
| • | The profitability to the Investment Manager and its affiliates from their relationships with the Fund; and |
| • | Report provided by the Board’s independent fee consultant, JDL Consultants, LLC (JDL). |
Following an analysis and discussion of the foregoing, and 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 the Investment Manager
The Board analyzed various reports and presentations it had received detailing the services performed by the Investment Manager, as well as its history, expertise, resources and relative capabilities, and the qualifications of its personnel.
The Board specifically considered the many developments during recent years concerning the services provided by the Investment Manager. Among other things, the Board noted the organization and depth of the equity and credit research departments. The Board further observed the enhancements to the investment risk management department’s processes, systems and oversight, over the past several years, as well as planned 2022 initiatives in this regard. The Board also took into account the broad scope of services provided by the Investment Manager to the Fund, including, among other services, investment, risk and compliance oversight. The Board also took into account the information it received concerning the Investment Manager’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. The Board also observed that the Investment Manager has been able to effectively manage, operate and distribute the Funds through the COVID-19 pandemic period with no disruptions in services provided. The Board also considered added personnel and resources obtained by Columbia Threadneedle through Ameriprise Financial’s acquisition of BMO Financial Group’s Europe, Middle East, and Africa (EMEA) asset management business.
In connection with the Board’s evaluation of the overall package of services provided by the Investment Manager, the Board also considered the nature, quality and range of administrative services provided to the Fund by the Investment Manager, as well as the achievements in 2021 in the performance of administrative services, and noted the various enhancements anticipated for 2022. In evaluating the quality of services provided under the Management Agreement, the Board also took
| 24 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
Approval of Management Agreement (continued)
(Unaudited)
into account the organization and strength of the Fund’s and its service providers’ compliance programs. The Board also reviewed the financial condition of the Investment Manager and its affiliates and each entity’s ability to carry out its responsibilities under the Management Agreement and the Fund’s other service agreements.
In addition, the Board discussed the acceptability of the terms of the Management Agreement, noting that no changes were proposed from the form of agreement previously approved. The Board also noted the wide array of legal and compliance services provided to the Fund under the Management Agreement.
After reviewing these and related factors (including investment performance as discussed below), the Board concluded, within the context of their overall conclusions, that the nature, extent and quality of the services provided to the Fund under the Management Agreement supported the continuation of the Management Agreement.
Investment performance
In this connection, the Board carefully reviewed the investment performance of the Fund, including detailed reports providing the results of analyses performed by each of the Investment Manager, Broadridge and JDL collectively showing, for various periods (including since manager inception): (i) the performance of the Fund, (ii) the performance of a benchmark index, (iii) the percentage ranking of the Fund among its comparison group, (iv) the Fund’s performance relative to peers and benchmarks and (v) the net assets of the Fund. The Board observed that the Fund’s performance for certain periods ranked above median based on information provided by Broadridge.
The Board also reviewed a description of the third-party data provider’s methodology for identifying the Fund’s peer groups for purposes of performance and expense comparisons.
The Board also considered the Investment Manager’s performance and reputation generally. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the performance of the Fund and the Investment Manager, in light of other considerations, supported the continuation of the Management Agreement.
Comparative fees, costs of services provided and the profits realized by the Investment Manager 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 Broadridge and JDL) 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 the Investment Manager’s profitability. The Board reviewed the fees charged to comparable institutional or other accounts/vehicles managed by the Investment Manager and discussed differences in how the products are managed and operated, thus explaining many of the differences in fees.
The Board considered the reports of JDL, which assisted in the Board’s analysis of the Funds’ performance and expenses and the reasonableness of the Funds’ fee rates. The Board accorded particular weight to the notion that a primary objective of the level of fees is to achieve 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 exceptions) are generally in line with the current "pricing philosophy" such that Fund total expense ratios, in general, approximate or are lower than the median expense ratios of funds in the same Lipper comparison universe. The Board took into account that the Fund’s total expense ratio (after considering proposed expense caps/waivers) was slightly below the peer universe’s median expense ratio shown in the reports.
After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the levels of management fees and expenses of the Fund, in light of other considerations, supported the continuation of the Management Agreement.
The Board also considered the profitability of the Investment Manager and its affiliates in connection with the Investment Manager providing management services to the Fund. With respect to the profitability of the Investment Manager and its affiliates, the Independent Trustees referred to information discussing the profitability to the Investment Manager and
Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022
| 25 |
Approval of Management Agreement (continued)
(Unaudited)
Ameriprise Financial from managing, operating and distributing the Funds. The Board considered that in 2021 the Board had considered 2020 profitability and that the 2022 information showed that the profitability generated by the Investment Manager in 2021 increased from 2020 levels, due to a variety of factors, including the increased assets under management of the Funds. It also took into account the indirect economic benefits flowing to the Investment Manager 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. After reviewing these and related factors, the Board concluded, within the context of their overall conclusions, that the costs of services provided and the profitability to the Investment Manager and its affiliates from their relationships with the Fund supported the continuation of the Management Agreement.
Economies of scale
The Board considered the potential existence of economies of scale in the provision by the Investment Manager of services to the Fund, to groups of related funds and to the Investment Manager as a whole, and whether those economies of scale were shared with the Fund through breakpoints in investment management fees or other means, such as expense limitation arrangements and additional investments by the Investment Manager in investment, trading, compliance and other resources. The Board considered the economies of scale that might be realized as the Fund’s net asset level 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 observed that the Management Agreement provided for breakpoints in the management fee rate schedule that allow opportunities for shareholders to realize lower fees as Fund assets grow and that there are additional opportunities through other means for sharing economies of scale with shareholders.
Conclusion
The Board reviewed all of the above considerations in reaching its decision to approve the continuation of the Management Agreement. In reaching its conclusions, no single factor was determinative.
On June 23, 2022, the Board, including all of the Independent Trustees, determined that fees payable under the Management Agreement were fair and reasonable in light of the extent and quality of services provided and approved the renewal of the Management Agreement.
| 26 | Columbia Variable Portfolio – Select Small Cap Value Fund | Semiannual Report 2022 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
Columbia Variable Portfolio – Select Small Cap Value Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For Fund and other investment product prospectuses and/or summary 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., 290 Congress Street, Boston, MA 02210
© 2022 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.
(b)Not applicable.
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 officer, based on their evaluation of the registrant's disclosure controls and procedures as of a
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/ Daniel J. Beckman |
| | | Daniel J. Beckman, President and Principal Executive Officer |
Date | | August 22, 2022 | |
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/ Daniel J. Beckman |
| | Daniel J. Beckman, President and Principal Executive Officer |
Date | | August 22, 2022 | |
By (Signature and Title) | /s/ Michael G. Clarke |
| | Michael G. Clarke, Chief Financial Officer, Principal Financial Officer |
| | and Senior Vice President |
Date | | August 22, 2022 | |
By (Signature and Title) | /s/ Joseph Beranek |
| | Joseph Beranek, Treasurer, Chief Accounting Officer and Principal |
| | Financial Officer |
Date | | August 22, 2022 | |
